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DERIVATIVES AND HEDGING ACTIVITIES
 9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES AND HEDGING ACTIVITIES DERIVATIVES AND HEDGING ACTIVITIES
The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements.
The Company had interest rate swaps with notional amounts totaling $274.0 million and $259.0 million at September 30, 2024 and December 31, 2023, respectively. As of September 30, 2024 and December 31, 2023, they were designated as cash flow hedges of certain Federal Home Loan Bank (“FHLB”) advances and brokered deposits. They were determined to be highly effective during all periods presented. The Company expects the hedges to remain highly effective during the remaining terms of the swaps.
Summary information about the interest rate swaps designated as cash flow hedges as of period-end is as follows:
September 30, 2024December 31, 2023
(Dollars in thousands)
Notional amounts$274,000 $259,000 
Weighted average pay rates2.98 %2.91 %
Weighted average receive rates5.14 %5.49 %
Weighted average maturity2.5 years3.2 years
Gross unrealized gain included in other assets$5,978 $9,047 
Gross unrealized loss included in other liabilities1,975 1,465 
Unrealized gains, net$4,003 $7,582 
At September 30, 2024, the Company held $4.2 million as cash collateral pledged from the counterparty for these interest-rate swaps and had no securities or cash pledged to the counterparty. At December 31, 2023, the Company held $8.1 million as cash collateral pledged from the counterparty and had no securities or cash pledged to the counterparty.
Interest income or expense recorded on these swap transactions is reported as a component of interest expense on FHLB advances or brokered deposits. Interest income during the three months ended September 30, 2024 and 2023 totaled $1.6 million and $1.5 million, respectively. Interest income during the nine months ended September 30, 2024 and 2023 totaled $4.9 million and $3.9 million, respectively. At September 30, 2024, the Company expected $1.4 million of the unrealized gain to be reclassified as a reduction to interest expense during the remainder of 2024.
Cash Flow Hedge
The effect of cash flow hedge accounting on accumulated other comprehensive income for the three and nine months ended September 30, 2024 and 2023 is as follows:
Amount of (Loss) Gain Recognized in OCI (Net of Tax) on Derivative (1)
Location of Gain (Loss) Reclassified from OCI into Income/(Expense)
Amount of Gain Reclassified from OCI to
Expense
(In thousands)
Three months ended September 30, 2024
Interest rate contracts$(6,320) Interest Expense $1,620 
Three months ended September 30, 2023
Interest rate contracts$1,900  Interest Expense $1,535 
Nine Months Ended September 30, 2024
Interest rate contracts$(3,579)Interest Expense$4,882 
Nine Months Ended September 30, 2023
Interest rate contracts$3,259 Interest Expense$3,885 
(1) Net of tax, adjusted for deferred tax valuation allowance.