Capital City Bank Group, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

DERIVATIVES

DERIVATIVES	9 Months Ended
DERIVATIVES	Sep. 30, 2023
Derivatives [Abstract]
Derivatives	NOTE 5 – DERIVATIVES The Company enters into derivative financial instruments to manage exposures that arise from business activities that result in the receipt or payment of future known and uncertain cash amounts, the value of which are determined by interest rates. The Company’s derivative financial instruments are used to manage differences in the amount, timing, and duration of the Company’s known or expected cash receipts and its known or expected cash payments principally related to the Company’s subordinated debt. Cash Flow Hedges of Interest Rate Risk Interest rate swaps with notional amounts totaling $ 30 million at September 30, 2023 were designed as a cash flow hedge for subordinated debt. Under the swap arrangement, the Company will pay a fixed interest rate of 2.50 % and receive a variable interest rate based on three-month CME Term SOFR (secured overnight financing rate). For derivatives designated and that qualify as cash flow hedges of interest rate risk, the gain or loss on the derivative is recorded in accumulated other comprehensive income (“AOCI”) and subsequently reclassified into interest expense in the same period(s) during which the hedged transaction affects earnings. Amounts reported in accumulated other comprehensive income related to derivatives will be reclassified to interest expense as interest payments are made on the Company’s variable-rate subordinated debt. The following table reflects the cash flow hedges included in the consolidated statements of financial condition Statement of Financial Notional Fair Weighted Average (Dollars in Thousands) Condition Location Amount Value Maturity (Years) September 30, 2023 Interest rate swaps related to subordinated debt Other Assets $ 30,000 $ 6,748 6.8 December 31, 2022 Interest rate swaps related to subordinated debt Other Assets $ 30,000 $ 6,195 7.5 The following table presents the net gains (losses) recorded in AOCI and the consolidated statements of income related to the cash flow derivative instruments (interest rate swaps related to subordinated debt) for the three and nine months ended September 30, 2023. Amount of (Loss) Amount of Gain Gain Recognized (Loss) Reclassified (Dollars in Thousands) Category in AOCI from AOCI to Income Three months ended September 30, 2023 Interest expense $ 574 $ 375 Three months ended September 30, 2022 Interest expense 1,050 113 Nine months ended September 30, 2023 Interest expense $ 413 $ 1,016 Nine months ended September 30, 2022 Interest expense 3,287 112 The Company estimates there will be approximately $ 1.5 million reclassified as a decrease to interest expense within the next 12 months. The Company had a collateral liability of $ 7.0 million and $ 5.8 million at September 30, 2023 and December 31, 2022, respectively.