XML 37 R30.htm IDEA: XBRL DOCUMENT v3.24.2.u1
DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 6 Months Ended
Jun. 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 June 30, 2024, and December 31, 2023.

 

 

June 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 note hedges

 

 

11.2

 

 

 

2.81

%

 

 

7.40

%

 

 

11.7

 

 

 

2.80

%

 

 

7.43

%

Variable rate FHLB advance hedges

 

 

1.7

 

 

 

3.59

%

 

 

5.33

%

 

 

2.2

 

 

 

3.58

%

 

 

5.35

%

Prime based receivable loan hedges

 

 

—

 

 

 

0.00

%

 

 

0.00

%

 

 

0.2

 

 

 

8.50

%

 

 

5.60

%

Total cash flow hedges

 

 

2.4

 

 

 

3.53

%

 

 

5.47

%

 

 

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 June 30, 2024, and December 31, 2023.

 

 

June 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

 

$

18,247

 

 

$

1,632

 

 

$

—

 

 

$

15,461

 

 

$

1,580

 

 

$

—

 

Derivatives designated as cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

107,500

 

 

 

3,857

 

 

 

—

 

 

 

257,500

 

 

 

1,976

 

 

 

631

 

Total derivatives designated as hedging relationships

 

 

125,747

 

 

 

5,489

 

 

 

—

 

 

 

272,961

 

 

 

3,556

 

 

 

631

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

200,361

 

 

 

4,182

 

 

 

3,786

 

 

 

180,911

 

 

 

3,446

 

 

 

3,025

 

Total derivatives not designated as hedging
   instruments

 

 

200,361

 

 

 

4,182

 

 

 

3,786

 

 

 

180,911

 

 

 

3,446

 

 

 

3,025

 

Total

 

$

326,108

 

 

 

9,671

 

 

 

3,786

 

 

$

453,872

 

 

 

7,002

 

 

 

3,656

 

Cash collateral

 

 

 

 

 

—

 

 

 

9,041

 

 

 

 

 

 

—

 

 

 

5,952

 

Netting adjustments

 

 

 

 

 

(8,852

)

 

 

(8,852

)

 

 

 

 

 

(6,406

)

 

 

(6,406

)

Net amount presented in Balance Sheet

 

 

 

 

$

819

 

 

$

3,975

 

 

 

 

 

$

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 June 30, 2024, and December 31, 2023.

 

 

 

June 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

 

$

15,095

 

 

$

(1,909

)

 

$

(422

)

 

$

15,795

 

 

$

(1,826

)

 

$

(446

)

Total

 

$

15,095

 

 

$

(1,909

)

 

$

(422

)

 

$

15,795

 

 

$

(1,826

)

 

$

(446

)
Summary of Net Gains/ (Losses) on Derivatives and Hedging Activities For the three and six months period ended June 30, 2024, and 2023, the Company recorded net gains (losses) on derivatives and hedging activities as shown in the table below.

 

 

 

Three Months Ended
June 30,

 

 

Six Months Ended
June 30,

 

 

 

2024

 

 

2023

 

 

2024

 

 

2023

 

Derivatives designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

$

5

 

 

$

2

 

 

$

6

 

 

$

10

 

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

 

 

5

 

 

 

2

 

 

 

6

 

 

 

10

 

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

 

 

5

 

 

 

2

 

 

 

6

 

 

 

10

 

Derivatives not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

Economic hedges:

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

 

143

 

 

 

207

 

 

 

219

 

 

 

204

 

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

 

 

143

 

 

 

207

 

 

 

219

 

 

 

204

 

Net gains (losses) on derivatives and hedging activities

 

$

148

 

 

$

209

 

 

$

225

 

 

$

214

 

 

 
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 June 30, 2024, and 2023.

 

 

 

June 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

 

$

(34

)

 

$

39

 

 

$

5

 

 

$

159

 

Total

 

$

(34

)

 

$

39

 

 

$

5

 

 

$

159

 

 

 

 

June, 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

 

$

237

 

 

$

(235

)

 

$

2

 

 

$

155

 

Total

 

$

237

 

 

$

(235

)

 

$

2

 

 

$

155

 

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 six month periods ended June 30, 2024, and 2023.

 

 

June 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

 

$

112

 

 

$

(106

)

 

$

6

 

 

$

320

 

Total

 

$

112

 

 

$

(106

)

 

$

6

 

 

$

320

 

 

 

 

June 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

 

$

(130

)

 

$

140

 

 

$

10

 

 

$

304

 

Total

 

$

(130

)

 

$

140

 

 

$

10

 

 

$

304

 

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 June 30, 2024, and 2023.

 

 

 

June 30, 2024

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

167

 

 

$

127

 

 

$

(169

)

FHLB advance hedges

 

 

(12

)

 

 

—

 

 

 

438

 

Subordinated note hedges

 

 

35

 

 

 

24

 

 

 

87

 

Total

 

$

190

 

 

$

151

 

 

$

356

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

33

 

 

$

25

 

 

$

(970

)

FHLB advance hedges

 

 

1,909

 

 

 

1,442

 

 

 

349

 

Subordinated note hedges

 

 

173

 

 

 

130

 

 

 

(6

)

Total

 

$

2,115

 

 

$

1,597

 

 

$

(627

)

 

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 six month periods ended June 30, 2024, and 2023.

 

 

June 30, 2024

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

1,159

 

 

$

876

 

 

$

(1,267

)

FHLB advance hedges

 

 

969

 

 

 

741

 

 

 

874

 

Subordinated note hedges

 

 

196

 

 

 

146

 

 

 

175

 

Total

 

$

2,324

 

 

$

1,763

 

 

$

(218

)

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

956

 

 

$

711

 

 

$

(1,750

)

FHLB advance hedges

 

 

2,032

 

 

 

1,534

 

 

 

382

 

Subordinated note hedges

 

 

(74

)

 

 

(55

)

 

 

65

 

Total

 

$

2,914

 

 

$

2,190

 

 

$

(1,303

)
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 June 30, 2024, and 2023.

 

 

 

June 30, 2024

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

167

 

 

$

127

 

 

$

(169

)

FHLB advance hedges

 

 

(12

)

 

 

—

 

 

 

438

 

Subordinated note hedges

 

 

35

 

 

 

24

 

 

 

87

 

Total

 

$

190

 

 

$

151

 

 

$

356

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

33

 

 

$

25

 

 

$

(970

)

FHLB advance hedges

 

 

1,909

 

 

 

1,442

 

 

 

349

 

Subordinated note hedges

 

 

173

 

 

 

130

 

 

 

(6

)

Total

 

$

2,115

 

 

$

1,597

 

 

$

(627

)

 

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 six month periods ended June 30, 2024, and 2023.

 

 

June 30, 2024

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

1,159

 

 

$

876

 

 

$

(1,267

)

FHLB advance hedges

 

 

969

 

 

 

741

 

 

 

874

 

Subordinated note hedges

 

 

196

 

 

 

146

 

 

 

175

 

Total

 

$

2,324

 

 

$

1,763

 

 

$

(218

)

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

 

Gain/(Loss)
on
Derivatives

 

 

Gain/(Loss)
Recorded in Accumulated Other Comprehensive Income

 

 

Effect of
Derivatives on
Net Interest
Income

 

Prime based receivable loan hedges

 

$

956

 

 

$

711

 

 

$

(1,750

)

FHLB advance hedges

 

 

2,032

 

 

 

1,534

 

 

 

382

 

Subordinated note hedges

 

 

(74

)

 

 

(55

)

 

 

65

 

Total

 

$

2,914

 

 

$

2,190

 

 

$

(1,303

)