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Derivative Instruments and Hedging Activities (Tables)
9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities  
Effect of derivative instruments in cash flow hedging relationships

The following table presents the effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income for the three and nine months ended September 30, 2024 and 2023:

Three Months Ended September 30, 

Nine Months Ended September 30, 

(dollars in thousands)

2024

2023

2024

2023

Derivatives in

Location of Gain (Loss)

Gain (Loss)

Gain (Loss)

Cash Flow Hedging

Reclassified

Reclassified from

Reclassified from

Relationships

from AOCI into Income

AOCI into Earnings

AOCI into Earnings

Interest rate swaps

Interest expense

$

1,478

$

1,575

$

4,549

$

4,169

Interest rate caps

Interest expense

1,048

48

2,609

(159)

Schedule of fair value hedge relationships on the income statement and balance sheet

The effects of the Company’s fair value hedge relationships on the income statement during the three and nine months ended September 30, 2024 and 2023 were as follows:

Amount of Gain (Loss) Recognized in Income

(dollars in thousands)

Three Months Ended September 30, 

Nine Months Ended September 30, 

Securities

Location of Gain (Loss)

2024

2023

2024

2023

Interest Rate Swaps

Interest Income

$

893

893

Securities Available for Sale

Interest Income

(893)

(893)

The following table presents amounts that were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges at September 30, 2024:

Cumulative Amount of Fair Value Hedging Adjustment

Included in the Carrying Amount of the Hedged

(dollars in thousands)

Carrying Amount of The Hedged Assets/Liabilities

Assets/Liabilities

Line Item on the Balance Sheet

September 30, 2024

December 31, 2023

September 30, 2024

December 31, 2023

Securities Available for Sale

$

96,757

$

893

Schedule of derivative instruments eligible for offset

The following table summarizes gross and net information about derivative instruments that are eligible for offset in the balance sheet at September 30, 2024 and December 31, 2023:

Gross Amounts Not Offset in the Balance Sheet

Net Amounts of

Gross Amounts

Gross Amounts

Assets (Liabilities)

of Recognized

Offset in the

Presented in the

Financial

Cash Collateral

Net Assets

(dollars in thousands)

Assets (Liabilities)

Balance Sheet

Balance Sheet

Instruments

Received (Paid)

(Liabilities)

September 30, 2024

Assets

$

25,469

$

$

25,469

$

$

22,973

$

2,496

Liabilities

 

(9,145)

 

 

(9,145)

 

 

 

(9,145)

December 31, 2023

Assets

$

32,589

$

$

32,589

$

$

31,783

$

806

Liabilities

(8,601)

(8,601)

(8,601)

Derivatives not designated as hedging instruments | Interest Rate Swap  
Derivative Instruments and Hedging Activities  
Summary of interest rate derivatives

The following table presents a summary of the Company’s interest rate swaps to facilitate customer transactions as of September 30, 2024 and December 31, 2023:

September 30, 2024

December 31, 2023

Notional

Estimated

Notional

Estimated

(dollars in thousands)

Amount

Fair Value

Amount

Fair Value

Interest rate swap agreements:

Assets

$

66,189

$

5,791

$

63,814

$

6,981

Liabilities

 

66,189

 

(5,791)

 

63,814

 

(6,981)

Total

$

132,378

$

$

127,628

$

Designated as Hedging Instrument  
Derivative Instruments and Hedging Activities  
Summary of interest rate derivatives

The following table presents a summary of the Company’s interest rate contracts as of September 30, 2024 and December 31, 2023:

September 30, 2024

December 31, 2023

Notional

Estimated

Notional

Estimated

(dollars in thousands)

Amount

Fair Value

Amount

Fair Value

Interest Rate Swap Agreements - Borrowings:

Assets

$

95,000

$

3,803

$

135,000

$

6,891

Liabilities

88,000

(2,461)

48,000

(1,620)

Interest Rate Swap Agreements - Securities:

Liabilities

97,650

(893)

Interest Rate Cap Agreements:

Assets

125,000

15,875

125,000

18,717

Designated as Hedging Instrument | Interest Rate Swap | Cash Flow Hedging  
Derivative Instruments and Hedging Activities  
Derivative Instruments and Hedging Activities

The following table presents a summary of the Company’s interest rate swaps designated as cash flow hedges as of September 30, 2024 and December 31, 2023:

(dollars in thousands)

    

September 30, 2024

    

December 31, 2023

Notional Amount

$

183,000

$

183,000

Weighted Average Pay Rate

2.18

%

2.00

%

Weighted Average Receive Rate

5.31

%

5.48

%

Weighted Average Maturity (Years)

4.15

4.04

Net Unrealized Gain

$

1,342

$

5,271

Designated as Hedging Instrument | Interest Rate Swap | Fair Value Hedging  
Derivative Instruments and Hedging Activities  
Derivative Instruments and Hedging Activities

The following table presents a summary of the Company’s interest rate swaps designated as fair flow hedges as of September 30, 2024:

(dollars in thousands)

    

September 30, 2024

Notional Amount

$

97,650

Weighted Average Pay Rate

3.46

%

Weighted Average Receive Rate

5.24

Weighted Average Maturity (Years)

19.64

Designated as Hedging Instrument | Interest Rate Cap | Cash Flow Hedging  
Derivative Instruments and Hedging Activities  
Derivative Instruments and Hedging Activities

The following table presents a summary of the Company’s interest rate caps designated as cash flow hedges as of September 30, 2024 and December 31, 2023:

(dollars in thousands)

    

September 30, 2024

    

December 31, 2023

Notional Amount

$

125,000

$

125,000

Unamortized Premium Paid

4,481

5,081

Weighted Average Strike Rate

0.96

%

0.96

%

Weighted Average Maturity (Years)

5.59

6.34