XML 39 R27.htm IDEA: XBRL DOCUMENT v3.22.1

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2022

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	March 31, 2022
​	​	​		​	Weighted		​	​			​
​	​	Notional		​	Average		​	Fair Value		​	Location Fair
​	​	Amount		​	Maturity		​	Asset (Liability)			Value Asset
​		(in thousands)			(in years)			(in thousands)			(Liability)
Cash flow hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on wholesale fundings	​	$	75,000		​	2.8	​	$	2,727	​	Other assets
Interest rate swap on variable rate loans	​	​	50,000	​	​	4.0	​	​	(3,092)	​	Other liabilities
Total cash flow hedges	​		125,000		​	​	​	​	(365)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Fair value hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on securities	​		37,190		​	7.3	​		1,829	​	Other assets
Total fair value hedges	​		37,190		​	​	​	​	1,829	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Economic hedges:	​	​	​	​	​	​	​	​	​	​	​
Forward sale commitments	​		9,450		​	0.2	​		201	​	Other assets
Customer Loan Swaps-MNA Counterparty	​	​	230,882	​	​	6.3	​	​	(10,274)	​	Other liabilities
Customer Loan Swaps-RPA Counterparty	​	​	107,103	​	​	7.0	​	​	(1,190)	​	Other liabilities
Customer Loan Swaps-Customer	​	​	337,985	​	​	6.5	​	​	11,464	​	Other assets
Total economic hedges	​		685,420		​	​	​	​	201	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​	​	​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​		8,881		​	0.3	​		(5)	​	Other liabilities
Total non-hedging derivatives	​		8,881		​	​	​	​	(5)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Total	​	$	856,491	​	​	​	​	$	1,660	​	​

​

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	December 31, 2021
​	​	​		​	Weighted		​	​			​
​	​	Notional		​	Average		​	Fair Value		​	Location Fair
​	​	Amount		​	Maturity		​	Asset (Liability)			Value Asset
​		(in thousands)			(in years)			(in thousands)			(Liability)
Cash flow hedges:		​			​			​		​	​
Interest rate swap on wholesale fundings	​	$	75,000		​	3.0	​	$	(121)	​	Other liabilities
Interest rate swap on variable rate loans	​	​	50,000	​	​	4.2	​	​	(756)	​	Other liabilities
Total cash flow hedges	​		125,000		​	​	​	​	(877)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Fair value hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on securities	​		37,190		​	7.6	​		(530)	​	Other liabilities
Total fair value hedges	​		37,190		​	​	​	​	(530)	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Economic hedges:	​	​	​	​	​	​	​	​	​	​	​
Forward sale commitments	​	​	16,600		​	0.1	​		15	​	Other assets
Customer Loan Swaps-MNA Counterparty	​	​	260,102	​	​	6.2	​	​	(9,429)	​	Other liabilities
Customer Loan Swaps-RPA Counterparty	​	​	115,285	​	​	6.7	​	​	(4,421)	​	Other liabilities
Customer Loan Swaps-Customer	​	​	375,387	​	​	6.4	​	​	13,850	​	Other assets
Total economic hedges	​		767,374		​	​	​	​	15	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​		​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​		14,059		​	0.1	​		283	​	Other assets
Total non-hedging derivatives	​		14,059		​	​	​	​	283	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Total	​	$	943,623	​	​	​	​	$	(1,109)	​	​

Schedule of Amounts Recorded On The Balance Sheet

​

​	​	​	​	​	​	​	​	​
​		​		​	​		Cumulative Amount of Fair
​	​	Location of Hedged Item on	​	Carrying Amount of Hedged		​	Value Hedging Adjustment in
​		Balance Sheet		Assets			Carrying Amount
March 31, 2022				​			​
Interest rate swap on securities		Securities Available for Sale	​	$	34,976	​	$	(2,214)
​	​	​	​	​	​	​	​	​
December 31, 2021			​			​
Interest rate swap on securities		Securities Available for Sale	​	$	39,726	​	$	2,536

​

Schedule of Derivative Instruments Gain (Loss)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2022

​

Amount of

​

Amount of

​

​

​

​

Gain (Loss)

​

​

​

Gain (Loss)

​

​

​

​

​

​

Recognized in

​

​

​

Reclassified

​

Location of

​

Amount of

​

​

Other

​

Location of Gain (Loss)

​

from Other

​

Gain (Loss)

​

Gain (Loss)

​

​

Comprehensive

​

Reclassified from Other

​

Comprehensive

​

Recognized in

​

Recognized

(in thousands)

Income

Comprehensive Income

Income

Income

in Income

Cash flow hedges:

​

​

​

Interest rate swap on wholesale funding

​

$

2,191

​

Interest expense

​

$

—

Interest expense

​

$

(113)

Interest rate swap on variable rate loans

​

​

(1,798)

​

Interest income

​

​

—

​

Interest income

​

​

16

Total cash flow hedges

​

393

​

​

—

​

(97)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedges:

​

​

​

Interest rate swap on securities

​

(1,841)

Interest income

​

—

Interest income

​

(135)

