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DERIVATIVES AND HEDGING ACTIVITIES | 9 Months Ended
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Sep. 30, 2022
DERIVATIVES AND HEDGING ACTIVITIES |
DERIVATIVES AND HEDGING ACTIVITIES | 10.DERIVATIVES AND HEDGING ACTIVITIES The Company is exposed to certain risks arising from both its business operations and economic conditions. The Company principally manages its exposures to a wide variety of business and operational risks through management of its core business activities. The Company manages economic risks, including interest rate, liquidity, and credit risk primarily by managing the amount, sources, and duration of its assets and liabilities and the use of derivative financial instruments. Specifically, the Company enters into derivative financial instruments to manage exposures that arise from business activities that result in the receipt or payment of future known and uncertain cash amounts, the value of which are determined by interest rates. The Company’s derivative financial instruments are used to manage differences in the amount, timing, and duration of the Company’s known or expected cash receipts and its known or expected cash payments principally related to the Company’s loan portfolio. The Company’s objectives in using interest rate derivatives are to add stability to interest expense and to manage its exposure to interest rate movements. To accomplish this objective, the Company primarily uses interest rate swaps as part of its interest rate risk management strategy. The Company engages in both cash flow hedges and freestanding derivatives. Cash Flow Hedges Cash flow hedges involve the receipt of variable amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. The Company uses these types of derivatives to hedge the variable cash flows associated with existing or forecasted issuances of short-term borrowings. For derivatives designated and that qualify as cash flow hedges of interest rate risk, the gain or loss on the derivative is recorded in accumulated other comprehensive income (loss) and subsequently reclassified into interest expense in the same periods during which the hedged transaction affects earnings. Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to interest expense as interest payments are made on the Company’s debt. During the next twelve months, the Company estimates that an additional $5.5 million will be reclassified as a decrease to interest expense. During the three and nine months ended September 30, 2022, the Company did not terminate any derivatives. During the three months ended September 30, 2021, the Company did not terminate any derivatives. During the nine months ended September 30, 2021, the Company terminated 34 derivatives with notional values totaling $785.0 million, resulting in a termination value of $16.5 million which was recognized in loss on termination of derivatives in non-interest income. The table below presents the fair value of the Company’s derivative financial instruments as well as their classification on the consolidated statements of financial condition as of the dates indicated. ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022 | ​ | December 31, 2021
​ | ​ | ​ | ​ | Notional | ​ | Fair Value | ​ | Fair Value | ​ | ​ | ​ | Notional | ​ | Fair Value | ​ | Fair Value
(Dollars in thousands) |  | Count |  | Amount |  | Assets |  | Liabilities |  | Count |  | Amount |  | Assets |  | Liabilities
Included in derivative assets/(liabilities): |  |  |  | ​ |  |  | ​ |  |  | ​ |  |  |  |  | ​ |  |  | ​ |  |  | ​ |
Interest rate swaps related to FHLBNY advances |  | 4 | ​ | $ | 150,000 | ​ | $ | 18,336 | ​ | $ | — |  | 4 | ​ | $ | 150,000 | ​ | $ | 4,358 | ​ | $ | —
​ The table below presents the effect of the cash flow hedge accounting on accumulated other comprehensive income (loss) for the periods indicated:
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Three Months Ended | ​ | Nine Months Ended
​ | ​ | September 30, | ​ | September 30,
(In thousands) |  | 2022 |  | 2021 | ​ | 2022 |  | 2021
Gain (loss) recognized in other comprehensive income | ​ | $ | 5,387 | ​ | $ | 225 | ​ | $ | 14,548 | ​ | $ | 3,767
Gain recognized on termination of derivatives | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 16,505
Gain (loss) reclassified from other comprehensive income into interest expense | ​ |  | 546 | ​ |  | (38) | ​ |  | 569 | ​ |  | (902)
​ All cash flow hedges are recorded gross on the balance sheet. The cash flow hedges involve derivative agreements with third-party counterparties that contain provisions requiring the Company to post cash collateral if the derivative exposure exceeds a threshold amount and receive collateral for agreements in a net asset position. As of September 30, 2022 and December 31, 2021, the Company did not post collateral to the third-party counterparties. As of September 30, 2022, the Company received $18.2 million in collateral from its third-party counterparties under the agreements in a net asset position. As of December 31, 2021, the Company received $4.6 million in collateral from its third-party counterparties. Freestanding Derivatives The Company maintains an interest-rate risk protection program for its loan portfolio in order to offer loan level derivatives with certain borrowers and to generate loan level derivative income. The Company enters into interest rate swap or interest rate floor agreements with borrowers. These interest rate derivatives are designed such that the borrower synthetically attains a fixed-rate loan, while the Company receives floating rate loan payments. The Company offsets the loan level interest rate swap exposure by entering into an offsetting interest rate swap or interest rate floor with an unaffiliated and reputable bank counterparty. These interest rate derivatives do not qualify as designated hedges, under ASU 815; therefore, each interest rate derivative is accounted for as a freestanding derivative. The notional amounts of the interest rate derivatives do not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate derivative agreements. The following tables reflect freestanding derivatives included in the consolidated statements of financial condition as of the dates indicated: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2022
