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Derivatives

3 Months Ended

Mar. 31, 2021

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Derivatives

Note 10 – Derivatives

The Company utilizes an interest rate swap, designated as a fair value hedge, to mitigate the risk of changing interest rates on the fair value of a fixed rate commercial real estate loan. For derivative instruments that are designed and qualify as a fair value hedge, the gain or loss on the derivative instrument, as well as the offsetting loss or gain in the hedged asset attributable to the hedged risk, is recognized in current earnings.

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Derivatives Designated as Hedging Instruments

The following table provides the outstanding notional balances and fair values of outstanding derivatives designated as hedging instruments as of March 31, 2021 and December 31, 2020 (in thousands):

		Balance Sheet Location		Weighted Average Remaining Maturity (Years)		Notional Amount				Estimated Value
March 31, 2021
Fair Value Hedges:
Interest rate swap agreements		Other liabilities		8.1 years		$	14,276			$	(1,013	)
December 31, 2020
Fair Value Hedges:
Interest rate swap agreements		Other liabilities		8.3 years		$	14,334			$	(2,892	)

The effects of the fair value hedges on the Company's income statement during the three months ended March 31, 2021 and 2020 were as follows (in thousands):

				Three months ended March 31,
Derivative		Location of Gain (Loss) on Derivatives		2021				2020
Interest rate swap agreements		Interest income on loans		$	(743	)		$	(1,384	)

				Three months ended March 31,
Derivative		Location of Gain (Loss) on Hedged Items		2021				2020
Interest rate swap agreements		Interest income on loans		$	743			$	1,384

As of March 31, 2021, the following amounts were recorded on the consolidated balance sheet related to cumulative basis adjustment for fair value hedges (in thousands):

Line Item in the Balance Sheet in Which the Hedge Item is Included		Carrying Amount of the Hedged Asset				Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Asset
Loans		$	13,525			$	751

Derivatives Not Designated as Hedging Instruments

The following amounts represent the notional amounts and gross fair value of derivative contracts not designated as hedging instruments outstanding during the three months ended March 31, 2021 and 2020  (in thousands):

September 30, 2020		Balance Sheet Location		Weighted Average Remaining Maturity (Years)		Notional Amount				Estimated Value
Interest rate swap agreements		Other assets		6.8		$	42,223			$	262
Interest rate swap agreements		Other liabilities		6.8			42,223				(262	)

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- References

No definition available.

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- 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

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