XML 24 R13.htm IDEA: XBRL DOCUMENT v3.22.1
Derivatives
 3 Months Ended
Mar. 31, 2022
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.  An interest rate swap was entered into on April 13, 2017 with a respective notional amount of $25.0 million and was designated as a cash flow hedge of a Federal Home Loan Bank advance. We are required to pay a fixed-rate of interest of 1.93% and receive variable rates of interest that reset quarterly based on three-month LIBOR. The expiration date for the swap is April 2022. The swap is 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 swap 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 swap.       

 

In addition, during 2021, the Company entered into 9 forward starting pay fixed-rate interest rate swaps, 7 of which have since commenced, with a total notional amount of $400 million, which are also designated as a cash flow hedges of current, or future, Federal Home Loan Bank advance. We are required to pay fixed rates of interest ranging from 0.631% to 1.23% and receive variable rates of interest that reset quarterly based on the daily compounding secured overnight financing rate (“SOFR”). The 2 remaining forward starting swaps have commencing payment dates in May 2022 and August 2022, with expiration dates on the 9 positions ranging from December 2025 to March 2028.

 

Interest expense recorded on these swap transactions totaled approximately $0.5 million and $0.6 million during the three months ended March 31, 2022 and 2021, 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 March 31, 2022 
   Amount of gain
(loss) recognized
in OCI (Effective
Portion)		   Amount of (gain)
loss reclassified
from OCI to
interest income		   Amount of gain
recognized in other
Noninterest income
(Ineffective Portion)		 
       (dollars in thousands)     
Interest rate contracts  $19,000   $525   $
-
 

 

   Three Months Ended March 31, 2021 
   Amount of gain
(loss) recognized
in OCI (Effective
Portion)		   Amount of gain
(loss) reclassified
from OCI to
interest income		   Amount of gain
recognized in other
Noninterest income
(Ineffective Portion)		 
       (dollars in thousands)     
Interest rate contracts  $24   $631   $
-
 

 

The following table reflects the cash flow hedges included in the consolidated statements of condition as of March 31, 2022 and December 31, 2021:

 

   March 31, 2022   December 31, 2021 
   Notional Amount   Fair Value   Notional Amount   Fair Value 
       (dollars in thousands)     
Interest rate swaps related to FHLB advances included in assets  $425,000   $22,872   $475,000   $3,347