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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

6 Months Ended

Jun. 30, 2024

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities


		June 30, 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			0.5		$	1,670		Other assets
Interest rate swap on variable rate loans			50,000			1.7			(3,261)		Other liabilities
Total cash flow hedges			125,000						(1,591)

Fair value hedges:
Interest rate swap on securities			37,190			5.1			4,361		Other assets
Total fair value hedges			37,190						4,361

Economic hedges:
Forward sale commitments			10,850			—			15		Other assets
Customer Loan Swaps-MNA Counterparty			177,994			4.7			(16,744)		Other liabilities
Customer Loan Swaps-RPA Counterparty			152,204			4.6			—		Other liabilities
Customer Loan Swaps-Customer			330,198			4.6			16,744		Other assets
Total economic hedges			671,246						15

Non-hedging derivatives:
Interest rate lock commitments			7,467			0.1			146		Other assets
Total non-hedging derivatives			7,467						146

Total		$	840,903					$	2,931


		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			—		Other liabilities
Customer Loan Swaps-Customer			327,025			4.9			14,842		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
June 30, 2024
Interest rate swap on securities		Securities available for sale		$	31,849		$	(5,341)

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 June 30, 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		$	(528)		Interest expense		$	—		Interest expense		$	828
Interest rate swap on variable rate loans			262		Interest income			—		Interest income			(585)
Total cash flow hedges			(266)					—					243

Fair value hedges:
Interest rate swap on securities			28		Interest income			—		Interest income			371
Total fair value hedges			28					—					371

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			31
Total economic hedges			—					—					31

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			90
Total non-hedging derivatives			—					—					90

Total		$	(238)				$	—				$	735


		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 economic 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


		Six Months Ended June 30, 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		$	(866)		Interest expense		$	—		Interest expense		$	1,655
Interest rate swap on variable rate loans			151		Interest income			—		Interest income			(1,170)
Total cash flow hedges			(715)					—					485

Fair value hedges:
Interest rate swap on securities			(240)		Interest expense			—		Interest income			741
Total fair value hedges			(240)					—					741

Economic hedges:
Forward commitments			—		Other income			—		Mortgage banking income			35
Total economic hedges			—					—					35

Non-hedging derivatives:
Interest rate lock commitments			—		Other expense			—		Mortgage banking income			83
Total non-hedging derivatives			—					—					83

Total		$	(955)				$	—				$	1,344


		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 economic 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

Schedule of Gain Loss in Statement of Income


		Three Months Ended June 30, 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		$	40,634		$	6,204		$	14,780		$	4,299		$	9,633

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			828			—
Interest rate swap on variable rate loans			(585)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			371			—			—			—

		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			—			—			—


		Six Months Ended June 30, 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		$	80,104		$	12,557		$	29,312		$	7,535		$	18,219

The effects of cash flow and fair value hedging:

Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding			—			—			—			1,655			—
Interest rate swap on variable rate loans			(1,169)			—			—			—			—

Gain (loss) on fair value hedges:
Interest rate swap on securities			—			741			—			—			—

		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			—			—			—

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		2024				2023		2024				2023
Economic hedges:
Forward commitments		Mortgage banking income		$	31		$	49		$	35		$	49

Non-hedging derivatives:
Interest rate lock commitments		Mortgage banking income			90			(111)			83			(103)

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, 2024
Customer Loan Derivatives:
MNA counterparty		$	(16,744)		$	16,744		$	—		$	—
RPA counterparty			—			—			—			—
Total		$	(16,744)		$	16,744		$	—		$	—


		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			—			—			—			—
Total		$	(14,842)		$	14,842		$	—		$	—

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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