XML 36 R29.htm IDEA: XBRL DOCUMENT v3.24.3
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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.

 

 

September 30, 2024

 

 

December 31, 2023

 

 

 

Weighted average
Maturity in years

 

 

Weighted average pay rate

 

 

Weighted average rate received

 

 

Weighted average
Maturity in years

 

 

Weighted average pay rate

 

 

Weighted average rate received

 

Subordinated debt hedges

 

 

11.0

 

 

 

2.81

%

 

 

7.40

%

 

 

11.7

 

 

 

2.80

%

 

 

7.43

%

Variable rate FHLB advance hedges

 

 

1.5

 

 

 

3.59

%

 

 

4.84

%

 

 

2.2

 

 

 

3.58

%

 

 

5.35

%

Prime based receivable loan hedges

 

 

—

 

 

 

—

%

 

 

—

%

 

 

0.2

 

 

 

8.50

%

 

 

5.60

%

Total cash flow hedges

 

 

2.1

 

 

 

3.54

%

 

 

5.02

%

 

 

1.4

 

 

 

6.43

%

 

 

5.56

%
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.

 

 

September 30, 2024

 

 

December 31, 2023

 

 

 

Notional
Amount

 

 

Derivative
Assets

 

 

Derivative
Liabilities

 

 

Notional
Amount

 

 

Derivative
Assets

 

 

Derivative
Liabilities

 

Derivatives designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

14,698

 

 

$

1,213

 

 

$

—

 

 

$

15,461

 

 

$

1,580

 

 

$

—

 

Derivatives designated as cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

107,500

 

 

 

3,127

 

 

 

2,901

 

 

 

257,500

 

 

 

1,976

 

 

 

631

 

Total derivatives designated as hedging relationships

 

 

122,198

 

 

 

4,340

 

 

 

2,901

 

 

 

272,961

 

 

 

3,556

 

 

 

631

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

203,169

 

 

 

1,796

 

 

 

58

 

 

 

180,911

 

 

 

3,446

 

 

 

3,025

 

Total derivatives not designated as hedging
   instruments

 

 

203,169

 

 

 

1,796

 

 

 

58

 

 

 

180,911

 

 

 

3,446

 

 

 

3,025

 

Total

 

$

325,367

 

 

 

6,136

 

 

 

2,959

 

 

$

453,872

 

 

 

7,002

 

 

 

3,656

 

Cash collateral

 

 

 

 

 

—

 

 

 

4,474

 

 

 

 

 

 

—

 

 

 

5,952

 

Netting adjustments

 

 

 

 

 

(4,935

)

 

 

(4,935

)

 

 

 

 

 

(6,406

)

 

 

(6,406

)

Net amount presented in Balance Sheet

 

 

 

 

$

1,201

 

 

$

2,498

 

 

 

 

 

$

596

 

 

$

3,202

 
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.

 

 

 

September 30, 2024

 

 

December 31, 2023

 

 

 

Carrying Amount

 

 

Hedging Fair Value Adjustment

 

 

Fair Value Adjustments on Discontinued Hedges

 

 

Carrying Amount

 

 

Hedging Fair Value Adjustment

 

 

Fair Value Adjustments on Discontinued Hedges

 

Commercial real estate loans

 

$

15,325

 

 

$

(1,439

)

 

$

(410

)

 

$

15,795

 

 

$

(1,826

)

 

$

(446

)

Total

 

$

15,325

 

 

$

(1,439

)

 

$

(410

)

 

$

15,795

 

 

$

(1,826

)

 

$

(446

)
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.

 

 

 

Three Months Ended
September 30,

 

 

Nine Months Ended
September 30,

 

 

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Derivatives designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

10

 

 

$

(5

)

 

$

16

 

 

$

5

 

Total net gain (loss) related to derivatives designated as hedging instruments

 

 

10

 

 

 

(5

)

 

 

16

 

 

 

5

 

Derivatives designated as cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total net gain (loss) related to derivatives designated as cash flow hedges

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Total net gains (losses) related to hedging relationships

 

 

10

 

 

 

(5

)

 

 

16

 

 

 

5

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Economic hedges:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

(114

)

 

 

203

 

 

 

105

 

 

 

407

 

Total net gains (losses) related to derivatives not
   designated as hedging instruments

 

 

(114

)

 

 

203

 

 

 

105

 

 

 

407

 

Net gains (losses) on derivatives and hedging activities

 

$

(104

)

 

$

198

 

 

$

121

 

 

$

412

 

 

 
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.

 

 

 

September 30, 2024

 

 

 

Gain/(Loss)
on Derivatives

 

 

Gain/(Loss)
on Hedged
Items

 

 

Net Fair Value
Hedge
Gain/(Loss)

 

 

Effect of
Derivatives on
Net Interest
Income

 

Commercial real estate loans

 

$

(447

)

 

$

457

 

 

$

10

 

 

$

246

 

Total

 

$

(447

)

 

$

457

 

 

$

10

 

 

$

246

 

 

 

 

September, 2023

 

 

 

Gain/(Loss)
on Derivatives

 

 

Gain/(Loss)
on Hedged
Items

 

 

Net Fair Value
Hedge
Gain/(Loss)

 

 

Effect of
Derivatives on
Net Interest
Income

 

Commercial real estate loans

 

$

133

 

 

$

(138

)

 

$

(5

)

 

$

247

 

Total

 

$

133

 

 

$

(138

)

 

$

(5

)

 

$

247

 

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.

 

 

September 30, 2024

 

 

 

Gain/(Loss)
on Derivatives

 

 

Gain/(Loss)
on Hedged
Items

 

 

Net Fair Value
Hedge
Gain/(Loss)

 

 

Effect of
Derivatives on
Net Interest
Income

 

Commercial real estate loans

 

$

(335

)

 

$

351

 

 

$

16

 

 

$

478

 

Total

 

$

(335

)

 

$

351

 

 

$

16

 

 

$

478

 

 

 

 

September 30, 2023

 

 

 

Gain/(Loss)
on Derivatives

 

 

Gain/(Loss)
on Hedged
Items

 

 

Net Fair Value
Hedge
Gain/(Loss)

 

 

Effect of
Derivatives on
Net Interest
Income

 

Commercial real estate loans

 

$

(3

)

 

$

(2

)

 

$

(5

)

 

$

551

 

Total

 

$

(3

)

 

$

(2

)

 

$

(5

)

 

$

551

 

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.

 

 

 

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

 

$

—

 

 

$

—

 

 

$

—

 

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.

 

 

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

)
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.

 

 

 

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

 

$

—

 

 

$

—

 

 

$

—

 

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.

 

 

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

)