DERIVATIVES (Tables)

6 Months Ended

Jun. 30, 2022

DERIVATIVES

Schedule of cumulative-basis adjustment for fair value hedges

	June 30, 2022
			Cumulative Amount of Fair Value
Line Item in the Statement of Financial			Hedging Adjustment Included in
Position in Which the Hedged Item is	Carrying Amount of the		the Carrying Amount of the
Included	Hedged Assets/(Liabilities)		Hedged Assets/(Liabilities)
Investment securities (1)	$	59,067	$	(933)
Total	$	59,067	$	(933)

__________________________

1) These amounts include the amortized cost basis of closed portfolios used in designated hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship.  At June 30, 2022, the amortized cost basis of the closed portfolios used in these hedging relationships was $244.7 million;  the cumulative basis adjustments associated with these hedging relationships was $933,000; and the amounts of the designated hedged items was $60.0 million.

Schedule of Derivative Instruments

	June 30, 2022
			Fair Value
Cash flow hedges:	Notional		Asset		Liability
Interest rate swaps - brokered deposits and borrowings	$	90,000	$	4,670	$	—
Fair value hedges:
Interest rate swaps - securities	$	60,000	$	931	$	—
Non-hedging derivatives:
Fallout adjusted interest rate lock commitments with customers		43,792		184		—
Mandatory and best effort forward commitments with investors		18,320		518		—
Forward TBA mortgage-backed securities		52,565		203		—

	December 31, 2021
			Fair Value
Cash flow hedges:	Notional		Asset		Liability
Interest rate swaps - brokered deposits and borrowings	$	90,000	$	1,168	$	155
Non-hedging derivatives:
Fallout adjusted interest rate lock commitments with customers		71,890		757		—
Mandatory and best effort forward commitments with investors		74,375		808		—
Forward TBA mortgage-backed securities		111,000		53		—

Schedule of effect of fair value and cash flow hedge accounting on the income statement

	Three Months Ended				Three Months Ended
	June 30, 2022				June 30, 2021
	Interest Expense Deposits		Interest Income Securities		Interest Expense Deposits		Interest Income Securities
Total amounts presented in the Consolidated Statements of Income	$	1,557	$	1,670	$	1,870	$	1,313
Net gains (losses) on fair value hedging relationships
Interest rate swaps - securities
Recognized on hedged items	$	—	$	(933)	$	—	$	—
Recognized on derivatives designated as hedging instruments		—		831		—		—
Net income (expense) recognized on fair value hedges	$	—	$	(102)	$	—	$	—
Net gain (loss) on cash flow hedging relationships
Interest rate swaps - brokered deposits and borrowings
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	55	$	—	$	(124)	$	—
Net income (expense) recognized on cash flow hedges	$	55	$	—	$	(124)	$	—

	Six Months Ended				Six Months Ended
	June 30, 2022				June 30, 2021
	Interest Expense Deposits		Interest Income Securities		Interest Expense Deposits		Interest Income Securities
Total amounts presented in the Consolidated Statements of Income	$	2,842	$	3,249	$	3,852	$	2,563
Net gains (losses) on fair value hedging relationships
Interest rate swaps - securities
Recognized on hedged items	$	—	$	(933)	$	—	$	—
Recognized on derivatives designated as hedging instruments		—		831		—		—
Net income (expense) recognized on fair value hedges	$	—	$	(102)	$	—	$	—
Net gain (loss) on cash flow hedging relationships
Interest rate swaps - brokered deposits and borrowings
Realized gains (losses) (pre-tax) reclassified from AOCI into net income	$	(46)	$	—	$	(238)	$	—
Net income (expense) recognized on cash flow hedges	$	(46)	$	—	$	(238)	$	—

Schedule of offsetting derivative assets

			Gross Amounts		Net Amounts of Assets		Gross Amounts Not Offset
	Gross Amounts		Offset in the		Presented in the		in the Statement of Financial Position
Offsetting of Derivative Assets	of Recognized		Statement of		Statement of		Financial		Cash Collateral
as of June 30, 2022	Assets		Financial Position		Financial Position		Instruments		Received		Net Amount
Interest rate swaps	$	5,601	$	—	$	5,601	$	—	$	—	$	5,601
as of December 31, 2021
Interest rate swaps	$	1,168	$	—	$	1,168	$	—	$	—	$	1,168

Schedule of offsetting derivative liabilities

			Gross Amounts		Net Amounts of		Gross Amounts Not Offset
	Gross Amounts		Offset in the		Liabilities		in the Statement of Financial Position
Offsetting of Derivative Liabilities	of Recognized		Statement of		Presented in the Statement		Financial		Cash Collateral
as of June 30, 2022	Liabilities		Financial Position		of Financial Position		Instruments		Posted		Net Amount
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
as of December 31, 2021
Interest rate swaps	$	155	$	—	$	155	$	—	$	155	$	—