DERIVATIVE INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2025

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position

Notional amounts are reference amounts from which contractual obligations are derived and are not recorded on the balance sheet. In our view, derivative notional is not an accurate measure of our derivative exposure when viewed in isolation from other factors, such as market rate fluctuations and counterparty credit risk.


	March 31, 2025						December 31, 2024
	Fair Value						Fair Value
(dollars in thousands)	Assets		Liabilities		Notional amount		Assets		Liabilities		Notional amount
Derivatives designated as accounting hedges
Interest rate contracts
Fair value hedges
Investment securities available for sale	$	1,263	$	2,750	$	285,818	$	2,653	$	654	$	167,363
Cash flow hedges
Investment securities available for sale	1,197		—		90,000		—		—		—
Pools of commercial and commercial real estate loans	2,285		3,125		300,000		—		4,502		200,000
FHLB advances, brokered CDs and other borrowings	439		347		125,000		863		281		75,000
Total derivatives designated as accounting hedges	$	5,184	$	6,222	$	800,818	$	3,516	$	5,437	$	442,363
Derivatives not designated as accounting hedges
Interest rate contracts
Swaps	$	150	$	150	$	53,952	$	218	$	218	$	54,390
Interest rate lock commitments	226		—		8,570		71		—		3,907
Forward commitments to sell mortgage-backed securities	—		53		10,750		32		—		10,198
Total derivatives not designated as accounting hedges	$	376	$	203	$	73,272	$	321	$	218	$	68,495

The following table presents amounts recorded in the consolidated balance sheets related to cumulative basis adjustments for fair value hedges.


	Carrying amount of the hedged items				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
(dollars in thousands)	March 31, 2025		December 31, 2024		March 31, 2025		December 31, 2024

Investment securities available for sale	$	373,958	$	286,982	$	1,837	$	3,323

Schedule of Derivative Instruments, Gain (Loss)

The following table summarizes the effect of derivative instruments in fair value hedging relationships on the consolidated statements of income.


	Location of gain (loss) recognized in income on derivative	Gain (loss) recognized in income on derivative				Location of gain (loss) recognized in income on related hedged item	Gain (loss) recognized in income on related hedged items
(dollars in thousands)		2025		2024			2025		2024




Three Months Ended March 31,
Gain (loss) on fair value hedging relationships
Interest rate contracts
Fixed-rate mortgage-backed securities	Interest income on investment securities available for sale	$	(3,486)	$	1,015	Interest income on investment securities available for sale	$	3,491	$	(1,018)

The following table summarizes the effect of derivative instruments in cash flow hedging relationships on the consolidated statements of income.


	Gain (loss) recognized in AOCI on derivative				Location of gain (loss) recognized in income on derivative		Gain (loss) reclassified from AOCI into income
(dollars in thousands)	2025		2024					2025		2024






Three Months Ended March 31,
Gain (loss) on cash flow hedging relationships
Interest rate contracts
Pools of commercial and commercial real estate loans	$	1,117	$	(3,070)		Interest income on loans		$	(1,005)	$	(1,546)
Investment securities available for sale	446		—			Interest income on investment securities		28		—
FHLB advances, brokered CDs and other borrowings	(699)		1,423			Interest expense		140		194
Total loss on cash flow hedging relationships	$	864	$	(1,647)				$	(837)	$	(1,352)

During the next 12 months, we estimate $1.5 million of losses will be reclassified into pretax earnings from derivatives designated as cash flow hedges.

The following table summarizes the effect of derivative instruments not designated as accounting hedges on the consolidated statements of income.


	Location of gain recognized in income on derivative	Three Months Ended March 31,
(dollars in thousands)		2025		2024
Three Months Ended March 31,
Gain on derivative instruments not designated as accounting hedges
Interest rate contracts	Residential mortgage banking revenue	$	70	$	117

Total gain on derivative instruments not designated as accounting hedges		$	70	$	117

Disclosure of Credit Derivatives

The following table summarizes the most significant inputs and assumptions in determining the value of the credit enhancement derivatives as well as the resulting fair value as of March 31, 2025 and December 31, 2024:


	March 31, 2025		December 31, 2024

Weighted average interest rate	9.50	%	9.50	%
Implied/selected cohort default rate (CDR)	15.00	%	15.00	%
Selected LGD	85.00	%	85.00	%
Annual expected loss	12.75	%	12.75	%
Credit mark	(21.86)	%	(20.66)	%
Interest mark	11.80	%	10.04	%

Fair value of derivative	10.06	%	10.61	%

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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