This was news to me, but now I understand it (someone with more banking knowledge can correct me if I'm wrong): Securities held by a bank can be classified as either "Hold to Maturity" or "Available for Sale". HTM assets can not legally be hedged against interest rate risk. Reason for this is that if assets are actually held to maturity, there really isn't any interest rate risk.

https://viewpoint.pwc.com/dt/us/en/pwc/accounting_guides/der...

"The notion of hedging the interest rate risk in a security classified as held to maturity is inconsistent with the held-to-maturity classification under ASC 320, which requires the reporting entity to hold the security until maturity regardless of changes in market interest rates. For this reason, ASC 815-20-25-43(c)(2) indicates that interest rate risk may not be the hedged risk in a fair value hedge of held-to-maturity debt securities."