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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | 12 Months Ended
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Dec. 31, 2023
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES |
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | ​ ​ NOTE 10. DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES We use derivative instruments to minimize fluctuations in earnings and cash flows caused by interest rate volatility. Our interest rate risk management strategy involves modifying the re-pricing characteristics of certain assets or liabilities so the changes in interest rates do not have a significant effect on net interest income. Thus, all of our derivative contracts are considered to be interest rate contracts. ​ We recognize our derivative instruments on the consolidated balance sheet at fair value. On the date the derivative instrument is entered into, we designate whether the derivative is part of a hedging relationship (i.e., cash flow or fair value hedge). We formally document relationships between hedging instruments and hedged items, as well as our risk management objective and strategy for undertaking hedge transactions. We also assess, both at the hedge’s inception and on an ongoing basis, whether the derivatives used in hedging transactions are highly effective in offsetting the changes in cash flows or fair values of hedged items. Changes in fair value of derivative instruments that are highly effective and qualify as cash flow hedges are recorded in other comprehensive income or loss. ​ We offer derivative products in the form of interest rate swaps, to commercial loan customers to facilitate their risk management strategies. These instruments are executed through Master Netting Arrangements (“MNA”) with financial institution counterparties or Risk Participation Agreements (“RPA”) with commercial bank counterparties, for which we assume a pro rata share of the credit exposure associated with a borrower's performance related to the derivative contract with the counterparty. ​ Information about derivative assets and liabilities at December 31, 2023 and December 31, 2022, follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 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 funding | ​ | $ | 75,000 |  | ​ | 1.0 | ​ | $ | 2,803 | ​ | Other assets
Interest rate swap on variable rate loans | ​ | ​ | 50,000 | ​ | ​ | 2.2 | ​ | ​ | (3,459) | ​ | Other liabilities
Total cash flow hedges | ​ |  | 125,000 |  | ​ | ​ | ​ | ​ | (656) | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fair value hedges: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap on securities | ​ |  | 37,190 |  | ​ | 5.6 | ​ |  | 3,844 | ​ | Other assets
Total fair value hedges | ​ |  | 37,190 |  | ​ | ​ | ​ | ​ | 3,844 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Economic hedges: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Forward sale commitments | ​ |  | 5,000 |  | ​ | — | ​ |  | (20) | ​ | Other liabilities
Customer Loan Swaps-MNA Counterparty | ​ | ​ | 184,826 | ​ | ​ | 5.0 | ​ | ​ | (14,842) | ​ | Other liabilities
Customer Loan Swaps-RPA Counterparty | ​ | ​ | 142,199 | ​ | ​ | 4.9 | ​ | ​ | (286) | ​ | Other liabilities
Customer Loan Swaps-Customer | ​ | ​ | 327,025 | ​ | ​ | 4.9 | ​ | ​ | 15,128 | ​ | Other assets
Total economic hedges | ​ |  | 659,050 |  | ​ | ​ | ​ | ​ | (20) | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Non-hedging derivatives: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate lock commitments | ​ |  | 3,153 |  | ​ | 0.1 | ​ |  | 63 | ​ | Other assets
Total non-hedging derivatives | ​ |  | 3,153 |  | ​ | ​ | ​ | ​ | 63 | ​ | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Total | ​ | $ | 824,393 | ​ | ​ | ​ | ​ | $ | 3,231 | ​ | ​
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | 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 funding | ​ | $ | 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 | ​ | ​
​ As of December 31, 2023, and 2022, the following amounts were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ |  | ​ |  | ​ | ​ |  | Cumulative Amount of Fair
​ | ​ | Location of Hedged Item on | ​ | Carrying Amount of Hedged | ​ | Value Hedging Adjustment in
​ |  | Balance Sheet |  | Assets |  | Carrying Amount
December 31, 2023 |  |  |  | ​ |  |  | ​ |
Interest rate swap on securities |  | Securities available for sale | ​ | $ | 32,680 | ​ | $ | (4,510)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
December 31, 2022 |  |  | ​ |  |  | ​ |  |
Interest rate swap on securities |  | Securities available for sale | ​ | $ | 30,045 | ​ | $ | (7,145)
​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ ​ Information about derivative assets and liabilities for December 31, 2023 and December 31, 2022, follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Year Ended December 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 | ​ | $ | (1,687) | ​ | Interest expense | ​ | $ | — |  | Interest expense | ​ | $ | 3,062
Interest rate swap on variable rate loans | ​ | ​ | 1,157 | ​ | Interest income | ​ | ​ | — | ​ | Interest income | ​ | ​ | (2,167)
Total cash flow hedges | ​ |  | (530) |  | ​ | ​ |  | — |  |  | ​ |  | 895
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fair value hedges: | ​ |  | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Interest rate swap on securities | ​ |  | 1,314 |  | Interest income | ​ |  | — |  | Interest income | ​ |  | 1,359
Total fair value hedges | ​ |  | 1,314 |  | ​ | ​ |  | — |  |  | ​ |  | 1,359
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Economic hedges: | ​ |  | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Forward commitments | ​ |  | — |  | Other income | ​ |  | — |  | Mortgage banking income | ​ |  | (20)
Total economic hedges | ​ |  | — |  | ​ | ​ |  | — |  |  | ​ |  | (20)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Non-hedging derivatives: | ​ |  | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Interest rate lock commitments | ​ |  | — |  | Other expense | ​ |  | — |  | Mortgage banking income | ​ |  | (20)
Total non-hedging derivatives | ​ |  | — |  | ​ | ​ |  | — |  |  | ​ |  | (20)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Total | ​ | $ | 784 | ​ | ​ | ​ | $ | — |  |  | ​ | $ | 2,214
​
(1) | As of December 31, 2023, we do not expect any gains or losses from accumulated other comprehensive income into earnings within the next 12 months.
​ ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Year Ended December 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 | ​ | $ | 3,922 |  | Interest expense | ​ | $ | — |  | Interest expense | ​ | $ | 475
Interest rate swap on variable rate loans | ​ | ​ | (3,218) | ​ | Interest income | ​ | ​ | — | ​ | Interest income | ​ | ​ | (601)
Total cash flow hedges | ​ | ​ | 704 | ​ | ​ | ​ |  | — |  | ​ | ​ |  | (126)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Fair value hedges: | ​ | ​ | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Interest rate swap on securities | ​ |  | — |  | Interest income | ​ |  | — |  | Interest income | ​ |  | 140
Total economic hedges | ​ | ​ | — | ​ | ​ | ​ |  | — |  |  | ​ |  | 140
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Economic hedges: | ​ | ​ | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Forward commitments | ​ |  | — |  | Other income | ​ |  | — |  | Mortgage banking income | ​ |  | (15)
Total economic hedges | ​ | ​ | — | ​ | ​ | ​ |  | — |  |  | ​ |  | (15)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Non-hedging derivatives: | ​ |  | ​ |  |  | ​ |  | ​ |  |  | ​ |  | ​
Interest rate lock commitments | ​ |  | — |  | Other income | ​ |  | — |  | Mortgage banking income | ​ |  | (283)
Total non-hedging derivatives | ​ | ​ | — | ​ | ​ | ​ |  | — |  |  | ​ |  | (283)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Total | ​ | $ | 704 |  |  | ​ | $ | — |  |  | ​ | $ | (284)
​ ​ ​
​ The effect of cash flow hedging and fair value accounting on the consolidated statements of income for the years ended December 31, 2023 and 2022: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Year Ended December 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 |  | $ | 149,420 | ​ | $ | 24,762 | ​ | $ | 38,232 | ​ | $ | 18,275 | ​ | $ | 35,829
​ |  | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ |
The effects of cash flow and fair value hedging: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ |  |  | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Gain (loss) on cash flow hedges: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap on wholesale funding | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 3,062 | ​ | ​ | —
Interest rate swap on variable rate loans | ​ |  | (2,167) | ​ | ​ | — | ​ |  | — | ​ | ​ | — | ​ |  | —
​ | ​ |  |  | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Gain (loss) on fair value hedges: | ​ |  | ​ | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Interest rate swap on securities | ​ | ​ | — | ​ | ​ | 1,359 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Year Ended December 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 |  | $ | 107,797 | ​ | $ | 18,729 | ​ | $ | 7,344 | ​ | $ | 5,501 | ​ | $ | 35,321
​ |  | ​ |  | ​ | ​ | ​ |  | ​ |  | ​ | ​ | ​ |  | ​ |
The effects of cash flow and fair value hedging: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ |  |  | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Gain (loss) on cash flow hedges: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap on wholesale funding | ​ | ​ | — | ​ | ​ | — | ​ | ​ | — | ​ | ​ | 475 | ​ | ​ | —
Interest rate swap on variable rate loans | ​ |  | (601) | ​ | ​ | — | ​ |  | — | ​ | ​ | — | ​ |  | —
​ | ​ |  |  | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Gain (loss) on fair value hedges: | ​ |  | ​ | ​ | ​ | ​ | ​ |  |  | ​ | ​ | ​ | ​ |  |
Interest rate swap on securities | ​ | ​ | — | ​ | ​ | 140 | ​ | ​ | — | ​ | ​ | — | ​ | ​ | —
​ Cash flow hedges Interest rate swaps on wholesale funding As of December 31, 2023, we have two interest rate swaps on wholesale borrowings (the “Swaps”) to limit its exposure to rising interest rates over a five year term on 3-month FHLB borrowings or brokered certificates, or a combination thereof at each maturity date. The first of the two agreements was entered in November 2019 with a $50.0 million notional amount and pays a fixed interest rate of 1.53%. A second agreement was entered in April 2020 with a $25.0 million notional amount and pays a fixed rate of 0.59%. The financial institution counterparty pays us interest on the daily SOFR rate plus 26 basis points. We designated the Swaps as cash flow hedges. ​ Interest rate swap on variable rate loans We have an interest rate swap that effectively fixes our interest rate on $50 million at the daily SOFR rate plus 11 basis points of based loan assets at 0.806% plus the credit spread on the loans that reprices on weighted average basis. The instrument is specifically designed to hedge the risk of changes in its cash flows from interest receipts attributable to changes in a contractually specified interest rate, on an amount of our variable rate