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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)
 9 Months Ended
Sep. 30, 2014
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES  
Schedule of derivative assets and liabilities

Information about derivative assets and liabilities at September 30, 2014, follows:

 

 

 

 

 

Weighted

 

Weighted Average Rate

 

Estimated

 

 

 

Notional

 

Average

 

 

 

Contract

 

Fair Value

 

 

 

Amount

 

Maturity

 

Received

 

pay rate

 

Asset (Liability)

 

 

 

(In thousands)

 

(In years)

 

 

 

 

 

(In thousands)

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

Forward-starting interest rate swaps on FHLBB borrowings

 

$

300,000

 

4.5

 

0.00

%

2.29

%

$

(42

)

Total cash flow hedges

 

300,000

 

 

 

 

 

 

 

(42

)

 

 

 

 

 

 

 

 

 

 

 

 

Economic hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap on tax advantaged economic development bond

 

12,693

 

15.2

 

0.52

%

5.09

%

(2,258

)

Interest rate swaps on loans with commercial loan customers

 

290,513

 

6.0

 

2.31

%

4.52

%

(8,555

)

Reverse interest rate swaps on loans with commercial loan customers

 

290,513

 

6.0

 

4.52

%

2.31

%

8,643

 

Forward sale commitments

 

64,392

 

0.2

 

 

 

 

 

(25

)

Total economic hedges

 

658,111

 

 

 

 

 

 

 

(2,195

)

 

 

 

 

 

 

 

 

 

 

 

 

Non-hedging derivatives:

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

40,907

 

0.2

 

 

 

 

 

383

 

Total non-hedging derivatives

 

40,907

 

 

 

 

 

 

 

383

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

999,018

 

 

 

 

 

 

 

$

(1,854

)

 

Information about derivative assets and liabilities at December 31, 2013, follows:

 

 

 

 

 

Weighted

 

Weighted Average Rate

 

Estimated

 

 

 

Notional

 

Average

 

 

 

Contract

 

Fair Value

 

 

 

Amount

 

Maturity

 

Received

 

pay rate

 

Asset (Liability)

 

 

 

(In thousands)

 

(In years)

 

 

 

 

 

(In thousands)

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps on FHLBB borrowings

 

$

150,000

 

2.5

 

0.25

%

2.61

%

$

(3,102

)

Forward-starting interest rate swaps on FHLBB borrowings

 

260,000

 

4.5

 

—

 

1.88

%

1,015

 

Interest rate swaps on junior subordinated notes

 

15,000

 

0.4

 

2.09

%

5.54

%

(203

)

Total cash flow hedges

 

425,000

 

 

 

 

 

 

 

(2,290

)

 

 

 

 

 

 

 

 

 

 

 

 

Economic hedges:

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap on tax advantaged economic development bond

 

13,095

 

15.9

 

0.54

%

5.09

%

(1,889

)

Interest rate swaps on loans with commercial loan customers

 

206,933

 

5.4

 

2.44

%

4.68

%

(6,278

)

Reverse interest rate swaps on loans with commercial loan customers

 

206,933

 

5.4

 

4.68

%

2.44

%

6,286

 

Forward sale commitments

 

32,911

 

0.2

 

 

 

 

 

261

 

Total economic hedges

 

459,872

 

 

 

 

 

 

 

(1,620

)

 

 

 

 

 

 

 

 

 

 

 

 

Non-hedging derivatives:

 

 

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

20,199

 

0.2

 

 

 

 

 

258

 

Total non-hedging derivatives

 

20,199

 

 

 

 

 

 

 

258

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

905,071

 

 

 

 

 

 

 

$

(3,652

)
Schedule of amounts included in the consolidated statements of income and in the other comprehensive income section of the consolidated statements of comprehensive income (related to interest rate derivatives designated as hedges of cash flows),

 

 

 

Three Months Ended September 30,

 

Nine Months Ended September 30,

 

(In thousands)

 

2014

 

2013

 

2014

 

2013

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps on FHLBB borrowings:

 

