Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.20.1
DERIVATIVES (Tables)
3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of the Derivatives

The following table summarizes key elements of the Company’s derivative instruments as of March 31, 2020 and December 31, 2019, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):

    

March 31, 2020

    

December 31, 2019

Derivative (2)

Derivative (2)

    

Notional or

    

    

    

Notional or

    

    

Contractual

Contractual

Amount (1)

Assets

Liabilities

Amount (1)

Assets

Liabilities

Derivatives designated as accounting hedges:

Interest rate contracts:

 

 

  

 

  

 

  

 

  

Cash flow hedges

$

$

$

$

100,000

$

$

1,147

Fair value hedges

 

131,961

 

1

 

14,769

 

133,078

 

182

 

6,256

Derivatives not designated as accounting hedges:

Loan Swaps :

 

  

 

  

 

  

 

  

 

  

 

  

Pay fixed - receive floating interest rate swaps

 

1,800,795

 

 

174,704

 

1,575,149

 

753

 

53,592

Pay floating - receive fixed interest rate swaps

 

1,800,795

 

174,704

 

 

1,575,149

 

53,592

 

753

(1) Notional amounts are not recorded on the Company’s Consolidated Balance Sheets and are generally used only as a basis on which interest and other payments are determined.
(2) Balances represent fair value of derivative financial instruments.
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location

The following table summarizes the carrying value of the Company’s hedged assets in fair value hedges and the associated cumulative basis adjustments included in those carrying values as of March 31, 2020 and December 31, 2019 (dollars in thousands):

March 31, 2020

December 31, 2019

    

    

Cumulative

    

    

Cumulative

Amount of Basis

Amount of Basis

Adjustments

Adjustments

Included in the

Included in the

Carrying Amount

Carrying

Carrying Amount

Carrying

of Hedged

Amount of the

of Hedged

Amount of the

Assets/(Liabilities)

Hedged

Assets/(Liabilities)

Hedged

Amount (1)

 

Assets/(Liabilities)

Amount (1)

 

Assets/(Liabilities)

Line items on the Consolidated Balance Sheets in which the hedged item is included:

 

  

 

  

 

  

 

  

Securities available-for-sale (1) (2)

$

194,899

$

7,990

$

206,799

$

4,072

Loans

 

81,961

 

6,734

 

83,078

 

1,972

(1) These amounts include the amortized cost basis of the investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At March 31, 2020 and December 31, 2019, the amortized cost basis of this portfolio was $195 million and $207 million, respectively and the cumulative basis adjustment associated with this hedge was $8.0 million and $4.1 million, respectively. The amount of the designated hedged item was $50 million.
(2) Carrying value represents amortized cost.