DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2022

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities

	September 30, 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 fundings	$	75,000		2.3	$	5,153	Other assets
Interest rate swap on variable rate loans		50,000		3.5		(5,289)	Other liabilities
Total cash flow hedges		125,000				(136)
Fair value hedges:
Interest rate swap on securities		37,190		6.8		5,017	Other assets
Total fair value hedges		37,190				5,017
Economic hedges:
Forward sale commitments		200		—		8	Other assets
Customer Loan Swaps-MNA Counterparty		193,743		6.0		(21,795)	Other liabilities
Customer Loan Swaps-RPA Counterparty		110,317		6.3		—	Other liabilities
Customer Loan Swaps-Customer		304,060		6.1		21,795	Other assets
Total economic hedges		608,320				8
Non-hedging derivatives:
Interest rate lock commitments		—		—		—	Other assets
Total non-hedging derivatives		—				—
Total	$	770,510			$	4,889

	December 31, 2021
			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 fundings	$	75,000		3.0	$	(121)	Other liabilities
Interest rate swap on variable rate loans		50,000		4.2		(756)	Other liabilities
Total cash flow hedges		125,000				(877)
Fair value hedges:
Interest rate swap on securities		37,190		7.6		(530)	Other liabilities
Total fair value hedges		37,190				(530)
Economic hedges:
Forward sale commitments		16,600		0.1		15	Other assets
Customer Loan Swaps-MNA Counterparty		260,102		6.2		(9,429)	Other liabilities
Customer Loan Swaps-RPA Counterparty		115,285		6.7		(4,421)	Other liabilities
Customer Loan Swaps-Customer		375,387		6.4		13,850	Other assets
Total economic hedges		767,374				15
Non-hedging derivatives:
Interest rate lock commitments		14,059		0.1		283	Other assets
Total non-hedging derivatives		14,059				283
Total	$	943,623			$	(1,109)

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
September 30, 2022
Interest rate swap on securities	Securities Available for Sale	$	27,993	$	(9,197)
December 31, 2021
Interest rate swap on securities	Securities Available for Sale	$	39,726	$	2,536

Schedule of Derivative Instruments Gain (Loss)

	Three Months Ended September 30, 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	$	1,262	Interest expense	$	—	Interest expense	$	140
Interest rate swap on variable rate loans		(1,181)	Interest income		—	Interest income		(238)
Total cash flow hedges		81			—			(98)
Fair value hedges:
Interest rate swap on securities		(1,287)	Interest income		—	Interest income		155
Total fair value hedges		(1,287)			—			155
Economic hedges:
Forward commitments		—	Other income		—	Mortgage banking income		19
Total economic hedges		—			—			19
Non-hedging derivatives:
Interest rate lock commitments		—	Other expense		—	Mortgage banking income		(50)
Total non-hedging derivatives		—			—			(50)
Total	$	(1,206)		$	—		$	26

	Nine Months Ended September 30, 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	$	4,058	Interest expense	$	—	Interest expense	$	(1)
Interest rate swap on variable rate loans		(3,489)	Interest income		—	Interest income		(239)
Total cash flow hedges		569			—			(240)
Fair value hedges:
Interest rate swap on securities		(4,761)	Interest income		—	Interest income		(48)
Total fair value hedges		(4,761)			—			(48)
Economic hedges:
Forward commitments		—	Other income		—	Mortgage banking income		(7)
Total economic hedges		—			—			(7)
Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Mortgage banking income		(283)
Total non-hedging derivatives		—			—			(283)
Total	$	(4,192)		$	—		$	(578)

	Three Months Ended September 30, 2021
	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	$	167	Interest expense	$	—	Interest expense	$	(205)
Interest rate swap on variable rate loans		(101)	Interest income			Interest income		92
Total cash flow hedges		66			—			(113)
Fair value hedges:
Interest rate swap on securities		(221)	Interest income		—	Interest income		(144)
Total economic hedges		(221)			—			(144)
Economic hedges:
Forward commitments		—	Other income		—	Mortgage banking income		(96)
Total economic hedges		—			—			(96)
Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Mortgage banking income		22
Total non-hedging derivatives		—			—			22
Total	$	(155)		$	—		$	(331)

	Nine Months Ended September 30, 2021
	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(1)		Comprehensive Income	Income		Income	in Income
Cash flow hedges:
Interest rate swap on wholesale funding	$	1,148	Interest expense	$	—	Interest expense	$	(589)
Interest rate swap on variable rate loans		(93)	Interest income			Interest income		189
Total cash flow hedges		1,055			—			(400)
Fair value hedges:
Interest rate swap on securities		720	Interest income		—	Interest income		(421)
Total economic hedges		720			—			(421)
Economic hedges:
Forward commitments		—	Other income		—	Mortgage banking income		(45)
Total economic hedges		—			—			(45)
Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Mortgage banking income		26
Total non-hedging derivatives		—			—			26
Total	$	1,775		$	—		$	(840)

Schedule of Gain Loss in Statement of Income

	Three Months Ended September 30, 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	$	27,940	$	5,145	$	1,801	$	1,374	$	8,823
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		140		—
Interest rate swap on variable rate loans		(238)		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		155		—		—		—
	Three Months Ended September 30, 2021
	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	$	25,094	$	3,821	$	1,555	$	1,778	$	11,350
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		(205)		—
Interest rate swap on variable rate loans		92		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		(144)		—		—		—

	Nine Months Ended September 30, 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	$	75,192	$	13,178	$	4,185	$	3,458	$	27,093
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		(1)		—
Interest rate swap on variable rate loans		(239)		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		(48)		—		—		—
	Nine Months Ended September 30, 2021
	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	$	72,490		11,792	$	7,109		5,415	$	31,103
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		(589)		—
Interest rate swap on variable rate loans		189		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		(421)		—		—		—

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 September 30, 2022
Customer Loan Derivatives:
MNA counterparty	$	(21,795)	$	21,795	$	—	$	—
RPA counterparty		—		—		—		—
Total	$	(21,795)	$	21,795	$	—	$	—

	Gross Amounts Offset in the Consolidated Balance Sheet
	Derivative				Cash Collateral
(in thousands)	Liabilities		Derivative Assets		Pledged		Net Amount
As of December 31, 2021
Customer Loan Derivatives:
MNA counterparty	$	(9,429)	$	9,429	$	12,000	$	12,000
RPA counterparty		(4,421)		4,421		—		—
Total	$	(13,850)	$	13,850	$	12,000	$	12,000