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Derivatives and hedging activities (Tables)

9 Months Ended

Sep. 30, 2022

Derivatives and hedging activities

Schedule of fair value of derivative financial instruments and balance sheet classification



				Asset Derivatives					Asset Derivatives					Liability Derivatives					Liability Derivatives
				As of September 30, 2022 (1)					As of December 31, 2021 (1)					As of September 30, 2022 (2)					As of December 31, 2021 (2)
		Notional		Balance Sheet					Balance Sheet					Balance Sheet					Balance Sheet
		Amount		Location		Fair Value			Location		Fair Value			Location		Fair Value			Location		Fair Value
Derivatives designated as hedging instruments
Interest Rate Floor	$	25,000		Other Assets		$	4		Other Assets		$	844

Total derivatives designated as hedging instruments						$	4				$	844				$					$

Derivatives not designated as hedging instruments
Interest Rate Swaps (2)	$	386,171		Other Assets		$	22,953		Other Assets		$	9,026		Other Liabilities		$	22,089		Other Liabilities		$	8,811

Total derivatives not designated as hedging instruments						$	22,953				$	9,026				$	22,089				$	8,811

(1)	Amounts include accrued interest.

(2)	Notional amount of interest rate swaps at December 31, 2021 was $392,677.

Schedule of effect of fair value and cash flow hedge accounting on accumulated other comprehensive income

Location of

Amount of

Amount of

Amount of

Amount of

Amount of

Gain or (Loss)

Amount of

Gain

(Loss)

(Loss)

(Loss)

(Loss)

Recognized from

Gain

Reclassified

Reclassified

Recognized in

Recognized in

Recognized in

Accumulated

Reclassified

from Accumulated

from Accumulated

Derivatives in

OCI on

OCI Included

OCI Excluded

Other Comprehensive

from Accumulated

OCI into Income

OCI into Income

Hedging

Derivative

Component

Component

Income into

OCI into Income

Included Component

Excluded Component

Relationships

September 30, 2022

Income

September 30, 2022

Derivatives in Cash Flow Hedging Relationships

Cash Flow Swap

Other expense

Interest Rate Floor (*)

$

(512)

$

(497)

$

(15)

Interest Income

$

228

$

276

$

(48)

Total

$

(512)

$

(497)

$

(15)

$

228

$

276

$

(48)

Location of

Amount of

Amount of

Amount of

Amount of

Amount of

Gain or (Loss)

Amount of

Gain (Loss)

Loss

Gain (Loss)

Gain (Loss)

Gain

Recognized from

Gain (Loss)

Reclassified

Reclassified

Recognized in

Recognized in

Recognized in

Accumulated

Reclassified

from Accumulated

from Accumulated

Derivatives in

OCI on

OCI Included

OCI Excluded

Other Comprehensive

from Accumulated

OCI into Income

OCI into Income

Hedging

Derivative

Component

Component

Income into

OCI into Income

Included Component

Excluded Component

Relationships

September 30, 2021

Income

September 30, 2021

Derivatives in Cash Flow Hedging Relationships

Cash Flow Swap

$

401

$

401

Interest Expense

$

(23)

$

(23)

Cash Flow Swap

Other Expense

(25)

(25)

Interest Rate Floor (*)

$

(66)

$

(70)

$

4

Interest Income

$

405

$

453

$

(48)

Total

$

335

$

331

$

4

$

357

$

405

$

(48)

*	Amounts disclosed are gross and not net of taxes.

Schedule of effect of derivative financial instruments on Income Statement


			Location and Amount of Gain or (Loss) Recognized in
			Income on Fair Value and Cash Flow Hedging
			Relationships
			For the three months ended September 30,
			2022			2022			2021			2021
			Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in the statements of income and comprehensive income in which the effects of fair value or cash flow hedges are recorded		$	4		$			$	137

The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships
Interest contracts
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income		$	4		$			$	137		$
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income as a result that a forecasted transaction is no longer probable of occurring
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - included component		$	20		$			$	153		$
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - excluded component		$	(16)					$	(16)		$

			Location and Amount of Gain or (Loss) Recognized in
			Income on Fair Value and Cash Flow Hedging
			Relationships
			For the nine months ended September 30,
			2022			2022			2021			2021
			Interest Income			Interest Expense			Interest Income			Interest Expense
Total amounts of income and expense line items presented in the statements of income and comprehensive income in which the effects of fair value or cash flow hedges are recorded		$	228		$			$	405		$	(48)

The effects of fair value and cash flow hedging:
Gain or (loss) on cash flow hedging relationships
Interest contracts
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income		$	228		$			$	405		$	(23)
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income as a result that a forecasted transaction is no longer probable of occurring											$	(25)
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - included component		$	276		$			$	453		$	(48)
Amount of gain or (loss) reclassified from accumulated other comprehensive income into income - excluded component		$	(48)					$	(48)		$

Schedule of gain (loss) on derivative instruments not designated as hedging instruments


				Amount of Gain			Amount of Gain			Amount of Gain			Amount of Loss
				Recognized in			Recognized in			Recognized in			Recognized in
		Location of Gain or (Loss)		Income			Income			Income			Income
		Recognized in Income on		Three Months Ended			Nine Months Ended			Three Months Ended			Nine Months Ended
Derivatives Not Designated as Hedging Instruments		Derivative		September 30, 2022			September 30, 2022			September 30, 2021			September 30, 2021

Interest Rate Swaps		Interest rate swap revenue		$	129		$	652		$	7		$	175
Other Contracts					1			4
Total				$	130		$	656		$	7		$	175


Fee Income		Fee income		$	2		$	106		$	72		$	569

Schedule of offsetting derivatives

Offsetting of Derivative Assets

as of September 30, 2022

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Received

Amount

Derivatives

$

22,957

$

$

22,957

$

$

14,700

$

8,257

Offsetting of Derivative Liabilities

as of September 30, 2022

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Liabilities

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Liabilities

Balance Sheet

Balance Sheet

Instruments

Paid*

Amount

Derivatives

$

22,089

$

$

22,089

$

22,089

$

$

*Cash collateral of $7,830 was paid but not presented as an offset above.

Offsetting of Derivative Assets

as of December 31, 2021

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Assets

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Assets

Balance Sheet

Balance Sheet

Instruments

Received

Amount

Derivatives

$

9,870

$

$

9,870

$

3,218

$

$

6,652

Offsetting of Derivative Liabilities

as of December 31, 2021

Gross Amounts Not Offset in the Balance Sheet

Gross

Net Amounts

Amounts of

Gross Amounts

of Liabilities

Recognized

Offset in the

presented in the

Financial

Cash Collateral

Net

Liabilities

Balance Sheet

Balance Sheet

Instruments

Paid

Amount

Derivatives

$

8,818

$

$

8,818

$

3,218

$

5,600

$