DERIVATIVES

3 Months Ended

Mar. 31, 2022

DERIVATIVES

DERIVATIVES

NOTE 14 – DERIVATIVES

In 2020, the Company entered into an interest rate cap derivative contract (“interest rate cap” or “contract”) as a part of its asset liability management strategy to help manage its interest rate risk position. The interest rate cap has a notional amount of $300.0 million and matures on March 1, 2025. The notional amount of the interest rate cap does not represent the amount exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the contract. The interest rate subject to the cap is 30-day LIBOR.

The interest rate cap was designated as a cash flow hedge of certain deposit liabilities of the Company. The hedge was determined to be highly effective during the three months ended March 31, 2022. The Company expects the hedge to remain highly effective during the remaining term of the contract.

The following tables reflect the derivatives recorded on the balance sheet (in thousands):

		Notional Amount		Fair Value
At March 31, 2022
Derivatives designated as hedges:
Interest rate caps related to customer deposits	$	300,000	$	12,076
Total included in Other Assets	$	300,000	$	12,076
At December 31, 2021
Derivatives designated as hedges:
Interest rate caps related to customer deposits	$	300,000	$	3,385
Total included in Other Assets	$	300,000	$	3,385

The effect of cash flow hedge accounting on accumulated other comprehensive income is as follows (in thousands):

			Location of		Amount of
	Amount of		Gain (Loss)		Gain (Loss)
	Gain (Loss)		Reclassified		Reclassified
	Recognized in OCI,		from OCI into		from OCI into
	net of tax		Income		Income
At March 31, 2022
Interest rate caps related to customer deposits	$	2,305	$	N/A	$	—
At December 31, 2021
Interest rate caps related to customer deposits	$	2,059	$	N/A	$	—