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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2024

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities


		March 31, 2024
					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			0.8		$	2,361		Other assets
Interest rate swap on variable rate loans			50,000			2.0			(3,604)		Other liabilities
Total cash flow hedges			125,000						(1,243)

Fair value hedges:
Interest rate swap on securities			37,190			5.3			4,407		Other assets
Total fair value hedges			37,190						4,407

Economic hedges:
Forward sale commitments			6,000			0.1			(16)		Other liabilities
Customer Loan Swaps-MNA Counterparty			177,994			4.9			(17,037)		Other liabilities
Customer Loan Swaps-RPA Counterparty			142,199			4.7			—		Other liabilities
Customer Loan Swaps-Customer			320,193			4.8			17,037		Other assets
Total economic hedges			646,386						(16)

Non-hedging derivatives:
Interest rate lock commitments			3,397			0.4			56		Other assets
Total non-hedging derivatives			3,397						56

Total		$	811,973					$	3,204


		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 assets
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

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, 2024
Interest rate swap on securities		Securities available for sale		$	31,767		$	(5,423)

December 31, 2023
Interest rate swap on securities		Securities available for sale		$	32,680		$	(4,510)

Schedule of Derivative Instruments Gain (Loss)


		Three Months Ended March 31, 2024
		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		$	(338)		Interest expense		$	—		Interest expense		$	827
Interest rate swap on variable rate loans			(111)		Interest income			—		Interest income			(585)
Total cash flow hedges			(449)					—					242

Fair value hedges:
Interest rate swap on securities			(268)		Interest income			—		Interest income			370
Total fair value hedges			(268)					—					370

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			4
Total economic hedges			—					—					4

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			(7)
Total non-hedging derivatives			—					—					(7)

Total		$	(717)				$	—				$	609


		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 economic 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

Schedule of Gain Loss in Statement of Income


		Three Months Ended March 31, 2024
		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		$	39,470		$	6,353		$	14,532		$	3,236		$	8,586

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			827			—
Interest rate swap on variable rate loans			(585)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			370			—			—			—

		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			—			—			—

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		2024				2023
Derivatives not designated as hedging instruments

Economic hedges:
Forward commitments		Mortgage banking income		$	4		$	-
Non-hedging derivatives:
Interest rate lock commitments		Mortgage banking income			(7)			8

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, 2024
Customer Loan Derivatives:
MNA counterparty		$	(17,037)		$	17,037		$	—		$	—
RPA counterparty			—			—			—			—
Total		$	(17,037)		$	17,037		$	—		$	—


		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		$	—		$	—

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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