XML 32 R22.htm IDEA: XBRL DOCUMENT
v3.20.2

Derivatives | 9 Months Ended
--- | ---
Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Derivatives: The Company utilizes derivative financial instruments as part of its ongoing efforts to manage its interest rate risk exposure as well as the exposure for its customers. Derivative financial instruments are included in the consolidated balance sheets line item “Other assets” or “Other liabilities” at fair value in accordance with ASC 815, “Derivatives and Hedging.” The Company enters into commitments to originate loans whereby the interest rate on the loan is determined prior to funding (rate-lock commitments). Under such commitments, interest rates for mortgage loans are typically locked in for between 45 to 90 days with the customer. These interest rate lock commitments are recorded at fair value in the Company’s consolidated balance sheets. The Company also enters into best effort or mandatory delivery forward commitments to sell residential mortgage loans to secondary market investors. Gains and losses arising from changes in the valuation of the rate-lock commitments and forward commitments are recognized currently in earnings and are reflected under the line item “Mortgage banking income” on the consolidated statements of income. The Company enters into forward commitments, futures and options contracts that are not designated as hedging instruments as economic hedges to offset the changes in fair value of MSRs. Gains and losses associated with these instruments are included in earnings and are reflected under the line item “Mortgage banking income” on the consolidated statements of income. Additionally, the Company enters into derivative instruments that are not designated as hedging instruments to help its commercial customers manage their exposure to interest rate fluctuations. To mitigate the interest rate risk associated with customer contracts, the Company enters into an offsetting derivative contract. The Company manages its credit risk, or potential risk of default by its commercial customers through credit limit approval and monitoring procedures. The Company also maintains two interest rate swap agreements with notional amounts totaling $30,000 used to hedge interest rate exposure on outstanding subordinated debentures included in long-term debt totaling $30,930. Under these agreements, the Company receives a variable rate of interest equal to 3-month LIBOR and pays a weighted average fixed rate of interest of 2.08%. The interest rate swap contracts, which mature in June of 2024, are designated as cash flow hedges with the objective of reducing the variability in cash flows resulting from changes in interest rates. As of September 30, 2020 and December 31, 2019, the fair value of these contracts resulted in a liability of $2,063 and $515, respectively. In July 2017, the Company entered into three interest rate swap contracts on floating rate liabilities at the Bank level with notional amounts of $30,000, $35,000 and $35,000 for a period of three, four and five years, respectively. These interest rate swaps were designated as cash flow hedges with the objective of reducing the variability of cash flows associated with $100,000 of FHLB borrowings. During the first quarter of 2018, these swaps were canceled, locking in a tax-adjusted gain of $1,564 in other comprehensive income to be accreted over the three, four and five-year terms of the underlying contracts. As of September 30, 2020 and December 31, 2019, there was $545 and $955, respectively, remaining in the other comprehensive income to be accreted. Subsequent to September 30, 2020, the Company elected to not renew the outstanding borrowing associated with the legacy cash flow hedge, and reclassified the remaining unamortized gain, reflected above, from accumulated other comprehensive income to earnings, as discussed in Note 1, "Basis of presentation." Certain financial instruments, including derivatives, may be eligible for offset in the consolidated balance sheets when the “right of offset” exists or when the instruments are subject to an enforceable master netting agreement, which includes the right of the non-defaulting party or non-affected party to offset recognized amounts, including collateral posted with the counterparty, to determine a net receivable or net payable upon early termination of the agreement. Certain of the Company’s derivative instruments are subject to master netting agreements, however the Company has not elected to offset such financial instruments in the consolidated balance sheets. The following table presents the Company's gross derivative positions as recognized in the consolidated balance sheets as well as the net derivative positions, including collateral pledged to the extent the application of such collateral did not reduce the net derivative liability position below zero, had the Company elected to offset those instruments subject to an enforceable master netting agreement:
