Schedule of Derivative Instruments in Statement of Financial Position |
Notional amounts are reference amounts from which contractual obligations are derived and are not recorded on the balance sheet. In our view, derivative notional is not an accurate measure of our derivative exposure when viewed in isolation from other factors, such as market rate fluctuations and counterparty credit risk. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | December 31, 2023 (restated) | | Fair Value | | | | Fair Value | | | (dollars in thousands) | Assets | | Liabilities | | Notional amount | | Assets | | Liabilities | | Notional amount | Derivatives designated as accounting hedges | | | | | | | | | | | | Interest rate contracts | | | | | | | | | | | | Fixed-rate mortgage-backed securities | $ | 2,653 | | | $ | 654 | | | $ | 167,363 | | | $ | — | | | $ | 1,324 | | | $ | 150,000 | | Pools of commercial and commercial real estate loans | — | | | 4,502 | | | 200,000 | | | — | | | 6,654 | | | 200,000 | | FHLB advances, brokered CDs and other borrowings | 863 | | | 281 | | | 75,000 | | | — | | | 465 | | | 50,000 | | Total derivatives designated as accounting hedges | $ | 3,516 | | | $ | 5,437 | | | $ | 442,363 | | | $ | — | | | $ | 8,443 | | | $ | 400,000 | | Derivatives not designated as accounting hedges | | | | | | | | | | | | Interest rate contracts | | | | | | | | | | | | Swaps | $ | 218 | | | $ | 218 | | | $ | 54,390 | | | $ | 310 | | | $ | 310 | | | $ | 13,832 | | Interest rate lock commitments | 71 | | | — | | | 3,907 | | | 62 | | | — | | | 2,405 | | Forward commitments to sell mortgage-backed securities | 32 | | | — | | | 10,198 | | | — | | | 83 | | | 5,000 | | Total derivatives not designated as accounting hedges | $ | 321 | | | $ | 218 | | | $ | 68,495 | | | $ | 372 | | | $ | 393 | | | $ | 21,237 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
The following table presents amounts recorded in the consolidated balance sheets related to cumulative basis adjustments for fair value hedges. | | | | | | | | | | | | | | | | | | | | | | | | | Carrying amount of the hedged items | | Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items | (dollars in thousands) | December 31, 2024 | | December 31, 2023 (restated) | | December 31, 2024 | | December 31, 2023 (restated) | | | | | | | | | Investment securities available for sale | $ | 286,982 | | | $ | 220,501 | | | $ | 3,323 | | | $ | (1,324) | |
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Schedule of Derivative Instruments, Gain (Loss) |
The following table summarizes the effect of derivative instruments in fair value hedging relationships on the consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Location of gain (loss) recognized in income on derivative | | Gain (loss) recognized in income on derivative | | Location of gain (loss) recognized in income on related hedged item | | Gain (loss) recognized in income on related hedged items | (dollars in thousands) | | 2024 | | 2023 | | | 2024 | | 2023 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | | | | | | | | | | | Gain (loss) on fair value hedging relationships | | | | | | | | | | | | Interest rate contracts | | | | | | | | | | | | Fixed-rate mortgage-backed securities | Interest income on investment securities available for sale | | $ | 9,341 | | | $ | — | | | Interest income on investment securities available for sale | | $ | (9,484) | | | $ | — | |
The following table summarizes the effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Gain (loss) recognized in AOCI on derivative | | Location of gain (loss) recognized in income on derivative | | | | Gain (loss) reclassified from AOCI into income | (dollars in thousands) | 2024 | | 2023 (restated) | | 2022 (restated) | | | | | | | 2024 | | 2023 (restated) | | 2022 (restated) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Years Ended December 31, | | | | | | | | | | | | | | | | | | Gain (loss) on cash flow hedging relationships | | | | | | | | | | | | | | | | | | Interest rate contracts | | | | | | | | | | | | | | | | | | Pools of commercial and commercial real estate loans | $ | (3,705) | | | $ | (2,242) | | | $ | 2,551 | | | Interest income on loans | | | | | | $ | (5,857) | | | $ | (5,588) | | | $ | 113 | | | | | | | | | Other noninterest income | | | | | | — | | | — | | | 17,531 | | FHLB advances, brokered CDs and other borrowings | 2,013 | | | (210) | | | — | | | Interest expense | | | | | | 966 | | | 324 | | | — | | Total gain (loss) on cash flow hedging relationships | $ | (1,692) | | | $ | (2,452) | | | $ | 2,551 | | | | | | | | | $ | (4,891) | | | $ | (5,264) | | | $ | 17,644 | |
During the next 12 months, we estimate $1.9 million of losses will be reclassified into pretax earnings from derivatives designated as cash flow hedges. The following table summarizes the effect of derivative instruments not designated as accounting hedges on the consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | | | (dollars in thousands) | Location of gain (loss) recognized in income on derivative | | | | | 2024 | | 2023 (restated) | | 2022 (restated) | Years Ended December 31, | | | | | | | | | | | Gain (loss) on derivative instruments not designated as accounting hedges | | | | | | | | | | | Interest rate contracts | Residential mortgage banking revenue | | | | | $ | 123 | | | $ | (70) | | | $ | (269) | | | Other income | | | | | — | | | 15 | | | (88) | | Total gain (loss) on derivative instruments not designated as accounting hedges | | | | | | $ | 123 | | | $ | (55) | | | $ | (357) | |
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Disclosure of Credit Derivatives |
The following table summarizes the most significant inputs and assumptions in determining the value of the credit enhancement derivatives as well as the resulting fair value as of December 31, 2024 and December 31, 2023: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | December 31, 2024 | | December 31, 2023 | | | | | | MacTools commercial portfolio | | Greensky consumer portfolio | | LendingPoint consumer portfolio | | MacTools commercial portfolio | Weighted average interest rate | | | | | 9.50 | % | | 10.47 | % | | 14.62 | % | | 10.50 | % | Implied/selected cohort default rate (CDR) | | | | | 15.00 | % | | 4.02 | % | | 17.50 | % | | 15.00 | % | Selected LGD | | | | | 85.00 | % | | 85.00 | % | | 85.00 | % | | 85.00 | % | Annual expected loss | | | | | 12.75 | % | | 3.42 | % | | 14.88 | % | | 12.75 | % | Credit mark | | | | | (20.66) | % | | (7.18) | % | | (23.82) | % | | (23.32) | % | Interest mark | | | | | 10.04 | % | | 3.29 | % | | 13.23 | % | | 13.01 | % | | | | | | | | | | | | | Fair value of derivative | | | | | 10.61 | % | | 1.56 | % | | (0.34) | % | | 10.31 | % |
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