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Derivatives and Hedging Activities (Tables) | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Details of derivative positions for interest rate swaps which qualify as hedges for accounting purposes | The following tables reflect the Company's derivative positions at the dates indicated below for interest rate swaps which qualify as cash flow hedges for accounting purposes:
March 31, 2024
|  |  |  |  |  | Weighted Average Rate |  |
|  | Notional Amount |  | Average Maturity |  | Current Rate Received |  | Pay Fixed Swap Rate |  | Fair Value
|  | (in thousands) |  | (in years) |  |  |  |  |  | (in thousands)
Interest rate swaps on borrowings |  | $ | 400,000 |  |  | 2.33 |  | 5.32 | % |  | 3.67 | % |  | $ | 6,695 |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate |  |
Interest rate swaps on loans |  | 800,000 |  |  | 2.40 |  | 5.33 | % |  | 2.70 | % |  | (34,008) |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate Cap - Floor |  |
Interest rate collars on loans |  | 300,000 |  |  | 1.47 |  | 5.43 | % |  | 3.09% - 2.01% |  | (4,679) |
Total |  | $ | 1,500,000 |  |  |  |  |  |  |  |  | $ | (31,992) |
December 31, 2023
|  |  |  |  |  | Weighted Average Rate |  |
|  | Notional Amount |  | Average Maturity |  | Current Rate Received |  | Pay Fixed Swap Rate |  | Fair Value
|  | (in thousands) |  | (in years) |  |  |  |  |  | (in thousands)
Interest rate swaps on borrowings |  | $ | 400,000 |  |  | 2.58 |  | 5.34 | % |  | 3.67 | % |  | $ | 1,901 |
|  | Notional Amount |  | Average Maturity |  | Current Rate Paid |  | Receive Fixed Swap Rate |  | Fair Value
Interest rate swaps on loans |  | 850,000 |  |  | 2.50 |  | 5.36 | % |  | 2.72 | % |  | (27,350) |
|  |  |  |  |  | Current Rate Paid |  | Receive Fixed Swap Rate Cap - Floor |  |
Interest rate collars on loans |  | 350,000 |  |  | 1.48 |  | 5.45 | % |  | 3.09% - 2.12% |  | (4,714) |
Total |  | $ | 1,600,000 |  |  |  |  |  |  |  |  | $ | (30,163) |
Summary of customer related derivative positions, not designated as hedging | The following tables reflect the Company’s customer related derivative positions at the dates indicated below for those derivatives not designated as hedging:
|  |  | Notional Amount Maturing |  |
| Number of Positions (1) |  | Less than 1 year |  | Less than 2 years |  | Less than 3 years |  | Less than 4 years |  | Thereafter |  | Total |  | Fair Value
| March 31, 2024
| (Dollars in thousands)
Loan level swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receive fixed, pay variable | 276 |  |  | $ | 134,253 |  |  | $ | 237,171 |  |  | $ | 235,290 |  |  | $ | 247,638 |  |  | $ | 910,248 |  |  | $ | 1,764,600 |  |  | $ | (110,626) |
Pay fixed, receive variable | 276 |  |  | 134,253 |  |  | 237,171 |  |  | 235,290 |  |  | 247,638 |  |  | 910,248 |  |  | 1,764,600 |  |  | 110,519 |
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |
Buys foreign currency, sells U.S. currency | 24 |  |  | 85,312 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 85,312 |  |  | (463) |
Buys U.S. currency, sells foreign currency | 24 |  |  | 85,312 |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 85,312 |  |  | 502 |
Risk participation agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |
Participation out | 17 |  |  | 24,063 |  |  | — |  |  | — |  |  | 34,491 |  |  | 92,158 |  |  | 150,712 |  |  | 111 |
Participation in | 12 |  |  | — |  |  | — |  |  | 36,275 |  |  | — |  |  | 15,639 |  |  | 51,914 |  |  | (24) |
|  |  | Notional Amount Maturing |  |
| Number of Positions (1) |  | Less than 1 year |  | Less than 2 years |  | Less than 3 years |  | Less than 4 years |  | Thereafter |  | Total |  | Fair Value
| December 31, 2023
| (Dollars in thousands)
Loan level swaps |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Receive fixed, pay variable | 281 |  |  | $ | 80,682 |  |  | $ | 252,260 |  |  | $ | 223,928 |  |  | $ | 230,513 |  |  | $ | 997,108 |  |  | $ | 1,784,491 |  |  | $ | (88,415) |
Pay fixed, receive variable | 281 |  |  | 80,682 |  |  | 252,260 |  |  | 223,928 |  |  | 230,513 |  |  | 997,108 |  |  | 1,784,491 |  |  | 88,280 |
Foreign exchange contracts |  |  |  |  |  |  |  |  |  |  |  |  |  |
Buys foreign currency, sells U.S. currency | 22 |  |  | 65,586 |  |  | 12,957 |  |  | — |  |  | — |  |  | — |  |  | 78,543 |  |  | 2,197 |
Buys U.S. currency, sells foreign currency | 22 |  |  | 65,586 |  |  | 12,957 |  |  | — |  |  | — |  |  | — |  |  | 78,543 |  |  | (2,160) |
Risk participation agreements |  |  |  |  |  |  |  |  |  |  |  |  |  |
Participation out | 17 |  |  | — |  |  | 24,193 |  |  | — |  |  | 13,119 |  |  | 114,027 |  |  | 151,339 |  |  | 200 |
Participation in | 8 |  |  | — |  |  | — |  |  | 13,016 |  |  | 18,989 |  |  | 15,725 |  |  | 47,730 |  |  | (44) |
(1)The Company may enter into one dealer swap agreement which offsets multiple commercial borrower swap agreements.
