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Derivative Instruments (Tables)
12 Months Ended
Dec. 31, 2023
Derivative Instruments  
Schedule of total notional amounts and gross fair values of the Company's derivatives

December 31, 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

Accrued expenses and other liabilities

$

352

$

600,000

$

$

Cash flow hedges:

Interest rate swaps

Accrued expenses and other liabilities

297

200,000

Total derivatives designated as hedging instruments

$

649

$

800,000

$

$

Not designated as hedging instruments:

Asset Derivatives

 

 

  

 

  

 

  

 

  

Interest rate swaps (1)

 

Other assets

$

8,327

$

120,671

$

6,277

$

43,430

Interest rate lock commitments

 

Other assets

179

8,126

121

10,462

Forward loan sales commitments

 

Other assets

 

6

 

190

 

7

 

351

Total asset derivatives not designated as hedging instruments

 

  

$

8,512

$

128,987

$

6,405

$

54,243

Liability Derivatives

 

  

 

  

 

  

 

  

 

  

Interest rate swaps (1)

 

Accrued expenses and other liabilities

$

8,348

$

120,671

$

6,277

$

43,430

To-be-announced mortgage backed securities

 

Accrued expenses and other liabilities

183

20,500

26

25,750

Total liability derivatives not designated as hedging instruments

 

  

$

8,531

$

141,171

$

6,303

$

69,180

(1)Reported fair values include accrued interest receivable and payable.
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

Gains (Losses)

Gains (Losses)

Reclassified

Recognized in

from OCI

(dollars in thousands)

OCI

into Earnings

Derivatives designated as hedging instruments

For the year ended December 31, 2023

Cash flow hedges:

Interest rate swaps

$

176

$

473

The following table shows the effect of fair value and cash flow hedge accounting on derivatives designated as hedging instruments in the Consolidated Statements of Income:

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

For the year ended December 31, 2023

Total amounts in the Consolidated Statements of Income

$

136,918

$

24,262

$

20,976

Fair value hedges:

Interest rate swaps

252

1,881

Cash flow hedges:

Interest rate swaps

(473)

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

December 31, 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

$

200,241

$

241

Mortgage loan pools (2)

400,000

400,098

98

Total

$

600,000

$

600,339

$

339

(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 December 31, 2023, the amortized cost of the closed portfolios used in these hedging relationships was $323.4 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 December 31, 2023, the amortized cost basis of the residential real estate loans used in these hedging relationships was $687.5 million.

Schedule of gain (loss) recognized on derivatives instruments

(dollars in thousands)

Year ended December 31, 

Derivatives not designated as hedging instruments

    

Consolidated Statements of Income Location

    

2023

    

2022

    

2021

Interest rate swaps

 

Other noninterest income

$

(20)

$

2

$

1

Interest rate lock commitments

 

Mortgage banking

165

(1,464)

(8,660)

Forward loan sales commitments

 

Mortgage banking

(1)

(483)

(2,174)

To-be-announced mortgage backed securities

 

Mortgage banking

 

118

 

4,916

5,220

Total gain (loss) from derivatives not designated as hedging instruments

 

$

262

$

2,971

$

(5,613)

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

December 31, 2023

Derivative assets:

Interest rate swaps - Company (1)

$

$

$

$

$

Interest rate swaps - dealer bank (1)

8,327

8,327

(1,740)

6,587

To-be-announced mortgage backed securities

Total

$

8,327

$

$

8,327

$

(1,740)

$

6,587

Derivative liabilities:

Interest rate swaps - Company (1)

$

649

$

$

649

$

550

$

99

Interest rate swaps - customer (2)

8,348

8,348

8,348

To-be-announced mortgage backed securities

183

183

183

Total

$

9,180

$

$

9,180

$

550

$

8,630

December 31, 2022

Derivative assets:

Interest rate swaps - Company (1)

$

$

$

$

$

Interest rate swaps - dealer bank (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 (2)

$

6,277

$

$

6,277

$

309

$

5,968

To-be-announced mortgage backed securities

26

26

26

Total

$

6,303

$

$

6,303

$

309

$

5,994

(1)The Company maintains a master netting agreement with each counterparty and settles collateral on a net basis for all interest rate swaps with counterparty banks.
(2)The Company manages its net exposure on its customer loan swaps by obtaining collateral as part of the normal loan policy and underwriting practices. The Company does not post collateral to its customers as part of its contract.