XML 37 R26.htm IDEA: XBRL DOCUMENT

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 2023

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities


		June 30, 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			1.5		$	4,687		Other assets
Interest rate swap on variable rate loans			50,000			2.7			(4,770)		Other liabilities
Total cash flow hedges			125,000						(83)

Fair value hedges:
Interest rate swap on securities			37,190			6.1			4,646		Other assets
Total fair value hedges			37,190						4,646

Economic hedges:
Forward sale commitments			11,508			—			49		Other assets
Customer Loan Swaps-MNA Counterparty			188,948			5.2			(19,837)		Other liabilities
Customer Loan Swaps-RPA Counterparty			112,750			5.5			—		Other liabilities
Customer Loan Swaps-Customer			301,698			5.3			19,837		Other assets
Total economic hedges			614,904						49

Non-hedging derivatives:
Interest rate lock commitments			9,169			0.1			36		Other assets
Total non-hedging derivatives			9,169						36

Total		$	786,263					$	4,648


		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
June 30, 2023
Interest rate swap on securities		Securities available for sale		$	31,381		$	(5,809)

December 31, 2022
Interest rate swap on securities		Securities available for sale		$	30,045		$	(7,145)

Schedule of Derivative Instruments Gain (Loss)


		Three Months Ended June 30, 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		$	387		Interest expense		$	—		Interest expense		$	745
Interest rate swap on variable rate loans			(462)		Interest income			—		Interest income			(531)
Total cash flow hedges			(75)					—					214

Fair value hedges:
Interest rate swap on securities			321		Interest income			—		Interest income			330
Total fair value hedges			321					—					330

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			49
Total economic hedges			—					—					49

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			(111)
Total non-hedging derivatives			—					—					(111)

Total		$	246				$	—				$	482


		Three Months Ended June 30, 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		$	605		Interest expense		$	—		Interest expense		$	(28)
Interest rate swap on variable rate loans			(510)		Interest income			—		Interest income			(17)
Total cash flow hedges			95					—					(45)

Fair value hedges:
Interest rate swap on securities			(1,632)		Interest income			—		Interest income			(68)
Total economic hedges			(1,632)					—					(68)

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			(213)
Total economic hedges			—					—					(213)

Non-hedging derivatives:
Interest rate lock commitments			—		Other income			—		Mortgage banking income			55
Total non-hedging derivatives			—					—					55

Total		$	(1,537)				$	—				$	(271)


		Six Months Ended June 30, 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		$	(222)		Interest expense		$	—		Interest expense		$	1,409
Interest rate swap on variable rate loans			130		Interest income			—		Interest income			(997)
Total cash flow hedges			(92)					—					412

Fair value hedges:
Interest rate swap on securities			929		Interest income			—		Interest income			616
Total fair value hedges			929					—					616

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			49
Total economic hedges			—					—					49

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			(103)
Total non-hedging derivatives			—					—					(103)

Total		$	837				$	—				$	974


		Six Months Ended June 30, 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		$	2,796		Interest expense		$	—		Interest expense		$	(141)
Interest rate swap on variable rate loans			(2,308)		Interest income			—		Interest income			(1)
Total cash flow hedges			488					—					(142)

Fair value hedges:
Interest rate swap on securities			(3,473)		Interest income			—		Interest income			(203)
Total economic hedges			(3,473)					—					(203)

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			(26)
Total economic hedges			—					—					(26)

Non-hedging derivatives:
Interest rate lock commitments			—		Other income			—		Mortgage banking income			(233)
Total non-hedging derivatives			—					—					(233)

Total		$	(2,985)				$	—				$	(604)

Schedule of Gain Loss in Statement of Income


		Three Months Ended June 30, 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		$	36,917		$	5,964		$	8,590		$	5,501		$	8,980

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			745			—
Interest rate swap on variable rate loans			(531)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			330			—			—			—

		Three Months Ended June 30, 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		$	24,581		$	4,207		$	1,195		$	1,074		$	8,961

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			(28)			—
Interest rate swap on variable rate loans			(17)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			(68)			—			—			—


		Six Months Ended June 30, 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		$	71,477		$	11,755		$	13,855		$	9,681		$	18,164

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			1,409			—
Interest rate swap on variable rate loans			(997)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			616			—			—			—

		Six Months Ended June 30, 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		$	47,252		$	8,033		$	2,384		$	2,084		$	18,270

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			(141)			—
Interest rate swap on variable rate loans			(1)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			(203)			—			—			—

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


		Location of Gain (Loss) Recognized		Three Months Ended June 30,						Six Months Ended June 30,
(In thousands)		in Non-interest Income		2023				2022		2023				2022
Derivatives not designated as hedging instruments

Economic hedges:
Forward commitments		Mortgage banking income		$	49		$	(213)		$	49		$	(26)
Non-hedging derivatives:
Interest rate lock commitments		Mortgage banking income			(111)			55			(103)			(233)

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 June 30, 2023
Customer Loan Derivatives:
MNA counterparty		$	(19,837)		$	19,837		$	—		$	—
RPA counterparty			—			—			—			—
Total		$	(19,837)		$	19,837		$	—		$	—


		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		$	—		$	—

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References + Details