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Derivatives (Tables)
6 Months Ended
Jun. 30, 2020
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):

    

    

Weighted

    

    

    

    

 

Average

 

Balance

Remaining

Weighted

 

Sheet

Maturity

Average

Receive

Notional

Estimated

Liability derivatives

Location

(In Years)

Pay Rate

Rate

Amount

Fair Value

June 30, 2020:

Interest rate swap agreements - securities

 

Other liabilities

 

7.63

 

3.08

%

3 month LIBOR

$

36,000

 

$

(7,090)

 

December 31, 2019:

Interest rate swap agreements - securities

 

Other liabilities

 

8.20

 

3.09

%

3 month LIBOR

$

36,000

$

(3,446)

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):

Three Months Ended

Six Months Ended

June 30, 

June 30, 

    

2020

2019

2020

2019

Interest income on tax-exempt securities

 

$

580

$

449

$

1,020

$

906

Effects of fair value hedge relationships

 

(164)

 

(38)

 

(321)

 

(70)

Reported interest income on tax-exempt securities

$

416

$

411

$

699

$

836

Three Months Ended

Six Months Ended

June 30, 

June 30, 

Gain (loss) on fair value hedging relationship

    

2020

2019

2020

2019

Interest rate swap agreements - securities:

 

 

  

  

 

  

  

Hedged items

 

$

205

$

1,348

$

3,644

$

2,237

Derivative designated as hedging instruments

$

(205)

$

(1,348)

$

(3,644)

$

(2,237)

Schedule of Fair Value Hedges

The following amounts were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges (in thousands):

    

    

Cumulative Amount of Fair

Value Hedging Adjustment

Carrying Amount

Included in the Carrying Amount

Line item on the balance sheet

    

 of the Hedged Assets

    

of the Hedged Assets

June 30, 2020:

 

 

  

  

Securities available-for-sale

 

$

46,177

$

7,090

December 31, 2019:

 

  

 

  

Securities available-for-sale

$

42,710

$

3,446