DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

3 Months Ended

Mar. 31, 2023

DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES

Schedule of Information About Derivative Assets and Liabilities

	March 31, 2023
			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		1.8	$	4,184	Other assets
Interest rate swap on variable rate loans		50,000		3.0		(4,170)	Other liabilities
Total cash flow hedges		125,000				14
Fair value hedges:
Interest rate swap on securities		37,190		6.3		3,952	Other assets
Total fair value hedges		37,190				3,952
Economic hedges:
Customer Loan Swaps-MNA Counterparty		192,269		5.5		(16,375)	Other liabilities
Customer Loan Swaps-RPA Counterparty		112,836		5.7		(23)	Other liabilities
Customer Loan Swaps-Customer		305,105		5.6		16,398	Other assets
Total economic hedges		610,210				—
Non-hedging derivatives:
Interest rate lock commitments		552		0.2		8	Other assets
Total non-hedging derivatives		552				8
Total	$	772,952			$	3,974

	December 31, 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		2.0	$	4,978	Other assets
Interest rate swap on variable rate loans		50,000		3.2		(4,941)	Other liabilities
Total cash flow hedges		125,000				37
Fair value hedges:
Interest rate swap on securities		37,190		6.6		4,774	Other assets
Total fair value hedges		37,190				4,774
Economic hedges:
Forward sale commitments		—		—		—	Other assets
Customer Loan Swaps-MNA Counterparty		191,987		5.8		(20,287)	Other liabilities
Customer Loan Swaps-RPA Counterparty		113,928		6.0		—	Other liabilities
Customer Loan Swaps-Customer		305,914		5.9		20,287	Other assets
Total economic hedges		611,829				—
Non-hedging derivatives:
Interest rate lock commitments		—		—		—	Other assets
Total non-hedging derivatives		—				—
Total	$	774,019			$	4,811

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
March 31, 2023
Interest rate swap on securities	Securities Available for Sale	$	31,658	$	(5,532)
December 31, 2022
Interest rate swap on securities	Securities Available for Sale	$	41,964	$	4,774

Schedule of Derivative Instruments Gain (Loss)

	Three Months Ended March 31, 2023
	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	$	(610)	Interest expense	$	—	Interest expense	$	664
Interest rate swap on variable rate loans		592	Interest income		—	Interest income		(466)
Total cash flow hedges		(18)			—			198
Fair value hedges:
Interest rate swap on securities		607	Interest income		—	Interest income		286
Total fair value hedges		607			—			286
Economic hedges:
Forward commitments		—	Other income		—	Mortgage banking income		—
Total economic hedges		—			—			—
Non-hedging derivatives:
Interest rate lock commitments		—	Other expense		—	Mortgage banking income		8
Total non-hedging derivatives		—			—			8
Total	$	589		$	—		$	492

	Three Months Ended March 31, 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	$	2,191	Interest expense	$	—	Interest expense	$	(113)
Interest rate swap on variable rate loans		(1,798)	Interest income		—	Interest income		16
Total cash flow hedges		393			—			(97)
Fair value hedges:
Interest rate swap on securities		(1,841)	Interest income		—	Interest income		(135)
Total economic hedges		(1,841)			—			(135)
Economic hedges:
Forward commitments		—	Other income		—	Non-interest income		186
Total economic hedges		—			—			186
Non-hedging derivatives:
Interest rate lock commitments		—	Other income		—	Non-interest income		(288)
Total non-hedging derivatives		—			—			(288)
Total	$	(1,448)		$	—		$	(334)

Schedule of Gain Loss in Statement of Income

	Three Months Ended March 31, 2023
	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	$	34,560	$	5,791	$	5,265	$	4,180	$	9,184
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		664		—
Interest rate swap on variable rate loans		(466)		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		286		—		—		—
	Three Months Ended March 31, 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	$	22,671	$	3,826	$	1,189	$	1,010	$	9,309
The effects of cash flow and fair value hedging:
Gain (loss) on cash flow hedges:
Interest rate swap on wholesale funding		—		—		—		(113)		—
Interest rate swap on variable rate loans		16		—		—		—		—
Gain (loss) on fair value hedges:
Interest rate swap on securities		—		(135)		—		—		—

Schedule of derivatives no designated as hedging instruments on the consolidated statements of income

	Location of Gain (Loss) Recognized	Three Months Ended March 31,
(In thousands)	in Non-interest Income	2023			2022
Derivatives not designated as hedging instruments
Non-hedging derivatives:
Interest rate lock commitments	Mortgage banking income	$	8	$	(288)

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 March 31, 2023
Customer Loan Derivatives:
MNA counterparty	$	(16,375)	$	16,375	$	—	$	—
RPA counterparty		(23)		23		—		—
Total	$	(16,398)	$	16,398	$	—	$	—

	Gross Amounts Offset in the Consolidated Balance Sheet
	Derivative				Cash Collateral
(in thousands)	Liabilities		Derivative Assets		Pledged		Net Amount
As of December 31, 2022
Customer Loan Derivatives:
MNA counterparty	$	(20,287)	$	20,287	$	—	$	—
RPA counterparty		—		—		—		—
Total	$	(20,287)	$	20,287	$	—	$	—