DERIVATIVES AND HEDGING (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative Financial Instruments

The following table presents the fair value of the Company's derivative financial instruments as well as their classification on the consolidated statements of condition as of the dates indicated:


	Derivative Assets					Derivative Liabilities
(In thousands)	Notional Amount		Location	Fair Value		Notional Amount		Location	Fair Value
June 30, 2021
Derivatives designated as hedging instruments
Interest rate contracts(1)	$	160,000	Other assets	$	6,814	$	83,000	Accrued interest and other liabilities	$	9,153
Total derivatives designated as hedging instruments				$	6,814				$	9,153
Derivatives not designated as hedging instruments
Customer loan swaps(1)	$	364,977	Other assets	$	27,648	$	364,977	Accrued interest and other liabilities	$	27,648
Fixed-rate mortgage interest rate lock commitments	37,771		Other assets	870		6,331		Accrued interest and other liabilities	54
Forward delivery commitments	11,797		Other assets	145		3,089		Accrued interest and other liabilities	17
Total derivatives not designated as hedging instruments				$	28,663				$	27,719
December 31, 2020
Derivatives designated as hedging instruments
Interest rate contracts	$	110,000	Other assets	$	5,731	$	143,000	Accrued interest and other liabilities	$	11,625
Total derivatives designated as hedging instruments				$	5,731				$	11,625
Derivatives not designated as hedging instruments
Customer loan swaps	$	376,290	Other assets	$	39,627	$	376,290	Accrued interest and other liabilities	$	39,627
Fixed-rate mortgage interest rate lock commitments	58,574		Other assets	608		28,346		Accrued interest and other liabilities	248
Forward delivery commitments	24,951		Other assets	311		15,548		Accrued interest and other liabilities	196
Total derivatives not designated as hedging instruments				$	40,546				$	40,071

(1) Reported fair values include accrued interest receivable and payable.

Schedule of Cash Flow Hedging Instruments, Location

The table below presents the effect of cash flow hedge accounting, before tax, on AOCI for the periods indicated:


(Dollars in thousands)	Amount of Gain (Loss) Recognized in OCI on Derivative		Amount of Gain (Loss) Recognized in OCI Included Component		Amount of Gain (Loss) Recognized in OCI Excluded Component		Location of Gain (Loss) Recognized from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income		Amount of Gain (Loss) Reclassified from AOCI into Income Included Component		Amount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
Derivatives in Cash Flow Hedge Relationships
For the Three Months Ended June 30, 2021
Interest rate contracts	$	66	$	66	$	—	Interest and fees on loans	$	403	$	403	$	—
Interest rate contracts	(1,511)		(1,511)		—		Interest on deposits	(164)		(164)		—

Interest rate contracts	(1,758)		(1,758)		—		Interest on subordinated debentures	(431)		(431)		—
Total	$	(3,203)	$	(3,203)	$	—		$	(192)	$	(192)	$	—

For the Six Months Ended June 30, 2021
Interest rate contracts	$	(736)	$	(736)	$	—	Interest and fees on loans	$	795	$	795	$	—
Interest rate contracts	1,952		1,952		—		Interest on deposits	(320)		(320)		—

Interest rate contracts	1,973		1,973		—		Interest on subordinated debentures	(853)		(853)		—
Total	$	3,189	$	3,189	$	—		$	(378)	$	(378)	$	—

For the Three Months Ended June 30, 2020
Interest rate contracts	$	765	$	765	$	—	Interest and fees on loans	$	247	$	247	$	—
Interest rate contracts	(122)		(122)		—		Interest on deposits	(22)		(22)		—
Interest rate contracts	(365)		(365)		—		Interest on borrowings	44		44		—
Interest rate contracts	(239)		(239)		—		Interest on subordinated debentures	(297)		(297)		—
Total	$	39	$	39	$	—		$	(28)	$	(28)	$	—

For the Six Months Ended June 30, 2020
Interest rate contracts	$	5,925	$	5,925	$	—	Interest and fees on loans	$	299	$	299	$	—
Interest rate contracts	(978)		(978)		—		Interest on deposits	(26)		(26)		—
Interest rate contracts	(1,123)		(1,123)		—		Interest on borrowings	48		48		—
Interest rate contracts	(4,934)		(4,934)		—		Interest on subordinated debentures	(537)		(537)		—
Total	$	(1,110)	$	(1,110)	$	—		$	(216)	$	(216)	$	—

The table below presents the effect of cash flow hedge accounting on the consolidated statements of income for the periods indicated:


	Location and Amount of Gain (Loss) Recognized in Income
	Three Months Ended June 30,
	2021								2020
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	30,865	$	1,921	$	176	$	640	$	33,120	$	3,392	$	359	$	888
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	403	$	(164)	$	—	$	(431)	$	247	$	(22)	$	44	$	(297)
Amount of gain (loss) reclassified from AOCI into income - included component	$	403	$	(164)	$	—	$	(431)	$	247	$	(22)	$	44	$	(297)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—


	Location and Amount of Gain (Loss) Recognized in Income
	Six Months Ended June 30,
	2021								2020
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	61,425	$	3,984	$	332	$	1,445	$	67,165	$	10,054	$	1,197	$	1,775
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	795	$	(320)	$	—	$	(853)	$	299	$	(26)	$	48	$	(537)
Amount of gain (loss) reclassified from AOCI into income - included component	$	795	$	(320)	$	—	$	(853)	$	299	$	(26)	$	48	$	(537)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Schedule of Derivatives Not Designated as Hedging Instruments

The table below presents the effect of the Company's derivative financial instruments that are not designated as hedging instruments on the consolidated statements of income for the periods indicated:


	Location of Gain Recognized in Income	Amount of Gain (Loss) Recognized in Income
		Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in thousands)		2021		2020		2021		2020
Fixed-rate mortgage interest rate lock commitments	Mortgage banking income, net	$	(489)	$	(1,019)	$	456	$	496
Forward delivery commitments	Mortgage banking income, net	(469)		(1,014)		13		(156)
Total		$	(958)	$	(2,033)	$	469	$	340

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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