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Derivative Financial Instruments | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | NOTE 8 DERIVATIVE FINANCIAL INSTRUMENTS The Bank uses derivative financial instruments to help manage exposure to interest rate risk and the effects that changes in interest rates may have on net income and the fair value of assets and liabilities. The Bank enters into interest rate swap agreements as part of its asset/liability management strategy to help manage its interest rate risk position. The Bank entered into three pay-fixed receive variable interest rate swap transactions, with a combined notional value of $100 million, designated and qualifying as accounting hedges during the last quarter of 2023. Designating an interest rate swap as an accounting hedge allows the Company to recognize gains and losses, less any ineffectiveness, in the Company's consolidated statement of income within the same period that the hedged item affects earnings. The Company includes the gain or loss on the hedged items in the same line item as the offsetting loss or gain on the related interest rate swaps. The fair value of interest rate swaps with a positive fair value are reported in other assets in the Company's consolidated balance sheets while interest rate swaps with a negative fair value are reported in accrued expenses and other liabilities in the Company's consolidated balance sheets. The following table presents amounts that were recorded on the Company's consolidated balance sheets related to cumulative basis adjustments for interest rate swap derivatives designated as fair value accounting hedges as of March 31, 2024 and December 31, 2023.
|  | (In Thousands) |
|  | March 31, 2024 |  |  | December 31, 2023 |
Line Item in the Consolidated Balance Sheets in which the Hedged Item is Included |  | Carrying Amount of the Hedged Assets |  |  | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets |  |  | Carrying Amount of the Hedged Assets |  |  | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets |
Loans |  | $ | 270,953 |  |  | $ | 969 |  |  | $ | 276,991 |  |  | $ | 2,719 |
The following tables present a summary of interest rate swap derivatives designated as fair value accounting hedges of fixed-rate receivables used in the Bank's asset/liability management activities at March 31, 2024 and December 31, 2023, identified by the underlying interest rate-sensitive instruments.
|  |  |  |  | Weighted Average |  |  |  |  |  |  |  |  |
|  | Notional Value (In |  |  | Remaining Maturity |  |  | Fair Value (In |  |  | Weighted Average Rate |
Instruments Associated With |  | Thousands) |  |  | (In Years) |  |  | Thousands) |  |  | Receive |  | Pay |
Loans |  | $ | 100,000 |  |  |  | 3.3 |  |  | $ | 969 |  |  | USD-SOFR-OIS |  |  | 4.47 | %
Total swap portfolio at March 31, 2024 |  | $ | 100,000 |  |  |  | 3.3 |  |  | $ | 969 |  |  | USD-SOFR-OIS |  |  | 4.47 | %
|  |  |  |  | Weighted Average |  |  |  |  |  |  |  |  |
|  | Notional Value (In |  |  | Remaining Maturity |  |  | Fair Value (In |  |  | Weighted Average Rate |
Instruments Associated With |  | Thousands) |  |  | (In Years) |  |  | Thousands) |  |  | Receive |  | Pay |
Loans |  | $ | 100,000 |  |  |  | 3.6 |  |  | $ | 2,719 |  |  | USD-SOFR-OIS |  |  | 4.47 | %
Total swap portfolio at December 31, 2023 |  | $ | 100,000 |  |  |  | 3.6 |  |  | $ | 2,719 |  |  | USD-SOFR-OIS |  |  | 4.47 | %
These derivative financial instruments were entered into for the purpose of managing the interest rate risk of certain assets and liabilities. The Bank pledged $2.8 million of cash collateral to counterparties as security for its obligations related to these interest rate swap transactions at March 31, 2024 and December 31, 2023. Collateral posted and received is dependent on the market valuation of the underlying hedges. The following table presents the notional amount and fair value of interest rate swaps utilized by the Bank at March 31, 2024 and December 31, 2023.
|  | (In Thousands) |
|  | March 31, 2024 |  |  | December 31, 2023 |
|  | Notional Amount |  |  | Fair Value |  |  | Notional Amount |  |  | Fair Value |
Asset Derivatives |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps associated with loans |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |
Total contracts |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |
Liability Derivatives |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps associated with loans |  | $ | 100,000 |  |  | $ | (943 | ) |  | $ | 100,000 |  |  | $ | (2,679 | )
Total contracts |  | $ | 100,000 |  |  | $ | (943 | ) |  | $ | 100,000 |  |  | $ | (2,679 | )
The following table presents the effects of the Bank's interest rate swap agreements on the Company’s consolidated statement of income during the three month period ended March 31, 2024 and March 31, 2023. The $2.8 million of cash collateral pledged to counterparties yielded $211 thousand of other interest income for the three months ended March 31, 2024.
|  | (In Thousands) |
|  | Three Months Ended |
Line Item in the Consolidated Statements of Income |  | March 31, 2024 |  |  | March 31, 2023 |
Interest Income |  |  |  |  |  |
Loans, including fees |  | $ | (14 | ) |  | $ | - |
Other |  |  | 211 |  |  |  | - |
Total interest income |  | $ | 197 |  |  | $ | - |

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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://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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