loan assets equal to $50 million. We designated the swap as a cash flow hedge. ​ Fair value hedges For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative instrument as well as the offsetting loss or gain on the hedged asset or liability attributable to the hedged risk are recognized in current earnings. We utilize interest rate swaps designated as fair value hedges to mitigate the effect of changing interest rates on the fair values of fixed rate callable securities available-for-sale. The hedging strategy on securities converts the fixed interest rates to SOFR-based variable interest rates. These derivatives are designated as partial term hedges of selected cash flows covering specified periods of time prior to the call dates of the hedged securities. During 2019, we entered into eight swap transactions with a notional amount of $37.2 million designated as fair value hedges. These derivatives are intended to protect against the effects of changing interest rates on the fair values of fixed rate securities. The fixed rates on the transactions have a weighted average of 1.696%. ​ Economic hedges Forward sale commitments We utilize forward sale commitments on residential mortgage loans to hedge interest rate risk and the associated effects on the fair value of interest rate lock commitments and loans originated for sale. The forward sale commitments are accounted for as derivatives. We typically use a combination of best efforts and mandatory delivery contracts. The contracts are loan sale agreements where we commit to deliver a certain principal amount of mortgage loans to an investor at a specified price on or before a specified date. Generally, we enter into contracts just prior to the loan closing with a customer. ​ Customer loan derivatives We enter into customer loan derivatives to facilitate the risk management strategies for commercial banking customers. We mitigate this risk by entering into equal and offsetting loan swap agreements with highly rated third-party financial institutions. The loan swap agreements are free standing derivatives and are recorded at fair value in our consolidated balance sheet. We are party to master netting arrangements with our financial institutional counterparties; however, we do not offset assets and liabilities under these arrangements for financial statement presentation purposes. ​ The master netting arrangements provide for a single net settlement of all loan swap agreements, as well as collateral or cash funds, in the event of default on, or termination of, any one contract. Collateral is provided by cash or securities received or posted by the counterparty with net liability positions, respectively, in accordance with contract thresholds. ​ The below table describes the potential effect of master netting arrangements on the consolidated balance sheet and the financial collateral pledged for these arrangements: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Gross Amounts Offset in the Consolidated Balance Sheet
​ | ​ | Derivative | ​ | ​ | ​ | Cash Collateral | ​ | ​ | ​
(in thousands) |  | Liabilities |  | Derivative Assets |  | Pledged |  | Net Amount
As of December 31, 2023 | ​ |  | ​ | ​ |  | ​ | ​ |  | ​ | ​ |  | ​
Customer Loan Derivatives: |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |
MNA counterparty | ​ | $ | (14,842) | ​ | $ | 14,842 | ​ | $ | — | ​ | $ | —
RPA counterparty | ​ |  | (286) | ​ |  | 286 | ​ |  | — | ​ |  | —
Total | ​ | $ | (15,128) | ​ | $ | 15,128 | ​ | $ | — | ​ | $ | —
​ Non-hedging derivatives Interest rate lock commitments We enter into interest rate lock commitments (“IRLCs”) for residential mortgage loans, which commit us to lend funds to a potential borrower at a specific interest rate and within a specified period of time. IRLCs relate to the origination of residential mortgage loans that are held for sale and are considered derivative financial instruments under applicable accounting guidance. Outstanding IRLCs expose us to the risk that the price of the mortgage loans underlying the commitments may decline due to increases in mortgage interest rates from inception of the rate lock to the funding of the loan. The IRLCs are free standing derivatives, which are carried at fair value with changes recorded in non-interest income in our Consolidated Statements of Income. Changes in the fair value of IRLCs subsequent to inception are based on (i) changes in the fair value of the underlying loan resulting from the fulfillment of the commitment and (ii) changes in the probability when the loan will fund within the terms of the commitment, which is affected primarily by changes in interest rates and the passage of time.

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