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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2023

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities


	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

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
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)

Schedule of Derivative Instruments Gain (Loss)


	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)

Schedule of Gain Loss in Statement of Income


	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		—		—		—

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 December 31, 2023
Customer Loan Derivatives:
MNA counterparty	$	(14,842)	$	14,842	$	—	$	—
RPA counterparty		(286)		286		—		—
Total	$	(15,128)	$	15,128	$	—	$	—

- Definition

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