DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
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9 Months Ended |
Sep. 30, 2023 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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Balance Sheet Category and Fair Values of Embedded Derivatives |
The table below identifies the balance sheet category and fair value of HTLF's derivative instrument designated as a cash flow hedge at December 31, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount | | Fair Value | | Balance Sheet Category | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | | | | | | | | | Interest rate swap | $ | 500,000 | | | $ | 13 | | | Other Assets | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2023 | | 2022 | | 2023 | | 2022 | Hedged item (loans receivable held to maturity) | $ | (11,144) | | | $ | (34) | | | $ | (24,026) | | | $ | (117) | | Hedged item (securities carried at fair value) | (36,362) | | | — | | | (65,872) | | | — | | Derivatives designated as hedging instruments on loans receivable held to maturity | 10,769 | | | 39 | | | 23,655 | | | 161 | | Derivatives designated as hedging instruments on securities carried at fair value | 35,236 | | | — | | | 64,820 | | | — | | The table below identifies the notional amount, fair value and balance sheet category of the embedded derivatives at September 30, 2023, and December 31, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | Notional Amount | | Fair Value | | Balance Sheet Category | | | | | | | September 30, 2023 | | | | | | | | | | | | Embedded derivatives | $ | 4,185 | | | $ | 109 | | | Other assets | | | | | | | | | | | | | | | | | | | December 31, 2022 | | | | | | | | | | | | Embedded derivatives | $ | 6,028 | | | $ | 135 | | | Other assets | | | | | | | | | | | | | | | | | | |
The table below identifies the gains and losses recognized on HTLF's embedded derivatives for the three- and nine- months ended September 30, 2023, and September 30, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2023 | | 2022 | | 2023 | | 2022 | Gain (loss) recognized in other noninterest income on embedded derivatives | $ | (9) | | | $ | 121 | | | $ | (26) | | | $ | 446 | |
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Gains (Losses) on Derivative Instruments |
The table below identifies the gains and losses recognized on HTLF's terminated derivative instruments designated as cash flow hedges for the three and nine months ended September 30, 2023, and September 30, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | | | Recognized in OCI | | Reclassified from AOCI into Income | | | | Amount of Gain (Loss) | | Category | | Amount of Gain (Loss) | | | | | Three Months Ended September 30, 2023 | | | | | | | | | | Interest rate swap | $ | — | | | Interest income | | $ | 63 | | | | | | Nine Months Ended September 30, 2023 | | | | | | | | | | Interest rate swap | $ | 1,952 | | | Interest income | | $ | (638) | | | | | | Three Months Ended September 30, 2022 | | | | | | | | | | Interest rate swap | $ | — | | | Interest income | | $ | — | | | | | | Nine Months Ended September 30, 2022 | | | | | | | | | | Interest rate swap | $ | — | | | Interest income | | $ | — | | | | | |
The table below identifies the net impact to interest income recognized on HTLF's fair value hedges specific to the fair value remeasurements and the income statement classification where it is recorded in comparison to the total amount of interest income presented on the consolidated statements of income for the three- and nine- months ended September 30, 2023, and September 30, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2023 | | 2022 | | 2023 | | 2022 | Gain (loss) recognized in interest income and fees on loans | $ | (375) | | | $ | 5 | | | $ | (371) | | | $ | 44 | | Total amount of interest and fees on loans | 182,394 | | | 122,913 | | | 505,136 | | | 334,000 | | Gain (loss) recognized in interest income on securities-taxable | (1,126) | | | — | | | (1,052) | | | — | | Total amount of interest on securities-taxable | 54,800 | | | 45,648 | | | 168,948 | | | 116,366 | |
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Balance Sheet Category and Fair Values of Derivative Instruments |