Fair value of derivative financial instruments as well as their classification on the balance sheet | The table below presents the fair value of the Company’s derivative financial instruments as well as their classification on the balance sheet and the potential effect of netting arrangements on its financial position, at the dates indicated:
|  |  | Asset Derivatives (1) |  |  |  | Liability Derivatives (2) |
|  |  | Fair Value at |  | Fair Value at |  |  |  | Fair Value at |  | Fair Value at |
|  |  | March 31 2024 |  | December 31 2023 |  |  |  | March 31 2024 |  | December 31 2023 |
|  |  | (Dollars in thousands) |
Derivatives designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivatives |  |  | $ | 6,695 |  | (3) | $ | 1,927 |  |  |  |  | $ | 38,687 |  | (4) | $ | 32,090 |  | (4)
Derivatives not designated as hedges |  |  |  |  |  |  |  |  |  |  |  |
Customer Related Positions |  |  |  |  |  |  |  |  |  |  |  |
Loan level derivatives |  |  | 111,146 |  | (3) | 99,416 |  | (3) |  |  | 111,252 |  | (4) | 99,551 |  | (4)
Foreign exchange contracts |  |  | 1,304 |  |  | 2,220 |  |  |  |  | 1,265 |  |  | 2,183 |  |
Risk participation agreements |  |  | 111 |  |  | 200 |  |  |  |  | 24 |  |  | 44 |  |
Mortgage Derivatives |  |  |  |  |  |  |  |  |  |  |  |
Interest rate lock commitments |  |  | 357 |  |  | 168 |  |  |  |  | 85 |  |  | — |  |
Forward sale loan commitments |  |  | 129 |  |  | 17 |  |  |  |  | — |  |  | — |  |
Total derivatives not designated as hedges |  |  | 113,047 |  |  | 102,021 |  |  |  |  | 112,711 |  |  | 101,778 |  |
Total |  |  | 119,742 |  |  | 103,948 |  |  |  |  | 151,398 |  |  | 133,868 |  |
Netting Adjustments (5) |  |  | (57,796) |  |  | (48,253) |  |  |  |  | 32,323 |  |  | 25,360 |  |
Net Derivatives on the Balance Sheet |  |  | 61,946 |  |  | 55,695 |  |  |  |  | 119,075 |  |  | 108,508 |  |
Financial instruments (6) |  |  | 6,220 |  |  | 12,018 |  |  |  |  | 6,220 |  |  | 12,018 |  |
Cash collateral pledged (received) |  |  | (26,969) |  |  | (17,076) |  |  |  |  | — |  |  | — |  |
Net Derivative Amounts |  |  | $ | 28,757 |  |  | $ | 26,601 |  |  |  |  | $ | 112,855 |  |  | $ | 96,490 |  |
(1)All asset derivatives are reflected in other assets on the balance sheet. (2)All liability derivatives are reflected in other liabilities on the balance sheet. (3)Approximately $426,000 and $3.2 million of accrued interest receivable is included in the fair value of interest rate and loan level derivative assets, respectively, at March 31, 2024, in comparison to accrued interest receivable of approximately $316,000 and $3.0 million, respectively, at December 31, 2023. (4)Approximately $1.8 million and $3.2 million of accrued interest payable is included in the fair value of interest rate and loan level derivative liabilities, respectively, at March 31, 2024, in comparison to accrued interest payable of approximately $1.9 million and $3.0 million, respectively, at December 31, 2023. (5)Netting adjustments represent the amounts recorded to convert derivative assets and liabilities cleared through CME from a gross basis to a net basis, inclusive of the variation margin payments, in accordance with applicable accounting guidance. (6)Reflects offsetting derivative positions with the same counterparty that are not netted on the balance sheet.
Effect of derivative financial instruments included in OCI and current earnings | The table below presents the effect of the Company’s derivative financial instruments included in OCI and current earnings for the periods indicated:
| Three Months Ended |  |
| March 31 |  |
| 2024 |  | 2023 |  |  |  |
| (Dollars in thousands)
Derivatives designated as hedges |  |  |  |  |  |  |
(Loss) gain in OCI on derivatives (effective portion), net of tax | $ | (1,488) |  |  | $ | 10,163 |  |  |  |  |
Loss reclassified from OCI into interest income or interest expense (effective portion) | $ | (5,856) |  |  | $ | (6,239) |  |  |  |  |
Derivatives not designated as hedges |  |  |  |  |  |  |
Changes in fair value of customer related positions |  |  |  |  |  |  |
Other income | $ | 35 |  |  | $ | 272 |  |  |  |  |
Other expense | (72) |  |  | (77) |  |  |  |  |
Changes in fair value of mortgage derivatives |  |  |  |  |  |  |
Mortgage banking income | 131 |  |  | (46) |  |  |  |  |
Total | $ | 94 |  |  | $ | 149 |  |  |  |  |

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