Cathay General Bancorp(US:CATY)2022-02-28 16:00Interest Rate Sensitivity - The company expects net interest income to increase by 9.43% with a 100 basis points increase in interest rates over the next twelve months[559]. - If interest rates were to increase by 200 basis points, net interest income is projected to rise by 19.63%[559]. - Conversely, a 100 basis points decrease in interest rates would lead to a 1.30% decline in net interest income, while a 200 basis points decrease would result in a 1.51% decrease[559]. - The company has established a tolerance level for net interest income volatility of plus or minus 5% when hypothetical rate changes are plus or minus 200 basis points[559]. Market Value Impact - The net market value of the company's portfolio is projected to increase by 12.23% with a 200 basis points increase in interest rates[561]. - A 200 basis points decrease in interest rates would decrease the net market value of assets and liabilities by 7.11%[561]. Derivative Contracts - As of December 31, 2021, the company had outstanding interest rate derivative contracts with a notional amount of $457.0 million[570]. - The company entered into interest rate swap contracts in May 2014 with a notional amount of $119.1 million to hedge interest payments on Junior Subordinated Debentures[571]. - The notional amount of cash flow swap hedges was $119.136 million, with a net unrealized loss of $(3.276) million compared to $(6.890) million in 2020[572]. - The Bank's outstanding interest rate swap contracts had a notional amount of $324.8 million as of December 31, 2021, hedging the risk of changes in fair value of commercial real estate loans[573]. - The Company designated $404.4 million as a last-of-layer hedge on a pool of loans with a notional value of $748.6 million as of December 31, 2021, to reduce exposure to higher interest rates[574]. - The notional amount of fair value swap hedges increased to $729.280 million in 2021 from $478.266 million in 2020, with a net unrealized loss of $(1.013) million compared to $(15.082) million in 2020[577]. - The Company had cash collateral related to derivative contracts totaling $5.9 million as of December 31, 2021, down from $11.9 million in 2020[576]. - The notional amount of derivative financial instruments not designated as hedging instruments included $181.997 million in forward and swap contracts with positive fair value as of December 31, 2021[578]. - The fair value of forward and swap contracts with negative fair value was $(51.782) million as of December 31, 2021, compared to $(132.813) million in 2020[578]. - The Company recorded a periodic net settlement of swaps amounting to $(9.345) million for the year ended December 31, 2021, compared to $(7.719) million in 2020[577]. - The weighted average fixed rate-pay for fair value swap hedges was 2.65% in 2021, down from 4.56% in 2020[577]. - The ineffective portion of interest rate swaps was not significant as of December 31, 2021, indicating effective risk management practices[573]. Loan and Securities Information - The average interest rate for mortgage-backed securities and collateralized mortgage obligations is 2.31%[566]. - The total fair value of loans as of December 31, 2021, is $16,499,869 thousand[566].