Derivative Financial Instruments

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

Derivative Financial Instruments

Commitments to originate residential mortgage loans held for sale and forward commitments to sell residential mortgage loans are considered derivative instruments. See Note 8 for further information.

The Company has certain interest rate derivative positions that are not designated as hedging instruments. Derivative assets and liabilities are recorded at fair value on the Consolidated Statements of Financial Condition and do not take into account the effects of master netting agreements. Master netting agreements allow the Company to settle all derivative contracts held with a single counterparty on a net basis, and to offset net derivative positions with related collateral, where applicable. These derivative positions relate to transactions in which the Company enters into an interest rate swap with a client while at the same time entering into an offsetting interest rate swap with another financial institution. In connection with each transaction, the Company agrees to pay interest to the client on a notional amount at a variable interest rate and receive interest from the client on the same notional amount at a fixed interest rate. At the same time, the Company agrees to pay another financial institution the same fixed interest rate on the same notional amount and receive the same variable interest rate on the same notional amount. The transaction allows the client to effectively convert a variable rate loan to a fixed rate. Because the terms of the swaps with the customers and the other financial institutions offset each other, with the only difference being counterparty credit risk, changes in the fair value of the underlying derivative contracts are not materially different and do not significantly impact the Company’s results of operations.

The following table shows the amounts of non-hedging derivative financial instruments.

			Asset derivatives			Liability derivatives
(Dollars in thousands)	Notional or contractual amount		Statement of Financial Condition classification	Fair value		Statement of Financial Condition classification	Fair value
March 31, 2024
Interest rate swap contracts	$	1,092,725	Other assets	$	21,526	Other liabilities	$	21,936
Loan commitments	5,047		Mortgages held for sale	168		N/A	—
Forward contracts - mortgage loan	5,750		N/A	—		Mortgages held for sale	8
Total	$	1,103,522		$	21,694		$	21,944
December 31, 2023
Interest rate swap contracts	$	1,085,618	Other assets	$	22,704	Other liabilities	$	23,140
Loan commitments	2,824		Mortgages held for sale	107		N/A	—
Forward contracts - mortgage loan	3,500		N/A	—		Mortgages held for sale	16
Total	$	1,091,942		$	22,811		$	23,156

The following table shows the amounts included in the Consolidated Statements of Income for non-hedging derivative financial instruments.

		Gain (loss)
		Three Months Ended March 31,
(Dollars in thousands)	Statement of Income classification	2024		2023
Interest rate swap contracts	Other expense	$	27	$	99
Interest rate swap contracts	Other income	186		195
Loan commitments	Mortgage banking	61		25
Forward contracts - mortgage loan	Mortgage banking	8		(40)
Total		$	282	$	279

The following table shows the offsetting of financial assets and derivative assets.

							Gross Amounts Not Offset in the Statement of Financial Condition
(Dollars in thousands)	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Assets Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
March 31, 2024
Interest rate swaps	$	21,526	$	—	$	21,526	$	—	$	16,405	$	5,121
December 31, 2023
Interest rate swaps	$	22,704	$	—	$	22,704	$	—	$	10,795	$	11,909

The following table shows the offsetting of financial liabilities and derivative liabilities.

							Gross Amounts Not Offset in the Statement of Financial Condition
(Dollars in thousands)	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statement of Financial Condition		Net Amounts of Liabilities Presented in the Statement of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
March 31, 2024
Interest rate swaps	$	21,936	$	—	$	21,936	$	—	$	—	$	21,936
Repurchase agreements	62,591		—		62,591		62,591		—		—
Total	$	84,527	$	—	$	84,527	$	62,591	$	—	$	21,936
December 31, 2023
Interest rate swaps	$	23,140	$	—	$	23,140	$	—	$	—	$	23,140
Repurchase agreements	55,809		—		55,809		55,809		—		—
Total	$	78,949	$	—	$	78,949	$	55,809	$	—	$	23,140

If a default in performance of any obligation of a repurchase agreement occurs, each party will set-off property held in respect of transactions against obligations owing in respect of any other transactions. At March 31, 2024 and December 31, 2023, repurchase agreements had a remaining contractual maturity of $61.54 million and $54.46 million in overnight and $1.05 million and $1.35 million in up to 30 days, respectively and were collateralized by U.S. Treasury and Federal agencies securities.