XML 23 R12.htm IDEA: XBRL DOCUMENT
v3.22.2.2

Note 4 - Derivatives | 9 Months Ended
--- | ---
Sep. 30, 2022
Notes to Financial Statements |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Note 4. Derivatives As part of our overall asset liability management and strategy the Company uses derivative instruments, which can include interest rate swaps, collars, caps, and floors. The notional amount 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 agreements. Derivative instruments are recognized on the balance sheet at their fair value and are not reported on a net basis. Derivatives Designated as Hedges Subsequent changes in fair value for a hedging instrument that has been designated and qualifies as part of a hedging relationship are accounted for in the following manner: 1) Cash flow hedges: changes in fair value are recognized as a component in other comprehensive income 2) Fair value hedges: changes in fair value are recognized concurrently in earnings As long as a hedging instrument is designated and the results of the effectiveness testing support that the instrument qualifies for hedge accounting treatment, 100% of the periodic changes in fair value of the hedging instrument are accounted for as outlined above. This is the case whether or not economic mismatches exist in the hedging relationship. As a result, there is no periodic measurement or recognition of ineffectiveness. Rather, the full impact of hedge gains and losses is recognized in the period in which the hedged transactions impact earnings. The change in fair value of the hedging instrument that is included in the assessment of hedge effectiveness is presented in the same income statement line item that is used to present the earnings effect of the hedged item. Cash Flow Hedges The Company entered into nine forward starting pay fixed-rate interest rate swaps, with a total notional amount of $400 million, all of which have since commenced. These are designated as cash flow hedges of current, Federal Home Loan Bank advances. 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”). All swaps are currently on the books with expiration dates on the nine positions ranging from December 2025 to March 2028. The swaps are 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 swaps. Interest (income) expense recorded on these swap transactions totaled approximately ($1.2) million and ($0.5) million during the three and nine months ended September 30, 2022, respectively, compared to $0.3 million and $1.5 million during the three and nine months ended September 30, 2021, respectively, and is reported as a component of interest expense on FHLB Advances. The Company entered into one forward starting interest rate cap spread transaction, with a total notional amount of $150 million, which became effective on October 1, 2022 and matures in October of 2027. This is designated as a cash flow hedge of brokered certificates of deposit, and the interest rate cap spread is indexed to a benchmark of fed funds with payment required on a monthly basis. The structure of these instruments is such that the Company entered into a $150 million notional amount of a sold interest rate cap agreement, in which we are required to pay the counterparty an incremental amount if the index rate exceeds a set cap rate. Simultaneously, the Company purchased $150 million notional amount of an interest rate cap agreement in which we receive an incremental amount if the index rate is above a set cap rate. No payments are required if the index rate is at, or below, the cap rate on the sold or purchased interest rate cap agreements. The following table presents the net gains (losses) recorded in other comprehensive income and the Consolidated Statements of Income relating to the cash flow hedge derivative instruments for the periods indicated:
|  | Three Months Ended September 30, 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 |  | $ | 16,969 |  |  | $ | (1,178 | ) |  | $ | - |
|  | Three Months Ended September 30, 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 |  | $ | 1,890 |  |  | $ | 328 |  |  | $ | - |
|  | Nine Months Ended September 30, 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 |  | $ | 44,253 |  |  | $ | (524 | ) |  | $ | - |
|  | Nine Months Ended September 30, 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 |  | $ | 1,872 |  |  | $ | 1,543 |  |  | $ | - |
The following table reflects the cash flow hedges included in the consolidated statements of condition as of September 30, 2022 and December 31, 2021:
|  | September 30, 2022 |  |  | December 31, 2021 |
|  | Notional Amount |  |  | Fair Value |  |  | Notional Amount |  |  | Fair Value |
|  |  |  |  |  | (dollars in thousands) |  |  |  |  |
Interest rate contracts |  | $ | 700,000 |  |  | $ | 54,041 |  |  | $ | 475,000 |  |  | $ | 3,347 |

X
- 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
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_DisclosureTextBlockAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration