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Derivatives Financial Instruments | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives Financial Instruments | Note 11.Derivatives Financial Instruments Derivatives designated as fair value hedges: Financial derivatives are reported at fair value in other assets or other liabilities. The accounting for changes in the fair value of a derivative depends on whether it has been designated and qualifies as part of a hedging relationship. For derivative instruments that are designated and qualify as a fair value hedge, the gain or loss on the derivative net investment hedge instrument, as well as the offsetting gain or loss on the hedged asset or liability attributable to the hedged risk, are recognized in current earnings. The gain or loss on the derivative instrument is presented on the same income statement line item as the earnings effect of the hedged item. The Company utilizes interest rate swaps designated as fair value hedges to mitigate the effect of changing interest rates on the fair values of fixed rate tax-exempt callable securities available-for-sale. The hedging strategy on securities converts the fixed interest rates to LIBOR-based variable interest rates. These derivatives are designated as partial term hedges of selected cash flows covering specified periods of time prior to the call dates of the hedged securities. The Company has elected early adoption of ASU 2017-12, Derivatives and Hedging (Topic 815) - Targeted Improvements to Accounting for Hedging Activities, which allows such partial term hedge designations. 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
September 30, 2021: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap agreements - securities |  | Other liabilities |  | 5.74 |  | 3.09 | % | 3 month LIBOR | ​ | $ | 36,000 |  | $ | (4,180)
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ |  | ​
December 31, 2020: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swap agreements - securities |  | Other liabilities |  | 7.13 |  | 3.08 | % | 3 month LIBOR | ​ | $ | 36,000 | ​ | $ | (6,174)
​ ​ 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 | ​ | Nine Months Ended
​ | ​ | September 30, | ​ | September 30,
​ |  | 2021 | ​ | 2020 | ​ | 2021 | ​ | 2020
Interest income on tax-exempt securities |  | $ | 549 | ​ | $ | 565 | ​ | $ | 1,675 | ​ | $ | 1,586
Effects of fair value hedge relationships | ​ |  | (218) | ​ |  | (201) | ​ |  | (781) | ​ |  | (522)
Reported interest income on tax-exempt securities | ​ | $ | 331 | ​ | $ | 364 | ​ | $ | 894 | ​ | $ | 1,064
​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Three Months Ended | ​ | Nine Months Ended
​ | ​ | September 30, | ​ | September 30,
Gain (loss) on fair value hedging relationship |  | 2021 | ​ | 2020 | ​ | 2021 | ​ | 2020
Interest rate swap agreements - securities: |  |  |  | ​ | ​ |  | ​ |  |  | ​ | ​ |
Hedged items |  | $ | 288 | ​ | $ | 299 | ​ | $ | 1,994 | ​ | $ | (3,345)
Derivative designated as hedging instruments | ​ | $ | (288) | ​ | $ | (299) | ​ | $ | (1,994) | ​ | $ | 3,345
​ 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 Other Comprehensive
Line item on the balance sheet |  | of the Hedged Assets |  | Income
September 30, 2021: |  |  |  | ​ | ​ |
Securities available-for-sale |  | $ | 43,258 | ​ | $ | 448
December 31, 2020: | ​ |  |  | ​ |  |
Securities available-for-sale | ​ | $ | 44,017 | ​ | $ | (1,063)
​ ​ Non-hedged derivatives: ​ During the second quarter of 2021, the Company initiated a loan hedging program to certain loan customers. Through this program, the Company originates a variable rate loan with the customer. The Company and the customer will then enter into a fixed interest rate swap. Lastly, an identical offsetting swap is entered into by the Company with a dealer bank. These “back-to-back” swap arrangements are intended to offset each other and allow the Company to book a variable rate loan, while providing the customer with a contract for fixed interest payments. In these arrangements, the Company’s net cash flow is equal to the interest income received from the variable rate loan originated with the customer. These customer swaps are not designated as hedging instruments and are recorded at fair value in other assets and other liabilities. Since the income statement impact of the offsetting positions is limited, any changes in fair value is recognized as other noninterest income in the current period. ​ At September 30, 2021 and December 31, 2020, interest rate swaps related to the Company’s loan hedging program that were outstanding are presented in the following table (in thousands): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | September 30, 2021 | ​ | December 31, 2020
​ | ​ | ​ | Notional | ​ | ​ | Estimated | ​ | ​ | Notional | ​ | ​ | Estimated
​ | ​ | ​ | Amount | ​ | ​ | Fair Value | ​ | ​ | Amount | ​ | ​ | Fair Value
Interest rate swap agreements: | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Assets | ​ | $ | 14,718 | ​ | $ | 250 | ​ | $ | - | ​ | $ | -
Liabilities | ​ | ​ | 14,718 | ​ | ​ | (250) | ​ | ​ | - | ​ | ​ | -
Total | ​ | $ | 29,436 | ​ | $ | - | ​ | $ | - | ​ | $ | -
​ 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): ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | Three Months Ended | ​ | Nine Months Ended
​ | ​ | September 30, | ​ | September 30,
​ |  | 2021 | ​ | 2020 | ​ | 2021 | ​ | 2020
Interest rate swap agreements |  | $ | 479 | ​ | $ | — | ​ | $ | 489 | ​ | $ | —
​

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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 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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