Our credit exposure, if any, on interest rate swap asset positions is limited to the fair value (net of any collateral pledged to us) and interest payments of all swaps by each counterparty. Conversely, when an interest rate swap is in a liability position exceeding a certain threshold, we may be required to post collateral to the counterparty in an amount determined by the agreements. Collateral levels are monitored and adjusted on a regular basis for changes in interest rate swap values.

As of September 30, 2022, we had four interest rate swap agreements, which are scheduled to mature in June 2031, October 2031, July 2032, and October 2037. All of our derivatives are accounted for as fair value hedges. The notional amounts of the interest rate contracts are equal to the notional amounts of the hedged loans. Our interest rate swap payments are settled monthly with counterparties. Accrued interest on the swaps totaled $519 at September 30, 2022 and $11 thousand at December 31, 2021. Information on our derivatives follows:


	Asset Derivatives				Liability Derivatives
(in thousands)	September 30, 2022		December 31, 2021		September 30, 2022		December 31, 2021
Fair value hedges:
Interest rate contracts notional amount	$	12,298	$	—	$	—	$	13,037
Interest rate contracts fair value1	$	649	$	—	$	—	$	1,085

The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of hedged assets as of September 30, 2022 and December 31, 2021.


	Carrying Amounts of Hedged Assets				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands)	September 30, 2022		December 31, 2021		September 30, 2022		December 31, 2021
Loans	$	11,519	$	13,976	$	(779)	$	939

The following table presents the net losses recognized in interest income on loans on the consolidated statements of comprehensive income related to our derivatives designated as fair value hedges.


	Three months ended				Nine months ended
(in thousands)	September 30, 2022		September 30, 2021		September 30, 2022		September 30, 2021
Interest and fees on loans 1	$	23,357	$	24,027	$	70,368	$	66,117
Increase in fair value of designated interest rate swaps due to LIBOR interest rate movements	$	547	$	97	$	1,734	$	646
Payment on interest rate swaps	(19)		(93)		(169)		(278)
Decrease in fair value hedging adjustment of hedged loans	(538)		(94)		(1,718)		(631)
Decrease in value of yield maintenance agreement	(3)		(3)		(8)		(9)
Net losses on fair value hedging relationships recognized in interest income	$	(13)	$	(93)	$	(161)	$	(272)

1 Represents the income line item in the statement of comprehensive income in which the effects of fair value hedges are recorded.

Our derivative transactions with counterparties are under International Swaps and Derivative Association (“ISDA”) master agreements that include “right of set-off” provisions. “Right of set-off” provisions are legally enforceable rights to offset recognized amounts and there may be an intention to settle such amounts on a net basis. We do not offset such financial instruments for financial reporting purposes. Information on financial instruments that are eligible for offset in the consolidated statements of condition follows:



Offsetting of Financial Assets and Derivative Assets
			Gross Amounts		Net Amounts of		Gross Amounts Not Offset in
	Gross Amounts		Offset in the		Assets Presented		the Statements of Condition
	of Recognized		Statements of		in the Statements		Financial		Cash Collateral
(in thousands)	Assets		Condition		of Condition		Instruments		Received		Net Amount
September 30, 2022
Derivatives by Counterparty:
Counterparty A	$	649	$	—	$	649	$	(649)	$	—	$	—


December 31, 2021
Derivatives by Counterparty:
Counterparty A	$	—	$	—	$	—	$	—	$	—	$	—


Offsetting of Financial Liabilities and Derivative Liabilities
			Gross Amounts		Net Amounts of		Gross Amounts Not Offset in
	Gross Amounts		Offset in the		Liabilities Presented		the Statements of Condition
	of Recognized		Statements of		in the Statements		Financial		Cash Collateral
(in thousands)	Liabilities1		Condition		of Condition1		Instruments		Pledged		Net Amount
September 30, 2022
Derivatives by Counterparty:
Counterparty A	$	—	$	—	$	—	$	—	$	—	$	—


December 31, 2021
Derivatives by Counterparty:
Counterparty A	$	1,085	$	—	$	1,085	$	—	$	(1,085)	$	—

For more information on how we account for our interest rate swaps, refer to Note 1 to the Consolidated Financial Statements included in our 2021 Form 10-K filed with the SEC on March 15, 2022.