Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value Hedge Relationships in Balance Sheet

A summary of the Company’s fair value hedge relationships for the periods presented are as follows (dollars in thousands):

		Weighted
		Average
	Balance	Remaining	Weighted
	Sheet	Maturity	Average		Receive	Notional		Estimated
Liability derivatives	Location	(In Years)	Pay Rate		Rate	Amount		Fair Value
September 30, 2020:
Interest rate swap agreements - securities	Other liabilities	7.38	3.08	%	3 month LIBOR	$	36,000	$	(6,791)
December 31, 2019:
Interest rate swap agreements - securities	Other liabilities	8.20	3.09	%	3 month LIBOR	$	36,000	$	(3,446)

Schedule of Fair Value Hedge Relationships on Income Statement

The effects of the Company’s fair value hedge relationships reported in interest income on tax-exempt available-for-sale securities on the consolidated income statement were as follows (in thousands):

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2020		2019		2020		2019
Interest income on tax-exempt securities	$	565	$	400	$	1,586	$	1,305
Effects of fair value hedge relationships		(201)		(62)		(522)		(132)
Reported interest income on tax-exempt securities	$	364	$	338	$	1,064	$	1,173

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Gain (loss) on fair value hedging relationship	2020		2019		2020		2019
Interest rate swap agreements - securities:
Hedged items	$	299	$	(1,045)	$	(3,345)	$	(3,282)
Derivative designated as hedging instruments	$	(299)	$	1,045	$	3,345	$	3,282

Schedule of Fair Value Hedges

The following amounts were recorded on the balance sheet related to cumulative basis adjustments for fair value hedges (in thousands):

			Cumulative Amount of Fair
			Value Hedging Adjustment
	Carrying Amount		Included in Other Comprehensive
Line item on the balance sheet	of the Hedged Assets		Income
September 30, 2020:
Securities available-for-sale	$	43,643	$	(2,145)
December 31, 2019:
Securities available-for-sale	$	42,710	$	3,446