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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2023

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities


		September 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			1.3		$	3,955		Other assets
Interest rate swap on variable rate loans			50,000			2.5			(4,707)		Other liabilities
Total cash flow hedges			125,000						(752)

Fair value hedges:
Interest rate swap on securities			37,190			5.8			5,416		Other assets
Total fair value hedges			37,190						5,416

Economic hedges:
Forward sale commitments			6,425			—			47		Other assets
Customer Loan Swaps-MNA Counterparty			183,510			5.1			(22,226)		Other liabilities
Customer Loan Swaps-RPA Counterparty			119,000			5.4			—		Other liabilities
Customer Loan Swaps-Customer			302,510			5.2			22,226		Other assets
Total economic hedges			611,445						47

Non-hedging derivatives:
Interest rate lock commitments			4,920			0.1			25		Other assets
Total non-hedging derivatives			4,920						25

Total		$	778,555					$	4,736


		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
September 30, 2023
Interest rate swap on securities		Securities available for sale		$	27,887		$	(9,303)

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 September 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		$	(564)		Interest expense		$	—		Interest expense		$	816
Interest rate swap on variable rate loans			48		Interest income			—		Interest income			(578)
Total cash flow hedges			(516)					—					238

Fair value hedges:
Interest rate swap on securities			(2,096)		Interest income			—		Interest income			369
Total fair value hedges			(2,096)					—					369

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			(2)
Total economic hedges			—					—					(2)

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			24
Total non-hedging derivatives			—					—					24

Total		$	(2,612)				$	—				$	629


		Three Months Ended September 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		$	1,262		Interest expense		$	—		Interest expense		$	140
Interest rate swap on variable rate loans			(1,181)		Interest income			—		Interest income			(238)
Total cash flow hedges			81					—					(98)

Fair value hedges:
Interest rate swap on securities			(1,287)		Interest income			—		Interest income			155
Total economic hedges			(1,287)					—					155

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			19
Total economic hedges			—					—					19

Non-hedging derivatives:
Interest rate lock commitments			—		Other income			—		Mortgage banking income			(50)
Total non-hedging derivatives			—					—					(50)

Total		$	(1,206)				$	—				$	26


		Nine Months Ended September 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		$	(786)		Interest expense		$	—		Interest expense		$	2,225
Interest rate swap on variable rate loans			178		Interest income			—		Interest income			(1,575)
Total cash flow hedges			(608)					—					650

Fair value hedges:
Interest rate swap on securities			(1,168)		Interest income			—		Interest income			985
Total fair value hedges			(1,168)					—					985

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			47
Total economic hedges			—					—					47

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			(79)
Total non-hedging derivatives			—					—					(79)

Total		$	(1,776)				$	—				$	1,603


		Nine Months Ended September 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		$	4,058		Interest expense		$	—		Interest expense		$	(1)
Interest rate swap on variable rate loans			(3,489)		Interest income			—		Interest income			(239)
Total cash flow hedges			569					—					(240)

Fair value hedges:
Interest rate swap on securities			(4,761)		Interest income			—		Interest income			(48)
Total economic hedges			(4,761)					—					(48)

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			(7)
Total economic hedges			—					—					(7)

Non-hedging derivatives:
Interest rate lock commitments			—		Other income			—		Mortgage banking income			(283)
Total non-hedging derivatives			—					—					(283)

Total		$	(4,192)				$	—				$	(578)

Schedule of Gain Loss in Statement of Income


		Three Months Ended September 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		$	38,412		$	6,723		$	11,415		$	4,534		$	8,815

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			816			—
Interest rate swap on variable rate loans			(578)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			369			—			—			—

		Three Months Ended September 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		$	27,940		$	5,145		$	1,801		$	1,374		$	8,823

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			140			—
Interest rate swap on variable rate loans			(238)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			155			—			—			—


		Nine Months Ended September 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		$	109,889		$	18,478		$	25,270		$	14,215		$	26,979

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			2,225			—
Interest rate swap on variable rate loans			(1,575)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			985			—			—			—

		Nine Months Ended September 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		$	75,192		$	13,178		$	4,185		$	3,458		$	27,093

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			(1)			—
Interest rate swap on variable rate loans			(239)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			(48)			—			—			—

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


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

Economic hedges:
Forward commitments		Mortgage banking income		$	(2)		$	19		$	47		$	(7)
Non-hedging derivatives:
Interest rate lock commitments		Mortgage banking income			24			(50)			(79)			(283)

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 September 30, 2023
Customer Loan Derivatives:
MNA counterparty		$	(22,226)		$	22,226		$	—		$	—
RPA counterparty			—			—			—			—
Total		$	(22,226)		$	22,226		$	—		$	—


		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.

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