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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments

Schedule of total notional amounts and gross fair values of the Company's derivatives


				September 30, 2023						December 31, 2022
				Fair			Notional			Fair			Notional
(dollars in thousands)				Value			Amount			Value			Amount
Designated as hedging instruments:		Consolidated Balance Sheet Location
Fair value hedges:
Interest rate swaps		Other assets		$	3,899		$	600,000		$	—		$	—
Cash flow hedges:
Interest rate swaps		Other assets			1,011			200,000			—			—
Total derivatives designated as hedging instruments				$	4,910		$	800,000		$	—		$	—
Not designated as hedging instruments:
Asset Derivatives
Interest rate swaps		Other assets		$	6,819		$	67,716		$	6,277		$	43,430
Interest rate lock commitments		Other assets			247			23,352			121			10,462
Forward loan sales commitments		Other assets			62			3,467			7			351
To-be-announced mortgage backed securities		Other assets			155			41,250			—			—
Total asset derivatives not designated as hedging instruments				$	7,283		$	135,785		$	6,405		$	54,243
Liability Derivatives
Interest rate swaps		Accrued expenses and other liabilities		$	6,820		$	67,716		$	6,277		$	43,430
To-be-announced mortgage backed securities		Accrued expenses and other liabilities			—			—			26			25,750
Total liability derivatives not designated as hedging instruments				$	6,820		$	67,716		$	6,303		$	69,180

Schedule of effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) before tax, reclassified from other comprehensive income (loss) into earnings

Three months ended September 30,

Nine months ended September 30,

Gains (Losses)

Gains (Losses)

Gains (Losses)

Gains (Losses)

Recognized in

Reclassified

Recognized in

Reclassified

Other

from Other

Other

from Other

Comprehensive

Comprehensive

Comprehensive

Comprehensive

Income

Income (Loss)

Income

Income (Loss)

(dollars in thousands)

(Loss)

into Earnings

(Loss)

into Earnings

Derivatives designated as hedging instruments

2023

2023

2023

2023

Cash flow hedges:

Interest rate swaps

$

1,216

$

205

$

1,216

$

205

Schedule of notional amount, carrying amount and associated cumulative basis adjustments related to the application of hedge accounting


		September 30, 2023
								Cumulative Fair
								Value Hedging
								Adjustment in the
					Carrying Amount			Carrying Amount of
		Notional			of Hedged Assets/			Hedged Assets/
(dollars in thousands)		Amount			Liabilities			Liabilities
Mortgage-backed securities
Residential agency ⁽¹⁾		$	200,000		$	196,793		$	(3,207)
Mortgage loan pools ⁽²⁾			400,000			399,284			(716)
Total		$	600,000		$	596,077		$	(3,923)

(1)	Includes amounts related to residential agency mortgage-backed securities currently designated as the hedged item in a fair value hedge using the portfolio layer method. At September 30, 2023, the amortized cost of the closed portfolios used in these hedging relationships was $331 million.

(2)

These amounts include the amortized cost basis of residential real estate loans that were used to designate hedging relationships in which the hedged item is the stated amount of assets in the closed portfolio anticipated to be outstanding for the designated hedged period. At September 30, 2023, the amortized cost basis of the residential real estate loans used in these hedging relationships was $706.8 million.

Schedule of gain (loss) recognized on derivatives instruments


		Location and Amount of Gains (Losses) Recognized in Income
		Interest Income						Interest Expense
		Loans,			Investment
		including			securities -			Short-term
(dollars in thousands)		fees			Taxable			borrowings
Three months ended September 30, 2023
Total amounts in the Consolidated Statements of Income		$	34,986		$	6,146		$	6,528
Fair value hedges:
Interest rate swaps			71			606			—
Cash flow hedges:
Interest rate swaps			—			—			(205)
Nine months ended September 30, 2023
Total amounts in the Consolidated Statements of Income		$	99,187		$	18,222		$	15,684
Fair value hedges:
Interest rate swaps			71			1,229			—
Cash flow hedges:
Interest rate swaps			—			—			(205)



(dollars in thousands)				Three months ended September 30,						Nine months ended September 30,
Derivatives not designated as hedging instruments		Consolidated Statements of Income Location		2023			2022			2023			2022
Interest rate swaps		Other noninterest income		$	121		$	1		$	121		$	2
Interest rate lock commitments		Mortgage banking			(342)			(1,724)			87			(1,871)
Forward loan sales commitments		Mortgage banking			(9)			(532)			55			(480)
To-be-announced mortgage backed securities		Mortgage banking			221			1,317			350			5,066
Total gain (loss) from derivatives not designated as hedging instruments				$	(9)		$	(938)		$	613		$	2,717

Schedule of derivative positions and the potential effect of netting arrangements on its financial position


											Gross Amount
											Not Offset in the
											Consolidated
											Balance Sheets
		Gross Amount			Gross Amount			Net Amount
		Recognized in the			Offset in the			Presented in the
		Consolidated			Consolidated			Consolidated			Cash Collateral
(dollars in thousands)		Balance Sheets			Balance Sheets			Balance Sheets			Pledged (Received)			Net Amount
September 30, 2023
Derivative assets:
Interest rate swaps - Company ⁽¹⁾		$	4,910		$	—		$	4,910		$	(10,150)		$	(5,240)
Interest rate swaps - customer ⁽¹⁾			6,819			—			6,819			—			6,819
To-be-announced mortgage backed securities			155			—			155			—			155
Total		$	11,884		$	—		$	11,884		$	(10,150)		$	1,734
Derivative liabilities:
Interest rate swaps - customer ⁽¹⁾		$	6,820		$	—		$	6,820		$	—		$	6,820
To-be-announced mortgage backed securities			—			—			—			290			(290)
Total		$	6,820		$	—		$	6,820		$	290		$	6,530
December 31, 2022
Derivative assets:
Interest rate swaps - Company ⁽¹⁾		$	—		$	—		$	—		$	—		$	—
Interest rate swaps - customer ⁽¹⁾			6,277			—			6,277			(6,030)			247
To-be-announced mortgage backed securities			—			—			—			—			—
Total		$	6,277		$	—		$	6,277		$	(6,030)		$	247
Derivative liabilities:
Interest rate swaps - customer ⁽¹⁾		$	6,277		$	—		$	6,277		$	—		$	6,277
To-be-announced mortgage backed securities			26			—			26			309			(283)
Total		$	6,303		$	—		$	6,303		$	309		$	5,994

(1)	The Company maintains a master netting arrangement with each counterparty and settles collateral on a net basis for all interest rate swaps.