DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
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9 Months Ended |
Sep. 30, 2024 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| Summary of Interest Rate Swaps Designated as Cash Flow Hedges |
The following table lists the cash flow hedges at September 30, 2024, and December 31, 2023.
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September 30, 2024 |
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December 31, 2023 |
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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 debt hedges |
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11.0 |
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2.81 |
% |
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7.40 |
% |
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11.7 |
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2.80 |
% |
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7.43 |
% |
Variable rate FHLB advance hedges |
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1.5 |
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3.59 |
% |
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4.84 |
% |
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2.2 |
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3.58 |
% |
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5.35 |
% |
Prime based receivable loan hedges |
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— |
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— |
% |
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— |
% |
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0.2 |
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8.50 |
% |
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5.60 |
% |
Total cash flow hedges |
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2.1 |
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3.54 |
% |
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5.02 |
% |
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1.4 |
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6.43 |
% |
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5.56 |
% |
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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, 2024, and December 31, 2023.
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September 30, 2024 |
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December 31, 2023 |
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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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$ |
14,698 |
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$ |
1,213 |
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$ |
— |
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$ |
15,461 |
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$ |
1,580 |
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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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107,500 |
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3,127 |
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2,901 |
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257,500 |
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1,976 |
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631 |
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Total derivatives designated as hedging relationships |
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122,198 |
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4,340 |
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2,901 |
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272,961 |
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3,556 |
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631 |
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Derivatives not designated as hedging instruments: |
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Interest rate swaps |
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203,169 |
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1,796 |
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58 |
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180,911 |
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3,446 |
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3,025 |
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Total derivatives not designated as hedging
instruments |
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203,169 |
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1,796 |
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58 |
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180,911 |
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3,446 |
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3,025 |
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Total |
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$ |
325,367 |
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6,136 |
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2,959 |
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$ |
453,872 |
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7,002 |
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3,656 |
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Cash collateral |
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— |
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4,474 |
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— |
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5,952 |
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Netting adjustments |
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(4,935 |
) |
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(4,935 |
) |
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(6,406 |
) |
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(6,406 |
) |
Net amount presented in Balance Sheet |
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$ |
1,201 |
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$ |
2,498 |
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$ |
596 |
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$ |
3,202 |
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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, 2024, and December 31, 2023.
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September 30, 2024 |
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December 31, 2023 |
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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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$ |
15,325 |
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$ |
(1,439 |
) |
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$ |
(410 |
) |
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$ |
15,795 |
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$ |
(1,826 |
) |
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$ |
(446 |
) |
Total |
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$ |
15,325 |
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$ |
(1,439 |
) |
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$ |
(410 |
) |
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$ |
15,795 |
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$ |
(1,826 |
) |
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$ |
(446 |
) |
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| Summary of Net Gains/ (Losses) on Derivatives and Hedging Activities |
For the three and nine months period ended September 30, 2024, and 2023, 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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2024 |
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2023 |
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2024 |
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2023 |
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Derivatives designated as hedging instruments: |
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Interest rate swaps |
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$ |
10 |
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$ |
(5 |
) |
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$ |
16 |
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$ |
5 |
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Total net gain (loss) related to derivatives designated as hedging instruments |
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10 |
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(5 |
) |
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16 |
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5 |
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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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10 |
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(5 |
) |
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16 |
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5 |
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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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(114 |
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203 |
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105 |
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407 |
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Total net gains (losses) related to derivatives not
designated as hedging instruments |
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(114 |
) |
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203 |
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105 |
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407 |
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Net gains (losses) on derivatives and hedging activities |
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$ |
(104 |
) |
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$ |
198 |
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$ |
121 |
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$ |
412 |
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| Summary of Recorded Net Gains (Losses) on Derivatives and Related Hedged Items in Fair Value Hedging Relationships |
The following tables show 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, 2024, and 2023.
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September 30, 2024 |
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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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$ |
(447 |
) |
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$ |
457 |
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$ |
10 |
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$ |
246 |
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Total |
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$ |
(447 |
) |
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$ |
457 |
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$ |
10 |
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$ |
246 |
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September, 2023 |
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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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$ |
133 |
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$ |
(138 |
) |
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$ |
(5 |
) |
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$ |
247 |
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Total |
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$ |
133 |
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$ |
(138 |
) |
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$ |
(5 |
) |
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$ |
247 |
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The following tables show 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, 2024, and 2023.
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September 30, 2024 |
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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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$ |
(335 |
) |
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$ |
351 |
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$ |
16 |
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$ |
478 |
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Total |
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$ |
(335 |
) |
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$ |
351 |
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$ |
16 |
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$ |
478 |
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September 30, 2023 |
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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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$ |
(3 |
) |
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$ |
(2 |
) |
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$ |
(5 |
) |
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$ |
551 |
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Total |
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$ |
(3 |
) |
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$ |
(2 |
) |
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$ |
(5 |
) |
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$ |
551 |
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The following tables show the recorded net gains or (losses) on derivatives and the related hedged items in cash flow hedging relationships and the impact of those derivatives on the Company's net interest income for the three month periods ended September 30, 2024, and 2023.
