XML 44 R33.htm IDEA: XBRL DOCUMENT v3.22.2.2
Derivatives Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Value Hedge Relationships in Balance Sheet

A summary of the Company’s fair value hedge relationships for the periods presented are as follows (dollars in thousands):

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Weighted

    

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Average

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Balance

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Remaining

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Weighted

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Sheet

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Maturity

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Average

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Receive

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Notional

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Estimated

Asset/Liability derivatives

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Location

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(In Years)

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Pay Rate

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Rate

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Amount

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Fair Value

September 30, 2022:

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Interest rate swap agreements - securities

 

Other assets

 

5.45

 

3.09

%

3 month LIBOR

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$

36,000

 

$

1,752

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December 31, 2021:

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Interest rate swap agreements - securities

 

Other liabilities

 

6.20

 

3.09

%

3 month LIBOR

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$

36,000

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$

(3,567)

Schedule of Fair Value Hedge Relationships on Income Statement

The effects of the Company’s fair value hedge relationships reported in interest income on tax-exempt available-for-sale securities on the consolidated income statement were as follows (in thousands):

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Three Months Ended

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Nine Months Ended

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September 30, 

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September 30, 

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2022

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2021

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2022

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2021

Interest income on tax-exempt securities

 

$

403

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$

549

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$

1,183

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$

1,675

Effects of fair value hedge relationships

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(83)

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(218)

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(527)

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(781)

Reported interest income on tax-exempt securities

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$

320

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$

331

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$

656

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$

894

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Three Months Ended

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Nine Months Ended

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September 30, 

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September 30, 

Gain (loss) on fair value hedging relationship

    

2022

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2021

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2022

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2021

Interest rate swap agreements - securities:

 

 

  

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Hedged items

 

$

1,808

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$

288

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$

5,319

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$

1,994

Derivative designated as hedging instruments

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$

(1,808)

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$

(288)

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$

(5,319)

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$

(1,994)

Carry amount of hedged assets - securities available-for-sale

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$

36,165

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$

43,258

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$

36,165

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$

43,258

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Schedule of Cash Flow Hedges

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At September 30, 2022, cash flow hedges are as follows (in thousands):

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September 30, 2022

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December 31, 2021

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Balance Sheet

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Notional

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Estimated

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Notional

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Estimated

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Location

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Amount

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Fair Value

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Amount

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Fair Value

Cash flow hedges:

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Assets

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Other assets

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$

-

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$

-

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$

-

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$

-

Liabilities

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Other liabilities

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100,000

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(1,775)

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-

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-

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Schedule of interest rate swaps related to loan hedging program

At September 30, 2022 and December 31, 2021, interest rate swaps related to the Company’s loan hedging program that were outstanding are presented in the following table (in thousands):

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September 30, 2022

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December 31, 2021

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Notional

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Estimated

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Notional

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Estimated

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Amount

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Fair Value

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Amount

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Fair Value

Interest rate swap agreements:

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Assets

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$

150,997

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$

10,682

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$

48,125

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$

1,326

Liabilities

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150,997

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(10,682)

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48,125

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(1,326)

Schedule of interest rate swap to facilitate customer's transactions

The Company establishes limits and monitors exposures for customer swap positions.  Any fees received to enter the swap agreements at inception are recognized in earnings when received and is included in noninterest income.  Such fees were as follows (in thousands):

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Three Months Ended

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Nine Months Ended

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September 30, 

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September 30, 

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2022

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2021

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2022

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2021

Interest rate swap agreements

 

$

53

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$

479

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$

1,449

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$

489

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Collateral requirements:

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These derivative rate contracts have collateral requirements, both at inception of the trade and as the value of each derivative position changes.  At September 30, 2022 and December 31, 2021, collateral totaling $6.7 million and $2.4 million, respectively, was pledged to the derivative counterparties to comply with collateral requirements.