DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Information About Derivative Assets and Liabilities


	December 31, 2020
			Weighted
	Notional		Average		Fair Value		Location Fair
	Amount		Maturity		Asset (Liability)		Value Asset
	(in thousands)		(in years)		(in thousands)		(Liability)
Cash flow hedges:
Interest rate swap on wholesale fundings	$	75,000		4.0	$	(2,664)	Other liabilities
Total cash flow hedges		75,000				(2,664)

Fair value hedges:
Interest rate swap on securities		37,190		8.6		2,789	Other assets
Total fair value hedges		37,190				2,789

Economic hedges:
Forward sale commitments		50,629		0.2		(95)	Other liabilities
Customer Loan Swaps-MNA Counterparty		235,947		6.8		(15,938)	Other liabilities
Customer Loan Swaps-RPA Counterparty		119,285		7.9		(9,957)	Other liabilities
Customer Loan Swaps-Customer		355,232		7.1		25,895	Other assets
Total economic hedges		761,093				(95)

Non-hedging derivatives:
Interest rate lock commitments		3,320		0.1		22	Other assets
Total non-hedging derivatives		3,320				22

Total	$	876,603			$	52


	December 31, 2019
			Weighted
	Notional		Average		Fair Value		Location Fair
	Amount		Maturity		Asset (Liability)		Value Asset
	(in thousands)		(in years)		(in thousands)		(Liability)
Cash flow hedges:
Interest rate swap on wholesale fundings	$	100,000		4.6	$	(1,311)	Other liabilities
Total cash flow hedges		100,000				(1,311)

Fair value hedges:
Interest rate swap on securities		37,190		9.6		593	Other liabilities
Total fair value hedges		37,190				593

Economic hedges:
Forward sale commitments		11,228		0.1		(84)	Other liabilities
Customer Loan Swaps-MNA Counterparty		135,598		7.5		(4,669)	(1)
Customer Loan Swaps-RPA Counterparty		69,505		8.8		(3,377)	(1)
Customer Loan Swaps-Customer		205,103		8.1		8,046	(1)
Total economic hedges		421,434				(84)

Non-hedging derivatives:
Interest rate lock commitments		21,748		0.1		59	Other assets
Total non-hedging derivatives		21,748				59

Total	$	580,372			$	(743)

(1)	Customer loan derivatives are subject to MNA or RPA arrangements with financial institution counterparties, thus assets and liabilities with the counterparty are netted for financial statement presentation.

Schedule of Amounts Recorded On The Balance Sheet


				Cumulative Amount of Fair
	Location of Hedged Item on	Carrying Amount of Hedged		Value Hedging Adjustment in
	Balance Sheet	Assets (Liabilities)		Carrying Amount
December 31, 2020
Interest rate swap on securities	Securities Available for Sale	$	40,209	$	3,019

December 31, 2019
Interest rate swap on securities	Securities Available for Sale	$	39,026	$	523

Schedule of Derivative Instruments Gain (Loss)


	Year Ended December 31, 2020
	Amount of			Amount of
	Gain (Loss)			Gain (Loss)
	Recognized in			Reclassified		Location of	Amount of
	Other		Location of Gain (Loss)	from Other		Gain (Loss)	Gain (Loss)
	Comprehensive		Reclassified from Other	Comprehensive		Recognized in	Recognized
(in thousands)	Income		Comprehensive Income	Income		Income	in Income
Cash flow hedges:
Interest rate swap on wholesale funding	$	(2,566)	Non-interest expense	$	(3,935)	Interest expense	$	(829)
Total cash flow hedges		(2,566)			(3,935)			(829)

Fair value hedges:
Interest rate swap on securities		5,458	Interest income		—	Interest income		(281)
Total fair value hedges		5,458			—			(281)

Economic hedges:
Forward commitments		—	Other income		—	Other income		(11)
Total economic hedges		—			—			(11)

Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Other income		(37)
Total non-hedging derivatives		—			—			(37)

Total	$	2,892		$	(3,935)		$	(1,158)

(1)	As of December 31, 2020 the Company does not expect any gains or losses from accumulated other comprehensive income into earnings within the next 12 months.


	Years Ended December 31, 2019
	Amount of			Amount of
	Gain (Loss)			Gain (Loss)			Amount of
	Recognized in			Reclassified		Location of	Gain (Loss)
	Other		Location of Gain (Loss)	from Other		Gain (Loss)	Recognized
	Comprehensive		Reclassified from Other	Comprehensive		Recognized in	Recognized
(in thousands)	Income		Comprehensive Income	Income		Income	in Income
Cash flow hedges:
Interest rate swap on wholesale funding	$	—	Interest expense	$	—	Interest expense	$	(2)
Interest rate cap agreements		2,291	Non-interest expense		3,156	Interest expense		(603)
Total cash flow hedges		2,291			3,156			(605)

Fair value hedges:
Interest rate swap on securities		(523)	Interest income		—	Interest income		7
Total economic hedges		(523)			—			7

Economic hedges:
Forward commitments		—	Other income		—	Other income		(84)
Total economic hedges		—			—			(84)

Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Other Income		52
Total non-hedging derivatives		—			—			52

Total	$	1,768		$	3,156		$	(630)

Schedule of Offsetting Liabilities


	Gross Amounts Offset in the Consolidated Balance Sheet
	Derivative				Cash Collateral
(in thousands)	Liabilities		Derivative Assets		Pledged		Net Amount
As of December 31, 2020
Customer Loan Derivatives:
MNA counterparty	$	(15,938)	$	15,938	$	23,450	$	—
RPA counterparty		(9,957)		9,957		—		—
Total	$	(25,895)	$	25,895	$	23,450	$	—

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details