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DERIVATIVE FINANCIAL INSTRUMENTS | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
DERIVATIVE FINANCIAL INSTRUMENTS | NOTE 10 - DERIVATIVE FINANCIAL INSTRUMENTS The Company utilizes certain derivative financial instruments. Stand-alone derivative financial instruments such as interest rate swaps, are used to economically hedge interest rate risk related to the Company’s liabilities. These derivative instruments involve both credit and market risk. The notional amounts are amounts on which calculations, payments, and the value of the derivative are based. Notional amounts do not represent direct credit exposures. Direct credit exposure is limited to the net difference between the calculated amounts to be received and paid, if any. Such difference, which represents the fair value of the derivative instruments, is reflected on the Company’s consolidated balance sheets in other liabilities. The Company is exposed to credit related losses in the event of nonperformance by the counterparties to those agreements. The Company controls the credit risk of its financial contracts through credit approvals, limits and monitoring procedures, and does not expect any counterparties to fail to perform their respective obligations. The Company entered into interest rate swaps to receive payments at a fixed rate in exchange for paying a floating rate on the debentures discussed in Note 5. Management believed that entering into the interest rate swaps exposed the Company to variability in their fair value due to changes in the level of interest rates. It was the Company’s objective to hedge the change in fair value of floating rate debentures at coverage levels that were appropriate, given anticipated or existing interest rate levels and other market considerations, as well as the relationship of change in the liability to other liabilities of the Company. During the quarter ended September 30, 2021, Guaranty terminated these interest rate swaps with notional amounts totaling $5,000 as of December 31, 2020, as the risk exposure declined to acceptable levels. The swaps were cancelled at an expense of $466, which is included in non-interest expense in the Consolidated Statement of Earnings. The Company also entered into interest rate swaps to receive payments at a floating rate in exchange for paying a fixed rate, the objective of which is to reduce the overall cost of short-term 3-month FHLB advances that will be renewed consistent with the reset terms on the interest rate swap and that are included in the amounts in Note 4. Interest rate swaps with notional amounts totaling $40,000 as of September 30, 2021 and December 31, 2020 were designated as cash flow hedges of the FHLB advances. The aggregate fair value of the swaps is recorded in accrued interest and other liabilities within the Company’s consolidated balance sheets with changes in fair value recorded in other comprehensive income. The information pertaining to outstanding interest rate swap agreements used to hedge floating rate debentures and FHLB advances was as follows as of:
September 30, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Notional Amount |  |  | Pay Rate |  |  | Receive Rate |  | Effective Date |  | Maturity in Years |  |  | Unrealized Losses |
$ | 15,000 |  |  |  | 0.668 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 1.47 |  |  | $ | 93 |
| 15,000 |  |  |  | 0.790 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 3.47 |  |  |  | 17 |
| 10,000 |  |  |  | 0.530 | % |  | 3 month LIBOR |  | 3/23/2020 |  |  | 1.48 |  |  |  | 41 |
December 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Notional Amount |  |  | Pay Rate |  |  | Receive Rate |  | Effective Date |  | Maturity in Years |  |  | Unrealized Losses |
$ | 2,000 |  |  |  | 5.979 | % |  | 3 month LIBOR plus 1.67% |  | 10/1/2016 |  |  | 5.25 |  |  | $ | 408 |
| 3,000 |  |  |  | 7.505 | % |  | 3 month LIBOR plus 3.35% |  | 10/30/2012 |  |  | 1.83 |  |  |  | 221 |
| 15,000 |  |  |  | 0.668 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 2.22 |  |  |  | 159 |
| 15,000 |  |  |  | 0.790 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 4.22 |  |  |  | 288 |
| 10,000 |  |  |  | 0.530 | % |  | 3 month LIBOR |  | 3/23/2020 |  |  | 2.23 |  |  |  | 75 |
Interest expense recorded on these swap transactions totaled $483 and $509 during the nine months ended September 30, 2021 and 2020, respectively. This expense is reported as a component of interest expense on the debentures and the FHLB advances and federal funds purchased. At September 30, 2021, the Company expected none of the unrealized loss to be reclassified as a reduction of interest expense during the remainder of 2021.

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- References No definition available. + Details
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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 + Details
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