​ | ​ | ​ | ​ | Notional | ​ | Fair Value | ​ | Fair Value
(In thousands) |  | Count |  | Amount |  | Assets |  | Liabilities
Included in derivative assets/(liabilities): | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loan level interest rate swaps with borrower |  | 187 | ​ | $ | 1,225,306 | ​ | $ | — | ​ | $ | (133,938)
Loan level interest rate floors with borrower | ​ | 41 | ​ | ​ | 328,864 | ​ | ​ | — | ​ | ​ | (10,405)
Loan level interest rate swaps with third-party counterparties | ​ | 187 | ​ | ​ | 1,225,306 | ​ | ​ | 133,938 | ​ | ​ | —
Loan level interest rate floors with third-party counterparties |  | 41 | ​ |  | 328,864 | ​ |  | 10,405 | ​ |  | —
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 31, 2021
​ | ​ | ​ | ​ | Notional | ​ | Fair Value | ​ | Fair Value
(In thousands) |  | Count |  | Amount |  | Assets |  | Liabilities
Included in derivative assets/(liabilities): | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Loan level interest rate swaps with borrower |  | 98 | ​ | $ | 599,003 | ​ | $ | 27,440 | ​ | $ | —
Loan level interest rate swaps with borrower |  | 87 | ​ |  | 612,610 | ​ |  | — | ​ |  | (12,620)
Loan level interest rate floors with borrower | ​ | 33 | ​ | ​ | 291,990 | ​ | ​ | 615 | ​ | ​ | —
Loan level interest rate floors with borrower | ​ | 12 | ​ | ​ | 100,774 | ​ | ​ | — | ​ | ​ | (53)
Loan level interest rate swaps with third-party counterparties |  | 98 | ​ |  | 599,003 | ​ |  | — | ​ |  | (27,440)
Loan level interest rate swaps with third-party counterparties | ​ | 87 | ​ | ​ | 612,610 | ​ | ​ | 12,620 | ​ | ​ | —
Loan level interest rate floors with third-party counterparties | ​ | 33 | ​ | ​ | 291,990 | ​ | ​ | — | ​ | ​ | (615)
Loan level interest rate floors with third-party counterparties |  | 12 | ​ |  | 100,774 | ​ |  | 53 | ​ |  | —
​ Loan level derivative income is recognized on the mark-to-market of the interest rate swap as a fair value adjustment at the time the transaction is closed. Total loan level derivative income is included in non-interest income as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Three Months Ended | ​ | Nine Months Ended
​ | ​ | September 30, | ​ | September 30,
(In thousands) |  | 2022 |  | 2021 | ​ | 2022 |  | 2021
Loan level derivative income | ​ | $ | 549 | ​ | $ | 445 | ​ | $ | 2,240 | ​ | $ | 2,796
​ The interest rate swap product with the borrower is cross collateralized with the underlying loan and, therefore, there is no posted collateral. Certain interest rate swap agreements with third-party counterparties contain provisions that require the Company to post collateral if the derivative exposure exceeds a threshold amount and receive collateral for agreements in a net asset position. As of September 30, 2022, the Company did not post collateral to its third-party counterparties. As of December 31, 2021, posted collateral was $14.0 million. As of September 30, 2022, the Company received $140.0 million in collateral from its third-party counterparties under the agreements in a net asset position. As of December 31, 2021, the Company did not receive collateral from its third-party counterparties. Risk Participation Agreements The Company enters into risk participation agreements to manage economic risks but does not designate the instruments in hedge relationships. As of September 30, 2022 and December 31, 2021, the notional amounts of risk participation agreements for derivative liabilities were $71.2 million and $25.6 million, respectively. The related fair values of the Company’s risk participation agreements were immaterial as of September 30, 2022 and December 31, 2021. Credit Risk Related Contingent Features The Company’s agreements with each of its derivative counterparties state that if the Company defaults on any of its indebtedness, it could also be declared in default on its derivative obligations and could be required to terminate its derivative positions with the counterparty. The Company’s agreements with certain of its derivative counterparties state that if the Bank fails to maintain its status as a well-capitalized institution, the Bank could be required to terminate its derivative positions with the counterparty. For derivatives in a net liability position, which includes accrued interest but excludes any adjustment for nonperformance risk, any breach of the above provisions by the Company may require settlement of its obligations under the agreements at the termination value with the respective counterparty. As of September 30, 2022, there were no derivatives in a net liability position, and therefore the termination value was zero. There were no provisions breached for the nine months ended September 30, 2022.

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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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