DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 2021

Schedule of Information about Interest Rate Swaps Designated as Cash Flow Hedges

The following table presents information about the interest rate swaps designated as cash flow hedges as of September 30, 2021 and December 31, 2020:

(Dollars in thousands)	September 30, 2021			December 31, 2020
Notional amount	$	230,000		$	270,000
Weighted average pay rate		1.99	%		1.93	%
Weighted average receive rate		0.21	%		0.22	%
Weighted average maturity	1.29 years			2.02 years
Unrealized loss, net	$	(5,267	)	$	(9,616	)
Number of contracts		11			13

Schedule of Net Gains/(Loss) Recorded in Accumulated Other Comprehensive Income/(Loss)

The following table presents the net gain/(loss) recorded in accumulated other comprehensive income/(loss) and the consolidated financial statements relating to the cash flow derivative instruments for the three months and nine months ended September 30, 2021 and 2020:

	For the Three Months Ended September 30,					For the Nine Months Ended September 30,
(In thousands)	2021		2020			2021			2020
Interest rate contracts
Gain/(loss) recognized in other comprehensive income (effective portion)	$	673	$	1,026		$	3,127		$	(5,404	)
Gain/(loss) reclassified from other comprehensive income to interest expense		—		(4	)		—			(63	)
Gain/(loss) recognized in other noninterest income		—		—			(842	)		—

Schedule of Cash Flow Hedges Included in Financial Statements

	September 30, 2021
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits	$	230,000	$	(5,267	)
Total included in other assets		—		—
Total included in other liabilities		230,000		(5,267	)

	December 31, 2020
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits	$	270,000	$	(9,616	)
Total included in other assets		—		—
Total included in other liabilities		270,000		(9,616	)

Not Designated as Hedging Instrument [Member]

Schedule of Information about Interest Rate Swaps Designated as Cash Flow Hedges

Information about these swaps is as follows:

(Dollars in thousands)	September 30, 2021			December 31, 2020
Notional amount	$	730,966		$	823,134
Fair value (A)	$	47,821		$	79,529
Weighted average pay rates		3.98	%		4.02	%
Weighted average receive rates		1.81	%		1.91	%
Weighted average maturity	5.8 years			6.5 years
Number of contracts		87			95

(A) The September 30, 2021 amount includes the fair value of the loan level swap asset of $43.1 million plus accrued interest receivable of $4.7 million on back-to-back swap loans.