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Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amount and Fair Value of Mortgage Banking Derivative Financial Instruments

The notional amount and fair value of Mid Penn’s mortgage banking derivative financial instruments as of September 30, 2022 and December 31, 2021 are presented below.

			September 30, 2022												December 31, 2021
(Dollars in thousands)			Notional Amount						Fair Value						Notional Amount						Fair Value
Interest Rate Lock Commitments			$	6,101					$	(141)					$	16,107					$	56
Forward Commitments			6,145						(195)						20,521						32

Schedule of Mortgage Banking Derivative Financial Instruments Fair Values, and Location in the Consolidated Balance Sheets

The following table presents Mid Penn’s mortgage banking derivative financial instruments, their fair values, and their location in the consolidated balance sheets as of September 30, 2022 and December 31, 2021.

			September 30, 2022												December 31, 2021
(Dollars in thousands)			Asset Derivatives						Liability Derivatives						Asset Derivatives						Liability Derivatives
Interest Rate Lock Commitments			$	3					$	144					$	56					$	—
Forward Commitments			3						198						32						—
Total			$	6					$	342					$	88					$	—

Schedule of Mortgage Banking Derivative Financial Instruments Net, Gains or Losses Recognized Within Other Noninterest Income

The following table presents Mid Penn’s mortgage banking derivative financial instruments and the amount of the net gains or losses recognized within other noninterest income on the consolidated statement of income for the three and nine months ended September 30, 2022 and 2021.

			Three months ended												Nine months ended
(Dollars in thousands)			September 30, 2022						September 30, 2021						September 30, 2022						September 30, 2021
Interest Rate Lock Commitments			$	(224)					$	134					$	(197)					$	134
Forward Commitments			441						(113)						1,518						(113)
Total			$	217					$	21					$	1,321					$	21

Notional Amount, and Collateral Posted Related to Loan-level Interest Rate Swaps

The fair value, notional amount, and collateral posted related to loan-level interest rate swaps are presented below.

(Dollars in thousands)			September 30, 2022						December 31, 2021
Interest Rate Swap Contracts - Commercial Loans:
Fair Value (1)			$	12,825					$	102
Notional Amount			109,610						109,577
Cash Collateral Posted (2)			1,600						1,600

(1)Represents the total of the equal and offsetting fair value assets and liabilities related to the loan level interest rate swaps

(2)Included in cash and due from banks on the consolidated balance sheet

Schedule of Gross Amounts of Commercial Loan Swap Derivatives, Amounts Offset and Carrying Values

The gross amounts of commercial loan swap derivatives, the amounts offset and the carrying values in the consolidated balance sheets, and the collateral pledged to support such agreements are presented below.

(Dollars in thousands)			September 30, 2022						December 31, 2021
Interest Rate Swap Contracts - Commercial Loans:
Gross amounts recognized			$	12,825					$	102
Gross amounts offset			12,825						102
Net Amounts Presented in the Consolidated Balance Sheets			—						—
Gross amounts not offset:
Financial instruments			—						—
Cash collateral			1,600						1,600
Net Amounts			$	1,600					$	1,600

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