Derivative instruments and hedging activities |
12 Months Ended |
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Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure | |
Derivative Instruments and Hedging Activities | Note 26 – Derivative instruments and hedging The significant unplanned fluctuations in manage interest so trading activities hedged fixed and appreciation or depreciation is expected to be substantially that are linked to these hedged assets and liabilities. As a matter of policy, instruments for interest rate risk management. The credit the ended December 0.5 Corporation’s credit standing adjustment. of $ 0.3 0.7 The Corporation’s derivatives are subject to agreements which allow a right of set-off with each respective counterparty. of default, each party has a right of set-off or obligation owed in respect of any Pursuant to the Corporation’s accounting policy, the agreements allow financial collateral or the obligation to return financial Financial were as follows: Notional amount Derivative assets Derivative liabilities Statement of Fair value at Statement of Fair value at At December 31, condition December 31, condition December 31, (In thousands) 2022 2021 classification 2022 2021 classification 2022 2021 Derivatives designated as Forward contracts $ 15,100 $ 87,900 Other assets $ 93 $ 18 Other liabilities $ 22 $ 125 Total derivatives designated $ 15,100 $ 87,900 $ 93 $ 18 $ 22 $ 125 Derivatives not designated Interest rate caps $ 150,000 $ 27,866 Other assets $ 1,045 $ - Other liabilities $ 1,045 $ - Indexed options on deposits 85,414 79,114 Other assets 18,091 26,075 - - - Bifurcated embedded options 78,972 72,352 - - - Interest bearing deposits 15,933 22,753 Total derivatives not $ 314,386 $ 179,332 $ 19,136 $ 26,075 $ 16,978 $ 22,753 Total derivative assets $ 329,486 $ 267,232 $ 19,229 $ 26,093 $ 17,000 $ 22,878 Cash Flow Hedges The Corporation Interest rate forwards are contracts for the delayed delivery of securities, at accounting. Changes in the fair value of the derivatives are recorded in other comprehensive (loss) accumulated other comprehensive (loss) income corresponding to these forward contracts is expected to be reclassified to earnings in the next twelve months. These contracts have 72 For cash flow hedges, income to current period the forecasted transaction impacts earnings, as Year ended December (In thousands) Amount of net gain (loss) recognized in OCI on derivatives (effective portion) Classification in the statement of operations of the net gain (loss) reclassified from AOCI into income (effective portion and ineffective portion) Amount of net gain (loss) reclassified from AOCI into income (effective portion) Amount of net gain (loss) recognized in income on derivatives (ineffective portion) Forward contracts $ 1,636 Mortgage banking activities $ 1,458 $ - Total $ 1,636 $ 1,458 $ - Year ended December (In thousands) Amount of net gain (loss) recognized in OCI on derivatives (effective portion) Classification in the statement of operations of the net gain (loss) reclassified from AOCI into income (effective portion and ineffective portion) Amount of net gain (loss) reclassified from AOCI into income (effective portion) Amount of net gain (loss) recognized in income on derivatives (ineffective portion) Forward contracts $ 456 Mortgage banking activities $ (704) $ - Total $ 456 $ (704) $ - Year ended December (In thousands) Amount of net gain (loss) recognized in OCI on derivatives (effective portion) Classification in the statement of operations of the net gain (loss) reclassified from AOCI into income (effective portion and ineffective portion) Amount of net gain (loss) reclassified from AOCI into income (effective portion) Amount of net gain (loss) recognized in income on derivatives (ineffective portion) Forward contracts $ (6,594) Mortgage banking activities $ (5,559) $ - Total $ (6,594) $ (5,559) $ - Fair Value Hedges At December 31, 2022 and 2021, there were no Non-Hedging Activities For the year ended December 31, 2022, the 7.7 2.3 of $ 3.0 Amount of Net Gain (Loss) Recognized in Income on Derivatives Year ended Year ended Year ended Classification of Net Gain (Loss) December 31, December 31, December 31, (In thousands) Recognized in Income on Derivatives 2022 2021 2020 Forward contracts Mortgage banking activities $ 8,094 $ 2,027 $ (5,027) Indexed options on deposits Interest expense (5,290) 6,824 5,462 Bifurcated embedded options Interest expense 4,942 (6,538) (3,417) Total $ 7,746 $ 2,313 $ (2,982) Forward Contracts The Corporation has forward contracts to sell in their fair value are recognized in mortgage banking Interest Rate Caps The positions under the same terms and conditions, thus Indexed and Embedded Options The Corporation offers certain customers’ deposits whose return stock performance. The accordance with purchases indexed options which market. Accordingly, the embedded options and the related indexed options are |