XML 27 R17.htm IDEA: XBRL DOCUMENT v3.23.2
DERIVATIVE INSTRUMENTS
 6 Months Ended
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 $0.2 million.
The following table presents the notional amount and fair value of our derivative instruments as of the dates indicated.
June 30, 2023December 31, 2022
($ in thousands)Notional AmountFair
Value		Notional AmountFair
Value
Derivative assets:
Interest rate swaps on loans$32,677 $2,158 $33,694 $2,134 
Foreign exchange contracts4,892 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 loans32,677 2,138 33,694 2,107 
Foreign exchange contracts4,892 34 5,885 144 
Total$337,569 $2,626 $39,579 $2,251