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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Information About Derivative Assets and Liabilities

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	March 31, 2021
​	​	​		​	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		​	3.8	​	$	(1,379)	​	Other liabilities
Interest rate swap on variable rate loans	​	​	50,000	​	​	5.0	​	​	(278)	​	Other liabilities
Total cash flow hedges	​		125,000		​	4.3	​	​	(1,657)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Fair value hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on securities	​		37,190		​	8.3	​		262	​	Other assets
Total fair value hedges	​		37,190		​	8.3	​	​	262	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Economic hedges:	​	​	​	​	​	​	​	​	​	​	​
Forward sale commitments	​		31,382		​	0.2	​		(85)	​	Other liabilities
Customer Loan Swaps-MNA Counterparty	​	​	260,792	​	​	6.8	​	​	(9,944)	​	Other liabilities
Customer Loan Swaps-RPA Counterparty	​	​	119,285	​	​	7.6	​	​	(5,482)	​	Other liabilities
Customer Loan Swaps-Customer	​	​	380,077	​	​	7.1	​	​	15,426	​	Other assets
Total economic hedges	​		791,536		​	​	​	​	(85)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​	​	​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​		6,735		​	0.2	​		46	​	Other assets
Total non-hedging derivatives	​		6,735		​	0.2	​	​	46	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Total	​	$	960,461	​	​	​	​	$	(1,434)	​	​

​

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	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	​	​

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
March 31, 2021				​			​
Interest rate swap on securities		Securities Available for Sale	​	$	39,070	​	$	1,880
​	​	​	​	​	​	​	​	​
December 31, 2020			​			​
Interest rate swap on securities		Securities Available for Sale	​	$	40,209	​	$	3,019

Schedule of Derivative Instruments Gain (Loss)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2021

​

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

​

$

987

​

Interest expense

​

$

(188)

Interest expense

​

$

(188)

Interest rate swap on variable rate loans

​

​

(213)

​

Interest income

​

​

8

​

Interest income

​

​

8

Total cash flow hedges

​

774

​

​

(180)

​

(180)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedges:

​

​

​

Interest rate swap on securities

​

(2,813)

Interest income

​

(137)

Interest income

​

(137)

Total fair value hedges

​

(2,813)

​

​

(137)

​

(137)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

Forward commitments

​

—

Other income

​

10

Other income

​

10

Total economic hedges

​

—

​

​

10

​

10

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

Interest rate lock commitments

​

—

Other income

​

24

Other income

​

24

Total non-hedging derivatives

​

—

​

​

24

​

24

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

(2,039)

​

​

​

$

(283)

​

$

(283)

​

The Company expects approximately $390 thousand of losses (pre-tax) related to the Company’s cash flow hedges to be reclassified to earnings from AOCI over the next 12 months. This reclassification is due to anticipated payments that will be made and/or received on the swaps based upon the forward curve as of March 31, 2021.

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 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

​

$

(3,945)

Interest expense

​

$

(1)

Interest expense

​

$

(1)

Total cash flow hedges

​

​

(3,945)

​

​

​

(1)

​

​

(1)

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedges:

​

​

​

​

Interest rate swap on securities

​

2,213

Interest income

​

(18)

Interest income

​

(18)

Total economic hedges

​

​

2,213

​

​

​

(18)

​

(18)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

​

Forward commitments

​

—

Other income

​

(11)

Other income

​

(11)

Total economic hedges

​

​

—

​

​

​

(11)

​

(11)

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

Interest rate lock commitments

​

—

Other income

​

(34)

Other Income

​

(34)

Total non-hedging derivatives

​

​

—

​

​

​

(34)

​

(34)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

(1,732)

​

$

(64)

​

$

(64)

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 March 31, 2021

​

​

​

​

​

​

​

​

Customer Loan Derivatives:

​

​

​

​

MNA counterparty

​

$

(9,944)

​

$

9,944

​

$

12,700

​

$

12,700

RPA counterparty

​

(5,482)

​

5,482

​

—

​

—

Total

​

$

(15,426)

​

$

15,426

​

$

12,700

​

$

12,700

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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

​

$

23,450

RPA counterparty

​

(9,957)

​

9,957

​

—

​

—

Total

​

$

(25,895)

​

$

25,895

​

$

23,450

​

$

23,450

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