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Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of financial instruments owned and pledged as collateral

The Company had loans pledged to the FHLB and Federal Reserve for liquidity as set forth in the table below (dollars in thousands):

			As of
			March 31, 2023						December 31, 2022
Pledged loans
FHLB			$	5,065,913					$	5,095,448
Federal Reserve Bank			825,410						804,718
Total pledged loans			$	5,891,323					$	5,900,166

To secure its obligations under derivative contracts, the Company pledged cash and held collateral as follows (dollars in thousands):

			As of
			March 31, 2023						December 31, 2022
Cash pledged to secure obligations under derivative contracts			$	37,827					$	38,609
Collateral held to secure obligations under derivative contracts			22,650						29,830

Summary of the interest-rate swaps designated as cash flow hedges

A summary of the interest-rate swaps designated as cash flow hedges is presented below (dollars in thousands):

									As of
			Location						March 31, 2023						December 31, 2022
Debt Swap
Notional amount									$	50,000					$	50,000
Weighted average fixed pay rates									1.79		%				1.79		%
Weighted average variable 3-month LIBOR receive rates									4.87		%				4.77		%
Weighted average maturity, in years									1.46 years						1.71 years
Loan Swap
Notional amount									$	300,000					$	300,000
Weighted average fixed receive rates									4.81		%				4.81		%
Weighted average variable Prime pay rates									7.85		%				7.32		%
Weighted average maturity, in years									5.85 years						6.10 years
Gross aggregate fair value of the swaps
Gross aggregate fair value of swap assets			Other assets						$	2,062					$	2,535
Gross aggregate fair value of swap liabilities			Other liabilities						25,970						32,367
Balances carried in AOCI
Unrealized gains (losses) on cash flow hedges, net of tax			AOCI						$	(16,642)					$	(20,985)

Reclassification of unrealized gains and losses from OCI

The Company expects to reclassify unrealized gains and losses from OCI to interest income and interest expense as shown in the following table, during the next 12 months (dollars in thousands). Amounts actually recognized could differ from these expectations due to changes in interest rates, hedge de-designations, and the addition of other hedges subsequent to March 31, 2023.

			As of March 31, 2023
Unrealized gains (losses) in OCI expected to be recognized in income
Unrealized gains expected to be reclassified from OCI to interest income			$	393
Unrealized losses expected to be reclassified from OCI to interest expense			(783)
Net unrealized gains (losses) in OCI expected to be recognized in net interest income			$	(390)

Schedule of interest income (expense) recorded on swap transactions

Interest expense recorded on these swap transactions was as follows for the periods presented (dollars in thousands):

									Three Months Ended March 31,
															2023						2022
Interest on swap transactions
Interest income on swap transactions															$	383					$	685
Interest expense on swap transactions															(2,192)						(185)
Net interest income (expense) on swap transactions															$	(1,809)					$	500

Summary of Net gains (losses) relating to these derivative instruments

The following table reflects the net gains (losses) relating to cash flow derivative instruments that were recorded in AOCI and the unaudited Consolidated Statements of Income during the periods presented (dollars in thousands):

									Three Months Ended March 31,
															2023						2022
Unrealized gains (losses) on cash flow hedges
Net gain (loss) recognized in OCI, net of tax															$	3,050					$	(4,845)
(Gain) loss reclassified from OCI to interest income, net of tax															(274)						(489)
(Gain) loss reclassified from OCI to interest expense, net of tax															1,567						132
Net change in unrealized gains (losses) on cash flow hedges, net of tax															$	4,343					$	(5,202)

Changes in fair value of these derivative assets and liabilities are recorded in noninterest expense in the unaudited Consolidated Statements of Income and summarized as follows (dollars in thousands):

															Three Months Ended March 31,
			Location																		2023						2022
Interest rate swaps
Pay floating, receive fixed			Noninterest expense																		$	(7,667)					$	(3,550)
Pay fixed, receive floating			Noninterest expense																		7,667						3,550
Net change in fair value of interest rate swaps																					$	—					$	—

Net gains (losses) relating to these derivative instruments are summarized as follows for the periods presented (dollars in thousands):

															Three Months Ended March 31,
			Location																		2023						2022
Net gains (losses)
Interest rate lock commitments			Mortgage revenue																		$	37					$	15
Forward sales commitments			Mortgage revenue																		(54)						106
Net gains (losses)																					$	(17)					$	121

Summary of fair values of derivative assets and liabilities recorded in consolidated balance sheet

Amounts and fair values of derivative assets and liabilities related to customer interest rate swaps recorded in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):

			As of March 31, 2023
			Derivative Asset												Derivative Liability
			Notional Amount						Fair Value						Notional Amount						Fair Value
Derivatives not designated as hedging instruments
Interest rate swaps – pay floating, receive fixed			$	161,772					$	2,256					$	486,488					$	30,226
Interest rate swaps – pay fixed, receive floating			486,488						30,226						161,772						2,256
Total derivatives not designated as hedging instruments			$	648,260					$	32,482					$	648,260					$	32,482

			As of December 31, 2022
			Derivative Asset												Derivative Liability
			Notional Amount						Fair Value						Notional Amount						Fair Value
Derivatives not designated as hedging instruments
Interest rate swaps – pay floating, receive fixed			$	48,728					$	370					$	528,183					$	39,685
Interest rate swaps – pay fixed, receive floating			528,183						39,685						48,728						370
Total derivatives not designated as hedging instruments			$	576,911					$	40,055					$	576,911					$	40,055

Amounts and fair values of mortgage banking derivatives included in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):

									As of March 31, 2023												As of December 31, 2022
			Location						Notional Amount						Fair Value						Notional Amount						Fair Value
Derivatives with positive fair value
Interest rate lock commitments			Other assets						$	2,955					$	53					$	1,517					$	16
Forward sales commitments			Other assets						697						3						83						1
Mortgage banking derivatives recorded in other assets									$	3,652					$	56					$	1,600					$	17
Derivatives with negative fair value
Interest rate lock commitments			Other liabilities						$	36					$	—					$	83					$	1
Forward sales commitments			Other liabilities						4,983						95						2,757						39
Mortgage banking derivatives recorded in other liabilities									$	5,019					$	95					$	2,840					$	40

Schedule of notional amount and fair value of risk participation agreement

The risk participation agreements mature between 2026 and 2029, and are summarized as follows (dollars in thousands):

			As of
			March 31, 2023						December 31, 2022
Risk participation agreements
Number of risk participation agreements			3						2
Notional amount			$	34,320					$	18,899
Fair value			24						5

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