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v3.23.3

Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of financial instruments owned and pledged as collateral | Busey had loans pledged to the FHLB and Federal Reserve for liquidity as set forth in the table below (dollars in thousands):
| As of
| September 30, 2023 |  | December 31, 2022
Pledged loans |  |  |
FHLB | $ | 4,852,634 |  |  | $ | 5,095,448 |
Federal Reserve Bank | 858,312 |  |  | 804,718 |
Total pledged loans | $ | 5,710,946 |  |  | $ | 5,900,166 |
To secure its obligations under derivative contracts, Busey pledged cash and held collateral as follows (dollars in thousands):
| As of
| September 30, 2023 |  | December 31, 2022
Cash pledged to secure obligations under derivative contracts | $ | 34,210 |  |  | $ | 38,609 |
Collateral held to secure obligations under derivative contracts | 34,620 |  |  | 29,830 |
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
| Location |  | September 30, 2023 |  | December 31, 2022
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 |  |  | 5.55 | % |  | 4.77 | %
Weighted average maturity |  |  | 0.96 years |  | 1.71 years
Loan Swap |  |  |  |  |
Notional amount |  |  | $ | 300,000 |  |  | $ | 300,000 |
Weighted average fixed receive rates |  |  | 4.81 | % |  | 4.81 | %
Weighted average variable Prime pay rates |  |  | 8.50 | % |  | 7.32 | %
Weighted average maturity |  |  | 5.35 years |  | 6.10 years
Gross aggregate fair value of the swaps |  |  |  |  |
Gross aggregate fair value of swap assets | Other assets |  | $ | 1,886 |  |  | $ | 2,535 |
Gross aggregate fair value of swap liabilities | Other liabilities |  | 37,725 |  |  | 32,367 |
Balances carried in AOCI |  |  |  |  |
Unrealized gains (losses) on cash flow hedges, net of tax | AOCI |  | $ | (25,092) |  |  | $ | (20,985) |
Reclassification of unrealized gains and losses from OCI | Busey expects to reclassify unrealized gains and losses from OCI to interest income and interest expense as shown in the following table, during the next 12 months (dollars in thousands). Amounts actually recognized could differ from these expectations due to changes in interest rates, hedge de-designations, and the addition of other hedges subsequent to September 30, 2023.
| As of September 30, 2023
Unrealized gains (losses) in OCI expected to be recognized in income |
Unrealized losses expected to be reclassified from OCI to interest income | $ | (922) |
Unrealized gains expected to be reclassified from OCI to interest expense | 481 |
Net unrealized gains (losses) in OCI expected to be recognized in net interest income | $ | (441) |
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 September 30, |  | Nine Months Ended September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Interest on swap transactions |  |  |  |  |  |  |
Increase (decrease) in interest income on swap transactions | $ | (2,771) |  |  | $ | (405) |  |  | $ | (7,500) |  |  | $ | 947 |
(Increase) decrease in interest expense on swap transactions | 481 |  |  | 35 |  |  | 1,268 |  |  | (250) |
Net increase (decrease) in net interest income on swap transactions | $ | (2,290) |  |  | $ | (370) |  |  | $ | (6,232) |  |  | $ | 697 |
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 Consolidated Statements of Income (Unaudited) during the periods presented (dollars in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2023 |  | 2022 |  | 2023 |  | 2022
Unrealized gains (losses) on cash flow hedges |  |  |  |  |  |  |
Net gain (loss) recognized in OCI, net of tax | $ | (5,577) |  |  | $ | (10,192) |  |  | $ | (8,563) |  |  | $ | (21,587) |
(Gain) loss reclassified from OCI to interest income, net of tax | 1,982 |  |  | (24) |  |  | 5,362 |  |  | (992) |
(Gain) loss reclassified from OCI to interest expense, net of tax | (344) |  |  | 290 |  |  | (906) |  |  | 494 |
Net change in unrealized gains (losses) on cash flow hedges, net of tax | $ | (3,939) |  |  | $ | (9,926) |  |  | $ | (4,107) |  |  | $ | (22,085) |
Changes in fair value of these derivative assets and liabilities are recorded in noninterest expense in the Consolidated Statements of Income (Unaudited) and summarized as follows (dollars in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
| Location |  | 2023 |  | 2022 |  | 2023 |  | 2022
Interest rate swaps |  |  |  |  |  |  |  |  |
Pay floating, receive fixed | Noninterest expense |  | $ | 9,007 |  |  | $ | 18,317 |  |  | $ | 4,646 |  |  | $ | 21,792 |
Pay fixed, receive floating | Noninterest expense |  | (9,007) |  |  | (18,317) |  |  | (4,646) |  |  | (21,792) |
