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Derivative Instruments and Hedge Activities (Tables)
12 Months Ended
Dec. 31, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Summary of Derivative Financial Instruments and Classification on Consolidated Statements of Financial Condition The following tables present the fair value of the Company’s derivative financial instruments and classification on the Consolidated Statements of Financial Condition as of December 31, 2020 and 2019:

 

 

 

2020

 

 

2019

 

 

 

 

 

 

 

Fair Value

 

 

 

 

 

 

Fair Value

 

 

 

Notional

Amount

 

 

Other

Assets

 

 

Other

Liabilities

 

 

Notional

Amount

 

 

Other

Assets

 

 

Other

Liabilities

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other interest rate derivatives

 

$

383,410

 

 

$

17,149

 

 

$

(18,116

)

 

$

332,056

 

 

$

7,960

 

 

$

8,507

 

Other credit derivatives

 

 

8,437

 

 

 

 

 

 

(17

)

 

 

9,302

 

 

 

 

 

 

12

 

Total derivatives

 

$

391,847

 

 

$

17,149

 

 

$

(18,133

)

 

$

341,358

 

 

$

7,960

 

 

$

8,519

 

Summary of Net Gains (Losses) Recorded in Accumulated Other Comprehensive Income (Loss) and Consolidated Statements of Operations Relating to Cash Flow Derivative Instruments

The following table reflects the net gains (losses) recorded in accumulated other comprehensive income (loss) and the Consolidated Statements of Operations relating to the cash flow derivative instruments for the years ended December 31, 2020 and 2019

 

 

 

2020

 

 

2019

 

 

 

Amount of

Loss

Recognized in

OCI

 

 

 

 

Amount of

Loss

Reclassified

from AOCI to

Income as an

Increase to

Interest

Expense

 

 

Amount of

Gain (Loss)

Recognized in

Other

Non-Interest

Income

 

 

Amount of

Gain

Recognized in

OCI

 

 

Amount of

Gain

Reclassified

from AOCI to

Income as a

Decrease to

Interest

Expense

 

 

Amount of

Gain (Loss)

Recognized in

Other

Non-Interest

Income

 

Interest rate swaps

 

$

 

 

 

 

$

(85

)

 

$

 

 

$

(5,483

)

 

$

1,626

 

 

$

 

Summary of Other Interest Rate Derivatives

 

The following table reflects other interest rate derivatives as of December 31, 2020:

 

Notional amounts

 

$

383,410

 

Derivative assets fair value

 

 

17,149

 

Derivative liabilities fair value

 

 

18,116

 

Weighted average pay rates

 

 

4.46

%

Weighted average receive rates

 

 

2.30

%

Weighted average maturity

 

5.9 years

 

Summary of Amounts Included in Non-Interest Income in Consolidated Statements of Operations Relating to Derivative Instruments not Designated in Hedging Relationship

The following table reflects amounts included in non-interest income in the Consolidated Statements of Operations relating to derivative instruments that are not designated in a hedging relationship for the years ended December 31, 2020, 2019, and 2018:

 

 

 

2020

 

 

2019

 

 

2018

 

Other interest rate derivatives

 

$

(420

)

 

$

(351

)

 

$

(192

)

Other credit derivatives

 

 

(5

)

 

 

67

 

 

 

54

 

Total

 

$

(425

)

 

$

(284

)

 

$

(138

)

Summary of Company's Interest Rate Derivative and Offsetting Positions

The Company records interest rate derivatives subject to master netting agreements at their gross value and does not offset derivative asset and liabilities on the Consolidated Statements of Financial Condition. The table below summarizes the Company’s interest rate derivatives and offsetting positions as of December 31, 2020 and 2019

 

 

 

2020

 

 

2019

 

 

 

Derivative

Assets

Fair Value

 

 

Derivative

Liabilities

Fair Value

 

 

Derivative

Assets

Fair Value

 

 

Derivative

Liabilities

Fair Value

 

Gross amounts recognized

 

$

17,149

 

 

$

18,133

 

 

$

7,960

 

 

$

8,519

 

Less: Amounts offset in the Consolidated Statements of Financial

   Condition

 

 

 

 

 

 

 

 

 

 

 

 

Net amount presented in the Consolidated Statements of Financial

   Condition

 

$

17,149

 

 

$

18,133

 

 

$

7,960

 

 

$

8,519

 

Gross amounts not offset in the Consolidated Statements of

   Financial Condition

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Offsetting derivative positions

 

 

 

 

 

 

 

 

(1

)

 

 

(1

)

Collateral posted

 

 

(17,149

)

 

 

(18,133

)

 

 

(7,959

)

 

 

(8,518

)

Net credit exposure

 

$

 

 

$

 

 

$

 

 

$