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DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended
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Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Financial Instruments Owned and Pledged as Collateral | The principal balance of loans Busey has pledged as collateral to the FHLB and Federal Reserve Bank for liquidity as set forth in the table below (dollars in thousands):
| As of
| September 30, 2024 |  | December 31, 2023
Pledged loans |  |  |
FHLB | $ | 4,935,257 |  |  | $ | 4,865,481 |
Federal Reserve Bank | 755,936 |  |  | 722,914 |
Total pledged loans | $ | 5,691,193 |  |  | $ | 5,588,395 |
To secure its obligations under derivative contracts, Busey pledged cash and held collateral as follows (dollars in thousands):
| As of
| September 30, 2024 |  | December 31, 2023
Cash pledged to secure obligations under derivative contracts | $ | 17,270 |  |  | $ | 34,210 |
Collateral held to secure obligations under derivative contracts | 9,380 |  |  | 19,280 |
Schedule 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, 2024 |  | December 31, 2023
Debt Swap |  |  |  |  |
Notional amount |  |  | — |  |  | $ | 50,000 |
Weighted average rate: pay-fixed |  |  | — |  |  | 1.79 | %
Weighted average variable 3-month Fallback Rate (SOFR) receive rates |  |  | — |  |  | 5.61 | %
Weighted average maturity |  |  | — |  |  | 0.71 years
Prime Loan Swap |  |  |  |  |
Notional amount |  |  | $ | 300,000 |  |  | $ | 300,000 |
Weighted average rate: receive-fixed |  |  | 4.81 | % |  | 4.81 | %
Weighted average variable Prime pay rates |  |  | 8.25 | % |  | 8.50 | %
Weighted average maturity |  |  | 4.35 years |  | 5.10 years
SOFR Loan Swap |  |  |  |  |
Notional amount |  |  | $ | 100,000 |  |  | $ | — |
Weighted average rate: receive-fixed |  |  | 3.72 | % |  | — |
Weighted average maturity |  |  | 4.43 years |  | — |
Gross aggregate fair value of the swaps |  |  |  |  |
Gross aggregate fair value of swap assets | Other assets |  | $ | 2,332 |  |  | $ | 1,293 |
Gross aggregate fair value of swap liabilities | Other liabilities |  | 19,176 |  |  | 25,411 |
Balances carried in AOCI |  |  |  |  |
Unrealized gains (losses) on cash flow hedges, net of tax | AOCI |  | $ | (11,487) |  |  | $ | (16,694) |
Schedule of 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, 2024.
| As of September 30, 2024
Unrealized losses expected to be reclassified from OCI to interest income | $ | (859) |
Schedule of Interest Income (Expense) Recorded on Swap Transactions | Interest income and interest expense recorded on these swap transactions is presented in the following table (dollars in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
Interest on swap transactions |  |  |  |  |  |  |
Increase (decrease) in interest income on swap transactions | $ | (2,776) |  |  | $ | (2,771) |  |  | $ | (8,366) |  |  | $ | (7,500) |
(Increase) decrease in interest expense on swap transactions | 412 |  |  | 481 |  |  | 1,378 |  |  | 1,268 |
Net increase (decrease) in net interest income on swap transactions | $ | (2,364) |  |  | $ | (2,290) |  |  | $ | (6,988) |  |  | $ | (6,232) |
Schedule of Net Gains (Losses) Relating to these Derivative Instruments | Net gains (losses) relating to cash flow derivative instruments that were recorded in OCI on the Consolidated Statements of Income (Unaudited) are presented in the table below (dollars in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2024 |  | 2023 |  | 2024 |  | 2023
Unrealized gains (losses) on cash flow hedges |  |  |  |  |  |  |
Net gain (loss) recognized in OCI, net of tax | $ | 7,439 |  |  | $ | (5,577) |  |  | $ | 211 |  |  | $ | (8,563) |
(Gain) loss reclassified from OCI to interest income, net of tax | 1,984 |  |  | 1,982 |  |  | 5,981 |  |  | 5,362 |
(Gain) loss reclassified from OCI to interest expense, net of tax | (294) |  |  | (344) |  |  | (985) |  |  | (906) |
Net change in unrealized gains (losses) on cash flow hedges, net of tax | $ | 9,129 |  |  | $ | (3,939) |  |  | $ | 5,207 |  |  | $ | (4,107) |
Changes in fair value of these derivative assets and liabilities are included in the Consolidate d Statements of Income (U naudited) and are summarized as follows (dollars in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
