The Company enters into interest rate swap agreements (‘‘swap agreements’’) to facilitate the risk management strategies needed in order to accommodate the needs of its banking customers. The Company mitigates the interest rate risk entering into these swap 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 December 31, 2020 and 2019.

	December 31, 2020
	Notional Amount		Fair Value
(Dollars in thousands)
Interest rate swap agreement
Receive fixed/pay variable swaps	$	2,100	$	339
Pay fixed/receive variable swaps		2,100		(339	)

	December 31, 2019
	Notional Amount		Fair Value
(Dollars in thousands)
Interest rate swap agreement
Receive fixed/pay variable swaps	$	2,145	$	185
Pay fixed/receive variable swaps		2,145		(185	)

The Company entered into various cash flow hedges as defined by ASC 815-20 during 2020 and 2019. The objective of this interest rate swap was to hedge against 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 layer has a variable receive leg of three-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 three-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 has the intent and ability to fund the three-month rate advances during the term of these cash flow hedges. The Company had cash collateral with the counterparties of $6.0 million and $880 thousand within other assets on the consolidated balance sheet at December 31, 2020 and 2019, respectively.

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 after 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. At December 31, 2020, the Bank had entered into $97.1 million of rate lock commitments with borrowers, net of expected fallout, and $154.3 million of closed loans inventory waiting for sale, which were hedged by $225 million in forward to-be-announced mortgage-backed securities sales. A mortgage derivative asset of $5.3 million and $591 thousand are included on the consolidated balance sheets at December 31, 2020 and 2019, respectively, and a mortgage derivative liability of $1.6 million and $2 thousand are included on the consolidated balance sheets at December 31, 2020 and 2019, respectively.