DERIVATIVES

9 Months Ended

Sep. 30, 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 had a notional amount of $300.0 million and a maturity date of March 1, 2025. The notional amount of the interest rate cap did not represent the amount exchanged by the parties. The amount exchanged was determined by reference to the notional amount and the other terms of the contract. The interest rate subject to the cap was 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 and nine months ended September 30, 2022 and 2021. In the third quarter of 2022, the Company terminated the interest rate cap. The unrecognized value of $12.7 million at termination will be released from Accumulated Other Comprehensive Income and recorded as a credit to Licensing fees expense through March 2025.

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

		Notional		Fair
		Amount		Value
At September 30, 2022
Derivatives designated as hedges:
Interest rate caps related to customer deposits	$	—	$	—
Total included in Other Assets	$	—	$	—
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):

	Three months ended				Nine months ended
	September 30,				September 30,
	2022		2021		2022		2021
Interest rate caps related to customer deposits
Amount of gain (loss) recognized in OCI, net of tax	$	352	$	(97)	$	8,109	$	1,069
Amount of gain (loss) reclassified from OCI into income	$	782	$	—	$	782	$	—
Location of gain (loss) reclassified from OCI into income		Licensing fees		N/A		Licensing fees		N/A

N/A - not applicable