DERIVATIVES AND HEDGING ACTIVITIES

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVES AND HEDGING ACTIVITIES:To reduce the risk of significant interest rate fluctuations on the value of certain assets and liabilities, such as single family mortgage LHFS and MSRs, the Company utilizes derivatives as economic hedges. The notional amounts and fair values for derivatives, which are included in other assets or accounts payable and other liabilities on the consolidated balance sheet, consist of the following:


	At September 30, 2023
	Notional amount		Fair value derivatives
(in thousands)			Asset		Liability

Forward sale commitments	$	53,602	$	479	$	(74)

Interest rate lock commitments	34,513		118		(193)
Interest rate swaps	238,837		14,916		(14,916)
Futures	5,100		—		(2)
Options	8,900		7		—
Total derivatives before netting	$	340,952	15,520		(15,185)
Netting adjustment/Cash collateral (1)			(14,908)		(245)
Carrying value on consolidated balance sheet			$	612	$	(15,430)


	At December 31, 2022
	Notional amount		Fair value derivatives
(in thousands)			Asset		Liability

Forward sale commitments	$	51,252	$	293	$	(151)
Interest rate lock commitments	17,463		141		(36)
Interest rate swaps	236,533		13,093		(13,093)
Futures	23,000		18		—
Options	14,000		218		—
Total derivatives before netting	$	342,248	$	13,763	$	(13,280)
Netting adjustment/Cash collateral (1)			(12,870)		101
Carrying value on consolidated balance sheet			$	893	$	(13,179)

(1) Includes net cash collateral received of $15.2 million and $12.8 million at September 30, 2023 and December 31, 2022, respectively.

The following table presents gross fair value and net carrying value information for derivative instruments:


(in thousands)	Gross fair value		Netting adjustments/ Cash collateral (1)		Carrying value





At September 30, 2023
Derivative assets	$	15,520	$	(14,908)	$	612
Derivative liabilities	(15,185)		(245)		(15,430)
At December 31, 2022
Derivative assets	$	13,763	$	(12,870)	$	893
Derivative liabilities	(13,280)		101		(13,179)

(1) Includes net cash collateral received of $15.2 million and $12.8 million at September 30, 2023 and December 31, 2022, respectively.

The collateral used under the Company's master netting agreements is typically cash, but securities may be used under agreements with certain counterparties. Receivables related to cash collateral that has been paid to counterparties are included in other assets. Payables related to cash collateral that has been received from counterparties are included in accounts payable and other liabilities. Interest is owed on amounts received from counterparties and we earn interest on cash paid to counterparties. Any securities pledged to counterparties as collateral remain on the consolidated balance sheets. At September 30, 2023 and December 31, 2022, the Company had liabilities of $15.2 million and $12.8 million, respectively, in cash collateral received from counterparties and receivables of $0.02 million and $0.03 million, respectively, in cash collateral paid to counterparties.

The following table presents the net gain (loss) recognized on economic hedge derivatives, within the respective line items in the consolidated income statements for the periods indicated:


	Quarter Ended September 30,				Nine Months Ended September 30,
(in thousands)	2023		2022		2023		2022

Recognized in noninterest income:
Net gain (loss) on loan origination and sale activities (1)	$	513	$	958	$	780	$	8,221
Loan servicing income (loss) (2)	(247)		(422)		(1,475)		(12,051)
Other (3)	1		—		—		160

(1)Comprised of forward contracts used as an economic hedge of loans held for sale and interest rate lock commitments ("IRLCs") to customers.

(2)Comprised of futures, US Treasury options and forward contracts used as economic hedges of single family MSRs.

(3)Impact of interest rate swap agreements executed with commercial banking customers and broker dealer counterparties.

The notional amount of open interest rate swap agreements executed with commercial banking customers and broker dealer counterparties at September 30, 2023 and December 31, 2022 were $239 million and $237 million, respectively.