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Derivative Financial Instruments and Hedging Activities | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Hedging Activities | Note 7 - Derivative Financial Instruments and Hedging Activities 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 September 30, 2020.
| September 30, 2020 |
| Notional Amount |  |  | Fair Value |
(in thousands) |  |  |  |  |  |  |
Interest Rate Swap Agreements |  |  |  |  |  |  |
Receive Fixed/Pay Variable Swaps | $ | 2,111 |  |  | $ | 379 |
Pay Fixed/Receive Variable Swaps |  | 2,111 |  |  |  | (379 | )
Note 7 - Derivative Financial Instruments and Hedging Activities, continued 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 $6.0 million as of September 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.

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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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