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Derivative Financial Instruments and Hedging Activities - (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments in statement of financial position, fair value

Information on our derivatives follows:

			Asset Derivatives									Liability Derivatives
(in thousands)			September 30, 2020			December 31, 2019						September 30, 2020			December 31, 2019
Fair value hedges:
Interest rate contracts notional amount			$	—		$	—					$	16,218		$	16,956
Interest rate contracts fair value1			$	—		$	—					$	2,529		$	1,178

1 See Note 3, Fair Value of Assets and Liabilities, for valuation methodology.

The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of hedged assets as of September 30, 2020 and December 31, 2019.

			Carrying Amounts of Hedged Assets									Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands)			September 30, 2020			December 31, 2019						September 30, 2020			December 31, 2019
Loans			$	18,535		$	17,900					$	2,318		$	944

Schedule of derivative instruments, gain (loss) in statement of financial performance

The following table presents the net losses recognized in interest income on loans on the consolidated statements of comprehensive income related to our derivatives designated as fair value hedges.

			Three months ended						Nine months ended
(in thousands)			September 30, 2020			September 30, 2019			September 30, 2020			September 30, 2019
Interest and fees on loans 1			$	21,776		$	21,525		$	63,880		$	63,208
Increase (decrease) in fair value of designated interest rate swaps due to LIBOR interest rate movements			$	152		$	(485)		$	(1,351)		$	(1,389)
Payment on interest rate swaps			(108)			(23)			(255)			(49)
(Decrease) increase in value of hedged loans			(155)			424			1,374			1,359
Decrease in value of yield maintenance agreement			(3)			(3)			(9)			(10)
Net losses on fair value hedging relationships recognized in interest income			$	(114)		$	(87)		$	(241)		$	(89)

1 Represents the income line item in the statement of comprehensive income in which the effects of fair value hedges are recorded.

Offsetting assets

Information on financial instruments that are eligible for offset in the consolidated statements of condition follows:

Offsetting of Financial Assets and Derivative Assets

Gross Amounts

Net Amounts of

Gross Amounts Not Offset in

Gross Amounts

Offset in the

Assets Presented

the Statements of Condition

of Recognized

Statements of

in the Statements

Financial

Cash Collateral

(in thousands)

Assets

Condition

of Condition

Instruments

Received

Net Amount

September 30, 2020

Derivatives by Counterparty:

Counterparty A

$

—

$

—

$

—

$

—

$

—

$

—

December 31, 2019

Derivatives by Counterparty:

Counterparty A

$

—

$

—

$

—

$

—

$

—

$

—

Offsetting liabilities

Offsetting of Financial Liabilities and Derivative Liabilities
						Gross Amounts			Net Amounts of			Gross Amounts Not Offset in
			Gross Amounts			Offset in the			Liabilities Presented			the Statements of Condition
			of Recognized			Statements of			in the Statements			Financial			Cash Collateral
(in thousands)			Liabilities1			Condition			of Condition1			Instruments			Pledged			Net Amount
September 30, 2020
Derivatives by Counterparty:
Counterparty A			$	2,529		$	—		$	2,529		$	—		$	(2,529)		$	—
December 31, 2019
Derivatives by Counterparty:
Counterparty A			$	1,178		$	—		$	1,178		$	—		$	(1,178)		$	—

1 Amounts exclude accrued interest on swaps.

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