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Derivative Financial Instruments | 6 Months Ended
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Jun. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Note 8 — Derivative Financial Instruments Risk Management Objective of Using Derivatives The Company enters into derivative financial instruments to manage risks related to differences in the amount, timing, and duration of the Company’s known or expected cash receipts and its known or expected cash payments, as well as to manage changes in fair values of some assets which are marked at fair value through the consolidated statement of income on a recurring basis. Cash Flow Hedges of Interest Rate Risk The Company is a party to interest rate swap agreements under which the Company receives interest at a variable rate and pays at a fixed rate. The derivative instruments represented by these swap agreements are designated as cash flow hedges of the Company’s forecasted variable cash flows under a variable-rate term borrowing agreements. During the terms of the swap agreements, the effective portion of changes in the fair value of the derivative instruments are recorded in accumulated other comprehensive (loss) income and subsequently reclassified into earnings in the periods that the hedged forecasted variable-rate interest payments affected earnings. There was no ineffective portion of the change in fair value of the derivatives recognized directly in earnings. The entire swap fair value will be reclassified into earnings before the expiration dates of the swap agreements. Derivatives Not Designated as Hedges Customer interest rate derivative program The Company offers certain derivatives products, primarily interest rate swaps, directly to qualified commercial banking customers to facilitate their risk management strategies. In most instances, the Company acts only as an intermediary, simultaneously entering into offsetting agreements with unrelated financial institutions, thereby mitigating its net risk exposure resulting from such transactions without significantly impacting its results of operations. Because the interest rate derivatives associated with this program do not meet hedge accounting requirements, changes in the fair value of both the customer derivatives and any offsetting derivatives are recognized directly in earnings as a component of noninterest income. From time to time, the Company shares in credit risk on interest rate swap arrangements, by entering into risk participation agreements with syndication partners. These are accounted for at fair value and disclosed as risk participation derivatives. Mortgage banking derivatives As part of its mortgage banking and related risk management activities, the Company enters into interest rate lock commitment (“IRLC”) agreements on prospective residential mortgage loans. These IRLCs are derivative financial instruments and the fair value of these IRLCs are included in other assets. Prior to January 1, 2024, the Company also economically hedged the value of MSRs by entering into a series of commitments to purchase mortgage-backed securities in the future and U.S. Treasury Notes. Fair Values of Derivative Instruments on the Consolidated Balance Sheets The following tables disclose the fair value of derivative instruments in the Company’s consolidated balance sheets at June 30, 2024 and December 31, 2023, as well as the effect of these derivative instruments on the Company’s consolidated statements of income for the six months ended June 30, 2024 and 2023. Derivative instruments and their related gains and losses are reported in other operating activities, net in the statements of cash flows.
(Dollars in thousands) | Notional Amounts(1) |  | Fair Values
Derivatives designated as cash flow hedging instruments: | June 30, 2024 |  | December 31, 2023 |  | June 30, 2024 |  | December 31, 2023
Interest rate swaps included in other assets | $ | 10,500 |  |  | $ | 10,500 |  |  | $ | 843 |  |  | $ | 786 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Interest rate swaps included in other assets | $ | 348,528 |  |  | $ | 363,498 |  |  | $ | 18,995 |  |  | $ | 18,567 |
Interest rate swaps included in other liabilities | 342,013 |  |  | 356,683 |  |  | (18,664) |  |  | (18,298) |
Risk participation agreements included in other liabilities | 32,663 |  |  | 20,000 |  |  | — |  |  | (2) |
Forward commitments to purchase forward-settling mortgage-backed securities included in other assets | — |  |  | 9,000 |  |  | — |  |  | 91 |
Forward commitments to purchase treasury notes in other assets | — |  |  | 22,500 |  |  | — |  |  | 822 |
Interest rate-lock commitments on residential mortgage loans included in other assets | 28,551 |  |  | 8,471 |  |  | 675 |  |  | 221 |
| $ | 751,755 |  |  | $ | 780,152 |  |  | $ | 1,006 |  |  | $ | 1,401 |
____________________________ (1)Notional or contractual amounts, which represent the extent of involvement in the derivatives market, are used to determine the contractual cash flows required in accordance with the terms of the agreement. These amounts are typically not exchanged, significantly exceed amounts subject to credit or market risk and are not reflected in the consolidated balance sheets. The weighted-average rates paid and received for interest rate swaps were as follows:
| Weighted-Average Interest Rate
| June 30, 2024 |  | December 31, 2023
Interest rate swaps: | Paid |  | Received |  | Paid |  | Received
Cash flow hedges | 4.24 | % |  | 8.34 | % |  | 4.24 | % |  | 8.35 | %
Non-hedging interest rate swaps - financial institution counterparties | 5.02 |  |  | 7.83 |  |  | 4.88 |  |  | 7.82 |
Non-hedging interest rate swaps - customer counterparties | 7.83 |  |  | 5.02 |  |  | 7.82 |  |  | 4.88 |
Gains and losses recognized on derivative instruments not designated as hedging instruments are as follows:
(Dollars in thousands) | Three Months Ended June 30, |  |  | Six Months Ended June 30, |  |
Derivatives not designated as hedging instruments: | 2024 |  | 2023 |  |  |  |  |  |  | 2024 |  | 2023 |  |  |
Amount of gain (loss) recognized in mortgage banking revenue (1) | $ | 165 |  |  | $ | (1,176) |  |  |  |  |  |  |  | $ | 384 |  |  | $ | (511) |  |  |  |
Amount of gain recognized in other non-interest income | 17 |  |  | 74 |  |  |  |  |  |  |  | 63 |  |  | 85 |  |  |  |
____________________________ (1)Gains and losses on these instruments are largely offset by market fluctuations in mortgage servicing rights. The Company sold substantially all of its MSR recognizing a gain on the sale of $410,000 for the six months ended June 30, 2024. See Note 6 — Mortgage Banking for more information on components of mortgage banking revenue. Some interest rate swaps included in other assets were subject to a master netting arrangement with the counterparty in all periods presented and could be offset against some amounts included in interest rate swaps included in other liabilities. The Company has chosen not to net these exposures in the consolidated balance sheets, and any impact of netting these amounts would not be significant. At June 30, 2024 and December 31, 2023, the Company had cash collateral on deposit with swap counterparties totaling $890,000 and $865,000, respectively. These amounts are included in interest-bearing deposits in banks in the consolidated balance sheets and are considered restricted cash until such time as the underlying swaps are settled.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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