Bridgewater Bancshares, Inc._2023 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 contracts as of December 31, 2023 and 2022:

December 31, 2023

December 31, 2022

Notional Amount

Estimated Fair Value

Notional Amount

Estimated Fair Value

(dollars in thousands)

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

135,000 $

6,891 $ 125,000 $ 10,477

48,000

(1,620)

38,000

(1,302)

125,000 19,406 The Company is party to collateral support agreements with certain derivative counterparties. These agreements require that the Company maintain collateral based on the fair values of derivative transactions. In the event of default by the Company, the counterparty would be entitled to the collateral. As of both December 31, 2023 and 2022, the Company had pledged cash collateral for the Company’s derivative contracts of $-0-. In addition, as of December 31, 2023 and 2022, the Company's derivative counterparties pledged cash collateral to the Company of $31.8 million and $36.4 million, respectively. The following table summarizes gross and net information about derivative instruments that are eligible for offset in the balance sheet at December 31, 2023 and 2022: 18,717 125,000

Gross Amounts of Recognized Assets (Liabilities)

Gross Amounts Offset in the Balance Sheet

Assets (Liabilities) Presented in the Balance Sheet

Financial Instruments

Cash Collateral Received (Paid)

Net Assets (Liabilities)

(dollars in thousands)

December 31, 2023 Assets ............... $ Liabilities............. December 31, 2022 Assets ............... $ Liabilities.............

32,589 $

— $

32,589 $

— $

31,783 $

806

(8,601)

—

(8,601)

—

—

(8,601)

38,123 $

— $

38,123 $

— $

36,353 $

1,770

(9,542) (9,542) The following table presents the effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income for the years ended December 31, 2023, 2022 and 2021: — (9,542) — —

Year Ended December 31,

(dollars in thousands) Derivatives in Cash Flow Hedging

2023

2022

2021

Location of Gain (Loss)

Gain (Loss)

Reclassified

Reclassified from AOCI into Earnings

Relationships

from AOCI into Income

Interest rate swaps . . . . . . Interest rate caps . . . . . . .

Interest expense Interest expense

$

5,783 $

679 $

(1,117) (403)

319

(671)

No amounts were reclassified from accumulated other comprehensive income into net income related to hedge ineffectiveness for these derivatives during the years ended December 31, 2023, 2022 and 2021, and no amounts are expected to be reclassified from accumulated other comprehensive income into net income related to hedge ineffectiveness over the next twelve months.

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