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Derivative Instruments and Hedge Activities | 12 Months Ended
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Dec. 31, 2017
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedge Activities | Note 22—Derivative Instruments and Hedge Activities The Company recognizes derivative financial instruments at fair value regardless of the purpose or intent for holding the instrument. The Company records derivative assets and derivative liabilities on the Consolidated Statements of Financial Condition within accrued interest receivable and other assets and accrued interest payable and other liabilities, respectively. The following tables present the fair value of the Company’s derivative financial instruments and classification on the Consolidated Statements of Financial Condition as of December 31, 2017 and 2016:
|  | 2017 |  |  | 2016 |
|  |  |  |  |  | Fair Value |  |  |  |  |  |  | Fair Value |
|  | Notional Amount |  |  | Other Assets |  |  | Other Liabilities |  |  | Notional Amount |  |  | Other Assets |  |  | Other Liabilities |
Derivatives designated as hedging instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps designated as cash flow hedges |  | $ | 250,000 |  |  | $ | 5,030 |  |  | $ | 38 |  |  | $ | 100,000 |  |  | $ | 3,719 |  |  | $ | — |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other interest rate swaps |  |  | 94,726 |  |  |  | 951 |  |  |  | 956 |  |  |  | 51,213 |  |  |  | 598 |  |  |  | 559 |
Total derivatives |  | $ | 344,726 |  |  | $ | 5,981 |  |  | $ | 994 |  |  | $ | 151,213 |  |  | $ | 4,317 |  |  | $ | 559 |
Interest rate swaps designated as cash flow hedges—Cash flow hedges of interest payments associated with certain FHLB advances had notional amounts totaling $250.0 million and $100.0 million as of December 31, 2017, and 2016, respectively. The aggregate fair value of the swaps is recorded in other assets or other liabilities with changes in fair value recorded in other Note 22—Derivative Instruments and Hedge Activities (continued) comprehensive income (loss), net of taxes, to the extent effective. The amount included in accumulated other comprehensive income (loss) would be reclassified to current earnings when the hedged FHLB advances affect earnings. The Company assesses the effectiveness of each hedging relationship by comparing the changes in fair value of the derivative hedging instrument with the changes in fair value of the designated hedged transactions. The Company expects the hedges to remain highly effective during the remaining terms of the swaps and did not recognize any hedge ineffectiveness in current earnings during the years ended December 31, 2017 and 2016. The following table reflects the cash flow hedges as of December 31, 2017:
Notional amounts |  | $ | 250,000 |
Derivative assets fair value |  |  | 5,030 |
Derivative liabilities fair value |  |  | 38 |
Weighted average pay rates |  |  | 1.67 | %
Weighted average receive rates |  |  | 1.63 | %
Weighted average maturity |  | 4.2 years |
Interest expense recorded on these swap transactions totaled $579,000 and $40,000 during the years ended December 31, 2017 and 2016, respectively, and is reported as a component of interest expense on FHLB advances. At December 31, 2017, the Company estimates $512,000 of the unrealized gain to be reclassified as an increase to interest expense during the next twelve months. The following table reflects the net gains (losses) recorded in accumulated other comprehensive income (loss) and the Consolidated Statements of Operations relating to the cash flow derivative instruments for the year ended December 31, 2017:
|  | Amount of Gain Recognized in OCI (Effective Portion) |  |  | Amount of Loss Reclassified from OCI to Income as an Increase to Interest Expense |  |  | Amount of Gain (Loss) Recognized in Other Non-Interest Income (Ineffective Portion) |
Interest rate swaps |  | $ | 688 |  |  | $ | (579 | ) |  | $ | — |
Other interest rate swaps—The total combined notional amount was $94.7 million with maturities ranging from January 2020 to November 2027. The fair values of the interest rate swap agreements are reflected in other assets and other liabilities with corresponding gains or losses reflected in non-interest income. During the years ended December 31, 2017 and 2016, transaction fees related to these derivative instruments were $393,000 and $679,000, respectively. There was no transaction fees related to these derivative instruments for the year ended December 31, 2015. The following table reflects other interest rate swaps as of December 31, 2017:
Notional amounts |  | $ | 94,726 |
Derivative assets fair value |  |  | 951 |
Derivative liabilities fair value |  |  | 956 |
Weighted average pay rates |  |  | 4.38 | %
Weighted average receive rates |  |  | 3.73 | %
Weighted average maturity |  | 6.3 years |
Credit risk—Derivative instruments are inherently subject to market risk and credit risk. Market risk is associated with changes in interest rates and credit risk relates to the Company’s risk of loss when the counterparty to a derivative contract fails to perform according to the terms of the agreement. Market and credit risks are managed and monitored as part of the Company’s overall asset-liability management process. The credit risk related to derivatives entered into with certain qualified borrowers is managed through the Company’s loan underwriting process. The Company’s loan underwriting process also approves the Bank’s swap Note 22—Derivative Instruments and Hedge Activities (continued) counterparty used to mirror the borrowers’ swap. The Company has a bilateral agreement with each swap counterparty that provides that fluctuations in derivative values are to be fully collateralized with either cash or securities. The credit valuation adjustment (“CVA”) is a fair value adjustment to the derivative to account for this risk. During the years ended December 31, 2017 and 2016, the CVA resulted in a decrease to non-interest income of $44,000 and increase $39,000, respectively. There was no derivative activity for the year ended December 31, 2015. The Company has agreements with its derivative counterparties that contain a cross-default provision under which if the Company defaults on any of its indebtedness, including default where repayment of the indebtedness has not been accelerated by the lender, then the Company could also be declared in default on its derivative obligations. The Company also has agreements with certain derivative counterparties that contain a provision where if the Company fails to maintain its status as a well or adequately capitalized institution, then the counterparty could terminate the derivative positions and the Company would be required to settle its obligations resulted in a net asset position. The Company records interest rate derivatives subject to master netting agreements at their gross value and does not offset derivative asset and liabilities on the Consolidated Statements of Financial Condition. The table below summarizes the Company’s interest rate derivatives and offsetting positions as of December 31, 2017:
|  | Derivative Assets Fair Value |  |  | Derivative Liabilities Fair Value |
Gross amounts recognized |  | $ | 5,981 |  |  | $ | 994 |
Less: Amounts offset in the Consolidated Statements of Financial Condition |  |  | — |  |  |  | — |
Net amount presented in the Consolidated Statements of Financial Condition |  | $ | 5,981 |  |  | $ | 994 |
Gross amounts not offset in the Consolidated Statements of Financial Condition |  |  |  |  |  |  |  |
Offsetting derivative positions |  |  | (232 | ) |  |  | (232 | )
Collateral posted |  |  | (5,371 | ) |  |  | (745 | )
Net credit exposure |  | $ | 378 |  |  | $ | 17 |

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- References No definition available. + Details
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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://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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