v3.21.1
Derivatives, Hedging Activities and Balance Sheet Offsetting (Tables)
 3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table presents the total notional amounts and gross fair values of the Company’s derivatives as of the dates indicated. The derivative asset and liability balances are presented on a gross basis, prior to the application of master netting agreements, as included in other assets and other liabilities, respectively, on the consolidated balance sheets.

The fair values of the Company's derivative instrument assets and liabilities are summarized as follows:
As of March 31, 2021As of December 31, 2020
Notional
Amount
Fair Value
Notional
Amount
Fair Value
(in thousands)AssetsLiabilitiesAssetsLiabilities
Designated as hedging instruments
Fair value hedges
Interest rate swaps
$25,373 $547 $1,329 $25,559 $34 $2,452 
Total$25,373 $547 $1,329 $25,559 $34 $2,452 
Not designated as hedging instruments:
Interest rate swaps
$346,944 $6,346 $6,361 $347,380 $10,758 $10,807 
RPAs - protection sold4,412 1 — 4,471 4 — 
RPAs - protection purchased
9,778 — 4 9,825 — 8 
Total$361,134 $6,347 $6,365 $361,676 $10,762 $10,815 
Schedule of Derivatives Instrument Impacts on Statements
The table below presents the effect of cash flow hedge accounting on AOCI for three months ended March 31, 2021 and 2020.
Amount of Gain (Loss) Recognized in AOCI on DerivativeLocation of Gain (Loss) Reclassified from AOCI into Income Amount of Gain (Loss) Reclassified from AOCI into Income
Three Months Ended March 31,Three Months Ended March 31,
(in thousands)2021202020212020
Interest rate swaps$— $(888)Interest Expense$— $5 
The table below presents the effect of the Company’s derivative financial instruments designated as hedging instruments on the consolidated statements of income for the periods indicated:
Location and Amount of Gain or Loss Recognized in Income on Fair Value and Cash Flow Hedging Relationships
For the Three Months Ended March 31,
20212020
(in thousands)Interest IncomeOther IncomeInterest IncomeOther Income
Total amounts of income and expense line items presented in the consolidated statements of income in which the effects of fair value or cash flow hedges are recorded
$(108)$— $(47)$— 
The effects of fair value and cash flow hedging:
Gain (loss) on fair value hedging relationships in subtopic 815-20:
Interest contracts:
Hedged items(1,633)— 1,750 — 
Derivative designated as hedging instruments
1,123 — (1,761)— 
Income statement effect of cash flow hedging relationships in subtopic 815-20:
Interest contracts:
Amount reclassified from AOCI into income
— — 5 — 
Hedged Items In Fair Value Hedging Relationship
As of March 31, 2021, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:
Line Item in the Balance
Sheet in Which the
Hedged Item is Included
Carrying Amount of the
Hedged Assets
Cumulative Amount of Fair Value
Hedging Adjustment Included in the Carrying Amount of the Hedged Asset
(in thousands)
Loans$26,173 $786 
Derivatives Not Designated as Hedging Instruments
The following table presents the net gains (losses) recognized on the consolidated statements of income related to the derivatives not designated as hedging instruments for the periods indicated:

Location in the Consolidated Statements of IncomeFor the Three Months Ended March 31,
(in thousands)20212020
Interest rate swapsOther income$(34)$141 
RPAsOther income— 103 
                Total$(34)$244 
Offsetting Derivative Assets And Liabilities
The table below presents gross derivatives and the respective collateral received or pledged in the form of other financial instruments as of March 31, 2021 and December 31, 2020, which are generally marketable securities and/or cash. The collateral amounts in the table below are limited to the outstanding balances of the related asset or liability (after netting is applied); thus instances of over-collateralization are not shown. Further, the net amounts of derivative assets or liabilities can be reconciled to the tabular disclosure of fair value. The tabular disclosure of fair value provides the location that derivative assets and liabilities are presented on the consolidated balance sheets.
Gross Amounts Not Offset in the Balance Sheet
(in thousands)Gross Amounts of Recognized Assets (Liabilities)Gross Amounts Offset in the Balance SheetNet Amounts of Assets (Liabilities) presented in the Balance SheetFinancial InstrumentsCash Collateral Received (Paid)Net Assets (Liabilities)
As of March 31, 2021
Asset Derivatives$6,894 $— $6,894 $— $— $6,894 
Liability Derivatives(7,694)— (7,694)— (2,140)(5,554)
As of December 31, 2020
Asset Derivatives$10,796 $— $10,796 $— $— $10,796 
Liability Derivatives(13,267)— (13,267)— (13,267)—