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DERIVATIVE FINANCIAL INSTRUMENTS | 9 Months Ended
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Sep. 30, 2022
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 at the time of termination, as the risk exposure declined to acceptable levels. In the first quarter of 2022, the Company also terminated interest rate swaps that were originally designed to receive payments at a floating rate in exchange for paying a fixed rate, the objective of which was to reduce the overall cost of short-term 3-month FHLB advances that were renewed consistent with the reset terms on the interest rate swaps. The swaps were cancelled at a net gain of $685, which is included in other non-interest income in the Consolidated Statement of Earnings. The interest rate swaps, with notional amounts totaling $40,000 as of December 31, 2021, were designated as cash flow hedges of the FHLB advances. As of December 31, 2021, the aggregate fair value of these swaps was recorded in accrued interest and other liabilities within the Company’s Consolidated Balance Sheet, 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:
December 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Notional Amount |  |  | Pay Rate |  |  | Receive Rate |  | Effective Date |  | Maturity in Years |  |  | Unrealized (Gains) Losses |
$ | 15,000 |  |  |  | 0.668 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 1.22 |  |  |  | 8 |
| 15,000 |  |  |  | 0.790 | % |  | 3 month LIBOR |  | 3/18/2020 |  |  | 3.22 |  |  |  | (184 | )
| 10,000 |  |  |  | 0.530 | % |  | 3 month LIBOR |  | 3/23/2020 |  |  | 1.23 |  |  |  | (12 | )
Interest expense recorded on these swap transactions totaled $188 and $483 during the nine months ended September 30, 2022 and 2021, respectively. This expense is reported as a component of interest expense on the debentures and the FHLB advances and federal funds purchased.

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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 https://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 https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008 + Details
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