During the first quarter of 2019, the Company entered into an interest rate swap agreement (‘‘swap agreement’’) to facilitate the risk management strategies needed in order to accommodate the needs of its banking customers. The Company mitigates the risk of entering into these loan agreements by entering into equal and offsetting swap agreements with a highly rated third-party financial institution. This back-to-back swap agreement is a free-standing derivative and is recorded at fair value in the Company’s consolidated balance sheets (asset positions are included in other assets and liability positions are included in other liabilities) as of June 30, 2020.

The Company has entered into various cash flow hedges as defined by ASC 815-20 during 2019 and 2020. The objective of this interest rate swap was to hedge the risk of variability in its cash flows attributable to changes in the 3-month LIBOR benchmark rate component of forecasted 3-month fixed rate funding advances from the FHLB. The hedging objective was to reduce the interest rate risk associated with the Company’s fixed rate advances from the designation date and going through the maturity date. The identified hedge layers are summarized as follows, (in thousands):

3-Month LIBOR		Cash & Securities		Period Hedged
Hedged Notional		Exposure Hedged		From	To
$	15,000	$	15,000	July 1, 2019	July 1, 2022
	25,000		25,000	August 2, 2019	February 2, 2023
	10,000		10,000	August 29, 2019	August 29, 2023

Each hedge layer identified in the table above has a variable receive leg of 3-month LIBOR and a fixed pay leg of 1.80%.

At the time the hedges identified in the table above expire, new hedges will begin summarized as follows (in thousands):

3-Month LIBOR		Cash & Securities		Period Hedged
Hedged Notional		Exposure Hedged		From	To
$	15,000	$	15,000	July 1, 2022	July 1, 2032
	25,000		25,000	February 2, 2023	February 2, 2033
	10,000		10,000	August 29, 2023	August 29, 2033

Each hedge layer identified in the table above has a variable receive leg of 3-month LIBOR and a fixed pay leg ranging from 0.92% to 0.95%.

Beginning in 2020, the Company entered into three additional hedges summarized as follows (in thousands):

3-Month LIBOR		Cash & Securities		Period Hedged
Hedged Notional		Exposure Hedged		From	To
$	20,000	$	20,000	March 13, 2020	March 13, 2030
	35,000		35,000	May 6, 2020	May 6, 2027
	10,000		10,000	May 29, 2020	May 29, 2027

Each hedge layer identified in the table above has a variable receive leg of 3-month LIBOR and a fixed pay leg ranging from 0.83% to 0.86%.

The Company had cash collateral with the counterparty of these hedges of $5.0 million as of June 30, 2020.

The Bank also participates in a “mandatory” delivery program for its government guaranteed and conventional mortgage loans held for sale. Under the mandatory delivery system, loans with interest rate locks are paired with the sale of a to be announced mortgage-backed security bearing similar attributes. Under the mandatory delivery program, the Bank commits to deliver loans to an investor at an agreed upon price prior to the close of such loans. This differs from a “best efforts” delivery, which sets the sale price with the investor on a loan-by-loan basis when each loan is locked.