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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

12 Months Ended

Dec. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

The following table presents the amounts recorded in the consolidated balance sheets related to the cumulative adjustments for fair value hedges (in thousands):

						December 31, 2023									December 31, 2022
Amortized cost of hedged assets - Securities AFS						$	487,486								$	804,224
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items						13,642									21,562

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):

						December 31, 2023																		December 31, 2022
						Estimated Fair Value																		Estimated Fair Value
						Notional Amount (1)						Asset Derivative						Liability Derivative						Notional Amount (1)						Asset Derivative						Liability Derivative
Derivatives designated as hedging instruments
Interest rate contracts:
Swaps-Cash Flow Hedge-Financial institution counterparties						$	1,010,000					$	24,223					$	6,910					$	575,000					$	39,527					$	—
Swaps-Fair Value Hedge-Financial institution counterparties						453,440						13,658						16						742,675						21,733						171
Derivatives designated as non-hedging instruments
Interest rate contracts:
Swaps-Financial institution counterparties						248,073						18,249						509						223,124						21,046						—
Swaps-Customer counterparties						248,073						509						18,249						223,124						—						21,046
Gross derivatives												56,639						25,684												82,306						21,217
Offsetting derivative assets/liabilities												(7,435)						(7,435)												(171)						(171)
Cash collateral received/posted												(46,760)						—												(82,135)						—
Net derivatives included in the consolidated balance sheets (2)												$	2,444					$	18,249											$	—					$	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. At December 31, 2023, we had $1.9 million credit exposure related to interest rate swaps with financial institutions and $509,000 related to interest rate swaps with customers. At December 31, 2022, we had no credit exposure related to interest rate swaps with financial institutions and none related to interest rate swaps with customers. 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.

^[1]

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 December 31, 2023 and December 31, 2022:

						December 31, 2023																								December 31, 2022
												Weighted Average																								Weighted Average
						Notional Amount						Remaining Maturity  (in years)						Receive Rate						Pay Rate						Notional Amount						Remaining Maturity  (in years)						Receive Rate						Pay Rate
Swaps-Cash Flow hedge
Financial institution counterparties						$	1,010,000					2.3						5.44		%				2.65		%				$	575,000					2.3						4.44		%				1.13		%
Swaps-Fair Value hedge
Financial institution counterparties						453,440						5.4						5.37		%				3.13		%				742,675						6.3						3.42		%				3.21		%
Swaps-Non-hedging
Financial institution counterparties						248,073						7.4						5.84		%				2.88		%				223,124						9.0						4.83		%				2.69		%
Customer counterparties						248,073						7.4						2.88		%				5.84		%				223,124						9.0						2.69		%				4.83		%

Derivative Instruments, Gain (Loss)

The following table presents amounts included in the consolidated statements of income related to interest rate swap agreements (in thousands):

			Years Ended December 31,
			2023						2022						2021
Derivatives designated as hedging instruments
Swaps-Cash Flow hedge
Gain (loss) included in interest expense on deposits			$	15,225					$	2,917					$	(103)
Gain (loss) included in interest expense on FHLB borrowings			8,432						721						(6,292)
Gain (loss) included in interest expense on other borrowings			887						—						—
			24,544						3,638						(6,395)
Swaps-Fair Value hedge
Gain (loss) included in interest income on tax-exempt investment securities			12,834						422						—
Derivatives designated as non-hedging instruments
Swaps-Non-hedging
Other noninterest income			352						472						813

[1] 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. At December 31, 2023, we had $1.9 million credit exposure related to interest rate swaps with financial institutions and $509,000 related to interest rate swaps with customers. At December 31, 2022, we had no credit exposure related to interest rate swaps with financial institutions and none related to interest rate swaps with customers. 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.

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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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-Topic 815
-SubTopic 10
-Name Accounting Standards Codification
-Section 50
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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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