XML 44 R34.htm IDEA: XBRL DOCUMENT v3.22.2
Derivative Financial Instruments (Tables)
6 Months Ended
Jun. 30, 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

​

​

​

​

​

June 30,

​

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

​

​

​

​

​

1.83

%

​

0.20

%

Weighted average maturity, in years

​

​

​

​

​

2.21

yrs 

​

2.71

yrs

​

​

​

​

​

​

​

​

​

​

​

Loan Swap

​

​

​

​

​

​

​

​

​

​

Notional amount

​

​

​

​

$

300,000

​

$

—

​

Weighted average fixed receive rates

​

​

​

​

 

4.45

%

 

—

%

Weighted average variable Prime pay rates

​

​

​

​

​

4.81

%

​

—

%

Weighted average maturity, in years

​

​

​

​

​

6.61

yrs 

​

—

yrs

​

​

​

​

​

​

​

​

​

​

​

Gross aggregate fair value of the swaps

​

​

​

​

​

​

​

​

​

​

Gross aggregate fair value of swap assets

​

Other assets

​

$

1,412

​

$

—

​

Gross aggregate fair value of swap liabilities

​

Other liabilities

​

$

19,296

​

$

958

​

​

​

​

​

​

​

​

​

​

​

​

Balances carried in AOCI

​

​

​

​

​

​

​

​

​

​

Unrealized gains (losses) on cash flow hedges, net of tax

​

AOCI

​

$

(12,844)

​

$

(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):

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​

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​

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​

​

​

​

​

​

Three Months Ended June 30, 

​

Six Months Ended June 30, 

​

​

2022

​

2021

   

2022

    

2021

Interest income (expense) on swap transactions

​

$

567

​

$

(288)

​

$

1,067

​

$

(566)

Schedule of notional amount and fair value of risk participation agreement

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​

​

​

​

​

​

​

​

​

As of

​

​

June 30,

​

December 31,

​

   

2022

   

2021

Risk participation agreement:

​

​

​

​

​

​

Notional amount

​

$

3,946

​

$

3,990

Fair value

​

​

3

​

​

11

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):

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​

​

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​

​

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​

​

​

​

​

​

Three Months Ended June 30, 

​

Six Months Ended June 30, 

​

​

2022

​

2021

   

2022

    

2021

Unrealized gains (losses) on cash flow hedges

​

​

​

​

​

​

​

​

​

​

​

​

Gain (loss) recognized in OCI, net of tax

​

$

(6,550)

​

$

(69)

​

$

(11,395)

​

$

341

(Gain) loss reclassified from OCI to interest expense, net of tax

​

​

(407)

​

​

206

​

​

(764)

​

​

405

Net change in unrealized gains (losses) on cash flow hedges

​

$

(6,957)

​

$

137

​

$

(12,159)

​

$

746

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):

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

As of June 30, 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

​

$

7,201

​

$

151

​

$

19,384

​

$

206

Forward sales commitments

​

Other assets

​

​

931

​

​

4

​

​

1,884

​

​

10

Mortgage banking derivatives recorded in other assets

​

$

8,132

​

$

155

​

$

21,268

​

$

216

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Derivatives with negative fair value

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate lock commitments

​

Other liabilities

​

$

527

​

$

2

​

$

499

​

$

6

Forward sales commitments

​

Other liabilities

​

​

11,551

​

​

217

​

​

41,002

​

​

439

Mortgage banking derivatives recorded in other liabilities

​

$

12,078

​

$

219

​

$

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):

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended June 30, 

    

Six Months Ended June 30, 

​

   

Location

   

2022

   

2021

   

2022

   

2021

Net gains (losses)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate lock commitments

​

Mortgage revenue

​

$

134

​

$

493

​

$

149

​

$

965

Forward sales commitments

​

Mortgage revenue

​

 

(319)

​

​

(1,358)

​

 

(213)

​

​

(2,178)

Net gains (losses)

​

​

​

​

$

(185)

​

$

(865)

​

$

(64)

​

$

(1,213)

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):

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​

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​

​

​

​

​

​

​

​

​

As of June 30, 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

​

$

74,892

​

$

1,798

​

$

368,937

​

$

21,761

Interest rate swaps – pay fixed, receive floating

​

​

368,937

​

​

21,761

​

​

74,892

​

​

1,798

Total derivatives not designated as hedging instruments

​

$

443,829

​

$

23,559

​

$

443,829

​

$

23,559

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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):

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​

​

​

​

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​

​

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​

Three Months Ended June 30, 

​

Six Months Ended June 30, 

​

   

Location

   

2022

 

2021

   

2022

 

2021

Interest rate swaps

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Pay floating, receive fixed

​

Noninterest expense

​

$

7,025

​

$

1,264

​

$

3,475

​

$

(9,331)

Pay fixed, receive floating

​

Noninterest expense

​

​

(7,025)

​

​

(1,264)

​

​

(3,475)

​

​

9,331

Net change in fair value of interest rate swaps

​

​

​

​

$

—

​

$

—

​

$

—

​

$

—