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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

9 Months Ended

Sep. 30, 2020

DERIVATIVE FINANCIAL INSTRUMENTS

Summary of fair values of Company’s derivative instrument assets and liabilities related to interest rate swap contracts

September 30, 2020

December 31, 2019

Notional

Fair

Notional

Fair

Amount

Value

Amount

Value

Designated as cash flow hedges:

(dollars in thousands)

Fair value recorded in other liabilities

$

17,000

$

(1,572)

$

17,000

$

(676)

Schedule of the effect of interest rate contracts designated as cash flow hedges on the consolidated statements of income

Location of gross gain (loss) reclassified		Amounts of gross gain (loss)
from accumulated other		reclassified from accumulated
comprehensive income to income		other comprehensive income
		Three Months Ended						Nine Months Ended
		September 30,						September 30,
		2020			2019			2020			2019
Designated as cash flow hedges:		(dollars in thousands)
Taxable loan interest income		$	—		$	33		$	64		$	83
Junior subordinated debentures interest expense			(97)			(9)			(202)			(7)
Total		$	(97)		$	24		$	(138)		$	76

Summary of interest rate swap agreements not designated as hedging instruments

		September 30, 2020						December 31, 2019
		Notional			Fair			Notional			Fair
		Amount			Value			Amount			Value
Not designated as hedging instruments:		(dollars in thousands)
Fair value recorded in other assets:
Interest rate swaps with a commercial borrower counterparty		$	140,820		$	21,568		$	114,140		$	8,532
Interest rate swaps with a financial institution counterparty			—			—			24,216			110
Total fair value recorded in other assets		$	140,820		$	21,568		$	138,356		$	8,642
Fair value recorded in other liabilities:
Interest rate swaps with a commercial borrower counterparty		$	—		$	—		$	24,216		$	(110)
Interest rate swaps with a financial institution counterparty			140,820			(21,568)			114,140			(8,532)
Total fair value recorded in other liabilities		$	140,820		$	(21,568)		$	138,356		$	(8,642)

Summary of the effect of interest rate contracts not designated as hedging instruments recognized in other noninterest income

		Three Months Ended						Nine Months Ended
		September 30,						September 30,
		2020			2019			2020			2019
Not designated as hedging instruments:		(dollars in thousands)
Gross gains		$	2,188		$	4,151		$	17,369		$	10,196
Gross losses			(2,188)			(4,151)			(17,369)			(10,159)
Net gains (losses)		$	—		$	—		$	—		$	37

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Tabular disclosure of gain (loss) on derivative and nonderivative instruments designated and qualifying as cash flow hedge recorded in accumulated other comprehensive income (AOCI) and reclassified into earnings.

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-Section 50
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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure of interest rate derivatives, including, but not limited to, the fair value of the derivatives, statement of financial position location, and statement of financial performance location of these instruments.

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Tabular disclosure of derivative instrument not designated or qualifying as hedging instrument.

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