Bridgewater Bancshares, Inc. Annual Report

Bridgewater Bancshares, Inc. and Subsidiaries Notes to Consolidated Financial Statements (dollars in thousands, except share data)

The following table presents a summary of the Company’s interest rate swaps to facilitate customer transactions as of December 31, 2019:

December 31, 2019

Notional Amount

Estimated Fair Value

Interest rate swap agreements: Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $

7,140 $

150

7,140

(150)

14,280 $

—

The Company had no interest rate swaps to facilitate customer transactions outstanding as of December 31, 2018.

Cash Flow Hedging Derivatives For derivative instruments that are designated and qualify as a cash flow hedge, the aggregate fair value of the derivative instrument is recorded in other assets or other liabilities with any gain or loss related to changes in fair value recorded in accumulated other comprehensive income, net of tax. The gain or loss is reclassified into earnings in the same period during which the hedged asset or liability affects earnings and is presented in the same income statement line item as the earnings effect of the hedged asset or liability. The Company utilizes cash flow hedges to manage interest rate exposure for the brokered certificate of deposit, wholesale borrowing, and notes payable portfolios. During the next 12 months, the Company estimates that $146 will be reclassified to interest expense. The following tables present a summary of the Company’s interest rate swaps designated as cash flow hedges as of December 31, 2019 and 2018:

2019

2018

Notional Amount . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Weighted Average Pay Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Weighted Average Receive Rate . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Weighted Average Maturity (Years) . . . . . . . . . . . . . . . . . . . . . . . . . . . 3.53 2.16 Net Unrealized Gain (Loss) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ (618) $ 352 $ 48,000 $ 15,000 1.89 % 2.25 % 1.21 % 1.97 %

December 31, 2019

December 31, 2018

Notional Estimated Amount Fair Value

Notional Estimated Amount Fair Value

Interest rate swap agreements: Assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

$ 18,000 $ 134 $ 15,000 $ 352

—

30,000

(752)

—

106