Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Summary of the interest-rate swaps designated as cash flow hedges

A summary of the interest-rate swaps designated as cash flow hedges is presented below (dollars in thousands):

		As of
		March 31,			December 31,
	Location	2022			2021
Debt Swap
Notional amount		$	50,000		$	50,000
Weighted average fixed pay rates			1.79	%		1.79	%
Weighted average variable 3-month LIBOR receive rates			0.83	%		0.20	%
Weighted average maturity, in years			2.46	yrs		2.71	yrs
Loan Swap
Notional amount		$	300,000		$	—
Weighted average fixed receive rates			4.81	%		—	%
Weighted average variable Prime pay rates			3.40	%		—	%
Weighted average maturity, in years			6.85	yrs		—	yrs
Gross aggregate fair value of the swaps
Gross aggregate fair value of swap assets	Other assets	$	835		$	—
Gross aggregate fair value of swap liabilities	Other liabilities	$	8,772		$	958
Balances carried in AOCI
Unrealized gains (losses) on cash flow hedges, net of tax	AOCI	$	(5,887)		$	(685)

Schedule of interest income (expense) recorded on swap transactions

Interest expense recorded on these swap transactions was as follows for the periods presented (dollars in thousands):

	Three Months Ended March 31,
	2022		2021
Interest income (expense) on swap transactions	$	500	$	(278)

Interest rate contract

Summary of Net gains (losses) relating to these derivative instruments

The following table reflects the net gains (losses) relating to cash flow derivative instruments that were recorded in AOCI and the unaudited Consolidated Statements of Income during the periods presented (dollars in thousands):

	Three Months Ended March 31,
	2022		2021
Unrealized gains (losses) on cash flow hedges
Gain (loss) recognized in OCI, net of tax	$	(4,845)	$	410
(Gain) loss reclassified from OCI to interest expense, net of tax		(357)		199
Net change in unrealized gains (losses) on cash flow hedges	$	(5,202)	$	609

Interest rate lock commitments and forward sales commitments

Summary of fair values of derivative assets and liabilities recorded in consolidated balance sheet

Amounts and fair values of mortgage banking derivatives included in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):

		As of March 31, 2022				As of December 31, 2021
		Notional		Fair		Notional		Fair
	Location	Amount		Value		Amount		Value
Derivatives with positive fair value
Interest rate lock commitments	Other assets	$	3,724	$	38	$	19,384	$	206
Forward sales commitments	Other assets		8,947		148		1,884		10
Mortgage banking derivatives recorded in other assets		$	12,671	$	186	$	21,268	$	216
Derivatives with negative fair value
Interest rate lock commitments	Other liabilities	$	2,866	$	23	$	499	$	6
Forward sales commitments	Other liabilities		4,429		42		41,002		439
Mortgage banking derivatives recorded in other liabilities		$	7,295	$	65	$	41,501	$	445

Summary of Net gains (losses) relating to these derivative instruments

Net gains (losses) relating to these derivative instruments are summarized as follows for the periods presented (dollars in thousands):

		Three Months Ended March 31,
	Location	2022		2021
Net gains (losses)
Interest rate lock commitments	Mortgage revenue	$	15	$	472
Forward sales commitments	Mortgage revenue		106		(820)
Net gains (losses)		$	121	$	(348)

Interest rate swap

Summary of fair values of derivative assets and liabilities recorded in consolidated balance sheet

Amounts and fair values of derivative assets and liabilities related to customer interest rate swaps recorded in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):

	As of March 31, 2022
	Derivative Asset				Derivative Liability
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
Derivatives not designated as hedging instruments
Interest rate swaps – pay floating, receive fixed	$	119,622	$	3,467	$	372,968	$	13,080
Interest rate swaps – pay fixed, receive floating		372,968		13,080		119,622		3,467
Total derivatives not designated as hedging instruments	$	492,590	$	16,547	$	492,590	$	16,547

	As of December 31, 2021
	Derivative Asset				Derivative Liability
	Notional		Fair		Notional		Fair
	Amount		Value		Amount		Value
Derivatives not designated as hedging instruments
Interest rate swaps – pay floating, receive fixed	$	404,572	$	17,839	$	86,784	$	2,259
Interest rate swaps – pay fixed, receive floating		86,784		2,259		404,572		17,839
Total derivatives not designated as hedging instruments	$	491,356	$	20,098	$	491,356	$	20,098

Summary of Net gains (losses) relating to these derivative instruments

Changes in fair value of these derivative assets and liabilities are recorded in noninterest expense in the unaudited Consolidated Statements of Income and summarized as follows (dollars in thousands):

		Three Months Ended March 31,
	Location	2022		2021
Interest rate swaps
Pay floating, receive fixed	Noninterest expense	$	(3,550)	$	(10,595)
Pay fixed, receive floating	Noninterest expense		3,550		10,595
Net change in fair value of interest rate swaps		$	—	$	—