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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)
12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of derivative instruments in statement of financial position, fair value
The following tables present the notional and estimated fair value amount of derivative positions outstanding (in thousands):
 
 
December 31, 2019
 
December 31, 2018
 
 
Estimated Fair Value
 
Estimated Fair Value
 
 
Notional Amount (1)
 
Asset Derivative
 
Liability Derivative
 
Notional
Amount
(1)
 
Asset Derivative
 
Liability Derivative
Derivatives designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Swaps-Cash Flow Hedge-Financial institution counterparties
 
$
270,000

 
$
1,513

 
$
3,655

 
$
270,000

 
$
9,388

 
$
457

Swaps-Fair Value Hedge-Financial institution counterparties
 

 

 

 
21,100

 

 
657

Derivatives designated as non-hedging instruments
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Swaps-Financial institution counterparties
 
131,685

 
56

 
8,031

 
93,967

 
1,119

 
1,087

Swaps-Customer counterparties
 
131,685

 
8,031

 
56

 
93,967

 
1,087

 
1,119

Gross derivatives
 
 
 
9,600

 
11,742

 
 
 
11,594

 
3,320

Offsetting derivative assets/liabilities
 
 
 
(1,569
)
 
(1,569
)
 
 
 
(2,201
)
 
(2,201
)
Cash collateral received/posted
 
 
 

 
(10,117
)
 
 
 
(8,306
)
 

Net derivatives included in the consolidated balance sheets (2)
 
 
 
$
8,031

 
$
56

 
 
 
$
1,087

 
$
1,119


(1)
Notional amounts, which represent the extent of involvement in the derivatives market, are used to determine the contractual cash flows required in accordance with the terms of the agreement. These amounts are typically not exchanged, significantly exceed amounts subject to credit or market risk and are not reflected in the consolidated balance sheets.
(2)
Net derivative assets are included in other assets and net derivative liabilities are included in other liabilities on the consolidated balance sheets. Included in the fair value of net derivative assets and net derivative liabilities are credit valuation adjustments reflecting counterparty credit risk and our credit risk. We had $883,000 credit exposure related to interest rate swaps with financial institutions and $8.0 million related to interest rate swaps with customers at December 31, 2019. We had no credit exposure related to interest rate swaps with financial institutions and $1.1 million related to interest rate swaps with customers at December 31, 2018. The credit risk associated with customer transactions is partially mitigated as these are generally secured by the non-cash collateral securing the underlying transaction being hedged.
Weighted average maturity and interest rates on risk management interest rate swaps
The summarized expected weighted average remaining maturity of the notional amount of interest rate swaps and the weighted average interest rates associated with the amounts expected to be received or paid on interest rate swap agreements are presented below (dollars in thousands). Variable rates received on fixed pay swaps are based on one-month or three-month LIBOR rates in effect at December 31, 2019 and December 31, 2018:
 
 
December 31, 2019
 
December 31, 2018
 
 
 
 
Weighted Average
 
 
 
Weighted Average
 
 
Notional Amount
 
Remaining Maturity
 (in years)
 
Receive Rate
 
Pay
Rate 
 
Notional Amount
 
Remaining Maturity
(in years)
 
Receive Rate
 
Pay
Rate
Swaps-Cash Flow hedge
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial institution counterparties
 
$
270,000

 
3.8
 
1.77
%
 
1.58
%
 
$
270,000

 
4.8
 
2.45
%
 
1.58
%
Swaps-Fair Value hedge
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial institution counterparties
 

 
 

 

 
21,100

 
7.5
 
2.56

 
3.00

Swaps-Non-hedging
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Financial institution counterparties
 
131,685

 
10.6
 
1.71

 
2.47

 
93,967

 
11.6
 
2.36

 
2.58

Customer counterparties
 
131,685

 
10.6
 
2.47

 
1.71

 
93,967

 
11.6
 
2.58

 
2.36