 

 

 

 

 

 

 

 

Unrealized (loss) gain recognized in accumulated other comprehensive loss

 

$

979

 

$

(2,155

)

$

(3,148

)

$

3,280

 

 

 

 

 

 

 

 

 

 

 

Reclassification of unrealized (loss) gain from accumulated other comprehensive loss to interest expense

 

—

 

803

 

—

 

2,713

 

 

 

 

 

 

 

 

 

 

 

Reclassification of unrealized loss from accumulated other comprehensive loss to other non-interest income for termination of swaps

 

—

 

236

 

8,630

 

707

 

 

 

 

 

 

 

 

 

 

 

Reclassification of unrealized deferred tax benefit from accumulated other comprehensive loss to tax expense for terminated swaps

 

—

 

(95

)

(3,611

)

(395

)

 

 

 

 

 

 

 

 

 

 

Net tax benefit (expense) on items recognized in accumulated other comprehensive loss

 

(396

)

597

 

1,270

 

(2,358

)

 

 

 

 

 

 

 

 

 

 

Interest rate swaps on junior subordinated debentures:

 

 

 

 

 

 

 

 

 

Unrealized loss recognized in accumulated other comprehensive loss

 

—

 

(9

)

(1

)

(14

)

 

 

 

 

 

 

 

 

 

 

Reclassification of unrealized loss from accumulated other comprehensive loss to interest expense

 

—

 

131

 

204

 

387

 

 

 

 

 

 

 

 

 

 

 

Net tax expense on items recognized in accumulated other comprehensive loss

 

—

 

(47

)

(80

)

(149

)

Other comprehensive income recorded in accumulated other comprehensive loss, net of reclassification adjustments and tax effects

 

$

583

 

$

(539

)

$

3,264

 

$

4,171

 

 

 

 

 

 

 

 

 

 

 

Net interest expense recognized in interest expense on hedged FHLBB borrowings

 

$

—

 

$

913

 

$

—

 

$

3,232

 

Net interest expense recognized in interest expense on junior subordinated notes

 

$

—

 

$

131

 

$

204

 

$

387

 
Schedule of amounts included in the consolidated statements of income related to economic hedges and non-hedging derivatives

 

 

 

Three Months Ended September 30,

 

Nine Months Ended September 30,

 

(In thousands)

 

2014

 

2013

 

2014

 

2013

 

 

 

 

 

 

 

 

 

 

 

Economic hedges

 

 

 

 

 

 

 

 

 

Interest rate swap on industrial revenue bond:

 

 

 

 

 

 

 

 

 

Unrealized (loss) gain recognized in other non-interest income

 

$

(84

)

$

(32

)

$

(815

)

$

740

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps on loans with commercial loan customers:

 

 

 

 

 

 

 

 

 

Unrealized (loss) gain recognized in other non-interest income

 

391

 

154

 

(1,341

)

6,704

 

 

 

 

 

 

 

 

 

 

 

Reverse interest rate swaps on loans with commercial loan customers:

 

 

 

 

 

 

 

 

 

Unrealized loss recognized in other non-interest income

 

(391

)

(154

)

1,341

 

(6,704

)

 

 

 

 

 

 

 

 

 

 

Favorable (Unfavorable) change in credit valuation adjustment recognized in other non-interest income

 

59

 

(5

)

70

 

332

 

 

 

 

 

 

 

 

 

 

 

Forward Commitments:

 

 

 

 

 

 

 

 

 

Unrealized loss recognized in other non-interest income

 

(25

)

(822

)

(694

)

(822

)

Realized loss in other non-interest income

 

(75

)

231

 

(417

)

8,377

 

 

 

 

 

 

 

 

 

 

 

Non-hedging derivatives

 

 

 

 

 

 

 

 

 

Interest rate lock commitments

 

 

 

 

 

 

 

 

 

Unrealized gain recognized in other non-interest income

 

$

383

 

$

976

 

$

1,420

 

$

976

 

Realized gain (loss) in other non-interest income

 

711

 

(63

)

