XML 55 R44.htm IDEA: XBRL DOCUMENT

Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments

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


		Derivative Assets								Derivative Liabilities
		Notional					Fair			Notional					Fair
(dollars in thousands)		Amount			Location		Value			Amount			Location		Value
March 31, 2024
Designated as hedging instruments:
Fair value hedges:
Interest rate swaps		$	600,000		Other Assets		$	1,938		$	600,000		Accrued expenses and other liabilities		$	—
Cash flow hedges:
Interest rate swaps			200,000		Other Assets			386			200,000		Accrued expenses and other liabilities			—
Total derivatives designated as hedging instruments		$	800,000				$	2,324		$	800,000				$	—
Not designated as hedging instruments:
Interest rate swaps ⁽¹⁾		$	120,304		Other Assets		$	6,294		$	120,304		Accrued expenses and other liabilities		$	6,294
Interest rate lock commitments			24,426		Other Assets			409			—		Accrued expenses and other liabilities			—
Forward loan sales commitments			—		Other Assets			—			—		Accrued expenses and other liabilities			—
To-be-announced mortgage backed securities			—		Other Assets			—			46,000		Accrued expenses and other liabilities			24
Total asset derivatives not designated as hedging instruments		$	144,730				$	6,703		$	166,304				$	6,318
December 31, 2023
Designated as hedging instruments:
Fair value hedges:
Interest rate swaps		$	600,000		Other Assets		$	—		$	600,000		Accrued expenses and other liabilities		$	352
Cash flow hedges:					Other Assets
Interest rate swaps			200,000		Other Assets			—			200,000		Accrued expenses and other liabilities			297
Total derivatives designated as hedging instruments		$	800,000				$	—		$	800,000				$	649
Not designated as hedging instruments:
Interest rate swaps ⁽¹⁾		$	120,671		Other Assets		$	8,327		$	120,671		Accrued expenses and other liabilities		$	8,348
Interest rate lock commitments			8,126		Other Assets			179			—		Accrued expenses and other liabilities			—
Forward loan sales commitments			190		Other Assets			6			—		Accrued expenses and other liabilities			—
To-be-announced mortgage backed securities			—					—			20,500		Accrued expenses and other liabilities			183
Total asset derivatives not designated as hedging instruments		$	128,987				$	8,512		$	141,171				$	8,531

(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 three months ended March 31, 2024
Cash flow hedges:
Interest rate swaps		$	946		$	262

For the three months ended March 31, 2023
Cash flow hedges:
Interest rate swaps		$	—		$	—

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 three months ended March 31, 2024
Total amounts in the Consolidated Statements of Income		$	39,294		$	4,568		$	5,989
Fair value hedges:
Interest rate swaps			153			642			—
Cash flow hedges:
Interest rate swaps			—			—			262
For the three months ended March 31, 2023
Total amounts in the Consolidated Statements of Income		$	30,933		$	5,951		$	4,393
Fair value hedges:
Interest rate swaps			—			153			—
Cash flow hedges:
Interest rate swaps			—			—			—

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


		March 31, 2024
								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		$	198,210		$	(1,790)
Mortgage loan pools ⁽²⁾			400,000			399,830			(170)
Total		$	600,000		$	598,040		$	(1,960)

(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 March 31, 2024, the amortized cost of the closed portfolios used in these hedging relationships was $320.7 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 March 31, 2024, the amortized cost basis of the residential real estate loans used in these hedging relationships was $664.1 million.


		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)				Three months ended March 31,
Derivatives not designated as hedging instruments		Consolidated Statements of Income Location		2024			2023
Interest rate swaps		Other noninterest income		$	21		$	—
Interest rate lock commitments		Mortgage banking			153			340
Forward loan sales commitments		Mortgage banking			(6)			(6)
To-be-announced mortgage backed securities		Mortgage banking			41			(173)
Total gain (loss) from derivatives not designated as hedging instruments				$	209		$	161

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
March 31, 2024
Derivative assets:
Interest rate swaps − Company ⁽¹⁾		$	2,324		$	—		$	2,324		$	(2,459)		$	(135)
Interest rate swaps − dealer bank ⁽¹⁾			6,294			—			6,294			(4,681)			1,613
To-be-announced mortgage backed securities			—			—			—			—			—
Total		$	8,618		$	—		$	8,618		$	(7,140)		$	1,478
Derivative liabilities:
Interest rate swaps − Company ⁽¹⁾		$	—		$	—		$	—		$	—		$	—
Interest rate swaps − customer ⁽²⁾			6,294			—			6,294			—			6,294
To-be-announced mortgage backed securities			24			—			24			—			24
Total		$	6,318		$	—		$	6,318		$	—		$	6,318

(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.


											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

(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.