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DERIVATIVE INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments in Statement of Financial Position | Notional amounts are reference amounts from which contractual obligations are derived and are not recorded on the balance sheet. In our view, derivative notional is not an accurate measure of our derivative exposure when viewed in isolation from other factors, such as market rate fluctuations and counterparty credit risk.
| March 31, 2025 |  | December 31, 2024
| Fair Value |  |  |  | Fair Value |  |
(dollars in thousands) | Assets |  | Liabilities |  | Notional amount |  | Assets |  | Liabilities |  | Notional amount
Derivatives designated as accounting hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |
Fair value hedges |  |  |  |  |  |  |  |  |  |  |
Investment securities available for sale | $ | 1,263 |  |  | $ | 2,750 |  |  | $ | 285,818 |  |  | $ | 2,653 |  |  | $ | 654 |  |  | $ | 167,363 |
Cash flow hedges |  |  |  |  |  |  |  |  |  |  |
Investment securities available for sale | 1,197 |  |  | — |  |  | 90,000 |  |  | — |  |  | — |  |  | — |
Pools of commercial and commercial real estate loans | 2,285 |  |  | 3,125 |  |  | 300,000 |  |  | — |  |  | 4,502 |  |  | 200,000 |
FHLB advances, brokered CDs and other borrowings | 439 |  |  | 347 |  |  | 125,000 |  |  | 863 |  |  | 281 |  |  | 75,000 |
Total derivatives designated as accounting hedges | $ | 5,184 |  |  | $ | 6,222 |  |  | $ | 800,818 |  |  | $ | 3,516 |  |  | $ | 5,437 |  |  | $ | 442,363 |
Derivatives not designated as accounting hedges |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |
Swaps | $ | 150 |  |  | $ | 150 |  |  | $ | 53,952 |  |  | $ | 218 |  |  | $ | 218 |  |  | $ | 54,390 |
Interest rate lock commitments | 226 |  |  | — |  |  | 8,570 |  |  | 71 |  |  | — |  |  | 3,907 |
Forward commitments to sell mortgage-backed securities | — |  |  | 53 |  |  | 10,750 |  |  | 32 |  |  | — |  |  | 10,198 |
Total derivatives not designated as accounting hedges | $ | 376 |  |  | $ | 203 |  |  | $ | 73,272 |  |  | $ | 321 |  |  | $ | 218 |  |  | $ | 68,495 |
The following table presents amounts recorded in the consolidated balance sheets related to cumulative basis adjustments for fair value hedges.
| Carrying amount of the hedged items |  | Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
(dollars in thousands) | March 31, 2025 |  | December 31, 2024 |  | March 31, 2025 |  | December 31, 2024
Investment securities available for sale | $ | 373,958 |  |  | $ | 286,982 |  |  | $ | 1,837 |  |  | $ | 3,323 |
Schedule of Derivative Instruments, Gain (Loss) | The following table summarizes the effect of derivative instruments in fair value hedging relationships on the consolidated statements of income.
| Location of gain (loss) recognized in income on derivative |  | Gain (loss) recognized in income on derivative |  | Location of gain (loss) recognized in income on related hedged item |  | Gain (loss) recognized in income on related hedged items
(dollars in thousands) |  | 2025 |  | 2024 |  |  | 2025 |  | 2024
Three Months Ended March 31, |  |  |  |  |  |  |  |  |  |  |
Gain (loss) on fair value hedging relationships |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |
Fixed-rate mortgage-backed securities | Interest income on investment securities available for sale |  | $ | (3,486) |  |  | $ | 1,015 |  |  | Interest income on investment securities available for sale |  | $ | 3,491 |  |  | $ | (1,018) |
The following table summarizes the effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income.
| Gain (loss) recognized in AOCI on derivative |  | Location of gain (loss) recognized in income on derivative |  |  |  | Gain (loss) reclassified from AOCI into income
(dollars in thousands) | 2025 |  | 2024 |  |  |  |  |  |  |  |  | 2025 |  | 2024 |  |
Three Months Ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Pools of commercial and commercial real estate loans | $ | 1,117 |  |  | $ | (3,070) |  |  |  |  | Interest income on loans |  |  |  |  |  | $ | (1,005) |  |  | $ | (1,546) |  |  |
Investment securities available for sale | 446 |  |  | — |  |  |  |  | Interest income on investment securities |  |  |  |  |  | 28 |  |  | — |  |  |
FHLB advances, brokered CDs and other borrowings | (699) |  |  | 1,423 |  |  |  |  | Interest expense |  |  |  |  |  | 140 |  |  | 194 |  |  |
Total loss on cash flow hedging relationships | $ | 864 |  |  | $ | (1,647) |  |  |  |  |  |  |  |  |  |  | $ | (837) |  |  | $ | (1,352) |  |  |
During the next 12 months, we estimate $1.5 million of losses will be reclassified into pretax earnings from derivatives designated as cash flow hedges. The following table summarizes the effect of derivative instruments not designated as accounting hedges on the consolidated statements of income.
| Location of gain recognized in income on derivative | Three Months Ended March 31, |  |  |  |  |  |
(dollars in thousands) | 2025 |  | 2024 |  |  |  |  |  |
Three Months Ended March 31, |  |  |  |  |  |  |  |  |  |
Gain on derivative instruments not designated as accounting hedges |  |  |  |  |  |  |  |  |  |
Interest rate contracts | Residential mortgage banking revenue | $ | 70 |  |  | $ | 117 |  |  |  |  |  |  |
Total gain on derivative instruments not designated as accounting hedges |  | $ | 70 |  |  | $ | 117 |  |  |  |  |  |  |
Disclosure of Credit Derivatives | The following table summarizes the most significant inputs and assumptions in determining the value of the credit enhancement derivatives as well as the resulting fair value as of March 31, 2025 and December 31, 2024:
| March 31, 2025 |  | December 31, 2024
Weighted average interest rate | 9.50 | % |  | 9.50 | %
Implied/selected cohort default rate (CDR) | 15.00 | % |  | 15.00 | %
Selected LGD | 85.00 | % |  | 85.00 | %
Annual expected loss | 12.75 | % |  | 12.75 | %
Credit mark | (21.86) | % |  | (20.66) | %
Interest mark | 11.80 | % |  | 10.04 | %
Fair value of derivative | 10.06 | % |  | 10.61 | %

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4J Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4K Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-4L + Details
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