Assets and liabilities relating to certain financial instruments, including, derivatives and securities sold under repurchase agreements (“repurchase agreements”), may be eligible for offset in the condensed consolidated balance sheets as permitted under accounting guidance. As noted above, our interest rate swap derivatives are subject to master netting arrangements. Our interest rate swap derivatives require the Company to pledge investment securities as collateral based on certain risk thresholds. Investment securities that have been pledged by the Company to counterparties continue to be reported in the Company’s condensed consolidated balance sheets unless the Company defaults. We offer a repurchase agreement product to our customers, which include master netting agreements that allow for the netting of collateral positions. This product, known as Citizens Sweep Manager, sells certain of our securities overnight to our customers under an agreement to repurchase them the next day. The repurchase agreements are not offset in the Company’s condensed consolidated balances.

In June 2023, fair value hedging transactions were executed in which $1 billion notional pay-fixed interest rate swaps were consummated with original maturities ranging from four to five years, wherein the Company pays a weighted average fixed rate of approximately 3.8% and receives daily SOFR. The fair value of these instruments totaled $10.9 million and were reflected as an asset on March 31, 2024.

During the first quarter of 2024, cash flow hedging transactions were executed in which $300 million notional pay-fixed interest rate swaps were consummated with maturities of three years, wherein the Company pays a weighted average fixed rate of approximately 4.2% and receives daily SOFR. The fair value of these instruments totaled $789,000 and were reflected as an asset on March 31, 2024.

Refer to Note 9 – Derivative Financial Instruments of the notes to the unaudited condensed consolidated financial statements of this report for additional information.


	Gross Amounts Recognized in the Condensed		Gross Amounts Offset in the Condensed			Net Amounts Presented in the Condensed		Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
	Consolidated Balance Sheets		Consolidated Balance Sheets			Consolidated Balance Sheets		Financial Instruments		Collateral Pledged			Net Amount
	(Dollars in thousands)
March 31, 2024
Financial assets:
Derivatives not designated as hedging instruments:
Interest rate swaps	$	38	$	—		$	—	$	38	$	—		$	38
Derivatives designated as hedging instruments:
Fair value hedges: interest rate swaps		10,893		—			—		10,893		—			10,893
Cash flow hedges: interest rate swaps		789		—			—		789		—			789
Total	$	11,720	$	—		$	—	$	11,720	$	—		$	11,720

Financial liabilities:
Derivatives not designated as hedging instruments:
Interest rate swaps	$	47,507	$	(47,469	)	$	38	$	47,469	$	(15,827	)	$	31,680
Derivatives designated as hedging instruments:		—		—			—		—		—			—
Fair value hedges: interest rate swaps		—		—			—		—		—			—
Cash flow hedges: interest rate swaps		—		—			—		—		—			—
Repurchase agreements		275,720		—			275,720		—		360,312			636,032
Total	$	323,227	$	(47,469	)	$	275,758	$	47,469	$	344,485		$	667,712


December 31, 2023
Financial assets:
Derivatives not designated as hedging instruments	$	112	$	—		$	—	$	112	$	—		$	112
Derivatives designated as hedging instruments		—		—			—		—		—			—
Total	$	112	$	—		$	—	$	112	$	—		$	112

Financial liabilities:
Derivatives not designated as hedging instruments	$	42,613	$	(42,501	)	$	112	$	42,501	$	(11,659	)	$	30,954
Derivatives designated as hedging instruments		6,938		—			—		6,938		—			6,938
Repurchase agreements		271,642		—			271,642		—		362,505			634,147
Total	$	321,193	$	(42,501	)	$	271,754	$	49,439	$	350,846		$	672,039