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Derivative Financial Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Information on our derivatives follows:

			Asset Derivatives									Liability Derivatives
(in thousands)			June 30, 2023			December 31, 2022						June 30, 2023			December 31, 2022
Fair value hedges:
Interest rate contracts notional amount			$	11,535		$	12,046					$	—		$	—
Interest rate contracts fair value1			$	631		$	602					$	—		$	—

1 See Note 3, 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 June 30, 2023 and December 31, 2022.

			Carrying Amounts of Hedged Assets									Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands)			June 30, 2023			December 31, 2022						June 30, 2023			December 31, 2022
Loans			$	10,786		$	11,319					$	(749)		$	(726)

Schedule of Derivative Instruments, Losses in Statement of Financial Performance

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

			Three months ended						Six months ended
(in thousands)			June 30, 2023			June 30, 2022			June 30, 2023			June 30, 2022
Interest and fees on loans 1			$	24,579		$	23,334		$	48,837		$	47,011
Increase (decrease) in fair value of designated interest rate swaps due to LIBOR interest rate movements			$	250		$	430		$	29		$	1,187
Receivable (payment) on interest rate swaps			66			(65)			118			(150)
(Decrease) increase in fair value hedging adjustment of hedged loans			(243)			(428)			(23)			(1,180)
Decrease in value of yield maintenance agreement			(2)			(2)			(4)			(5)
Net gain (loss) on fair value hedging relationships recognized in interest income			$	71		$	(65)		$	120		$	(148)

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

Schedule of Offsetting Liabilities

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)			Assets1			Condition			of Condition1			Instruments			Received			Net Amount
June 30, 2023
Counterparty			$	631		$	—		$	631		$	—		$	—		$	631
December 31, 2022
Counterparty			$	602		$	—		$	602		$	—		$	—		$	602

Offsetting of Financial Liabilities and Derivative Liabilities

1 Amounts exclude accrued interest on swaps.

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Tabular disclosure of derivative and other financial liabilities that are subject to offsetting, including master netting arrangements.

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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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