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Derivative Instruments | 12 Months Ended
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Dec. 31, 2022
Derivative Instruments |
Derivative Instruments | NOTE 25 Derivative Instruments The Company maintains an overall interest rate risk management strategy that incorporates the use of derivative instruments to minimize significant unplanned fluctuations in earnings that are caused by interest rate volatility. The Company’s goal is to manage interest rate sensitivity by modifying the repricing or maturity characteristics of certain balance sheet assets and liabilities so that the net interest margin is not, on a material basis, adversely affected by movements in interest rates. As a result of the interest rate fluctuations, hedged assets and liabilities will appreciate or depreciate in market value. The effect of this unrealized appreciation or depreciation will generally be offset by income or loss on the derivative instruments that are linked to the hedged assets and liabilities. The Company views this strategy as a prudent management of interest rate sensitivity, such that earnings are not exposed to undue risk presented by changes in interest rate risks. Derivative instruments that are used as part of the Company’s interest rate risk management strategy include interest rate swaps, futures contracts, and options contracts with indices that relate to the pricing of specific balance sheet assets and liabilities. Interest rate swaps generally involve the exchange of fixed and variable rate interest payments between two parties, based on a common notional principal amount and maturity date. Interest rate options represent contracts that allow the holder of the option to (1) receive cash or (2) purchase, sell, or enter into a financial instrument at a specified price within a specified period of time. Certain of these contracts also provide the Company with the right to enter into interest-rate swaps and cap and floor agreements with the writer of the option. By using derivative instruments, the Company is exposed to credit and market risk. If the counterparty fails to perform, credit risk is equal to the extent of the estimated fair value gain in a derivative. When the estimated fair value of a derivative contract is positive, this generally indicates that the counterparty owes the Company and therefore, creates a repayment risk for the Company. When the estimated fair value of a derivative contract is negative, the Company owes the counterparty and, therefore, it has no repayment risk. The Company minimizes the credit (or repayment) risk in derivative instruments by entering into transactions with high-quality counterparties that are reviewed periodically by the Company’s credit committee. The Company also maintains a policy of requiring that all derivative contracts be governed by an International Swaps and Derivatives Association Master Agreement. Various derivatives, including interest rate, commodity, equity, credit, and foreign exchange contracts, are offered to clients but usually offset the exposure from such contracts by purchasing other financial contracts. The customer accommodations and any offsetting financial contracts are treated as freestanding derivatives. Free-standing derivatives also include derivatives entered into for risk management that do not otherwise qualify for hedge accounting, including domestic hedge derivatives. The following table presents the total notional or contractual amounts and estimated fair values for derivatives not designated as hedging instruments that are recorded on the balance sheet in other assets or other liabilities. Customer accommodation, trading, and other free-standing derivatives are recorded on the balance sheet at fair value in trading assets or other liabilities at December 31, 2022 and 2021: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | December 31, 2022 | ​ | December 31, 2021
​ | ​ | ​ | ​ | Fair | ​ | Notional | ​ | Fair | ​ | Notional
(dollars in thousands) |  | ​ |  | Value |  | Amount |  | Value |  | Amount
Asset Derivatives |  | Consolidated Balance Sheet Location |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |
Interest rate swaps |  | Other assets | ​ | $ | 6,277 | ​ | $ | 43,430 | ​ | $ | 1,366 | ​ | $ | 44,826
Interest rate lock commitments |  | Other assets | ​ | ​ | 121 | ​ | ​ | 10,462 | ​ | ​ | 1,507 | ​ | ​ | 52,316
Forward loan sales commitments |  | Other assets | ​ |  | 7 | ​ |  | 351 | ​ |  | 490 | ​ |  | 13,418
TBA mortgage backed securities |  | Other assets | ​ |  | — | ​ |  | — | ​ |  | 34 | ​ |  | 97,000
Total asset derivatives |  |  | ​ | $ | 6,405 | ​ | $ | 54,243 | ​ | $ | 3,397 | ​ | $ | 207,560
Liability Derivatives |  |  | ​ |  |  | ​ |  |  | ​ |  |  | ​ |  |
Interest rate swaps |  | Accrued expenses and other liabilities | ​ | $ | 6,277 | ​ | $ | 43,430 | ​ | $ | 1,368 | ​ | $ | 44,826
TBA mortgage backed securities |  | Accrued expenses and other liabilities | ​ | ​ | 26 | ​ | ​ | 25,750 | ​ | ​ | — | ​ | ​ | —
Total liability derivatives |  |  | ​ | $ | 6,303 | ​ | $ | 69,180 | ​ | $ | 1,368 | ​ | $ | 44,826
​ The Company has third-party agreements that require a minimum dollar transfer amount upon a margin call. This requirement is dependent on certain specified credit measures. The amount of collateral posted with third parties at December 31, 2022 and 2021, respectively, was zero and $19 thousand. The amount of collateral posted with third parties is deemed to be sufficient to collateralize both the fair market value change a well as any additional amounts that may be required as a result of a change in the specified credit measures. The gain (loss) recognized on derivatives instruments for years ended December 31, 2022, 2021, and 2020 was as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | ​ | Year ended
​ | ​ | Consolidated Statements | ​ | December 31, | ​ | December 31, | ​ | December 31,
(dollars in thousands) |  | of Income Location |  | 2022 |  | 2021 |  | 2020
Interest rate swaps |  | Other noninterest income | ​ | $ | 2 | ​ | $ | 1 | ​ | $ | (3)
Interest rate lock commitments |  | Mortgage banking | ​ | ​ | (1,464) | ​ | ​ | (8,660) | ​ | ​ | 8,798
Forward loan sales commitments |  | Mortgage banking | ​ | ​ | (483) | ​ | ​ | (2,174) | ​ | ​ | 2,271
TBA mortgage backed securities |  | Mortgage banking | ​ |  | 4,916 | ​ |  | 5,220 | ​ | ​ | (12,997)
Total gain/(loss) from derivative instruments |  | ​ | ​ | $ | 2,971 | ​ | $ | (5,613) | ​ | $ | (1,931)
​

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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI https://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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