DERIVATIVE FINANCIAL INSTRUMENTS

6 Months Ended

Jun. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE FINANCIAL INSTRUMENTS

DERIVATIVE FINANCIAL INSTRUMENTS

In order to accommodate the borrowing needs of certain commercial customers, the Company has entered into interest rate swap or cap agreements with those customers.  These interest rate derivative contracts effectively allow our customers to convert a variable rate loan to a fixed rate.  In order to offset the exposure and manage interest rate risk, at the time an agreement was entered into with a customer, the Company entered into an interest rate swap or cap with a correspondent bank counterparty with offsetting terms. These derivative instruments are not designated as accounting hedges and changes in the net fair value are recognized in noninterest income or expense. Because we act as an intermediary for our customers, changes in the fair value of the underlying derivative contracts substantially offset each other and do not have a material impact on our results of operations. The fair value amounts are included in other assets and other liabilities.

The following is a summary of the interest rate swaps outstanding as of the dates set forth:

	June 30, 2018
	Notional Amount		Fixed Rate	Floating Rate	Maturity	Fair Value
	(Dollars in thousands)
Non-hedging derivative instruments:
Customer interest rate derivative:
Interest rate swaps - receive fixed/pay floating	$	159,205	4.38 - 6.94%	LIBOR 1 month + 3.00% - 4.25%	Wtd. Avg. 3.9 years	$	2,515
Interest rate caps and collars	$	37,030	4.55 - 6.00%	LIBOR 1 month + 3.00% - 3.75%	Wtd. Avg. 1.2 years	$	185
Correspondent interest rate swap:
Interest rate swaps - receive fixed/pay floating	$	159,205	4.38 - 6.94%	LIBOR 1 month + 3.00% - 4.25%	Wtd. Avg. 3.9 years	$	(2,564	)
Interest rate caps and collars	$	37,030	4.55 - 6.00%	LIBOR 1 month + 3.00% - 3.75%	Wtd. Avg. 1.2 years	$	(185	)

	December 31, 2017
	Notional Amount		Fixed Rate	Floating Rate	Maturity	Fair Value
	(Dollars in thousands)
Non-hedging derivative instruments:
Customer interest rate derivative:
Interest rate swaps - receive fixed/pay floating	$	173,304	2.19 - 5.72%	LIBOR 1 month + 0% - 4.25%	Wtd. Avg. 2.8 years	$	880
Interest rate caps and collars	$	37,466	4.55 - 6.00%	LIBOR 1 month + 3% - 3.75%	Wtd. Avg. 1.7 years	$	75
Correspondent interest rate swap:
Interest rate swaps - receive fixed/pay floating	$	173,304	2.19 - 5.72%	LIBOR 1 month + 0% - 4.25%	Wtd. Avg. 2.8 years	$	(901	)
Interest rate caps and collars	$	37,466	4.55 - 6.00%	LIBOR 1 month + 3% - 3.75%	Wtd. Avg. 1.7 years	$	(75	)

The estimated fair values of non-hedging derivative instruments are reflected within Company’s consolidated balance sheet (included in other assets and other liabilities) on a net basis when a right of offset exits, based on transactions with a single counterparty that are subject to a legally enforceable master netting agreement. The notional amounts and estimated fair values of the non-hedging derivative instruments by classification as the dates set forth were as follows:

	June 30, 2018								December 31, 2017
			Estimated Fair Value								Estimated Fair Value
	Notional Amount		Asset Derivative			Liability Derivative			Notional Amount		Fair Value			Liability Derivative
	(Dollars in thousands)
Non-hedging interest rate derivatives:
Correspondent counterparty:
Interest rate swaps	$	159,205	$	2,757		$	242		$	173,304	$	1,326		$	448
Interest rate caps and collars	37,030		185			—			37,466		75			—
Customer counterparty:
Interest rate swaps	159,205		188			2,752			173,304		423			1,325
Interest rate caps and collars	37,030		—			185			37,466		—			75
Gross derivatives			3,130			3,179					1,824			1,848
Offsetting derivatives assets/liabilities			(122		)	(122		)			(369		)	(369		)
Net derivatives included in the consolidated balance sheets			$	3,008		$	3,057				$	1,455		$	1,479