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DERIVATIVE INSTRUMENTS | 6 Months Ended
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Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVE INSTRUMENTS | DERIVATIVE INSTRUMENTS We use derivative instruments and other risk management techniques to reduce our exposure to adverse fluctuations in interest rates and foreign currency exchange rates in accordance with our risk management policies and for certain loan clients to allow them to hedge the risk of rising interest rates on their variable rate loans. The Company recognizes all derivatives on the consolidated balance sheet at fair value in other assets and other liabilities. On the date we enter into a derivative contract, the derivative is designated as either a fair value hedge, cash flow hedge, or a hedge designation is not made as it is a customer-related transaction. When a derivative is designated as a fair value hedge or cash flow hedge, the Company performs an assessment at inception, and, at least quarterly thereafter, to determine the effectiveness of the derivative in offsetting changes in the fair value or cash flows of the hedged items. Cash flow hedge In March 2023, the Company entered into pay-fixed, receive-variable interest-rate swap contracts classified as cash flow hedges with notional amounts aggregating $300.0 million, five year terms and varying maturity dates through 2028. These swap contracts were entered into with institutional counterparties to hedge against variability in cash flows attributable to interest rate risk related to changes in the SOFR benchmark interest rate on a portion of the Company’s variable rate deposits and borrowings. The cash flow hedges were deemed highly effective at inception. The portion of changes in the fair value of the cash flow hedges considered highly effective are recognized in other comprehensive income (loss) until the related cash flows from the hedged item are recognized in earnings. At June 30, 2023, the fair value of the cash flow hedges represent a liability of $0.5 million, of which $0.4 million (net of tax) was included in accumulated other comprehensive loss on the consolidated statements of financial condition. Other interest rate swaps and foreign exchange contracts not designated for hedge accounting During the three and six months ended June 30, 2023, changes in fair value of interest rate swaps on loans and foreign exchange contracts were gains of $10 thousand and losses of $14 thousand and were included in other income on the consolidated statements of operations. During the three and six months ended June 30, 2022, changes in fair value of interest rate swaps on loans and foreign exchange contracts were gains of $82 thousand and $0.2 million. The following table presents the notional amount and fair value of our derivative instruments as of the dates indicated.
|  | June 30, 2023 |  | December 31, 2022
($ in thousands) |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Derivative assets: |  |  |  |  |  |  |  |
Interest rate swaps on loans |  | $ | 32,677 |  |  | $ | 2,158 |  |  | $ | 33,694 |  |  | $ | 2,134 |
Foreign exchange contracts |  | 4,892 |  |  | 41 |  |  | 5,885 |  |  | 158 |
Total |  | $ | 37,569 |  |  | $ | 2,199 |  |  | $ | 39,579 |  |  | $ | 2,292 |
Derivative liabilities: |  |  |  |  |  |  |  |
Cash flow hedges |  | $ | 300,000 |  |  | $ | 454 |  |  | $ | — |  |  | $ | — |
Interest rate swaps on loans |  | 32,677 |  |  | 2,138 |  |  | 33,694 |  |  | 2,107 |
Foreign exchange contracts |  | 4,892 |  |  | 34 |  |  | 5,885 |  |  | 144 |
Total |  | $ | 337,569 |  |  | $ | 2,626 |  |  | $ | 39,579 |  |  | $ | 2,251 |

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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