The table below identifies the fair value of the interest rate swaps designated as fair value hedges and the balance sheet category of the interest rate swaps as of September 30, 2023 and December 31, 2022, in thousands: | | | | | | | | | | | | | Fair Value | | Balance Sheet Category | September 30, 2023 | | | | Interest rate swaps-loans receivable held to maturity | $ | 24,998 | | | Other assets | Interest rate swaps-securities carried at fair value | 66,853 | | | Other assets | December 31, 2022 | | | | Interest rate swaps-loans receivable held to maturity | 54 | | | Other assets |
The table below identifies the carrying amount of the hedged assets and cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged assets that are designated as fair value hedge accounting relationships at September 30, 2023, and December 31, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | Location in the consolidated balance sheet | | Carrying Amount of the Hedged Assets | | Cumulative Amount of Fair Value Hedging Adjustment Included in Carrying Amount of Hedged Assets | | | September 30, 2023 | | | | | | | | | | | | | | | | Interest rate swap | Loans receivable held to maturity | | $ | 2,476,983 | | | $ | (23,707) | | | | Interest rate swap | Securities carried at fair value | | 729,528 | | (64,820) | | | | December 31, 2022 | | | | | | | | | | | | | | | | Interest rate swap | Loans receivable held to maturity | | $ | 1,185 | | | $ | (54) | | | |
The table below identifies the balance sheet category and fair values of the derivative instruments designated as loan swaps at September 30, 2023, and December 31, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | Notional Amount | | Fair Value | | Balance Sheet Category | | | | | September 30, 2023 | | | | | | | | | | Customer interest rate swaps | $ | 1,500,715 | | | $ | 75,965 | | | Other assets | | | | | Customer interest rate swaps | 1,500,715 | | | (75,965) | | | Other liabilities | | | | | December 31, 2022 | | | | | | | | | | Customer interest rate swaps | $ | 819,662 | | | $ | 46,091 | | | Other assets | | | | | Customer interest rate swaps | 819,662 | | | (46,091) | | | Other liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Schedule of Other Derivatives Not Designated as Hedging Instruments, Balance Sheet and Income Category |
The table below identifies the balance sheet category and fair values of HTLF's other free standing derivative instruments not designated as hedging instruments at September 30, 2023, and December 31, 2022, in thousands: | | | | | | | | | | | | | | | | | | | Balance Sheet Category | | Notional Amount | | Fair Value | September 30, 2023 | | | | | | Interest rate lock commitments (mortgage) | Other assets | | $ | 4,000 | | | $ | 99 | | | | | | | | Forward commitments | Other assets | | 7,500 | | | 41 | | Forward commitments | Other liabilities | | 1,750 | | | (5) | | Undesignated interest rate swaps | Other liabilities | | 4,185 | | | (109) | | | | | | | | December 31, 2022 | | | | | | Interest rate lock commitments (mortgage) | Other assets | | $ | 9,340 | | | $ | 174 | | | | | | | | Forward commitments | Other assets | | 6,400 | | | 47 | | Forward commitments | Other liabilities | | 5,750 | | | (99) | | Undesignated interest rate swaps | Other liabilities | | 6,028 | | | (135) | | | | | | | |
HTLF recognizes gains and losses on other free standing derivatives in two separate income statement categories. Interest rate lock commitments and forward commitments are recognized in net gains on sale of loans held for sale and undesignated interest rate swaps are recognized in other noninterest income. The table below identifies the gains and losses recognized in income on HTLF's other free standing derivative instruments not designated as hedging instruments for the three- and nine- months ended September 30, 2023, and September 30, 2022, in thousands: | | | | | | | | | | | | | | | | | | | | | | | | | Three Months Ended September 30, | | Nine Months Ended September 30, | | 2023 | | 2022 | | 2023 | | 2022 | Interest rate lock commitments (mortgage) | $ | (352) | | | $ | (1,337) | | | $ | (70) | | | $ | (2,009) | | | | | | | | | | Forward commitments | (4) | | | 813 | | | 87 | | | 881 | | Undesignated interest rate swaps | 9 | | | (121) | | | 26 | | | (446) | |
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