Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES (Tables)

v3.19.1
DERIVATIVES (Tables)
 3 Months Ended
Mar. 31, 2019
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, 2019 and December 31, 2018, segregated by derivatives that are considered accounting hedges and those that are not (dollars in thousands):
 
March 31, 2019
 
 
December 31, 2018
 
 

Derivative (2)
 
 
Derivative (2)
 
Notional or
Contractual
Amount (1)
 
Assets
 
Liabilities
 
 
Notional or
Contractual
Amount (1)
 
Assets
 
Liabilities
Derivatives designated as accounting hedges:
 

 
 

 
 

 
 
 

 
 

 
 

Interest rate contracts:
 

 
 

 
 

 
 
 

 
 

 
 

Cash flow hedges
$
252,500

 
$
—

 
$
6,328

 
 
$
152,500

 
$
—

 
$
4,786

Fair value hedges
136,527

 
893

 
3,027

 
 
137,596

 
1,872

 
1,684

Derivatives not designated as accounting hedges:
 

 
 

 
 

 
 
 

 
 

 
 

Loan Swaps :
 

 
 

 
 

 
 
 

 
 

 
 

Pay fixed - receive floating interest rate swaps
999,550

 
4,961

 
19,904

 
 
878,446

 
10,120

 
9,306

Pay floating - receive fixed interest rate swaps
999,550

 
19,904

 
4,961

 
 
878,446

 
9,306

 
10,120


(1) Notional amounts are not recorded on the Company's Consolidated Balance Sheet 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 [Table Text Block]
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, 2019 and December 31, 2018 (dollars in thousands):

 
March 31, 2019
 
December 31, 2018
 
Carrying Amount of Hedged Assets/(Liabilities)
Amount (1)
 
Cumulative Amount of Basis Adjustments Included in the Carrying Amount of the Hedged Assets/(Liabilities)
 
Carrying Amount of Hedged Assets/(Liabilities)
Amount (1)
 
Cumulative Amount of Basis Adjustments Included in the Carrying Amount of the Hedged Assets/(Liabilities)
Line items on the Consolidated Balance Sheets in which the hedged item is included:
 

 
 

 
 

 
 

Securities available-for-sale (1) (2)
$
225,063

 
$
2,430

 
$
224,241

 
$
1,399

Loans
86,527

 
(280
)
 
87,596

 
(1,572
)


 (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. For the periods ended March 31, 2019 and December 31, 2018, the amortized cost basis of this portfolio was $225 million and $224 million, respectively and the cumulative basis adjustment associated with this hedge was $2.4 million and $1.4 million, respectively. The amount of the designated hedged item was $50 million.
(2) Carrying value represents amortized cost.