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COMMITMENTS, CONTINGENCIES AND DERIVATIVES (Tables)
 9 Months Ended
Sep. 30, 2017
Commitments and Contingencies Disclosure [Abstract]  
Summary of Contractual and Notional Amounts of Financial Instruments
The following is a summary of the contractual and notional amounts of the Company’s financial instruments:
 
September 30,
2017
 
December 31, 
 2016
Lending-Related Instruments:
 

 
 

Loan origination commitments and unadvanced lines of credit:
 

 
 

Home equity
$
461,731

 
$
454,225

Commercial and commercial real estate
75,972

 
83,103

Residential
39,128

 
17,795

Letters of credit
3,054

 
2,580

Other commitments
394

 
432

Derivative Financial Instruments:
 
 
 

Customer loan swaps
$
592,090

 
$
532,526

FHLBB advance interest rate swaps
50,000

 
50,000

Junior subordinated debt interest rate swaps
43,000

 
43,000

Interest rate lock commitments
26,182

 
15,249

Forward delivery commitments
13,023

 
15,125
Summary of Derivative Financial Instruments
The following table presents the total positions, notional and fair value of the Company's customer loans swaps with its commercial customers and the corresponding interest rate swap agreements with counterparty for the periods indicated:
 
 
 
 
September 30, 2017
 
December 31, 2016
 
 
Balance Sheet Location
 
Number of Positions
 
Notional
 
Fair Value
 
Number of Positions
 
Notional
 
Fair Value
Receive fixed, pay variable
 
Other assets / (accrued interest and other liabilities)
 
29

 
$
145,292

 
$
(3,482
)
 
50

 
$
266,263

 
$
(1,945
)
Receive fixed, pay variable
 
Other assets / (accrued interest and other liabilities)
 
30

 
150,753

 
2,618

 
—

 
—

 
—

Pay fixed, receive variable
 
Other assets / (accrued interest and other liabilities)
 
59

 
296,045

 
864

 
50

 
266,263

 
1,945

Total
 
 
 
118

 
$
592,090

 
$
—

 
100

 
$
532,526

 
$
—

The details of the FHLBB advance interest rate swaps for the periods indicated were as follows:
 
 
 
 
 
 
 
 
 
 
September 30,
2017
 
December 31, 
 2016
Notional
Amount
 
Trade
Date
 
Maturity Date
 
Variable Index
Received
 
Fixed Rate
Paid
 
Fair Value(1)
 
Fair Value(1)
$
25,000

 
2/25/2015
 
2/25/2018
 
1-Month
USD LIBOR
 
1.54%
 
$
(24
)
 
$
(152
)
25,000

 
2/25/2015
 
2/25/2019
 
1-Month
USD LIBOR
 
1.74%
 
(74
)
 
(237
)
$
50,000

 
 
 
 
 
 
 
 
 
$
(98
)
 
$
(389
)

(1)
Presented within accrued interest and other liabilities on the consolidated statements of condition.

The details of the junior subordinated debt interest rate swaps for the periods indicated were as follows: 

 

 

 
 
 
 
 
September 30,
2017
 
December 31, 
 2016
Notional
Amount
 
Trade
Date
 
Maturity Date
 
Variable Index
Received
 
Fixed Rate
Paid
 
Fair Value(1)
 
Fair Value(1)
$
10,000

 
3/18/2009
 
6/30/2021
 
3-Month USD LIBOR
 
5.09%
 
$
(670
)
 
$
(806
)
10,000

 
7/8/2009
 
6/30/2029
 
3-Month USD LIBOR
 
5.84%
 
(2,268
)
 
(2,321
)
10,000

 
5/6/2010
 
6/30/2030
 
3-Month USD LIBOR
 
5.71%
 
(2,253
)
 
(2,290
)
5,000

 
3/14/2011
 
3/30/2031
 
3-Month USD LIBOR
 
5.75%
 
(1,198
)
 
(1,211
)
8,000

 
5/4/2011
 
7/7/2031
 
3-Month USD LIBOR
 
5.56%
 
(1,734
)
 
(1,744
)
$
43,000

 
 
 
 
 
 
 
 
 
$
(8,123
)
 
$
(8,372
)

(1)
Presented within accrued interest and other liabilities on the consolidated statements of condition.
Schedule of Interest Rate Derivatives
Our pipeline of mortgage loans with fixed-rate interest rate lock commitments were as follows for the periods indicated:
 
 
 
 
September 30, 2017
 
December 31, 2016
 
 
Balance Sheet Location
 
Notional
 
Fair Value
 
Notional
 
Fair Value
Fixed-rate mortgage interest rate locks
 
Other Assets
 
$
23,052

 
$
495

 
$
12,310

 
$
202

Fixed-rate mortgage interest rate locks
 
Accrued interest and other liabilities
 
3,130

 
(25
)
 
2,939

 
(15
)
Total
 
 
 
$
26,182


$
470

 
$
15,249

 
$
187
Forward Delivery Commitments
The Company's forward delivery commitments on loans held for sale was as follows for the periods indicated:
 
 
 
 
September 30, 2017
 
December 31, 2016
 
 
Balance Sheet Location
 
Notional
 
Fair Value
 
Notional
 
Fair Value
Forward delivery commitments ("best effort")
 
Other Assets
 
$
11,348

 
$
332

 
$
14,250

 
$
587

Forward delivery commitments ("best effort")
 
Accrued interest and other liabilities
 
1,675

 
(19
)
 
875

 
(309
)
Total
 
 
 
$
13,023


$
313

 
$
15,125

 
$
278
Schedule of Derivative Instruments, Effect on Other Comprehensive Income (Loss)
The table below presents the effect of the Company’s derivative financial instruments included in OCI and current earnings for the periods indicated:
 
 
For The
Three Months Ended
September 30,
 
For The
Nine Months Ended
September 30,
 
 
2017
 
2016
 
2017
 
2016
Derivatives designated as cash flow hedges:
 
 
 
 
 
 
 
 
Effective portion of unrealized gains (losses) recognized within AOCI during the period, net of tax
 
$
(80
)
 
$
199

 
$
(452
)
 
$
(3,453
)
Net reclassification adjustment for effective portion of cash flow hedges included in interest expense, gross(1)
 
$
366

 
$
534

 
$
1,234

 
$
1,521

(1) Reclassified into the consolidated statements of income within interest expense.