Interest Rate Derivatives (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule Of Cumulative Basis Adjustments for Fair Value Hedges

The following tables show the Company’s outstanding fair value hedges at September 30, 2024 and December 31, 2023:


(In thousands)	Carrying Amount of the Hedged Assets at September 30, 2024		Cumulative Amount of Fair Value Hedging Adjustment Subtracted/(Added) from Carrying Amount of the Hedged Assets at September 30, 2024			Hedge-Adjusted Carrying Amount of the Hedged Assets at December 31, 2023		Cumulative Amount of Fair Value Hedging Adjustment Subtracted from Carrying Amount of the Hedged Assets at December 31, 2023
Line item on the balance sheet in which the hedged item is included:
Available-for-sale securities (1)	$	74,124	$	1,059		$	95,887	$	3,113
Loans receivable (2)	$	137,050	$	(875	)	$	156,836	$	620

(1)

The $73.1 million net carrying amount of hedged assets represents the hedge-adjusted amortized cost basis of specifically-identified municipal and GSE-backed securities designated as the underlying assets for the hedging relationships. The notional amount of the designated hedges were $73.1 million and $89.1 million at September 30, 2024 and December 31, 2023, respectively. The fair value of the derivatives (an unrealized gain, receivable from derivative counterparties) recorded in other assets resulted in a net asset position of $1.1 million and $3.1 million at September 30, 2024 and December 31, 2023, respectively. The Company's participation in fair value hedging transactions increased investment security interest income by $1.8 million and $1.5 million in the nine month periods ended September 30, 2024 and September 30, 2023, respectively.

(2)

The $137.9 million net carrying amount of hedged assets represents the hedge-adjusted amortized cost of a designated pool of residential mortgages and the aggregate hedge-adjusted amortized cost of four specified purchased consumer loan pools. These pools of loans were designated as the underlying assets for the hedging relationships in which the hedged underlying asset's notional amounts were the amortized cost projected to be remaining at the end of the contractual term of the hedging instruments. The amount of the designated hedged items were $131.8 million and $141.0 million at September 30, 2024 and December 31, 2023, respectively. At September 30, 2024, the fair value of the derivatives recorded in other assets (an unrealized loss, payable to derivative counterparties) resulted in a net liability position of $875,000, recorded by the Company as a component of other assets. The Company’s participation in fair value hedging transactions increased interest income by $2.0 million and $1.5 million, for the nine month periods ended September 30, 2024 and September 30, 2023, respectively. Details of the two loan hedging strategies, in place at September 30, 2024 are presented below:

On April 7, 2023 the Bank entered into an amortizing swap transaction with an initial notional amount of $100.0 million whereby the Bank will receive the 3-month SOFR rate monthly, based on the notional amount of the swap contract at the beginning of each month until the swap transaction expires in 2035. The notional amount of the swap declines monthly according to a predetermined amortization schedule and was $81.8 million at September 30, 2024. The Bank will pay a fixed rate of 3.208% to the contract's counterparty throughout the life of the contract based on each month's beginning notional balance. The fair value of this swap contract was $213,000 at September 30, 2024.

On December 7, 2023, the Bank entered into five fixed-pay interest rate swap contracts with a total notional amount of $50.0 million, whereby the Bank will receive the 3-month rate SOFR monthly until the respective maturity dates of the contracts. The contracts expire in annual increments on December 1 of 2025 ($5.0 million, fixed rate of 4.463%), 2026 ($5.0 million, fixed rate of 4.136%), 2027 ($10.0 million, fixed rate of 3.973%), 2028 ($15.0 million, fixed rate of 3.887%), and 2029 ($15.0 million, fixed rate of 3.845%). The fair value of these swap contracts in aggregate was negative $1.1 million (a payable to the swap counterparty) at September 30, 2024.

Schedule Of Cash Flow Hedges

The following table shows the pre-tax gains of the Company’s derivatives designated as cash flow hedges in AOCI at September 30, 2024 and December 31, 2023:


(In thousands)	September 30, 2024		December 31, 2023
Cash flow hedges:
Fair market value adjustment interest rate swap	$	-	$	45
Total gain in comprehensive income	$	-	$	45

Schedule of Hedge transcations increased the net income

The following tables summarize the net effects of the Company's fair value and cash flow hedges for the nine months ended September 30, 2024 and September 30, 2023, respectively:



Fair Value Hedges
(In thousands)	Nine Months Ended September 30, 2024
Hedge Category	Average Notional Balance		Period Ending Notional Balance		Net Cash Received Recorded In Net Income		Fair Value Receivable/(Payable) at Period End
Investments	$	80,779	$	73,061	$	1,771	$	1,059
Loans		135,816		131,769		1,951		(875	)
Total	$	216,595	$	204,830	$	3,722	$	184


	Nine Months Ended September 30, 2023
Hedge Category	Average Notional Balance		Ending Notional Balance		Net Cash Received Recorded In Net Income		Fair Value Receivable/(Payable) at Period End
Investments	$	53,756	$	52,120	$	1,513	$	6,709
Loans		83,701		110,149		1,540		5,807
Total	$	137,457	$	162,269	$	3,053	$	12,516


Cash Flow Hedges
	Nine Months Ended September 30, 2024
Hedge Category	Average Notional Balance		Ending Notional Balance		Net Cash Received Recorded In Net Income		Fair Value Receivable at Period End
Borrowed Funds	$	15,852	$	-	$	157	$	-


	Nine Months Ended September 30, 2023
Hedge Category	Average Notional Balance		Ending Notional Balance		Net Cash Received Recorded In Net Income		Fair Value Payable at Period End
Borrowed Funds	$	47,778	$	40,000	$	748	$	909