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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2023

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	March 31, 2023
​	​	​		​	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		​	1.8	​	$	4,184	​	Other assets
Interest rate swap on variable rate loans	​	​	50,000	​	​	3.0	​	​	(4,170)	​	Other liabilities
Total cash flow hedges	​		125,000		​	​	​	​	14	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Fair value hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on securities	​		37,190		​	6.3	​		3,952	​	Other assets
Total fair value hedges	​		37,190		​	​	​	​	3,952	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Economic hedges:	​	​	​	​	​	​	​	​	​	​	​
Customer Loan Swaps-MNA Counterparty	​	​	192,269	​	​	5.5	​	​	(16,375)	​	Other liabilities
Customer Loan Swaps-RPA Counterparty	​	​	112,836	​	​	5.7	​	​	(23)	​	Other liabilities
Customer Loan Swaps-Customer	​	​	305,105	​	​	5.6	​	​	16,398	​	Other assets
Total economic hedges	​		610,210		​	​	​	​	—	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​	​	​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​		552		​	0.2	​		8	​	Other assets
Total non-hedging derivatives	​		552		​	​	​	​	8	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Total	​	$	772,952	​	​	​	​	$	3,974	​	​

​

​

​	​	​	​	​	​	​	​	​	​	​	​
​	​	December 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		​	2.0	​	$	4,978	​	Other assets
Interest rate swap on variable rate loans	​	​	50,000	​	​	3.2	​	​	(4,941)	​	Other liabilities
Total cash flow hedges	​		125,000		​	​	​	​	37	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Fair value hedges:	​	​	​	​	​	​	​	​	​	​	​
Interest rate swap on securities	​		37,190		​	6.6	​		4,774	​	Other assets
Total fair value hedges	​		37,190		​	​	​	​	4,774	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Economic hedges:	​	​	​	​	​	​	​	​	​	​	​
Forward sale commitments	​	​	—		​	—	​		—	​	Other assets
Customer Loan Swaps-MNA Counterparty	​	​	191,987	​	​	5.8	​	​	(20,287)	​	Other liabilities
Customer Loan Swaps-RPA Counterparty	​	​	113,928	​	​	6.0	​	​	—	​	Other liabilities
Customer Loan Swaps-Customer	​	​	305,914	​	​	5.9	​	​	20,287	​	Other assets
Total economic hedges	​		611,829		​	​	​	​	—	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​		​	​	​	​	​	​	​	​	​
Interest rate lock commitments	​		—		​	—	​		—	​	Other assets
Total non-hedging derivatives	​		—		​	​	​	​	—	​	​
​	​	​	​	​	​	​	​	​	​	​	​
Total	​	$	774,019	​	​	​	​	$	4,811	​	​

​

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, 2023				​			​
Interest rate swap on securities		Securities Available for Sale	​	$	31,658	​	$	(5,532)
​	​	​	​	​	​	​	​	​
December 31, 2022			​			​
Interest rate swap on securities		Securities Available for Sale	​	$	41,964	​	$	4,774

​

Schedule of Derivative Instruments Gain (Loss)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2023

​

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

​

$

(610)

​

Interest expense

​

$

—

Interest expense

​

$

664

Interest rate swap on variable rate loans

​

​

592

​

Interest income

​

​

—

​

Interest income

​

​

(466)

Total cash flow hedges

​

(18)

​

​

—

​

198

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Fair value hedges:

​

​

​

​

​

​

Interest rate swap on securities

​

607

Interest income

​

—

Interest income

​

286

Total fair value hedges

​

607

​

​

—

​

286

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

​

​

​

Forward commitments

​

—

Other income

​

—

Mortgage banking income

​

—

Total economic hedges

​

—

​

​

—

​

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

​

​

​

Interest rate lock commitments

​

—

Other expense

​

—

Mortgage banking income

​

8

Total non-hedging derivatives

​

—

​

​

—

​

8

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

589

​

​

​

$

—

​

$

492

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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 economic hedges

​

​

(1,841)

​

​

​

—

​

(135)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Economic hedges:

​

​

​

​

​

​

​

Forward commitments

​

—

Other income

​

—

Non-interest income

​

186

Total economic hedges

​

​

—

​

​

​

—

​

186

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Non-hedging derivatives:

​

​

​

​

​

​

Interest rate lock commitments

​

—

Other income

​

—

Non-interest income

​

(288)

Total non-hedging derivatives

​

​

—

​

​

​

—

​

(288)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Total

​

$

(1,448)

​

$

—

​

$

(334)

​

Schedule of Gain Loss in Statement of Income

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Three Months Ended March 31, 2023

​

​

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

$

34,560

​

$

5,791

​

$

5,265

​

$

4,180

​

$

9,184

​

​

​

​

​

​

​

​

​

​

The effects of cash flow and fair value hedging:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gain (loss) on cash flow hedges:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Interest rate swap on wholesale funding

​

​

—

​

​

—

​

​

—

​

​

664

​

​

—

Interest rate swap on variable rate loans

​

(466)

​

​

—

​

—

​

​

—

​

—

​

​

​

​

​

​

​

​

​

​

Gain (loss) on fair value hedges:

​

​

​

​

​

​

​

​

​

​

Interest rate swap on securities

​

​

—

​

​

286

​

​

—

​

​

—

​

​

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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)

​

​

—

​

​

—

​

​

—

Schedule of derivatives no designated as hedging instruments on the consolidated statements of income

​

​	​	​	​	​	​	​	​	​
​	​	Location of Gain (Loss) Recognized	​	Three Months Ended March 31,
(In thousands)	​	in Non-interest Income	​	2023		​	​	2022
Derivatives not designated as hedging instruments	​	​	​	​	​	​	​	​
Non-hedging derivatives:	​	​	​	​	​	​	​	​
Interest rate lock commitments	​	Mortgage banking income	​	$	8	​	$	(288)

​

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, 2023

​

​

​

​

​

​

​

​

Customer Loan Derivatives:

​

​

​

​

MNA counterparty

​

$

(16,375)

​

$

16,375

​

$

—

​

$

—

RPA counterparty

​

(23)

​

23

​

—

​

—

Total

​

$

(16,398)

​

$

16,398

​

$

—

​

$

—

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Gross Amounts Offset in the Consolidated Balance Sheet

​

​

Derivative

​

​

​

Cash Collateral

​

​

​

(in thousands)

Liabilities

Derivative Assets

Pledged

Net Amount

As of December 31, 2022

​

​

​

​

​

​

​

​

Customer Loan Derivatives:

​

​

​

​

MNA counterparty

​

$

(20,287)

​

$

20,287

​

$

—

​

$

—

RPA counterparty

​

—

​

—

​

—

​

—

Total

​

$

(20,287)

​

$

20,287

​

$

—

​

$

—

​

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-Section 50
-Paragraph 4C
-Subparagraph (e)
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4CC
-URI https://asc.fasb.org/extlink&oid=125515794&loc=SL109998890-113959

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