XML 38 R29.htm IDEA: XBRL DOCUMENT v3.23.1
Derivative Financial Instruments and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
The following tables present the notional and estimated fair value amount of derivative positions outstanding (in thousands):
March 31, 2023December 31, 2022
Estimated Fair ValueEstimated Fair Value
Notional
Amount (1)
Asset DerivativeLiability Derivative
Notional
Amount (1)
Asset DerivativeLiability Derivative
Derivatives designated as hedging instruments
Interest rate contracts:
Swaps-Cash Flow Hedge-Financial institution counterparties$880,000 $32,886 $5,443 $575,000 $39,527 $— 
Swaps-Fair Value Hedge-Financial institution counterparties742,675 13,035 3,246 742,675 21,733 171 
Derivatives designated as non-hedging instruments
Interest rate contracts:
Swaps-Financial institution counterparties220,999 16,018 — 223,124 21,046 — 
Swaps-Customer counterparties220,999 — 16,018 223,124 — 21,046 
Gross derivatives61,939 24,707 82,306 21,217 
Offsetting derivative assets/liabilities(8,689)(8,689)(171)(171)
Cash collateral received/posted(53,250)— (82,135)— 
Net derivatives included in the consolidated balance sheets (2)
$— $16,018 $— $21,046 
(1)    Notional 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.
(2)    Net derivative assets are included in other assets and net derivative liabilities are included in other liabilities on the consolidated balance sheets. Included in the fair value of net derivative assets and net derivative liabilities are credit valuation adjustments reflecting counterparty credit risk and our credit risk. We had no credit exposure related to interest rate swaps with financial institutions and none related to interest rate swaps with customers at March 31, 2023 or December 31, 2022. The credit risk associated with customer transactions is partially mitigated as these are generally secured by the non-cash collateral securing the underlying transaction being hedged.
Weighted Average Maturity And Interest Rates On Risk Management Interest Rate Swaps
The summarized expected weighted average remaining maturity of the notional amount of interest rate swaps and the weighted average interest rates associated with the amounts expected to be received or paid on interest rate swap agreements are presented below (dollars in thousands). Variable rates received on fixed pay swaps are based on one-month or three-month LIBOR or overnight SOFR rates in effect at March 31, 2023 and December 31, 2022:
March 31, 2023December 31, 2022
Weighted AverageWeighted Average
Notional AmountRemaining Maturity
 (in years)		Receive Rate
Pay
Rate
Notional AmountRemaining Maturity
 (in years)		Receive RatePay
Rate
Swaps-Cash Flow hedge
Financial institution counterparties$880,000 3.04.77 %2.20 %$575,000 2.34.44 %1.13 %
Swaps-Fair Value hedge
Financial institution counterparties742,675 6.04.56 %3.21 %742,675 6.33.42 %3.21 %
Swaps-Non-hedging
Financial institution counterparties220,999 8.85.29 %2.68 %223,124 9.04.83 %2.69 %
Customer counterparties220,999 8.82.68 %5.29 %223,124 9.02.69 %4.83 %