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Derivative Financial Instruments and Hedging Activities | 12 Months Ended
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Dec. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Hedging Activities | Derivative Financial Instruments and Hedging Activities We entered into interest rate swap agreements, primarily as an asset/liability management strategy, in order to mitigate the changes in the fair value of specified long-term fixed-rate loans (or firm commitments to enter into long-term fixed-rate loans) caused by changes in interest rates. These hedges allow us to offer long-term fixed rate loans to customers without assuming the interest rate risk of a long-term asset. Converting our fixed-rate interest payments to floating-rate interest payments, generally benchmarked to the one-month U.S. dollar LIBOR index, protects us against changes in the fair value of our loans associated with fluctuating interest rates. 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 December 31, 2022, we had four interest rate swap agreements, which are scheduled to mature at various dates ranging from June 2031 to 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 receivable on the swaps totaled $5 thousand at December 31, 2022, and accrued interest payable on the swaps totaled $11 thousand at December 31, 2021. Information on our derivatives follows:
| Asset derivatives | Liability derivatives
(in thousands) | December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021
Fair value hedges: |  |  |  |
Interest rate contracts notional amount | $ | 12,046 |  | $ | — |  | $ | — |  | $ | 13,037 |
Interest rate contracts fair value 1 | $ | 602 |  | $ | — |  | $ | — |  | $ | 1,085 |
1 Refer to Note 9, Fair Value of Assets and Liabilities, for valuation methodology. 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 December 31, 2022 and 2021:
| Carrying Amounts of Hedged Assets | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands) | December 31, 2022 | December 31, 2021 | December 31, 2022 | December 31, 2021
Loans | $ | 11,319 |  | $ | 13,976 |  | $ | (726) |  | $ | 939 |
The following table presents the net losses recognized in interest income on loans on the consolidated statements of comprehensive (loss) income related to our derivatives designated as fair value hedges:
| Years ended December 31,
(in thousands) | 2022 | 2021 | 2020
Interest and fees on loans 1 | $ | 93,868 |  | $ | 91,612 |  | $ | 84,674 |
Increase (decrease) in value of designated interest rate swaps due to LIBOR interest rate movements | $ | 1,687 |  | $ | 827 |  | $ | (734) |
Payment on interest rate swaps | (143) |  | (369) |  | (360) |
(Decrease) increase in value of hedged loans | (1,666) |  | (814) |  | 809 |
Decrease in value of yield maintenance agreement | (10) |  | (11) |  | (12) |
Net losses on fair value hedging derivatives recognized in interest income | $ | (132) |  | $ | (367) |  | $ | (297) |
1 Represents the income line item in the statements of comprehensive (loss) 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 | Gross Amounts Not Offset in the Statements of Condition |
| Gross Amounts | Offset in the | of Assets Presented |
| of Recognized | Statements of | in the Statements | Financial | Cash Collateral |
(in thousands) | Assets | Condition | of Condition | Instruments | Received | Net Amount
December 31, 2022 |  |  |  |  |  |
Counterparty | $ | 602 |  | $ | — |  | $ | 602 |  | $ | — |  | $ | — |  | $ | 602 |
December 31, 2021 |  |  |  |  |  |
Counterparty | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |
Offsetting of Financial Liabilities and Derivative Liabilities
| Gross Amounts of Recognized Liabilities 1 | Gross Amounts Offset in the Statements of Condition | Net Amounts of Liabilities Presented in the Statements of Condition 1 | Gross Amounts Not Offset in the Statements of Condition |
| Financial Instruments | Cash Collateral Pledged |
(in thousands) | Net Amount
December 31, 2022 |  |  |  |  |  |
Counterparty | $ | — |  | $ | — |  | $ | — |  | $ | — |  | — |  | $ | — |
December 31, 2021 |  |  |  |  |  |
Counterparty | $ | 1,085 |  | $ | — |  | $ | 1,085 |  | $ | — |  | (1,085) |  | $ | — |
1 Amounts exclude accrued interest on swaps.

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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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