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Derivative Financial Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2024

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):

						March 31, 2024									December 31, 2023
Amortized cost of hedged assets - Securities AFS						$	485,979								$	487,486
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items						20,422									13,642

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, 2024																		December 31, 2023
												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						$	940,000					$	26,043					$	1,824					$	1,010,000					$	24,223					$	6,910
Swaps-Fair Value Hedge-Financial institution counterparties						453,440						20,422						—						453,440						13,658						16
Derivatives designated as non-hedging instruments
Interest rate contracts:
Swaps-Financial institution counterparties						245,874						21,786						27						248,073						18,249						509
Swaps-Customer counterparties						245,874						27						21,786						248,073						509						18,249
Gross derivatives												68,278						23,637												56,639						25,684
Offsetting derivative assets/liabilities												(1,851)						(1,851)												(7,435)						(7,435)
Cash collateral received/posted												(65,360)						—												(46,760)						—
Net derivatives included in the consolidated balance sheets (2)												$	1,067					$	21,786											$	2,444					$	18,249

(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 March 31, 2024, we had $1.0 million credit exposure related to interest rate swaps with financial institutions and $27,000 related to interest rate swaps with customers. 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. 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 overnight SOFR rates in effect at March 31, 2024 and December 31, 2023:

						March 31, 2024																								December 31, 2023
												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						$	940,000					2.3						5.40		%				2.94		%				$	1,010,000					2.3						5.44		%				2.65		%
Swaps-Fair Value hedge
Financial institution counterparties						453,440						5.1						5.34		%				3.13		%				453,440						5.4						5.37		%				3.13		%
Swaps-Non-hedging
Financial institution counterparties						245,874						7.2						5.81		%				2.87		%				248,073						7.4						5.84		%				2.88		%
Customer counterparties						245,874						7.2						2.87		%				5.81		%				248,073						7.4						2.88		%				5.84		%

Derivative Instruments, Gain (Loss)

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

			Three Months Ended March 31,
			2024						2023
Derivatives designated as hedging instruments
Swaps-Cash Flow hedge
Gain (loss) included in interest expense on deposits			$	4,111					$	3,071
Gain (loss) included in interest expense on FHLB borrowings			2,531						1,901
Gain (loss) included in interest expense on other borrowings			—						136
			6,642						5,108
Swaps-Fair Value hedge
Gain (loss) included in interest income on tax-exempt investment securities			2,622						2,450
Derivatives designated as non-hedging instruments
Swaps-Non-hedging
Other noninterest income			—						160

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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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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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Tabular disclosure of derivative instruments (including nonderivative instruments that are designated and qualify as hedging instruments) of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

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