DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
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9 Months Ended |
Sep. 30, 2022 |
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
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Summary of Interest Rate Swaps Designated as Cash Flow Hedges |
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September 30, 2022 |
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December 31, 2021 |
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Weighted average Maturity in years |
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Weighted average pay rate |
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Weighted average rate received |
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Weighted average Maturity in years |
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Weighted average pay rate |
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Weighted average rate received |
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Subordinated note hedges |
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13.0 |
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2.81 |
% |
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1.80 |
% |
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13.7 |
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2.81 |
% |
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1.92 |
% |
Fixed rate loan hedges |
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1.5 |
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5.50 |
% |
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5.60 |
% |
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— |
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— |
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— |
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Total cash flow hedges |
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2.1 |
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5.37 |
% |
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5.42 |
% |
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13.7 |
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2.81 |
% |
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1.92 |
% |
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Summary of Notional Balance and Fair Values of Derivatives Outstanding |
The following table shows the notional balances and fair values (including net accrued interest) of the derivatives outstanding by derivative type at September 30, 2022, and December 31, 2021.
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September 30, 2022 |
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December 31, 2021 |
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Notional Amount |
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Derivative Assets |
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Derivative Liabilities |
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Notional Amount |
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Derivative Assets |
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Derivative Liabilities |
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Derivatives designated as hedging instruments: |
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Interest rate swaps |
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$ |
21,777 |
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$ |
2,482 |
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$ |
— |
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$ |
26,663 |
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$ |
— |
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$ |
369 |
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Derivatives designated as cash flow hedges: |
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Interest rate swaps |
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157,500 |
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2,131 |
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4,172 |
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7,500 |
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602 |
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— |
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Total derivatives designated as hedging relationships |
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179,277 |
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4,613 |
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4,172 |
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34,163 |
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602 |
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369 |
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Derivatives not designated as hedging instruments: |
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Interest rate swaps |
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110,411 |
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4,221 |
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3,446 |
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150,780 |
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4,419 |
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5,184 |
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Total derivatives not designated as hedging instruments |
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110,411 |
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4,221 |
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3,446 |
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150,780 |
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4,419 |
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5,184 |
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Total |
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$ |
289,688 |
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8,834 |
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7,618 |
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$ |
184,943 |
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5,021 |
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5,553 |
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Cash collateral |
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— |
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1,613 |
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— |
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(8,441 |
) |
Netting adjustments |
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(5,769 |
) |
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(5,769 |
) |
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2,994 |
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2,994 |
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Net amount presented in Balance Sheet |
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$ |
3,065 |
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$ |
3,462 |
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$ |
8,015 |
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$ |
106 |
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Summary of Designated and Qualifying Hedged Items in Fair Value Hedges |
The table below lists designated and qualifying hedged items in fair value hedges at September 30, 2022, and December 31, 2021.
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September 30, 2022 |
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December 31, 2021 |
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Carrying Amount |
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Hedging Fair Value Adjustment |
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Fair Value Adjustments on Discontinued Hedges |
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Carrying Amount |
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Hedging Fair Value Adjustment |
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Fair Value Adjustments on Discontinued Hedges |
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Commercial real estate loans |
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$ |
17,305 |
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$ |
(2,479 |
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$ |
— |
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$ |
26,661 |
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$ |
213 |
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$ |
— |
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Total |
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$ |
17,305 |
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$ |
(2,479 |
) |
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$ |
— |
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$ |
26,661 |
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$ |
213 |
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$ |
— |
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Summary of Net Gains/ (Losses) on Derivatives and Hedging Activities |
For the three and nine month periods ended September 30, 2022, and 2021, the Company recorded net gains (losses) on derivatives and hedging activities as shown in the table below.
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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2022 |
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2021 |
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2022 |
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2021 |
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Derivatives designated as hedging instruments: |
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Interest rate swaps |
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$ |
46 |
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$ |
— |
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$ |
148 |
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$ |
— |
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Total net gain (loss) related to derivatives designated as hedging instruments |
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46 |
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— |
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148 |
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— |
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Derivatives designated as cash flow hedges: |
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Interest rate swaps |
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— |
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— |
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— |
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— |
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Total net gain (loss) related to derivatives designated as cash flow hedges |
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— |
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— |
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— |
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— |
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Total net gains (losses) related to hedging relationships |
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46 |
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— |
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148 |
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— |
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Derivatives not designated as hedging instruments: |
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Economic hedges: |
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Interest rate swaps |
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402 |
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(49 |
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1,544 |
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196 |
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Total net gains (losses) related to derivatives not designated as hedging instruments |
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402 |
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(49 |
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1,544 |
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196 |
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Net gains (losses) on derivatives and hedging activities |
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$ |
448 |
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$ |
(49 |
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$ |
1,692 |
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$ |
196 |
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Summary of Recorded Net Gains (Losses) on Derivatives and Related Hedged Items in Fair Value Hedging Relationships |
The following table shows the recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Company’s net interest income for the three month periods ended September 30, 2022 and 2021.
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September 30, 2022 |
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Gain/(Loss) on Derivatives |
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Gain/(Loss) on Hedged Items |
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Net Fair Value Hedge Gain/(Loss) |
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Effect of Derivatives on Net Interest Income |
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Commercial real estate loans |
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$ |
761 |
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$ |
(715 |
) |
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$ |
46 |
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$ |
(154 |
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Total |
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$ |
761 |
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$ |
(715 |
) |
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$ |
46 |
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$ |
(154 |
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September 30, 2021 |
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Gain/(Loss) on Derivatives |
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Gain/(Loss) on Hedged Items |
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Net Fair Value Hedge Gain/(Loss) |
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Effect of Derivatives on Net Interest Income |
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Commercial real estate loans |
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$ |
(20 |
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$ |
20 |
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$ |
— |
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$ |
(25 |
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Total |
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$ |
(20 |
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$ |
20 |
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$ |
— |
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$ |
(25 |
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The following table shows the recorded net gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Company’s net interest income for the nine month periods ended September 30, 2022 and 2021.
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September 30, 2022 |
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Gain/(Loss) on Derivatives |
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Gain/(Loss) on Hedged Items |
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Net Fair Value Hedge Gain/(Loss) |
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Effect of Derivatives on Net Interest Income |
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Commercial real estate loans |
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$ |
2,840 |
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$ |
(2,692 |
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$ |
148 |
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$ |
(626 |
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Total |
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$ |
2,840 |
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$ |
(2,692 |
) |
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$ |
148 |
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$ |
(626 |
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September 30, 2021 |
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Gain/(Loss) on Derivatives |
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Gain/(Loss) on Hedged Items |
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Net Fair Value Hedge Gain/(Loss) |
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Effect of Derivatives on Net Interest Income |
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Commercial real estate loans |
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$ |
(191 |
) |
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$ |
191 |
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$ |
— |
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$ |
(81 |
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Total |
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$ |
(191 |
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$ |
191 |
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$ |
— |
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$ |
(81 |
) |
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