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Interest Rate Derivatives - Cumulative Basis Adjustments for Fair Value Hedges (Details) - Interest Rate Derivatives [Member] - USD ($)
$ in Thousands
Sep. 30, 2024
Dec. 31, 2023
Available for Sale Securities [Member]    
Derivative [Line Items]    
Average Notional Balance [1] $ 74,124 $ 95,887
Cumulative Amount of Fair Value Hedging Adjustment Included in The Carrying Amount of the Hedged Assets [1] 1,059 3,113
Loans Receivable [Member]    
Derivative [Line Items]    
Average Notional Balance [2] 137,050 156,836
Cumulative Amount of Fair Value Hedging Adjustment Included in The Carrying Amount of the Hedged Assets [2] $ (875) $ 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: