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DERIVATIVES

9 Months Ended

Sep. 30, 2021

DERIVATIVES

DERIVATIVES

NOTE 13 – DERIVATIVES

In the first quarter of 2020, the Company entered into an interest rate cap derivative contract (“interest rate cap” or “contract”) as a part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate cap does not represent the amount exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the contract. The interest rate subject to the cap is 30-day LIBOR.

The interest rate cap had a notional amount of $300.0 million as of September 30, 2021 and was designated as a cash flow hedge of certain deposit liabilities of the Company. The hedge was determined to be highly effective during the three and nine months ended September 30, 2021. The Company expects the hedge to remain highly effective during the remaining term of the contract.

The following table reflects the notional amount and fair value (included in the “Prepaid expenses and other assets” line item on the statements of financial condition) at September 30, 2021 (in thousands):

​

​	​	​	​	​	​
​	​	Notional Amount	​	​	Fair Value
Derivatives designated as hedges:	​	​	​	​	​
Interest rate caps related to customer deposits	$	300,000	​	$	2,086

​

The effect of cash flow hedge accounting on accumulated other comprehensive income for the nine months ended September 30, 2021, is as follows (in thousands):

​

​	​	​	​	​	​	​	​	​
​	​	Amount of Loss Recognized in OCI, net of tax	​	​	Location of Gain (Loss) Reclassified from OCI into Income	​	​	Amount of Gain (Loss) Reclassified from OCI into Income
​	​	​	​	​	​	​	​	​
Interest rate caps related to customer deposits	$	1,069	​	$	N/A	​	$	—

​

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- References

No definition available.

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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

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