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Derivatives and Hedging Activities | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Cash Flow Hedges The Company is exposed to certain risk relating to its ongoing business operations. The primary risk managed by using derivative instruments is interest ra te risk. Interest rate caps have been entered into to manage interest rate risk associated with forecasted variable rate borrowings. Interest Rate Cap Deriv atives. In March 2020, the Company purchased interest rate caps designated as cash flow hedges with notional amounts totaling $130,500,000 on its variable rate subordinated debentures and were determined to be fully effective during the three months ended March 31, 2021. The interest rate caps require receipt of variable amounts from the counterparty when interest rates rise above the strike price in the contracts. The strike prices in the five year term contracts range from 1.5 percent to 2 percent 3 month LIBOR. At March 31, 2021 and December 31, 2020, the interest rate caps had a fair value of $752,000 and $201,000, respectively, and were reported as other assets on the Company’s statements of financial condition. Changes in fair value were recorded in OCI. Amortization recorded on the interest rate caps totaled $42,000 and $0 for the three months ended March 31, 2021 and 2020, respectively, and was reported as a component of interest expense on subordinated debentures. The effect of cash flow hedge accounting on OCI for the periods ending March 31, 2021 and 2020 was as follows:
|  |  | Three Months ended
(Dollars in thousands) |  |  |  |  | March 31, 2021 |  | March 31, 2020
Amount of loss recognized in OCI |  |  |  |  | 593 |  |  | — |
Amount of loss reclassified from OCI to net income |  |  |  |  | — |  |  | — |
Residential Real Estate Derivatives The Company enters into residential real estate derivatives for commitments (“interest rate locks”) to fund certain residential real estate loans to be sold into the secondary market. At March 31, 2021 and December 31, 2020, loan commitments with interest rate lock commitments totaled $242,409,000 and $229,862,000, respectively. At March 31, 2021 and December 31, 2020, the fair value of the related derivatives on the interest rate lock commitments was $6,097,000 and $8,605,000, respectively, and was included in other assets with corresponding changes recorded in gain on sale of loans. The Company enters into free-standing derivatives to mitigate interest rate risk for most residential real estate loans to be sold. These derivatives include forward commitments to sell to-be-announced (“TBA”) securities which are used to economically hedge the interest rate risk associated with such loans and unfunded commitments. At March 31, 2021 and December 31, 2020, TBA commitments were $206,000,000. At March 31, 2021 the fair value of the related derivatives on the TBA securities was $4,212,000 and was included in other assets with corresponding changes recorded in gain on sale of loans.. At December 31, 2020, the fair value of the related derivatives on the TBA securities was $2,056,000, and was included in other liabilities with corresponding changes recorded in gain on sale of loans. The Company does not enter into a commitment to sell these loans to an investor until the loan is funded and is ready to be delivered to the investor. Due to the forward sales commitments being short-term in nature, the corresponding derivatives are not significant. For all other residential real estate loans to be sold, the Company enters into “best efforts” forward sales commitments for the future delivery of loans to third party investors when interest rate lock commitments are entered into in order to economically hedge the effect of changes in interest rates resulting from its commitments to fund the loans. Forward sales commitments on a “best efforts” basis are not designated in hedge relationships until the loan is funded.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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