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Derivative Financial Instruments and Hedging Activities (Tables) | 9 Months Ended
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Sep. 30, 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):
|  | Amortized Cost of Hedged Assets (2) |  | Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Items
|  | September 30, 2024 |  | December 31, 2023 |  | September 30, 2024 |  | December 31, 2023
Securities AFS (1) (3) |  | $ | 991,699 |  |  |  | $ | 487,486 |  |  | $ | 3,581 |  |  | $ | 13,642 |
Loans (1) (3) |  | 271,383 |  |  |  | — |  |  | (385) |  |  | — |
1) Amounts include the amortized cost basis of closed portfolios used to designate hedging relationships under the portfolio layer method. The hedged item is a layer of the closed portfolio which is expected to be remaining at the end of the hedging relationship. As of September 30, 2024, the amortized cost basis of the closed MBS portfolio used in these hedging relationships was $625.9 million, the amount of the designated hedged items were $201.0 million and the cumulative amount of fair value hedging adjustments associated with these MBS hedging relationships was a loss of $1.2 million. As of September 30, 2024, the amortized cost basis of the closed loan portfolio used in these hedging relationships was $271.4 million, the amount of the designated hedged items were $155.0 million and the cumulative amount of fair value hedging adjustments associated with these loan hedging relationships was a loss of $385,000. 2) Excludes fair value hedging adjustments. 3) Excluded from the table above are the cumulative amount of fair value hedging adjustments for securities AFS and loans for which hedge accounting has been discontinued in the amounts of a loss of $4.6 million and a loss of $4.2 million, respectively, at September 30, 2024. There were no discontinued hedges as of December 31, 2023.
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):
|  | September 30, 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 |  | $ | 790,000 |  |  | $ | 12,880 |  |  | $ | 6,054 |  |  | $ | 1,010,000 |  |  | $ | 24,223 |  |  | $ | 6,910 |  |  |  |
Swaps-Fair Value Hedge-Financial institution counterparties |  | 675,875 |  |  | 5,781 |  |  | 2,748 |  |  | 453,440 |  |  | 13,658 |  |  | 16 |  |  |  |
Derivatives designated as non-hedging instruments |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swaps-Financial institution counterparties |  | 241,446 |  |  | 14,355 |  |  | 649 |  |  | 248,073 |  |  | 18,249 |  |  | 509 |  |  |  |
Swaps-Customer counterparties |  | 241,446 |  |  | 649 |  |  | 14,355 |  |  | 248,073 |  |  | 509 |  |  | 18,249 |  |  |  |
Gross derivatives |  |  |  | 33,665 |  |  | 23,806 |  |  |  |  | 56,639 |  |  | 25,684 |  |  |  |
Offsetting derivative assets/liabilities |  |  |  | (9,451) |  |  | (9,451) |  |  |  |  | (7,435) |  |  | (7,435) |  |  |  |
Cash collateral received/posted |  |  |  | (22,300) |  |  | — |  |  |  |  | (46,760) |  |  | — |  |  |  |
Net derivatives included in the consolidated balance sheets (2) |  |  |  | $ | 1,914 |  |  | $ | 14,355 |  |  |  |  | $ | 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 September 30, 2024, we had $1.3 million credit exposure related to interest rate swaps with financial institutions and $649,000 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 September 30, 2024 and December 31, 2023:
|  | September 30, 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 |  | $ | 790,000 |  |  | 1.8 |  | 5.21 | % |  | 2.62 | % |  | $ | 1,010,000 |  |  | 2.3 |  | 5.44 | % |  | 2.65 | %
Swaps-Fair Value hedge |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial institution counterparties |  | 675,875 |  |  | 3.1 |  | 5.16 | % |  | 3.47 | % |  | 453,440 |  |  | 5.4 |  | 5.37 | % |  | 3.13 | %
Swaps-Non-hedging |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial institution counterparties |  | 241,446 |  |  | 6.7 |  | 5.48 | % |  | 2.86 | % |  | 248,073 |  |  | 7.4 |  | 5.84 | % |  | 2.88 | %
Customer counterparties |  | 241,446 |  |  | 6.7 |  | 2.86 | % |  | 5.48 | % |  | 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 September 30, | Nine Months Ended September 30,
| 2024 |  | 2023 | 2024 |  | 2023
Derivatives designated as hedging instruments |  |  |  |  |  |
Swaps-Cash Flow hedge |  |  |  |  |  |
Gain (loss) included in interest expense on deposits | $ | 3,587 |  |  | $ | 4,254 |  | $ | 11,436 |  |  | $ | 10,715 |
Gain (loss) included in interest expense on FHLB borrowings | 2,101 |  |  | 2,200 |  | 6,676 |  |  | 5,969 |
Gain (loss) included in interest expense on other borrowings | — |  |  | (46) |  | — |  |  | 886 |
| 5,688 |  |  | 6,408 |  | 18,112 |  |  | 17,570 |
Swaps-Fair Value hedge |  |  |  |  |  |
Gain (loss) included in interest income on tax-exempt investment securities | 2,142 |  |  | 3,651 |  | 7,245 |  |  | 9,329 |
Gain (loss) included in interest income on MBS | 488 |  |  | — |  | 754 |  |  | — |
Gain (loss) included in interest income on loans | 504 |  |  | — |  | 591 |  |  | — |
Derivatives designated as non-hedging instruments |  |  |  |  |  |
Swaps-Non-hedging |  |  |  |  |  |
Other noninterest income | — |  |  | — |  | 53 |  |  | 160 |

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