| Location |  | 2024 |  | 2023 |  | 2024 |  | 2023
Interest rate swaps |  |  |  |  |  |  |  |  |
Receive-fixed, pay-floating | Noninterest expense |  | $ | (9,224) |  |  | $ | 9,007 |  |  | $ | (3,050) |  |  | $ | 4,646 |
Receive-floating, pay-fixed | Noninterest expense |  | 9,224 |  |  | (9,007) |  |  | 3,050 |  |  | (4,646) |
Net change in fair value of interest rate swaps |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Gains and losses relating to these derivative instruments are reported in noninterest income, and are summarized as follows for the periods presented (dollars in thousands):
|  |  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  |  | 2024 |  | 2023 |  | 2024 |  | 2023
Net gains (losses) on mortgage banking derivatives |  |  |  |  |  |  |  |  |
Gains (losses) on interest rate lock commitments |  |  | $ | 121 |  |  | $ | (16) |  |  | $ | 569 |  |  | $ | (28) |
Gains (losses) on forward sales commitments |  |  | (91) |  |  | 60 |  |  | (165) |  |  | 92 |
Net gains (losses) on mortgage banking derivatives |  |  | $ | 30 |  |  | $ | 44 |  |  | $ | 404 |  |  | $ | 64 |
Schedule of Fair Values of Derivative Assets and Liabilities Recorded in Consolidated Balance Sheet | Amounts and fair values of derivative assets and derivative liabilities related to customer interest rate swaps recorded on the Consolidated Balance Sheets (Unaudited), are summarized as follows (dollars in thousands):
|  |  | As of September 30, 2024 |  | As of December 31, 2023
| Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Derivative assets not designated as hedging instruments |  |  |  |  |  |  |  |  |
Interest rate swaps: receive-fixed, pay-floating | Other assets |  | $ | 333,545 |  |  | $ | 6,730 |  |  | $ | 177,883 |  |  | $ | 2,375 |
Interest rate swaps: receive-floating, pay-fixed | Other assets |  | 377,609 |  |  | 18,648 |  |  | 485,253 |  |  | 26,289 |
Derivative assets not designated as hedging instruments |  |  | $ | 711,154 |  |  | $ | 25,378 |  |  | $ | 663,136 |  |  | $ | 28,664 |
Derivative liabilities not designated as hedging instruments |  |  |  |  |  |  |  |  |
Interest rate swaps: receive-fixed, pay-floating | Other liabilities |  | $ | 377,609 |  |  | $ | 18,648 |  |  | $ | 485,253 |  |  | $ | 26,289 |
Interest rate swaps: receive-floating, pay-fixed | Other liabilities |  | 333,545 |  |  | 6,730 |  |  | 177,883 |  |  | 2,375 |
Derivative liabilities not designated as hedging instruments |  |  | $ | 711,154 |  |  | $ | 25,378 |  |  | $ | 663,136 |  |  | $ | 28,664 |
Amounts and fair values of mortgage banking derivatives included on the Consolidated Balance Sheets (Unaudited) are summarized as follows (dollars in thousands):
|  |  | As of September 30, 2024 |  | As of December 31, 2023
| Location |  | Notional Amount |  | Fair Value |  | Notional Amount |  | Fair Value
Mortgage banking derivative assets |  |  |  |  |  |  |  |  |
Interest rate lock commitments | Other assets |  | $ | 4,666 |  |  | $ | 76 |  |  | $ | 3,477 |  |  | $ | 25 |
Forward sales commitments | Other assets |  | 3,887 |  |  | 9 |  |  | 1,761 |  |  | 11 |
Mortgage banking derivative assets |  |  | $ | 8,553 |  |  | $ | 85 |  |  | $ | 5,238 |  |  | $ | 36 |
Mortgage banking derivative liabilities |  |  |  |  |  |  |  |  |
Interest rate lock commitments | Other liabilities |  | $ | 309 |  |  | $ | 2 |  |  | $ | 1,615 |  |  | $ | 10 |
Forward sales commitments | Other liabilities |  | 10,430 |  |  | 80 |  |  | 5,216 |  |  | 47 |
Mortgage banking derivative liabilities |  |  | $ | 10,739 |  |  | $ | 82 |  |  | $ | 6,831 |  |  | $ | 57 |
Schedule of Notional Amount and Fair Value of Risk Participation Agreement | The risk participation agreements mature between August 2026 and January 2029, and are summarized as follows (dollars in thousands):
| As of
| September 30, 2024 |  | December 31, 2023
Risk participation agreements purchased |  |  |
Number of risk participation agreements | 6 |  |  | 3 |
Notional amount | $ | 41,110 |  |  | $ | 34,251 |
Fair value | 16 |  |  | 15 |
Risk participation agreements sold |  |  |
Number of risk participation agreements | — |  |  | 1 |
Notional amount | — |  |  | $ | 20,001 |
Fair value | — |  |  | — |

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