Derivatives, Hedging Activities and Balance Sheet Offsetting (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table presents the total notional amounts and gross fair values of the Company’s derivatives as of the dates indicated. The derivative asset and liability balances are presented on a gross basis, prior to the application of master netting agreements, as included in other assets and other liabilities, respectively, on the consolidated balance sheets.

The fair values of the Company's derivative instrument assets and liabilities are summarized as follows:

	As of June 30, 2020						As of December 31, 2019
	Notional Amount		Fair Value				Notional Amount		Fair Value
(in thousands)			Assets		Liabilities				Assets		Liabilities
Designated as hedging instruments
Fair value hedges
Interest rate swaps	$	25,927	$	—	$	3,106	$	16,734	$	—	$	1,113
Cash flow hedges
Interest rate swaps	30,000		—		960		—		—		—
Total	$	55,927	$	—	$	4,066	$	16,734	$	—	$	1,113
Not designated as hedging instruments:
Interest rate swaps	$	340,444	$	14,388	$	14,440	$	113,632	$	1,824	$	1,999
RPAs - protection sold	4,589		3		—		4,702		24		—
RPAs - protection purchased	9,920		—		11		10,009		—		130
Total	$	354,953	$	14,391	$	14,451	$	128,343	$	1,848	$	2,129

Schedule of Derivatives Instrument Impacts on Statements

The table below presents the effect of cash flow hedge accounting on AOCI for three months and six months ended June 30, 2020 and 2019.

	Amount of Gain (Loss) Recognized in AOCI on Derivative				Location of Gain (Loss) Reclassified from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income
	Three Months Ended June 30,					Three Months Ended June 30,
(in thousands)	2020		2019			2020		2019
Interest rate swaps	$	(129)	$	—	Interest Expense	$	(62)	$	—
	Amount of Gain (Loss) Recognized in AOCI on Derivative				Location of Gain (Loss) Reclassified from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income
	Six Months Ended June 30,					Six Months Ended June 30,
(in thousands)	2020		2019			2020		2019
Interest rate swaps	$	(1,017)	$	—	Interest Expense	$	(57)	$	—

The table below presents the effect of the Company’s derivative financial instruments designated as hedging instruments on the consolidated statements of income for the periods indicated:

	Location and Amount of Gain or Loss Recognized in Income on Fair Value and Cash Flow Hedging Relationships
	For the Three Months Ended June 30,								For the Six Months Ended June 30,
	2020				2019				2020				2019
(in thousands)	Interest Income		Interest Expense		Interest Income		Interest Expense		Interest Income		Interest Expense		Interest Income		Interest Expense
Total amounts of income and expense line items presented in the consolidated statements of income in which the effects of fair value or cash flow hedges are recorded	$	(80)	$	—	$	—	$	—	$	(127)	$	—	$	(1)	$	—
The effects of fair value and cash flow hedging:
Gain (loss) on fair value hedging relationships in subtopic 815-20:
Interest contracts:
Hedged items	237		—		491		—		1,988		—		795		—
Derivative designated as hedging instruments	(232)		—		(491)		—		(1,993)		—		(796)		—
Income statement effect of cash flow hedging relationships in subtopic 815-20:
Interest contracts:
Amount reclassified from AOCI into income	—		62		—		—		—		57		—		—

Hedged Items In Fair Value Hedging Relationship

As of June 30, 2020, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

Line Item in the Balance Sheet in Which the Hedged Item is Included	Carrying Amount of the Hedged Assets		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Asset
(in thousands)
Loans	$	29,035	$	3,099

Derivatives Not Designated as Hedging Instruments

The following table presents the net gains (losses) recognized on the consolidated statements of income related to the derivatives not designated as hedging instruments for the periods indicated:

	Location in the Consolidated Statements of Income	For the Three Months Ended June 30,				For the Six Months Ended June 30,
(in thousands)		2020		2019		2020		2019
Interest rate swaps	Other income	$	(18)	$	(108)	$	123	$	(130)
RPAs	Other income	(6)		(107)		97		(124)
Total		$	(24)	$	(215)	$	220	$	(254)

Offsetting Derivative Assets And Liabilities

Offsetting of Derivatives

The Company has entered into agreements with certain counterparty financial institutions, which include master netting agreements. However, the Company has elected to account for all derivatives with counterparty institutions on a gross basis. The Company manages the risk of default by its borrower counterparties through its normal loan underwriting and credit monitoring policies and procedures.

The following table below presents gross derivatives and the respective collateral received or pledged in the form of other financial instruments as of June 30, 2020 and December 31, 2019, which are generally marketable securities and/or cash. The collateral amounts in the table below are limited to the outstanding balances of the related asset or liability (after netting is applied); thus instances of overcollateralization are not shown. Further, the net amounts of derivative assets or liabilities can be reconciled to the tabular disclosure of fair value. The tabular disclosure of fair value provides the location that derivative assets and liabilities are presented on the consolidated balance sheets.

							Gross Amounts Not Offset in the Balance Sheet
(in thousands)	Gross Amounts of Recognized Assets (Liabilities)		Gross Amounts Offset in the Balance Sheet		Net Amounts of Assets (Liabilities) presented in the Balance Sheet		Financial Instruments		Cash Collateral Pledged		Net Assets (Liabilities)
As of June 30, 2020
Asset Derivatives	$	14,391	$	—	$	14,391	$	—	$	—	$	14,391
Liability Derivatives	(18,517)		—		(18,517)		—		(18,517)		—
As of December 31, 2019
Asset Derivatives	$	1,848	$	—	$	1,848	$	—	$	—	$	1,848
Liability Derivatives	(3,242)		—		(3,242)		—		(3,242)		—