DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)
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6 Months Ended |
Jun. 30, 2020 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Schedule of Information About Derivative Assets and Liabilities |
| | | | | | | | | | | | | | June 30, 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 funding | | $ | 125,000 | | | 4.5 | | $ | (7,308) | | Other liabilities | Total cash flow hedges | | | 125,000 | | | 4.5 | | | (7,308) | | | | | | | | | | | | | | | Fair value hedges: | | | | | | | | | | | | Interest rate swap on securities | | | 37,190 | | | 9.3 | | | 3,694 | | Other liabilities | Total fair value hedges | | | 37,190 | | | 9.3 | | | 3,694 | | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | | Forward sale commitments | | | 43,967 | | | 0.1 | | | (126) | | Other liabilities | Customer Loan Swaps-MNA Counterparty | | | 159,215 | | | 7.7 | | | (17,129) | | Other liabilities | Customer Loan Swaps-RPA Counterparty | | | 103,391 | | | 8.1 | | | (11,624) | | Other liabilities | Customer Loan Swaps-Customer | | | 262,606 | | | 7.8 | | | 28,753 | | Other assets | Total economic hedges | | | 569,179 | | | | | | (126) | | | | | | | | | | | | | | | Non-hedging derivatives: | | | | | | | | | | | | Interest rate lock commitments | | | 19,540 | | | 0.1 | | | 63 | | Other assets | Total non-hedging derivatives | | | 19,540 | | | 0.1 | | | 63 | | | | | | | | | | | | | | | Total | | $ | 750,909 | | | | | $ | (3,677) | | |
| | | | | | | | | | | | | | December 31, 2019 | | | | | 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 funding | | $ | 100,000 | | | 4.6 | | $ | (1,311) | | Other liabilities | Total cash flow hedges | | | 100,000 | | | | | | (1,311) | | | | | | | | | | | | | | | Fair value hedges: | | | | | | | | | | | | Interest rate swap on securities | | | 37,190 | | | 9.6 | | | 593 | | Other liabilities | Total fair value hedges | | | 37,190 | | | | | | 593 | | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | | Forward sale commitments | | | 11,228 | | | 0.1 | | | (84) | | Other liabilities | Customer Loan Swaps-MNA Counterparty | | | 135,598 | | | 7.5 | | | (4,669) | | (1) | Customer Loan Swaps-RPA Counterparty | | | 69,505 | | | 8.8 | | | (3,377) | | (1) | Customer Loan Swaps-Customer | | | 205,103 | | | 8.1 | | | 8,046 | | (1) | Total economic hedges | | | 421,434 | | | | | | (84) | | | | | | | | | | | | | | | Non-hedging derivatives: | | | | | | | | | | | | Interest rate lock commitments | | | 21,748 | | | 0.1 | | | 59 | | Other assets | Total non-hedging derivatives | | | 21,748 | | | | | | 59 | | | | | | | | | | | | | | | Total | | $ | 580,372 | | | | | $ | (743) | | |
(1) | Customer loan derivatives are subject to MNA or RPA arrangements with financial institution counterparties, thus assets and liabilities with the counterparty are netted for financial statement presentation. |
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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 | June 30, 2020 | | | | | | | | | Fair value hedges: | | | | | | | | | Interest rate swap on securities | | Securities Available for Sale | | $ | 42,232 | | $ | 5,042 | | | | | | | | | | December 31, 2019 | | | | | | | | | Fair value hedges: | | | | | | | | | Interest rate swap on securities | | Securities Available for Sale | | $ | 39,026 | | $ | 523 |
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Schedule of Derivative Instruments Gain (Loss) |
| | | | | | | | | | | | | | | | Six Months Ended June 30, 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(1) | | Income | | in Income | Cash flow hedges: | | | | | | | | | | | | | | Interest rate swap on wholesale funding | | $ | 5,592 | | Other income | | $ | — | | Interest expense | | $ | (216) | Total cash flow hedges | | | 5,592 | | | | | — | | | | | (216) | | | | | | | | | | | | | | | Fair value hedges: | | | | | | | | | | | | | | Interest rate swap on securities | | | (3,858) | | Interest income | | | — | | Interest income | | | 41 | Total fair value hedges | | | (3,858) | | | | | — | | | | | 41 | | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | | | | Forward commitments | | | — | | Other income | | | — | | Other income | | | (43) | Total economic hedges | | | — | | | | | — | | | | | (43) | | | | | | | | | | | | | | | Non-hedging derivatives: | | | | | | | | | | | | | | Interest rate lock commitments | | | — | | Other Income | | | — | | Other Income | | | 4 | Total non-hedging derivatives | | | — | | | | | — | | | | | 4 | | | | | | | | | | | | | | | Total | | $ | 1,734 | | | | $ | — | | | | $ | (214) |
(1) | As of June 30, 2020 the Company does not expect any reclassifications from accumulated other comprehensive income into earnings within the next 12 months. |
| | | | | | | | | | | | | | | | Years Ended December 31, 2019 | | | Amount of | | | | Amount of | | | | | | | Gain (Loss) | | | | Gain (Loss) | | | | Amount of | | | Recognized in | | | | Reclassified | | Location of | | Gain (Loss) | | | Other | | Location of Gain (Loss) | | from Other | | Gain (Loss) | | Recognized | | | 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 | | $ | — | | Acquisition, restructuring, and other expenses | | $ | 3,156 | | Interest expense | | $ | (603) | Interest rate cap agreements | | | 2,291 | | Interest expense | | | — | | Interest expense | | | (2) | Total cash flow hedges | | | 2,291 | | | | | 3,156 | | | | | (605) | | | | | | | | | | | | | | | Fair value hedges: | | | | | | | | | | | | | | Interest rate swap on securities | | | (523) | | Interest income | | | — | | Interest expense | | | 7 | Total economic hedges | | | (523) | | | | | — | | | | | 7 | | | | | | | | | | | | | | | Economic hedges: | | | | | | | | | | | | | | Forward commitments | | | — | | Other income | | | — | | Other income | | | (84) | Total economic hedges | | | — | | | | | — | | | | | (84) | | | | | | | | | | | | | | | Non-hedging derivatives: | | | | | | | | | | | | | | Interest rate lock commitments | | | — | | Other income | | | — | | Other Income | | | 52 | Total non-hedging derivatives | | | — | | | | | — | | | | | 52 | | | | | | | | | | | | | | | Total | | $ | 1,768 | | | | $ | 3,156 | | | | $ | (630) |
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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 June 30, 2020 | | | | | | | | | | | | | Customer Loan Derivatives: | | | | | | | | | | | | | MNA counterparty | | $ | (17,129) | | $ | 17,129 | | $ | 28,350 | | $ | — | RPA counterparty | | | (11,624) | | | 11,624 | | | — | | | — | Total | | $ | (28,753) | | $ | 28,753 | | $ | 28,350 | | $ | — |
| | | | | | | | | | | | | | | Gross Amounts Offset in the Consolidated Balance Sheet | | | Derivative | | | | Cash Collateral | | | | (in thousands) | | Liabilities | | Derivative Assets | | Pledged | | Net Amount | As of December 31, 2019 | | | | | | | | | | | | | Customer Loan Derivatives: | | | | | | | | | | | | | MNA counterparty | | $ | (4,669) | | $ | 4,669 | | $ | 10,700 | | $ | — | RPA counterparty | | | (3,377) | | | 3,377 | | | — | | | — | Total | | $ | (8,046) | | $ | 8,046 | | $ | 10,700 | | $ | — |
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