DERIVATIVES AND HEDGING (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Derivative Financial Instruments

The following table presents the fair value of the Company's derivative financial instruments as well as their classification on the consolidated statements of condition as of the dates indicated:


	Derivative Assets					Derivative Liabilities
(In thousands)	Notional Amount		Location	Fair Value		Notional Amount		Location	Fair Value
September 30, 2022
Derivatives designated as hedging instruments:
Interest rate contracts(1)	$	110,000	Other assets	$	13,806	$	133,000	Accrued interest and other liabilities	$	5,459
Total derivatives designated as hedging instruments				$	13,806				$	5,459
Derivatives not designated as hedging instruments:
Customer loan swaps(1)	$	264,758	Other assets	$	16,112	$	264,758	Accrued interest and other liabilities	$	16,134
Risk participation agreements	21,937		Other assets	—		44,741		Accrued interest and other liabilities	—
Fixed rate mortgage interest rate lock commitments	2,400		Other assets	11		12,166		Accrued interest and other liabilities	395
Forward delivery commitments	4,863		Other assets	318		—		Accrued interest and other liabilities	—
Total derivatives not designated as hedging instruments				$	16,441				$	16,529
December 31, 2021
Derivatives designated as hedging instruments:
Interest rate contracts(1)	$	160,000	Other assets	$	5,589	$	83,000	Accrued interest and other liabilities	$	7,872
Total derivatives designated as hedging instruments				$	5,589				$	7,872
Derivatives not designated as hedging instruments:
Customer loan swaps(1)	$	345,545	Other assets	$	19,297	$	345,545	Accrued interest and other liabilities	$	19,485
Risk participation agreements	25,347		Other assets	—		53,704		Accrued interest and other liabilities	—
Fixed rate mortgage interest rate lock commitments	20,437		Other assets	371		8,587		Accrued interest and other liabilities	91
Forward delivery commitments	3,882		Other assets	86		1,903		Accrued interest and other liabilities	6
Total derivatives not designated as hedging instruments				$	19,754				$	19,582

(1) Reported fair values include accrued interest receivable and payable.

Schedule of Cash Flow Hedging Instruments, Location

The table below presents the effect of cash flow hedge accounting, before tax, on AOCI for the periods indicated:


(Dollars in thousands)	Amount of Gain (Loss) Recognized in OCI on Derivative		Amount of Gain (Loss) Recognized in OCI Included Component		Amount of Gain (Loss) Recognized in OCI Excluded Component		Location of Gain (Loss) Recognized from AOCI into Income	Amount of Gain (Loss) Reclassified from AOCI into Income		Amount of Gain (Loss) Reclassified from AOCI into Income Included Component		Amount of Gain (Loss) Reclassified from AOCI into Income Excluded Component
Derivatives in Cash Flow Hedge Relationships:
For the Three Months Ended September 30, 2022
Interest rate contracts	$	(1,798)	$	(1,798)	$	—	Interest and fees on loans	$	(121)	$	(121)	$	—
Interest rate contracts	146		146		—		Interest on deposits	189		189		—
Interest rate contracts	2,544		2,544		—		Interest on borrowings	185		185		—
Interest rate contracts	2,489		2,489		—		Interest on subordinated debentures	(133)		(133)		—
Total	$	3,381	$	3,381	$	—		$	120	$	120	$	—

For the Nine Months Ended September 30, 2022
Interest rate contracts	$	(5,713)	$	(5,713)	$	—	Interest and fees on loans	$	498	$	498	$	—
Interest rate contracts	5,867		5,867		—		Interest on deposits	72		72		—
Interest rate contracts	2,544		2,544		—		Interest on borrowings	185		185		—
Interest rate contracts	7,906		7,906		—		Interest on subordinated debentures	(755)		(755)		—
Total	$	10,604	$	10,604	$	—		$	—	$	—	$	—

For the Three Months Ended September 30, 2021
Interest rate contracts	$	48	$	48	$	—	Interest and fees on loans	$	410	$	410	$	—
Interest rate contracts	190		190		—		Interest on deposits	(170)		(170)		—

Interest rate contracts	228		228				Interest on subordinated debentures	(369)		(369)
Total	$	466	$	466	$	—		$	(129)	$	(129)	$	—

For the Nine Months Ended September 30, 2021
Interest rate contracts	$	(688)	$	(688)	$	—	Interest and fees on loans	$	1,205	$	1,205	$	—
Interest rate contracts	2,142		2,142		—		Interest on deposits	(490)		(490)		—

Interest rate contracts	2,201		2,201		—		Interest on subordinated debentures	(1,222)		(1,222)		—
Total	$	3,655	$	3,655	$	—		$	(507)	$	(507)	$	—

The table below presents the effect of cash flow hedge accounting on the consolidated statements of income for the periods indicated:


	Location and Amount of Gain (Loss) Recognized in Income
	Three Months Ended September 30,
	2022								2021
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	37,568	$	5,442	$	787	$	539	$	31,185	$	1,973	$	122	$	538
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	(121)	$	189	$	185	$	(133)	$	410	$	(170)	$	—	$	(369)
Amount of gain (loss) reclassified from AOCI into income - included component	$	(121)	$	189	$	185	$	(133)	$	410	$	(170)	$	—	$	(369)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—


	Location and Amount of Gain (Loss) Recognized in Income
	Nine Months Ended September 30,
	2022								2021
(Dollars in thousands)	Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures		Interest and fees on loans		Interest on deposits		Interest on borrowings		Interest on subordinated debentures
Total presented on the consolidated statements of income in which the effects of cash flow hedges are recorded	$	102,724	$	9,785	$	1,372	$	1,600	$	92,610	$	5,957	$	454	$	1,983
Gain (loss) on cash flow hedging relationships
Interest rate contracts:
Amount of gain (loss) reclassified from AOCI into income	$	498	$	72	$	185	$	(755)	$	1,205	$	(490)	$	—	$	(1,222)
Amount of gain (loss) reclassified from AOCI into income - included component	$	498	$	72	$	185	$	(755)	$	1,205	$	(490)	$	—	$	(1,222)
Amount of gain (loss) reclassified from AOCI into income - excluded component	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

Schedule of Derivatives Not Designated as Hedging Instruments

The table below presents the effect of the Company's derivative financial instruments that are not designated as hedging instruments on the consolidated statements of income for the periods indicated:


	Location of Gain (Loss) Recognized in Income	Amount of Gain (Loss) Recognized in Income
		Three Months Ended September 30,				Nine Months Ended September 30,
(Dollars in thousands)		2022		2021		2022		2021
Customer loan swaps	Other expense	$	28	$	—	$	166	$	—
Fixed rate mortgage interest rate lock commitments	Mortgage banking income, net	(473)		(434)		(664)		22
Forward delivery commitments	Mortgage banking income, net	227		65		238		78
Total		$	(218)	$	(369)	$	(260)	$	100

- Definition

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.

+ References

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