Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments

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

	Derivative Assets (1)				Derivative Liabilities (2)
	Notional		Fair		Notional		Fair
(dollars in thousands)	Amount		Value		Amount		Value
June 30, 2024
Designated as hedging instruments:
Fair value hedges:
Interest rate swaps	$	600,000	$	1,975	$	600,000	$	—
Cash flow hedges:
Interest rate swaps		200,000		412		200,000		—
Total derivatives designated as hedging instruments	$	800,000	$	2,387	$	800,000	$	—
Not designated as hedging instruments:
Interest rate swaps (3)	$	154,244	$	6,773	$	154,244	$	6,773
Interest rate lock commitments		27,749		434		—		—
Forward loan sales commitments		8,299		176		—		—
To-be-announced mortgage backed securities		—		—		56,250		25
Total asset derivatives not designated as hedging instruments	$	190,292	$	7,383	$	210,494	$	6,798
December 31, 2023
Designated as hedging instruments:
Fair value hedges:
Interest rate swaps	$	600,000	$	—	$	600,000	$	352
Cash flow hedges:
Interest rate swaps		200,000		—		200,000		297
Total derivatives designated as hedging instruments	$	800,000	$	—	$	800,000	$	649
Not designated as hedging instruments:
Interest rate swaps (3)	$	120,671	$	8,327	$	120,671	$	8,348
Interest rate lock commitments		8,126		179		—		—
Forward loan sales commitments		190		6		—		—
To-be-announced mortgage backed securities		—		—		20,500		183
Total asset derivatives not designated as hedging instruments	$	128,987	$	8,512	$	141,171	$	8,531

(1) Derivative assets are included in other assets on the Company’s consolidated balance sheet.

(2) Derivative liabilities are included in accrued expenses and other liabilities on the Company’s consolidated balance sheet.

(3) 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 June 30, 2024
Cash flow hedges:
Interest rate swaps	$	296	$	270
For the three months ended June 30, 2023
Cash flow hedges:
Interest rate swaps	$	—	$	—
For the six months ended June 30, 2024
Cash flow hedges:
Interest rate swaps	$	1,241	$	532
For the six months ended June 30, 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 June 30, 2024
Total amounts in the Consolidated Statements of Income	$	41,663	$	4,845	$	7,053
Fair value hedges:
Interest rate swaps		168		659		—
Cash flow hedges:
Interest rate swaps		—		—		(270)
For the three months ended June 30, 2023
Total amounts in the Consolidated Statements of Income	$	33,267	$	6,125	$	4,763
Fair value hedges:
Interest rate swaps		—		470		—
Cash flow hedges:
Interest rate swaps		—		—		—
For the six months ended June 30, 2024
Total amounts in the Consolidated Statements of Income	$	80,958	$	9,413	$	13,042
Fair value hedges:
Interest rate swaps		321		1,301		—
Cash flow hedges:
Interest rate swaps		—		—		(532)
For the six months ended June 30, 2023
Total amounts in the Consolidated Statements of Income	$	64,200	$	12,076	$	9,156
Fair value hedges:
Interest rate swaps		—		623		—
Cash flow hedges:
Interest rate swaps		—		—		—

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

	June 30, 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	$	198,046	$	(1,954)
Mortgage loan pools (2)		400,000		399,955		(45)
Total	$	600,000	$	598,001	$	(1,999)

(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 June 30, 2024, the amortized cost of the closed portfolios used in these hedging relationships was $313.0 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 June 30, 2024, the amortized cost basis of the residential real estate loans used in these hedging relationships was $644.7 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 June 30,				Six months ended June 30,
Derivatives not designated as hedging instruments	Consolidated Statements of Income Location	2024		2023		2024		2023
Interest rate swaps	Other noninterest income	$	—	$	—	$	21	$	—
Interest rate lock commitments	Mortgage banking		59		89		210		429
Forward loan sales commitments	Mortgage banking		176		70		171		64
To-be-announced mortgage backed securities	Mortgage banking		84		302		126		129
Total gain (loss) from derivatives not designated as hedging instruments		$	319	$	461	$	528	$	622

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
June 30, 2024
Derivative assets:
Interest rate swaps − Company (1)	$	2,387	$	—	$	2,387	$	(2,720)	$	(333)
Interest rate swaps − dealer bank (1)		6,773		—		6,773		(4,620)		2,153
To-be-announced mortgage backed securities		—		—		—		—		—
Total	$	9,160	$	—	$	9,160	$	(7,340)	$	1,820
Derivative liabilities:
Interest rate swaps − Company (1)	$	—	$	—	$	—	$	—	$	—
Interest rate swaps − customer (2)		6,773		—		6,773		—		6,773
To-be-announced mortgage backed securities		25		—		25		—		25
Total	$	6,798	$	—	$	6,798	$	—	$	6,798

(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.