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September 30, 2024 |
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Gain/(Loss)
on
Derivatives |
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Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
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Effect of
Derivatives on
Net Interest
Income |
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Prime based loan receivable hedges |
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$ |
— |
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$ |
— |
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$ |
— |
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FHLB advance hedges |
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(1,740 |
) |
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(1,323 |
) |
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|
430 |
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Subordinated note hedges |
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(373 |
) |
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(277 |
) |
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|
86 |
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Total |
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$ |
(2,113 |
) |
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$ |
(1,600 |
) |
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$ |
516 |
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September 30, 2023 |
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Gain/(Loss)
on
Derivatives |
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Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
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Effect of
Derivatives on
Net Interest
Income |
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Prime based loan receivable hedges |
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$ |
1,035 |
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$ |
781 |
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$ |
(1,083 |
) |
FHLB advance hedges |
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|
545 |
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|
412 |
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|
421 |
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Subordinated note hedges |
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|
414 |
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|
311 |
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|
92 |
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Total |
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$ |
1,994 |
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$ |
1,504 |
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$ |
(570 |
) |
The following tables show the recorded net gains or (losses) on derivatives and the related hedged items in cash flow hedging relationships and the impact of those derivatives on the Company's net interest income for the nine month periods ended September 30, 2024, and 2023.
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September 30, 2024 |
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|
Gain/(Loss)
on
Derivatives |
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|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
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|
Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
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$ |
1,159 |
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$ |
876 |
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$ |
(1,267 |
) |
FHLB advance hedges |
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(771 |
) |
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|
(582 |
) |
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|
1,304 |
|
Subordinated note hedges |
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|
(177 |
) |
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|
(131 |
) |
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|
261 |
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Total |
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$ |
211 |
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$ |
163 |
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|
$ |
298 |
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September 30, 2023 |
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|
Gain/(Loss)
on
Derivatives |
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|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
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Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
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$ |
1,991 |
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$ |
1,492 |
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|
$ |
(2,833 |
) |
FHLB advance hedges |
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|
2,577 |
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|
1,946 |
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|
803 |
|
Subordinated note hedges |
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|
340 |
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|
256 |
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|
157 |
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Total |
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$ |
4,908 |
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|
$ |
3,694 |
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$ |
(1,873 |
) |
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| Summary of Net Gains or Losses on Derivatives and Related Hedged Items in Cash Flow Hedging Relationships |
The following tables show the recorded net gains or (losses) on derivatives and the related hedged items in cash flow hedging relationships and the impact of those derivatives on the Company's net interest income for the three month periods ended September 30, 2024, and 2023.
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September 30, 2024 |
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|
Gain/(Loss)
on
Derivatives |
|
|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
|
|
Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
FHLB advance hedges |
|
|
(1,740 |
) |
|
|
(1,323 |
) |
|
|
430 |
|
Subordinated note hedges |
|
|
(373 |
) |
|
|
(277 |
) |
|
|
86 |
|
Total |
|
$ |
(2,113 |
) |
|
$ |
(1,600 |
) |
|
$ |
516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2023 |
|
|
|
Gain/(Loss)
on
Derivatives |
|
|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
|
|
Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
|
$ |
1,035 |
|
|
$ |
781 |
|
|
$ |
(1,083 |
) |
FHLB advance hedges |
|
|
545 |
|
|
|
412 |
|
|
|
421 |
|
Subordinated note hedges |
|
|
414 |
|
|
|
311 |
|
|
|
92 |
|
Total |
|
$ |
1,994 |
|
|
$ |
1,504 |
|
|
$ |
(570 |
) |
The following tables show the recorded net gains or (losses) on derivatives and the related hedged items in cash flow hedging relationships and the impact of those derivatives on the Company's net interest income for the nine month periods ended September 30, 2024, and 2023.
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|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2024 |
|
|
|
Gain/(Loss)
on
Derivatives |
|
|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
|
|
Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
|
$ |
1,159 |
|
|
$ |
876 |
|
|
$ |
(1,267 |
) |
FHLB advance hedges |
|
|
(771 |
) |
|
|
(582 |
) |
|
|
1,304 |
|
Subordinated note hedges |
|
|
(177 |
) |
|
|
(131 |
) |
|
|
261 |
|
Total |
|
$ |
211 |
|
|
$ |
163 |
|
|
$ |
298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
September 30, 2023 |
|
|
|
Gain/(Loss)
on
Derivatives |
|
|
Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income |
|
|
Effect of
Derivatives on
Net Interest
Income |
|
Prime based loan receivable hedges |
|
$ |
1,991 |
|
|
$ |
1,492 |
|
|
$ |
(2,833 |
) |
FHLB advance hedges |
|
|
2,577 |
|
|
|
1,946 |
|
|
|
803 |
|
Subordinated note hedges |
|
|
340 |
|
|
|
256 |
|
|
|
157 |
|
Total |
|
$ |
4,908 |
|
|
$ |
3,694 |
|
|
$ |
(1,873 |
) |
|