XML 33 R21.htm IDEA: XBRL DOCUMENT
v3.21.2

DERIVATIVE INSTRUMENTS | 6 Months Ended
--- | ---
Jun. 30, 2021
DERIVATIVE INSTRUMENTS |
DERIVATIVE INSTRUMENTS | NOTE L: DERIVATIVE INSTRUMENTS The Company is party to derivative financial instruments in the normal course of its business to meet the financing needs of its customers and to manage its own exposure to fluctuations in interest rates. These financial instruments have been limited to interest rate swap agreements, commitments to originate real estate loans held for sale and forward sales commitments. The Company does not hold or issue derivative financial instruments for trading or other speculative purposes. The Company enters into forward sales commitments for the future delivery of residential mortgage loans, and interest rate lock commitments to fund loans at a specified interest rate. The forward sales commitments are utilized to reduce interest rate risk associated with interest rate lock commitments and loans held for sale. Changes in the estimated fair value of the forward sales commitments and interest rate lock commitments subsequent to inception are based on changes in the fair value of the underlying loan resulting from the fulfillment of the commitment and changes in the probability that the loan will fund within the terms of the commitment, which is affected primarily by changes in interest rates and the passage of time. At inception and during the life of the interest rate lock commitment, the Company includes the expected net future cash flows related to the associated servicing of the loan as part of the fair value measurement of the interest rate lock commitments. These derivatives are recorded at fair value, which were immaterial at June 30, 2021 and December 31, 2020. The effect of the changes to these derivatives for the three and six months then ended was also immaterial. The Company acquired interest rate swaps in 2017 with notional amounts with certain commercial customers which totaled $0.7 million at June 30, 2021 and $14.4 million at December 31, 2020. In order to minimize the Company’s risk, these customer derivatives (pay floating/receive fixed swaps) have been offset with essentially matching interest rate swaps (pay fixed/receive floating swaps) with the Company’s counterparty totaling $0.7 million at June 30, 2021 and $14.4 million at December 31, 2020. At June 30, 2021, the weighted average receive rate of these interest rate swaps was 2.34%, the weighted average pay rate was 3.54% and the weighted average maturity was 1.8 years. At December 31, 2020, the weighted average receive rate of these interest rate swaps was 2.10%, the weighted average pay rate was 4.44% and the weighted average maturity was 5.2 years. Hedge accounting has not been applied for these derivatives. Since the terms of the swaps with the Company’s customer and the other financial institution offset each other, with the only difference being counterparty credit risk, changes in the fair value of the underlying derivative contracts are not materially different and do not significantly impact the Company’s results of operations. The Company also acquired interest rate swaps in 2017 with notional amounts totaling $5.4 million at June 30, 2021, and $5.7 million at December 31, 2020, that were designated as fair value hedges of certain fixed rate loans with municipalities which are recorded in loans in the consolidated statements of financial condition. At June 30, 2021, the weighted average receive rate of these interest rate swaps was 1.38%, the weighted average pay rate was 3.11% and the weighted average maturity was 12.0 years. At December 31, 2020, the weighted average receive rate of these interest rate swaps was 1.42%, the weighted average pay rate was 3.11% and the weighted average maturity was 12.5 years. The Company includes the gain or loss on the hedged items in interest and fees on loans, the same line item as the offsetting gain or loss on the related interest rate swaps. The effects of fair value accounting in the consolidated statements of income for the three and six months ended June 30, 2021 are immaterial. As of June 30, 2021 and December 31, 2020, the following amounts were recorded in the consolidated statement of condition related to cumulative basis adjustments for fair value hedges: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
(000’s omitted) | ​ | ​ | ​ | ​ | ​ | ​ | ​ | Cumulative Amount of Fair Value
​ | ​ | Carrying Amount of the Hedged | ​ | Hedging Adjustment Included in the
Line Item in the Consolidated | ​ | Assets | ​ | Carrying Amount of the Hedged Assets
Statement of Condition in Which | ​ | June 30, | ​ | December 31, | ​ | June 30, | ​ | December 31,
the Hedged Item Is Included |  | 2021 |  | 2020 |  | 2021 |  | 2020
Loans |  | $ | 5,809 |  | $ | 5,675 |  | $ | (365) |  | $ | (498)
​ Fair values of derivative instruments as of June 30, 2021 and December 31, 2020 are as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
(000’s omitted) | ​ | June 30, 2021
​ | ​ | Derivative Assets | ​ | Derivative Liabilities
​ | ​ | Consolidated Statement | ​ | Fair | ​ | Consolidated Statement of | ​ | Fair
​ |  | of Condition Location |  | Value |  | Condition Location |  | Value
Derivatives designated as hedging instruments under Subtopic 815-20 |  |  |  | ​ |  |  |  |  | ​ |
Interest rate swaps |  | Other assets | ​ | $ | 365 |  |  |  | ​ |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives not designated as hedging instruments under Subtopic 815-20 |  |  | ​ |  | ​ |  |  |  | ​ |
Interest rate swaps |  | Other assets | ​ |  | 7 |  | Accrued interest and other liabilities | ​ | $ | 7
Commitments to originate real estate loans for sale |  | Other assets | ​ |  | 130 |  |  | ​ |  | ​
Forward sales commitments |  | Other assets | ​ |  | 31 |  |  | ​ |  | ​
Total derivatives |  |  | ​ | $ | 533 |  |  | ​ | $ | 7
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
(000’s omitted) | ​ | December 31, 2020
​ | ​ | Derivative Assets | ​ | Derivative Liabilities
​ | ​ | Consolidated Statement | ​ | Fair | ​ | Consolidated Statement of | ​ | Fair
​ |  | of Condition Location |  | Value |  | Condition Location |  | Value
Derivatives designated as hedging instruments under Subtopic 815-20 |  |  |  | ​ |  |  |  |  | ​ |
Interest rate swaps |  | Other assets | ​ | $ | 498 |  |  |  | ​ |
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Derivatives not designated as hedging instruments under Subtopic 815-20 |  | ​ | ​ |  | ​ |  |  |  | ​ |
Interest rate swaps |  | Other assets | ​ |  | 1,074 |  | Accrued interest and other liabilities | ​ | $ | 1,074
Commitments to originate real estate loans for sale | ​ | Other assets | ​ | ​ | 14 | ​ | ​ | ​ | ​ | ​
Forward sales commitments | ​ | Other assets | ​ | ​ | 2 | ​ | ​ | ​ | ​ | ​
Total derivatives |  | ​ | ​ | $ | 1,588 |  |  | ​ | $ | 1,074
​ The Company assessed its counterparty risk at June 30, 2021 and December 31, 2020 and determined any credit risk inherent in our derivative contracts was not material. Further information about the fair value of derivative financial instruments can be found in Note K to these consolidated financial statements.

X
- References No definition available. + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration

X
- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
Name: | us-gaap_DerivativeInstrumentsAndHedgingActivitiesDisclosureTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration