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Derivatives | 9 Months Ended
--- | ---
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Note 4. 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 1, 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 advance We are required to pay fixed-rates of interest ranging from 0.88% to 1.93% and receive variable rates of interest that reset quarterly based on three-month LIBOR. Expiration dates for the swaps range from January 2022 to April 2022. 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. In addition, during the three months ended September 30, 2021, the company entered into 5 forward starting pay fixed-rate interest rate swaps, with a total notional amount of $200 million, which are also designated as a cash flow hedge of a future Federal Home Loan Bank advance. We are required to pay fixed rates of interest ranging from 0.631% to 0.955% and receive variable rates of interest that reset quarterly based on the daily compounding secured overnight financing rate (“SOFR”). The forward starting swaps have commencing payment dates ranging from October 2021 to April 2022, with expiration dates ranging from March 2026 to January 2028. 18 Table of Contents
CONNECTONE BANCORP, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)
Note 4. Derivatives – (continued) Interest expense recorded on these swap transactions totaled approximately $0.3 million and $1.5 million during the three and nine months ended September 30, 2021, respectively, compared to $0.6 million and $0.9 million during the three and nine months ended September 30, 2020, 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:
|  | Three Months Ended September 30, 2021
|  | Amount of (loss) |  | Amount of loss |  | Amount of gain
|  | gain recognized |  | (gain) reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
|  | Portion) |  | interest income |  | (Ineffective Portion)
|  | (dollars in thousands)
Interest rate contracts |  | $ | 1,890 |  |  | $ | 328 |  |  | $ | -
|  | Three Months Ended September 30, 2020
|  | Amount of (loss) |  | Amount of loss |  | Amount of gain
|  | gain recognized |  | (gain) reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
|  | Portion) |  | interest income |  | (Ineffective Portion)
|  | (dollars in thousands)
Interest rate contracts |  | $ | (82 | ) |  | $ | 631 |  |  | $ | -
19 Table of Contents
CONNECTONE BANCORP, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
(unaudited)
Note 4. Derivatives – (continued)
|  | Nine Months Ended September 30, 2021
|  | Amount of (loss) |  | Amount of loss |  | Amount of gain
|  | gain recognized |  | (gain) reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
|  | Portion) |  | interest income |  | (Ineffective Portion)
|  | (dollars in thousands)
Interest rate contracts |  | $ | 1,872 |  |  | $ | 1,543 |  |  | $ | -
|  | Nine Months Ended September 30, 2020
|  | Amount of (loss) |  | Amount of loss |  | Amount of gain
|  | gain recognized |  | (gain) 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 |  |  | $ | -
The following table reflects the cash flow hedges included in the consolidated statements of condition as of September 30, 2021 and December 31, 2020:
|  | September 30, 2021 |  | December 31, 2020 |
|  | Notional |  |  |  | Notional |  |  |
|  | Amount |  | Fair Value |  | Amount |  | Fair Value |
|  | (dollars in thousands) |
Interest rate swaps related to FHLB advances included in liabilities |  | $ | 275,000 |  | $ | 1,295 |  | $ | 175,000 |  | $ | (2,119 | )

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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 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 http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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