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DERIVATIVES AND HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amount and Fair Value for Derivatives

The notional amounts and fair values for derivatives, all of which are economic hedges are included in other assets or accounts payable and other liabilities on the consolidated balance sheet, consist of the following:


	At June 30, 2024
	Notional amount		Fair value derivatives
(in thousands)			Asset		Liability

Forward sale commitments	$	88,183	$	171	$	(146)

Interest rate lock commitments	34,949		525		(42)
Interest rate swaps	228,058		11,638		(11,638)
Futures	6,800		—		(10)
Options	7,000		24		—
Total derivatives before netting	$	364,990	$	12,358	$	(11,836)
Netting adjustment/Cash collateral (1)			(11,451)		13
Carrying value on consolidated balance sheet			$	907	$	(11,823)


	At December 31, 2023
	Notional amount		Fair value derivatives
(in thousands)			Asset		Liability

Forward sale commitments	$	87,509	$	151	$	(288)
Interest rate lock commitments	21,790		411		—
Interest rate swaps	235,521		10,489		(10,492)
Futures	12,200		—		(3)
Options	9,300		132		—
Total derivatives before netting	$	366,320	$	11,183	$	(10,783)
Netting adjustment/Cash collateral (1)			(10,119)		195
Carrying value on consolidated balance sheet			$	1,064	$	(10,588)

(1) Includes net cash collateral received of $11.4 million and $9.9 million at June 30, 2024 and December 31, 2023, respectively.

Fair Value, Concentration of Risk

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 June 30, 2024
Derivative assets	$	12,358	$	(11,451)	$	907
Derivative liabilities	(11,836)		13		(11,823)
At December 31, 2023
Derivative assets	$	11,183	$	(10,119)	$	1,064
Derivative liabilities	(10,783)		195		(10,588)

(1) Includes net cash collateral received of $11.4 million and $9.9 million at June 30, 2024 and December 31, 2023, respectively.

Net Gains (Losses) Recognized on Economic Hedge Derivatives

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 June 30,				Six Months Ended June 30,
(in thousands)	2024		2023		2024		2023

Recognized in noninterest income:
Net gain (loss) on loan origination and sale activities (1)	$	226	$	189	$	312	$	267
Loan servicing income (loss) (2)	(225)		(498)		(725)		(1,228)
Other (3)	—		—		3		(1)

(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.

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details