1,746

 

(3,423

)
Schedule of assets subject to an enforceable master netting arrangement

Offsetting of Financial Assets and Derivative Assets

 

 

 

 

 

 

 

Net Amounts

 

 

 

 

 

 

 

Gross

 

Gross Amounts

 

of Assets

 

Gross Amounts Not Offset in

 

 

 

 

 

Amounts of

 

Offset in the

 

Presented in the

 

the Statements of Condition

 

 

 

 

 

Recognized

 

Statements of

 

Statements of

 

Financial

 

Cash

 

 

 

(in thousands)

 

Assets

 

Condition

 

Condition

 

Instruments

 

Collateral Received

 

Net Amount

 

As of September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swap Agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional counterparties

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Commercial counterparties

 

8,910

 

(3

)

8,907

 

—

 

—

 

8,907

 

Total

 

$

8,910

 

$

(3

)

$

8,907

 

$

—

 

$

—

 

$

8,907

 

 

 

Offsetting of Financial Assets and Derivative Assets

 

 

 

 

 

 

 

Net Amounts

 

 

 

 

 

 

 

 

 

Gross

 

Gross Amounts

 

of Assets

 

Gross Amounts Not Offset in

 

 

 

 

 

Amounts of

 

Offset in the

 

Presented in the

 

the Statements of Condition

 

 

 

 

 

Recognized

 

Statements of

 

Statements of

 

Financial

 

Cash

 

 

 

(in thousands)

 

Assets

 

Condition

 

Condition

 

Instruments

 

Collateral Received

 

Net Amount

 

As of December 31, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swap Agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional counterparties

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

$

—

 

Commercial counterparties

 

7,799

 

—

 

7,799

 

—

 

—

 

7,799

 

Total

 

$

7,799

 

$

—

 

$

7,799

 

$

—

 

$

—

 

$

7,799

 
Schedule of liabilities subject to an enforceable master netting arrangement

Offsetting of Financial Liabilities and Derivative Liabilities

 

 

 

 

 

 

 

Net Amounts

 

 

 

 

 

 

 

 

 

Gross

 

Gross Amounts

 

of Liabilities

 

Gross Amounts Not Offset in

 

 

 

 

 

Amounts of

 

Offset in the

 

Presented in the

 

the Statements of Condition

 

 

 

 

 

Recognized

 

Statements of

 

Statements of

 

Financial

 

Cash

 

 

 

(in thousands)

 

Liabilities

 

Condition

 

Condition

 

Instruments

 

Collateral Pledged

 

Net Amount

 

As of September 30, 2014

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swap Agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional counterparties

 

$

(11,346

)

$

433

 

$

(10,913

)

$

9,883

 

$

1,030

 

$

—

 

Commercial counterparties

 

(264

)

—

 

(264

)

—

 

—

 

(264

)

Total

 

$

(11,610

)

$

433

 

$

(11,177

)

$

9,883

 

$

1,030

 

$

(264

)

 

Offsetting of Financial Liabilities and Derivative Liabilities

 

 

 

 

 

 

 

Net Amounts

 

 

 

 

 

 

 

 

 

Gross

 

Gross Amounts

 

of Liabilities

 

Gross Amounts Not Offset in

 

 

 

 

 

Amounts of

 

Offset in the

 

Presented in the

 

the Statements of Condition

 

 

 

 

 

Recognized

 

Statements of

 

Statements of

 

Financial

 

Cash

 

 

 

(in thousands)

 

Liabilities

 

Condition

 

Condition

 

Instruments

 

Collateral Pledged

 

Net Amount

 

As of December 31, 2013

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swap Agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

Institutional counterparties

 

$

(13,157

)

$

1,913

 

$

(11,244

)

$

9,544

 

$

1,700

 

$

—

 

Commercial counterparties

 

(720

)

—

 

(720

)

—

 

—

 

(720

)

Total

 

$

(13,877

)

$

1,913

 

$

(11,964

)

$

9,544

 

$

1,700

 

$

(720

)