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Derivatives and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Summary of Cash Flow Hedges Associated with Interest Rate Risk Management Activities

The following table summarizes the Company's cash flow hedges associated with its interest rate risk management activities:

 

 

 

 

 

 

 

 

 

December 31, 2022

 

(Dollars in thousands)

 

Start Date

 

Maturity Date

 

Rate

 

Notional

 

 

Assets

 

 

Liabilities

 

Debt Hedging

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Hedging Instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest Rate Swap 2020

 

4/13/2020

 

4/13/2025

 

0.68%

 

$

5,000

 

 

$

431

 

 

$

—

 

Interest Rate Swap 2021

 

4/13/2021

 

4/13/2026

 

0.74%

 

 

5,000

 

 

 

530

 

 

 

—

 

Total Hedging Instruments

 

 

 

 

 

 

 

$

10,000

 

 

$

961

 

 

$

—

 

Hedged Items:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Variability in cash flows related to
      90-day FHLB advances

 

 

 

 

 

 

 

N/A

 

 

$

—

 

 

$

10,000

 
Summary of the Effect of Cash Flow Hedge Accounting

The following tables summarize the effect of cash flow hedge accounting on the consolidated statements of (loss) income for the three and six months ended June 30, 2023 and 2022 :

 

Location and Amount of Gain or Loss Recognized in Consolidated Statements of (Loss) Income

Three Months Ended June 30,

 (Dollars in thousands)

2023

2022

 

Interest

Income

(Expense)

Other

Income

(Expense)

Interest

Income

(Expense)

Other

Income

(Expense)

The effect of cash flow hedge accounting:

    Amount reclassified from AOCI into expense

$

—

$

—

$

6

$

—

 

Location and Amount of Gain or Loss Recognized in Consolidated Statements of (Loss) Income

Six Months Ended June 30,

 (Dollars in thousands)

2023

2022

 

Interest

Income

(Expense)

Other

Income

(Expense)

Interest

Income

(Expense)

Other

Income

(Expense)

The effect of cash flow hedge accounting:

    Amount reclassified from AOCI into expense

$

—

$

—

$

(6)

$

—

Summary of Balance Sheet Related to Cumulative Basis Adjustment for Fair Value Hedges

As of June 30, 2023, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

Location in Consolidated Balance Sheets

 

Carrying Amount of Hedged Assets/(Liabilities)

 

 

Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)

 

(Dollars in thousands)

 

June 30, 2023

 

 

December 31, 2022

 

 

June 30, 2023

 

 

December 31, 2022

 

Total loans

 

$

24,722

 

 

$

—

 

 

$

(278

)

 

$

—

 

Total

 

$

24,722

 

 

$

—

 

 

$

(278

)

 

$

—

 
Summary of Fair Values of Derivative Financial Instruments Classification on Consolidated Balance Sheets

The following table presents the fair value of the Company’s derivative financial instruments as well as their classification on the consolidated balance sheet:

 

Derivative Assets

 

 

Derivative Liabilities

 

 

Notional Amount

 

 

Location

 

Fair Value

 

 

Notional Amount

 

 

Location

 

Fair Value

 

(Dollars in thousands)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

June 30, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts - fair value hedge

$

25,000

 

 

Other assets

 

$

278

 

 

$

—

 

 

Other liabilities

 

$

—

 

Total derivatives designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments

 

 

 

 

 

$

278

 

 

 

 

 

 

 

$

—

 

Derivatives not designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Customer loan swaps

$

4,378

 

 

Other assets

 

$

48

 

 

$

4,378

 

 

Other liabilities

 

$

48

 

Total derivatives not designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments

 

 

 

 

 

$

48

 

 

 

 

 

 

 

$

48

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts - cash flow hedge

$

10,000

 

 

Other assets

 

$

961

 

 

$

—

 

 

Other liabilities

 

$

—

 

Total derivatives designated as

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

   hedging instruments

 

 

 

 

 

$

961

 

 

 

 

 

 

 

$

—

 

 
Summary of Derivative Financial Instruments Not Designated as Hedging Instruments on Consolidated Statements of (Loss) Income

The following table presents the effect of the Company’s derivative financial instruments that are not designated as hedging instruments on the consolidated statements of (loss) income for the periods presented:

 

 

 

 

Amount of Gain Recognized in Income

 

 

 

 

 

Three Months Ended

 

 

Six Months Ended

 

 

 

 

 

June 30, 2023

 

 

June 30, 2022

 

 

June 30, 2023

 

 

June 30, 2022

 

 (Dollars in thousands)

 

Location of Gain

 

 

 

 

 

 

 

 

 

 

 

 

 Customer loan swaps

 

Interest and fees on loans

 

$

95

 

 

$

—

 

 

$

95

 

 

$

—

 
Summary of Derivative Positions Offset in Consolidated Balance Sheets

The following tables present the information about derivative positions that are eligible for offset in the consolidated balance sheets as of June 30, 2023 and December 31, 2022:

 

 

 

 

 

 

 

 

 

 

 

Gross Amounts Not Offset

 

 

 

 

(Dollars in thousands)

 

Gross Amounts Recognized

 

 

Gross Amounts Offset

 

 

Net Amounts Recognized

 

 

Financial Instruments Pledged (Received)

 

 

Cash Collateral Pledged (Received)(1)

 

 

Net Amount

 

June 30, 2023

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Derivative Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Interest rate contracts (2)

 

$

278

 

 

$

—

 

 

$

278

 

 

$

—

 

 

$

278

 

 

$

—

 

 Customer loan swaps - commercial customer (3)

 

 

48

 

 

 

—

 

 

 

48

 

 

 

—

 

 

 

—

 

 

 

48

 

      Total

 

$

326

 

 

$

—

 

 

$

326

 

 

$

—

 

 

$

278

 

 

$

48

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Derivative Liabilities:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Customer loan swaps - dealer bank (3)

 

$

48

 

 

$

—

 

 

$

48

 

 

$

—

 

 

$

48

 

 

$

—

 

December 31, 2022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Derivative Assets:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 Interest rate contracts (2)

 

$

961

 

 

$

—

 

 

$

961

 

 

$

—

 

 

$

535

 

 

$

426

 

 

(1) The amount presented was the lesser of the amount pledged (received) or the net amount presented in the consolidated balance sheets.

(2) Interest rate swap contracts were completed with the same dealer bank. The Company maintains a master netting arrangement with the counterparty and settles collateral on a net basis for all contracts.

(3) The Company manages its net exposure on its commercial customer loan swaps by obtaining collateral as part of the normal loan policy and underwriting practices. The Company does not post collateral to its commercial customers as part of its contract.