|  | Offsetting Derivative Assets |  | Offsetting Derivative Liabilities
|  | September 30, 2020 |  | December 31, 2019 |  | September 30, 2020 |  | December 31, 2019
Gross amounts recognized |  | $ | 4,328 |  |  | $ | 331 |  |  | $ | 39,298 |  |  | $ | 14,682 |
Gross amounts offset in the consolidated balance sheets |  | — |  |  | — |  |  | — |  |  | — |
Net amounts presented in the consolidated balance sheets |  | 4,328 |  |  | 331 |  |  | 39,298 |  |  | 14,682 |
Gross amounts not offset in the consolidated balance sheets |  |  |  |  |  |  |  |
Less: financial instruments |  | 974 |  |  | 139 |  |  | 974 |  |  | 139 |
Less: financial collateral pledged |  | — |  |  | — |  |  | 38,324 |  |  | 14,543 |
Net amounts |  | $ | 3,354 |  |  | $ | 192 |  |  | $ | — |  |  | $ | — |
Most derivative contracts with clients are secured by collateral. Additionally, in accordance with the interest rate agreements with derivatives dealers, the Company may be required to post margin to these counterparties. At September 30, 2020 and December 31, 2019, the Company had minimum collateral posting thresholds with certain derivative counterparties and had collateral posted of $76,063 and $33,616, respectively, against its obligations under these agreements. Cash collateral related to derivative contracts is recorded in other assets in the consolidated balance sheets. The following tables provide details on the Company’s derivative financial instruments as of the dates presented:
|  | September 30, 2020 |
|  | Notional Amount |  | Asset |  | Liability |
Not designated as hedging: |  |  |  |  |  |  |
Interest rate contracts |  | $ | 590,166 |  |  | $ | 39,538 |  |  | $ | 39,303 |  |
Forward commitments |  | 1,510,902 |  |  | — |  |  | 4,523 |  |
Interest rate-lock commitments |  | 1,364,222 |  |  | 43,049 |  |  | — |  |
Futures contracts |  | 327,700 |  |  | — |  |  | 66 |  |
Total |  | $ | 3,792,990 |  |  | $ | 82,587 |  |  | $ | 43,892 |  |
|  | December 31, 2019
|  | Notional Amount |  | Asset |  | Liability
Not designated as hedging: |  |  |  |  |  |
Interest rate contracts |  | $ | 440,556 |  |  | $ | 14,929 |  |  | $ | 14,929 |
Forward commitments |  | 684,437 |  |  | — |  |  | 866 |
Interest rate-lock commitments |  | 453,198 |  |  | 7,052 |  |  | — |
Futures contracts |  | 389,000 |  |  | — |  |  | 1,623 |
Total |  | $ | 1,967,191 |  |  | $ | 21,981 |  |  | $ | 17,418 |
|  | September 30, 2020
|  | Notional Amount |  | Asset |  | Liability
Designated as hedging: |  |  |  |  |  |
Interest rate swaps |  | $ | 30,000 |  |  | $ | — |  |  | $ | 2,063 |
|  | December 31, 2019 |
|  | Notional Amount |  | Asset |  | Liability |
Designated as hedging: |  |  |  |  |  |  |
Interest rate swaps |  | $ | 30,000 |  |  | $ | — |  |  | $ | 515 |  |
Gains (losses) included in the consolidated statements of income related to the Company’s derivative financial instruments were as follows:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  |
Not designated as hedging instruments (included in mortgage banking income): |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments |  | $ | 5,994 |  |  | $ | 447 |  |  | $ | 35,997 |  |  | $ | 4,202 |  |  |
Forward commitments |  | (16,548) |  |  | (3,227) |  |  | (56,998) |  |  | (12,895) |  |  |
Futures contracts |  | (587) |  |  | 4,685 |  |  | 10,955 |  |  | 10,663 |  |  |
Option contracts |  | — |  |  | 3 |  |  | — |  |  | 47 |  |  |
Total |  | $ | (11,141) |  |  | $ | 1,908 |  |  | $ | (10,046) |  |  | $ | 2,017 |  |  |
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  |
Designated as hedging: |  |  |  |  |  |  |  |  |  |
Amount of gain reclassified from other comprehensive income and recognized in interest expense on borrowings, net of taxes of $(41), $(46), $(145), and $(121) |  | $ | 115 |  |  | $ | 130 |  |  | $ | 410 |  |  | $ | 343 |  |  |
(Loss) gain included in interest expense on borrowings |  | (137) |  |  | 19 |  |  | (211) |  |  | 113 |  |  |
Total |  | $ | (22) |  |  | $ | 149 |  |  | $ | 199 |  |  | $ | 456 |  |  |
The following discloses the amount included in other comprehensive income, net of tax, for derivative instruments designated as cash flow hedges for the periods presented:
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  |
Designated as hedging: |  |  |  |  |  |  |  |  |  |
Amount of (loss) gain recognized in other comprehensive income, net of tax $40, $(90), $(403), $(407) |  | $ | 112 |  |  | $ | (256) |  |  | $ | (1,145) |  |  | $ | (1,151) |  |  |

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- 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
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration