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INTEREST RATE SWAPS (Tables)
9 Months Ended
Sep. 30, 2024
Summary of net gains (losses) in OCI and the consolidated statements of income relating to the swaps

Three Months Ended

Nine Months Ended

September 30, 

September 30, 

(in thousands)

    

2024

    

2023

    

2024

    

2023

Gains (losses) recognized in OCI on derivative (effective portion)

 

$

(3,134)

 

$

 

$

(3,580)

 

$

Gains (losses) reclassified from OCI on derivative (effective portion)

289

 

 

380

 

Gains (losses) recognized in income on derivative (ineffective portion)

 

 

 

FHLB Advances  
Summary of interest rate swaps

September 30, 2024

December 31, 2023

Notional

Notional

(dollars in thousands)

    

Bank Position

    

Amount

    

Fair Value

    

Amount

    

Fair Value

Interest rate swap on FHLB advances - Liabilities

 

Pay fixed/receive variable

 

$

100,000

 

$

(3,960)

 

$

 

$

Total

 

$

100,000

$

(3,960)

$

$

September 30, 2024

December 31, 2023

Unrealized

Unrealized

Notional

Pay

Receive

Assets /

Gain (Loss)

Assets /

Gain (Loss)

(dollars in thousands)

    

Amount

    

Rate

    

Rate

    

Term

Bank Position

    

(Liabilities)

    

in AOCI

    

(Liabilities)

    

in AOCI

Interest rate swap on FHLB advances - Liabilities

 

$

100,000

 

4.14

%

 

1M SOFR

 

5/2024 - 6/2029

Pay fixed/receive variable

 

$

100,000

 

$

(3,960)

 

$

 

$

Total

 

$

100,000

$

100,000

$

(3,960)

$

$

    

Three Months Ended

Nine Months Ended

    

September 30, 

September 30, 

(in thousands)

2024

    

2023

    

2024

    

2023

Interest rate swap on FHLB advances

$

(289)

$

$

(380)

$

Total interest (benefit) expense on swap transactions

$

(289)

$

$

(380)

$

Interest rate swap  
Summary of interest rate swaps

    

September 30, 2024

December 31, 2023

Notional

Notional

(in thousands)

    

Bank Position

Amount

    

Fair Value

    

Amount

    

Fair Value

Interest rate swaps with Bank clients - Assets

 

Pay variable/receive fixed

 

$

156,162

$

5,803

 

$

120,442

 

$

4,066

Interest rate swaps with Bank clients - Liabilities

 

Pay variable/receive fixed

 

83,252

 

(3,270)

 

95,820

(4,867)

Interest rate swaps with Bank clients - Total

 

Pay variable/receive fixed

 

$

239,414

 

$

2,533

 

$

216,262

 

$

(801)

Offsetting interest rate swaps with institutional swap dealer - Assets

Pay fixed/receive variable

83,252

3,270

95,820

4,867

Offsetting interest rate swaps with institutional swap dealer - Liabilities

Pay fixed/receive variable

156,162

(5,803)

120,442

(4,066)

Offsetting interest rate swaps with institutional swap dealer - Total

Pay fixed/receive variable

$

239,414

 

$

(2,533)

 

$

216,262

 

$

801

Total

 

$

478,828

$

 

$

432,524

$