Net change in fair value of interest rate swaps |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Net gains (losses) relating to these derivative instruments are summarized as follows for the periods presented (dollars in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
| Location |  | 2023 |  | 2022 |  | 2023 |  | 2022
Net gains (losses) |  |  |  |  |  |  |  |  |
Interest rate lock commitments | Mortgage revenue |  | $ | (16) |  |  | $ | (111) |  |  | $ | (28) |  |  | $ | 38 |
Forward sales commitments | Mortgage revenue |  | 60 |  |  | 295 |  |  | 92 |  |  | 82 |
Net gains (losses) |  |  | $ | 44 |  |  | $ | 184 |  |  | $ | 64 |  |  | $ | 120 |
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 Consolidated Balance Sheets (Unaudited) are summarized as follows (dollars in thousands):
| As of September 30, 2023
| Derivative Asset |  | Derivative Liability
| Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Interest rate swaps – pay floating, receive fixed | $ | 9,320 |  |  | $ | 99 |  |  | $ | 618,971 |  |  | $ | 44,914 |
Interest rate swaps – pay fixed, receive floating | 618,971 |  |  | 44,914 |  |  | 9,320 |  |  | 99 |
Total derivatives not designated as hedging instruments | $ | 628,291 |  |  | $ | 45,013 |  |  | $ | 628,291 |  |  | $ | 45,013 |
| As of December 31, 2022
| Derivative Asset |  | Derivative Liability
| Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Derivatives not designated as hedging instruments |  |  |  |  |  |  |
Interest rate swaps – pay floating, receive fixed | $ | 48,728 |  |  | $ | 370 |  |  | $ | 528,183 |  |  | $ | 39,685 |
Interest rate swaps – pay fixed, receive floating | 528,183 |  |  | 39,685 |  |  | 48,728 |  |  | 370 |
Total derivatives not designated as hedging instruments | $ | 576,911 |  |  | $ | 40,055 |  |  | $ | 576,911 |  |  | $ | 40,055 |
Amounts and fair values of mortgage banking derivatives included in the Consolidated Balance Sheets (Unaudited) are summarized as follows (dollars in thousands):
|  |  | As of September 30, 2023 |  | As of December 31, 2022
| Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Derivatives with positive fair value |  |  |  |  |  |  |  |  |
Interest rate lock commitments | Other assets |  | $ | 715 |  |  | $ | 4 |  |  | $ | 1,517 |  |  | $ | 16 |
Forward sales commitments | Other assets |  | 3,249 |  |  | 66 |  |  | 83 |  |  | 1 |
Mortgage banking derivatives recorded in other assets |  |  | $ | 3,964 |  |  | $ | 70 |  |  | $ | 1,600 |  |  | $ | 17 |
Derivatives with negative fair value |  |  |  |  |  |  |  |  |
Interest rate lock commitments | Other liabilities |  | $ | 1,366 |  |  | $ | 16 |  |  | $ | 83 |  |  | $ | 1 |
Forward sales commitments | Other liabilities |  | 1,795 |  |  | 12 |  |  | 2,757 |  |  | 39 |
Mortgage banking derivatives recorded in other liabilities |  |  | $ | 3,161 |  |  | $ | 28 |  |  | $ | 2,840 |  |  | $ | 40 |
Schedule of notional amount and fair value of risk participation agreement | The risk participation agreements mature between 2024 and 2029, and are summarized as follows (dollars in thousands):
| As of
| September 30, 2023 |  | December 31, 2022
Risk participation agreements purchased |  |  |
Number of risk participation agreements | 3 |  |  | 2 |
Notional amount | $ | 34,274 |  |  | $ | 18,899 |
Fair value | 7 |  |  | 5 |
Risk participation agreements sold |  |  |
Number of risk participation agreements | 1 |  |  | — |
Notional amount | $ | 20,001 |  |  | — |
Fair value | — |  |  | — |
Summary of Foreign Currency Forward Contracts | Amounts and fair values of derivative assets and liabilities related to foreign currency contracts recorded in the Consolidated Balance Sheets (Unaudited) are summarized as follows (dollars in thousands):
| As of September 30, 2023
| Derivative Asset |  | Derivative Liability
| Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Foreign currency forward contracts |  |  |  |  |  |  |
Foreign currency exchange forward contract (Buy) | $ | 354 |  |  | $ | 58 |  |  | $ | — |  |  | $ | — |
Foreign currency exchange forward contract (Sell) | — |  |  | — |  |  | 344 |  |  | (48) |
Total foreign currency forward contracts | $ | 354 |  |  | $ | 58 |  |  | $ | 344 |  |  | $ | (48) |

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Section 50 -Paragraph 2 -SubTopic 10 -Topic 815 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-2 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1A Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1B Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-8 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4B Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-1 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4C + Details
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