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Note 17 - Derivative Financial Instruments | 12 Months Ended
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Dec. 31, 2019
Notes to Financial Statements |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Note 17 – Derivative Financial Instruments The Bancorp has certain interest rate derivative positions that are not designated as hedging instruments. Derivative assets and liabilities are recorded at fair value on the Consolidated Balance Sheet and do not take into account the effects of master netting agreements. Master netting agreements allow the Bancorp to settle all derivative contracts held with a single counterparty on a net basis, and to offset net derivative positions with related collateral, where applicable. These derivative positions relate to transactions in which the Bancorp enters into an interest rate swap with a client while at the same time entering into an offsetting interest rate swap with another financial institution. In connection with each transaction, the Bancorp agrees to pay interest to the client on a notional amount at a variable interest rate and receive interest from the client on the same notional amount at a fixed interest rate. At the same time, the Bancorp agrees to pay another financial institution the same fixed interest rate on the same notional amount and receive the same variable interest rate on the same notional amount. The transaction allows the client to effectively convert a variable rate loan to a fixed rate. Because the terms of the swaps with the customers and the other financial institutions offset each other, with the only difference being counterparty credit risk, changes in the fair value of the underlying derivative contracts are not materially different and do not significantly impact the Bancorp’s results of operations. As described in Note 16, the Bancorp grants mortgage loan commitments to borrowers, subject to normal loan underwriting standards. Loan commitments generally have fixed expiration dates or other termination clauses and may require payment of a fee. Since many of the commitments are expected to expire without being drawn upon, the total commitment amounts do not necessarily represent future cash requirements. The following table shows the amounts of non-hedging derivative financial instruments:
December 31, 2019 |  |  |  |  |
|  | Notational or |  | Asset derivatives |  |  | Liability derivatives |
(Dollars in thousands) |  | contractual amount |  | Statement of Financial Condition classification |  | Fair value |  |  | Statement of Financial Condition classification |  |  | Fair value |
Interest rate swap contracts |  | $ | 29,466 |  | Other assets |  | $ | 1,358 |  |  | Other liabilties |  |  | $ | 1,358 |
Loan commitments |  |  | 12,822 |  | Other assets |  |  | 186 |  |  | N/A |  |  |  | - |
Total |  | $ | 42,288 |  |  |  | $ | 1,544 |  |  |  |  |  |  | $ | 1,358 |
December 31, 2018 |  |  |  |  |
|  | Notational or |  | Asset derivatives |  |  | Liability derivatives |
(Dollars in thousands) |  | contractual amount |  | Statement of Financial Condition classification |  | Fair value |  |  | Statement of Financial Condition classification |  |  | Fair value |
Interest rate swap contracts |  | $ | 8,649 |  | Other assets |  | $ | 196 |  |  | Other liabilities |  |  | $ | 196 |
Loan commitments |  |  | 5,348 |  | Other assets |  |  | - |  |  | N/A |  |  |  | - |
Total |  | $ | 13,997 |  |  |  | $ | 196 |  |  |  |  |  |  | $ | 196 |
The following table shows the amounts included in the Statements of Income for non-hedging derivative financial instruments:
|  |  | Year-ended |
(Dollars in thousands) | Statement of Income Classification |  | 2019 |  |  | 2018 |
Interest rate swap contracts | Other income |  | $ | 371 |  |  | $ | 110 |
Loan commitments | Other income |  |  | 186 |  |  |  | - |
Total |  | $ | 557 |  |  | $ | 110 |
The following table shows the offsetting of financial assets and derivative assets:
|  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Amounts not Offset in the |  |  |  |  |
|  |  |  |  | Gross Amounts |  |  | Net Amounts of Assets |  |  | Statement of Financial Condition |  |  |  |  |
(Dollars in thousands) |  | Gross Amounts of Recognized Assets |  |  | Offset in the Statement of Financial Condition |  |  | Presented in the Statement of Financial Condition |  |  | Financial Instruments |  |  | Cash Collateral Received |  |  | Net Amount |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap contracts |  | $ | 1,358 |  |  | $ | - |  |  | $ | 1,358 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,358 |
Loan commitments |  |  | 186 |  |  |  | - |  |  |  | 186 |  |  |  | - |  |  |  | - |  |  |  | 186 |
Total |  | $ | 1,544 |  |  | $ | - |  |  | $ | 1,544 |  |  | $ | - |  |  | $ | - |  |  | $ | 1,544 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Amounts not Offset in the |  |  |  |  |
|  |  |  |  | Gross Amounts |  |  | Net Amounts of Liabilities |  |  | Statement of Financial Condition |  |  |  |  |
(Dollars in thousands) |  | Gross Amounts of Recognized Liabilities |  |  | Offset in the Statement of Financial Condition |  |  | Presented in the Statement of Financial Condition |  |  | Financial Instruments |  |  | Cash Collateral Received |  |  | Net Amount |
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap contracts |  | $ | 196 |  |  | $ | - |  |  | $ | 196 |  |  | $ | - |  |  | $ | - |  |  | $ | 196 |
Loan commitments |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |  |  |  | - |
Total |  | $ | 196 |  |  | $ | - |  |  | $ | 196 |  |  | $ | - |  |  | $ | - |  |  | $ | 196 |
The following table shows the offsetting of financial liabilities and derivative liabilities:
|  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Amounts not Offset in the |  |  |  |  |
|  |  |  |  | Gross Amounts |  |  | Net Amounts of Liabilities |  |  | Statement of Financial Condition |  |  |  |  |
(Dollars in thousands) |  | Gross Amounts of Recognized Liabilities |  |  | Offset in the Statement of Financial Condition |  |  | Presented in the Statement of Financial Condition |  |  | Financial Instruments |  |  | Cash Collateral Pledged |  |  | Net Amount |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap contracts |  | $ | 1,358 |  |  | $ | - |  |  | $ | 1,358 |  |  | $ | - |  |  | $ | 2,290 |  |  | $ | (932 | )
Total |  | $ | 1,358 |  |  | $ | - |  |  | $ | 1,358 |  |  | $ | - |  |  | $ | 2,290 |  |  | $ | (932 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  | Gross Amounts not Offset in the |  |  |  |  |
|  |  |  |  | Gross Amounts |  |  | Net Amounts of Liabilities |  |  | Statement of Financial Condition |  |  |  |  |
(Dollars in thousands) |  | Gross Amounts of Recognized Liabilities |  |  | Offset in the Statement of Financial Condition |  |  | Presented in the Statement of Financial Condition |  |  | Financial Instruments |  |  | Cash Collateral Pledged |  |  | Net Amount |
December 31, 2018 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap contracts |  | $ | 196 |  |  | $ | - |  |  | $ | 196 |  |  | $ | - |  |  | $ | - |  |  | $ | 196 |
Total |  | $ | 196 |  |  | $ | - |  |  | $ | 196 |  |  | $ | - |  |  | $ | - |  |  | $ | 196 |

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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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- References No definition available. + Details
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