Total fair value hedges

​

(1,841)

​

​

—

​

(135)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

Forward commitments

​

—

Other income

​

—

Other income

​

186

Total economic hedges

​

—

​

​

—

​

186

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

Interest rate lock commitments

​

—

Other expense

​

—

Other expense

​

(288)

Total non-hedging derivatives

​

—

​

​

—

​

(288)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

(1,448)

​

​

​

$

—

​

$

(334)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2021

​

Amount of

​

Amount of

​

​

​

​

Gain (Loss)

​

​

​

Gain (Loss)

​

​

​

​

​

​

Recognized in

​

​

​

Reclassified

​

Location of

​

Amount of

​

​

Other

​

Location of Gain (Loss)

​

from Other

​

Gain (Loss)

​

Gain (Loss)

​

​

Comprehensive

​

Reclassified from Other

​

Comprehensive

​

Recognized in

​

Recognized

(in thousands)

​

Income

​

Comprehensive Income

​

Income

​

Income

​

in Income

Cash flow hedges:

​

​

​

Interest rate swap on wholesale funding

​

$

987

Interest expense

​

$

—

Interest expense

​

$

(188)

Interest rate swap on variable rate loans

​

​

(213)

​

​

​

​

​

​

Interest income

​

​

8

Total cash flow hedges

​

​

774

​

​

​

—

​

​

(180)

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedges:

​

​

​

​

Interest rate swap on securities

​

(2,813)

Interest income

​

—

Interest income

​

(137)

Total economic hedges

​

​

(2,813)

​

​

​

—

​

(137)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

​

Forward commitments

​

—

Other income

​

—

Other income

​

10

Total economic hedges

​

​

—

​

​

​

—

​

10

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

Interest rate lock commitments

​

—

Other income

​

—

Other Income

​

24

Total non-hedging derivatives

​

​

—

​

​

​

—

​

24

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

(2,039)

​

$

—

​

$

(283)

Schedule of Gain Loss in Statement of Income

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2022

​

​

Interest and Dividend Income

​

Interest Expense

​

​

​

(in thousands)

Loans

​

Securities and other

Deposits

​

Borrowings

Non-interest Income

Income and expense line items presented in the consolidated statements of income

$

22,671

​

​

3,826

​

$

1,189

​

​

1,010

​

$

9,309

​

​

​

​

​

​

​

​

​

​

The effects of cash flow and fair value hedging:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gain (loss) on cash flow hedges:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate swap on wholesale funding

​

​

—

​

​

—

​

​

—

​

​

(113)

​

​

—

Interest rate swap on variable rate loans

​

16

​

​

—

​

—

​

​

—

​

—

​

​

​

​

​

​

​

​

​

​

Gain (loss) on fair value hedges:

​

​

​

​

​

​

​

​

​

​

Interest rate swap on securities

​

​

—

​

​

(135)

​

​

—

​

​

—

​

​

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2021

​

​

Interest and Dividend Income

​

Interest Expense

​

​

​

(in thousands)

Loans

​

Securities and other

Deposits

​

Borrowings

Non-interest Income

Income and expense line items presented in the consolidated statements of income

$

24,205

​

​

3,979

​

$

2,951

​

​

1,811

​

$

10,248

​

​

​

​

​

​

​

​

​

​

The effects of cash flow and fair value hedging:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gain (loss) on cash flow hedges:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate swap on wholesale funding

​

​

—

​

​

—

​

​

(58)

​

​

(130)

​

​

—

Interest rate swap on variable rate loans

​

8

​

​

—

​

—

​

​

—

​

—

​

​

​

​

​

​

​

​

​

​

Gain (loss) on fair value hedges:

​

​

​

​

​

​

​

​

​

​

Interest rate swap on securities

​

​

—

​

​

(137)

​

​

—

​

​

—

​

​

—

Schedule of Offsetting Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gross Amounts Offset in the Consolidated Balance Sheet

​

​

Derivative

​

​

​

Cash Collateral

​

​

​

(in thousands)

Liabilities

Derivative Assets

Pledged

Net Amount

As of March 31, 2022

​

​

​

​

​

​

​

​

Customer Loan Derivatives:

​

​

​

​

MNA counterparty

​

$

(10,274)

​

$

10,274

​

$

—

​

$

—

RPA counterparty

​

(1,190)

​

1,190

​

—

​

—

Total

​

$

(11,464)

​

$

11,464

​

$

—

​

$

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gross Amounts Offset in the Consolidated Balance Sheet

​

​

Derivative

​

​

​

Cash Collateral

​

​

​

(in thousands)

Liabilities

Derivative Assets

Pledged

Net Amount

As of December 31, 2021

​

​

​

​

​

​

​

​

Customer Loan Derivatives:

​

​

​

​

MNA counterparty

​

$

(9,429)

​

$

9,429

​

$

12,000

​

$

12,000

RPA counterparty

​

(4,421)

​

4,421

​

—

​

—

Total

​

$

(13,850)

​

$

13,850

​

$

12,000

​

$

12,000

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