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Derivatives | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Note 5. Derivatives The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swap does 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 swap agreements. Interest rate swaps were entered into on April 13, 2017, January 27, 2020 and March 3, 2020 each with a respective notional amount of $25.0 million and were designated as a cash flow hedge of a Federal Home Loan Bank (“FHLB”) advance. In addition, interest rate swaps were entered into on June 4, 2019 and August 6, 2019, each with a respective notional amount of $50.0 million and were designated as a cash flow hedge of a Federal Home Loan Bank advance. The swaps were determined to be fully effective during the period presented and therefore no amount of ineffectiveness has been included in net income. Therefore, the aggregate fair value of the swaps is recorded in other assets (liabilities) with changes in fair value recorded in other comprehensive income (loss). The amount included in accumulated other comprehensive income (loss) would be reclassified to current earnings should the hedges no longer be considered effective. The Company expects the hedges to remain fully effective during the remaining term of the swaps. 18
CONNECTONE BANCORP, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)
Note 5. Derivatives – (continued) Summary information about the interest rate swaps designated as cash flow hedges as of September 30, 2020, December 31, 2019 and September 30, 2019 are presented in the following table.
|  | September 30, |  | December 31, |  | September 30,
|  | 2020 |  | 2019 |  | 2019
|  | (dollars in thousands)
Notional amount |  | $ | 175,000 |  |  | $ | 150,000 |  |  | $ | 175,000 |
Weighted average pay rates |  |  | 1.69 | % |  |  | 1.82 | % |  |  | 1.83 | %
Weighted average receive rates |  |  | 1.03 | % |  |  | 2.37 | % |  |  | 2.53 | %
Weighted average maturity |  |  | 1.1 years |  |  |  | 1.5 years |  |  |  | 1.5 years |
Fair value |  | $ | (2,728 | ) |  | $ | (273 | ) |  | $ | (380 | )
Interest expense recorded on these swap transactions totaled approximately $631 thousand and $942 thousand during the three and nine months ended September 30, 2020, respectively, compared to $(204) thousand and $(563) thousand during the three and nine months ended September 30, 2019, respectively, and is reported as a component of interest expense on FHLB Advances. Cash Flow Hedge The following table presents the net losses recorded in other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the following periods:
|  | Nine Months Ended September 30, 2020
|  | Amount of gain |  | Amount of (gain) |  | Amount of gain
|  | (loss) recognized |  | loss reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
|  | Portion) |  | interest income |  | (Ineffective Portion)
|  | (dollars in thousands)
Interest rate contracts |  | $ | (3,397 | ) |  | $ | 942 |  |  | $ | -
|  | Nine Months Ended September 30, 2019
|  | Amount of gain |  | Amount of gain |  | Amount of gain
|  | (loss) recognized |  | (loss) reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
|  | Portion) |  | interest income |  | (Ineffective Portion)
|  | (dollars in thousands)
Interest rate contracts |  | $ | (976 | ) |  | $ | (563 | ) |  | $ | -
The following table reflects the cash flow hedges included in the consolidated statements of condition as of September 30, 2020 and December 31, 2019:
|  | September 30, 2020 |  | December 31, 2019
|  | Notional |  |  |  | Notional |  |
|  | Amount |  | Fair Value |  | Amount |  | Fair Value
|  | (dollars in thousands)
Interest rate swaps related to FHLB advances included in assets |  | $ | 175,000 |  | $ | (2,728 | ) | $ | 150,000 |  | $ | (273)

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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 http://asc.fasb.org/topic&trid=2229140 + Details
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