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Derivative Financial Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2024

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, 2024			December 31, 2023						June 30, 2024			December 31, 2023
Available-for-sale securities:
Interest rate swaps - notional amount			$	101,770		$	—					$	—		$	101,770
Interest rate swaps - fair value1			$	140		$	—					$	—		$	1,359
Loans receivable:
Interest rate contracts - notional amount			$	8,131		$	6,441					$	—		$	2,157
Interest rate contracts - fair value1			$	411		$	287					$	—		$	2

1 Refer to 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, 2024 and December 31, 2023.

			Carrying Amounts of Hedged Assets									Cumulative Amounts of Fair Value Hedging Adjustments Included in the Carrying Amounts of the Hedged Assets
(in thousands)			June 30, 2024			December 31, 2023						June 30, 2024			December 31, 2023
Available-for-sale securities 1			$	108,133		$	107,181					$	140		$	(1,359)
Loans receivable 2			$	7,602		$	8,183					$	(484)		$	(367)
1 Carrying value equals the amortized cost basis of the securities underlying the hedge relationship, which is the book value net of the fair value hedge adjustment. Amortized cost excludes accrued interest totaling $221 thousand and $222 thousand as of June 30, 2024 and December 31, 2023, respectively.
2 Carrying value equals the amortized cost basis of the loans underlying the hedge relationship, which is the loan balance net of deferred loan origination fees and cost and the fair value hedge adjustment. Amortized cost excludes accrued interest, which was not material.

Schedule of Derivative Instruments, Losses in Statement of Financial Performance

The following table presents the pretax net gains (losses) recognized in interest income related to our fair value hedges for the years presented.

			Three months ended						Six months ended
(in thousands)			June 30, 2024			June 30, 2023			June 30, 2024			June 30, 2023
Interest on investment securities 1
Increase in fair value of interest rate swaps hedging available-for-sale securities			$	282		$	—		$	1,499		$	—
Hedged interest earned			206			—			412			—
Decrease in carrying value included in the hedged available-for-sale securities			(282)			—			(1,499)			—
Net gain (loss) recognized in interest income on investment securities			$	206		$	—		$	412		$	—
Interest and fees on loans 1
Increase in fair value of interest rate swaps hedging loans receivable			$	11		$	250		$	126		$	29
Hedged interest earned			54			66			109			118
Decrease in carrying value included in the hedged loans			(6)			(243)			(117)			(23)
Decrease in value of yield maintenance agreement			(2)			(2)			(4)			(4)
Net gain recognized in interest income on loans			$	57		$	71		$	114		$	120
1 Represents the income line item in the statement of comprehensive loss in which the effects of fair value hedges are recorded.

Schedule of Offsetting Assets and 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, 2024
Counterparty			$	551		$	—		$	551		$	—		$	—		$	551
Total			$	551		$	—		$	551		$	—		$	—		$	551
December 31, 2023
Counterparty			$	287		$	—		$	287		$	—		$	—		$	287
Total			$	287		$	—		$	287		$	—		$	—		$	287

Offsetting of Financial Liabilities and Derivative Liabilities
						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			Pledged			Net Amount
June 30, 2024
Counterparty			—			—			—			—			—			—
Total			$	—		$	—		$	—		$	—		$	—		$	—
December 31, 2023
Counterparty			$	1,361		$	—		$	1,361		$	(287)		$	(330)		$	744
Total			$	1,361		$	—		$	1,361		$	(287)		$	(330)		$	744

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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