Derivatives Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2021

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
June 30, 2021:
Interest rate swap agreements - securities	Other liabilities	5.96	3.09	%	3 month LIBOR	$	36,000	$	(4,468)
December 31, 2020:
Interest rate swap agreements - securities	Other liabilities	7.13	3.08	%	3 month LIBOR	$	36,000	$	(6,174)

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				Six Months Ended
	June 30,				June 30,
	2021		2020		2021		2020
Interest income on tax-exempt securities	$	562	$	580	$	1,126	$	1,020
Effects of fair value hedge relationships		(258)		(164)		(563)		(321)
Reported interest income on tax-exempt securities	$	304	$	416	$	563	$	699

	Three Months Ended				Six Months Ended
	June 30,				June 30,
Gain (loss) on fair value hedging relationship	2021		2020		2021		2020
Interest rate swap agreements - securities:
Hedged items	$	(459)	$	(205)	$	1,706	$	(3,644)
Derivative designated as hedging instruments	$	459	$	205	$	(1,706)	$	3,644

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
June 30, 2021:
Securities available-for-sale	$	43,580	$	1,072
December 31, 2020:
Securities available-for-sale	$	44,017	$	(1,063)

Schedule of interest rate swaps related to loan hedging program

At June 30, 2021 and December 31, 2020, interest rate swaps related to the Company’s loan hedging program that were outstanding are presented in the following table (in thousands):

	June 30, 2021				December 31, 2020
		Notional		Estimated		Notional		Estimated
		Amount		Fair Value		Amount		Fair Value
Interest rate swap agreements:
Assets	$	750	$	12	$	-	$	-
Liabilities		750		(12)		-		-
Total	$	1,500	$	-	$	-	$	-

Schedule of interest rate swap to facilitate customer's transactions

The Company establishes limits and monitors exposures for customer swap positions. Any fees received to enter the swap agreements at inception are recognized in earnings when received. Such fees were as follows (in thousands):

	Three Months Ended				Six Months Ended
	June 30,				June 30,
	2021		2020		2021		2020
Interest rate swap agreements	$	10	$	—	$	10	$	—