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Derivatives and hedging activities (Tables)

6 Months Ended

Jun. 30, 2021

Derivatives and hedging activities

Schedule of fair value of derivative financial instruments and balance sheet classification



				Asset Derivatives					Asset Derivatives					Liability Derivatives					Liability Derivatives
				As of June 30, 2021 (1)					As of December 31, 2020					As of June 30, 2021 (1)					As of December 31, 2020
		Notional		Balance Sheet					Balance Sheet					Balance Sheet					Balance Sheet
		Amount		Location		Fair Value			Location		Fair Value			Location		Fair Value			Location		Fair Value
Derivatives designated as hedging instruments
Interest Rate Floor	$	25,000		Other Assets		$	1,303		Other Assets		$	1,678
Cash Flow Swap	$	50,000												Other Liabilities		$			Other Liabilities		$	485
Total derivatives designated as hedging instruments						$	1,303				$	1,678				$					$	485

Derivatives not designated as hedging instruments
Interest Rate Swaps (2)	$	401,874		Other Assets		$	10,023		Other Assets		$	13,693		Other Liabilities		$	9,777		Other Liabilities		$	13,614

Total derivatives not designated as hedging instruments						$	10,023				$	13,693				$	9,777				$	13,614

(1)	Amounts include accrued interest.

(2)	Notional amount of interest rate swaps at December 31, 2020 was $375,341.

Schedule of effect of fair value and cash flow hedge accounting on accumulated other comprehensive income

Location of

Amount of

Amount of

Amount of

Amount of

Amount of

Gain or (Loss)

Amount of

Gain (Loss)

Gain (Loss)

Gain (Loss)

Gain (Loss)

Loss

Recognized from

Gain (Loss)

Reclassified

Reclassified

Recognized in

Recognized in

Recognized in

Accumulated

Reclassified

from Accumulated

from Accumulated

Derivatives in

OCI on

OCI Included

OCI Excluded

Other Comprehensive

from Accumulated

OCI into Income

OCI into Income

Hedging

Derivative

Component

Component

Income into

OCI into Income

Included Component

Excluded Component

Relationships

June 30, 2021

Income

June 30, 2021

Derivatives in Cash Flow Hedging Relationships

Cash Flow Swap

$

401

$

401

Interest Expense

$

(23)

$

(23)

—

Cash Flow Swap

Other expense

(25)

(25)

Interest Rate Floor (*)

$

(76)

$

(83)

$

7

Interest Income

$

268

$

300

$

(32)

Total

$

325

$

318

$

7

$

220

$

252

$

(32)

Location of

Amount of

Amount of

Amount of

Amount of

Amount of

Gain or (Loss)

Amount of

Gain

Loss

Gain

Gain

Gain

Recognized from

Loss

Reclassified

Reclassified

Recognized in

Recognized in

Recognized in

Accumulated

Reclassified

from Accumulated

from Accumulated

Derivatives in

OCI on

OCI Included

OCI Excluded

Other Comprehensive

from Accumulated

OCI into Income

OCI into Income

Hedging

Derivative

Component

Component

Income into

OCI into Income

Included Component

Excluded Component

Relationships

June 30, 2020

Income

June 30, 2020

Derivatives in Cash Flow Hedging Relationships

Cash Flow Swap

$

(510)

$

(510)

Interest Expense

$

73

$

73

Interest Rate Floor (*)

$

150

$

151

$

(1)

Interest Income

$

146

$

178

$

(32)

Total

$

(360)

$

(359)

$

(1)

$

219

$

251

$

(32)

*	Amounts disclosed are gross and not net of taxes.

Schedule of effect of derivative financial instruments on Income Statement


			Location and Amount of Gain or (Loss) Recognized in
			Income on Fair Value and Cash Flow Hedging
			Relationships
			For the three months ended June 30,
			2021			2021			2020			2020
			Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in the statements of income and comprehensive income in which the effects of fair value or cash flow hedges are recorded		$	134					$	110			73

The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships
Interest contracts
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income		$	134					$	110			73
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income as a result that a forecasted transaction is no longer probable of occurring
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - included component		$	150					$	126			73
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - excluded component		$	(16)					$	(16)

			Location and Amount of Gain or (Loss) Recognized in
			Income on Fair Value and Cash Flow Hedging
			Relationships
			For the six months ended June 30,
			2021			2021			2020			2020
			Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in the statements of income and comprehensive income in which the effects of fair value or cash flow hedges are recorded		$	268		$	(48)		$	146		$	73

The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships
Interest contracts
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income		$	268		$	(23)		$	146		$	73
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income as a result that a forecasted transaction is no longer probable of occurring					$	(25)
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - included component		$	300		$	(48)		$	178		$	73
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - excluded component		$	(32)					$	(32)		$

Schedule of gain (loss) on derivative instruments not designated as hedging instruments

Amount of Gain

Amount of Loss

Amount of Gain

Amount of Gain

Recognized in

Recognized in

Recognized in

Recognized in

Location of Gain or (Loss)

Income

Income

Income

Income

Recognized in Income on

Three Months Ended

Six Months Ended

Three Months Ended

Six Months Ended

Derivatives Not Designated as Hedging Instruments

Derivative

June 30, 2021

June 30, 2021

June 30, 2020

June 30, 2020

Interest Rate Swaps

Interest rate swap revenue

$

(237)

$

168

$

(10)

$

(141)

Fee Income

Interest rate swap revenue

$

105

$

497

$

259

$

860

Schedule of offsetting derivatives

Offsetting of Derivative Assets

as of June 30, 2021

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Received

Amount

Derivatives

$

11,326

$

$

11,326

$

2,767

$

8,559

Offsetting of Derivative Liabilities

as of June 30, 2021

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Paid

Amount

Derivatives

$

9,777

$

$

9,777

$

2,767

5,729

$

1,281

Offsetting of Derivative Assets

as of December 31, 2020

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Received

Amount

Derivatives

$

15,371

$

$

15,371

$

1,678

$

13,693

Offsetting of Derivative Liabilities

as of December 31, 2020

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Paid

Amount

Derivatives

$

14,099

$

$

14,099

$

1,678

12,421

$