Derivatives Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

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
Asset/Liability derivatives	Location	(In Years)	Pay Rate		Rate	Amount		Fair Value
September 30, 2022:
Interest rate swap agreements - securities	Other assets	5.45	3.09	%	3 month LIBOR	$	36,000	$	1,752
December 31, 2021:
Interest rate swap agreements - securities	Other liabilities	6.20	3.09	%	3 month LIBOR	$	36,000	$	(3,567)

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,
	2022		2021		2022		2021
Interest income on tax-exempt securities	$	403	$	549	$	1,183	$	1,675
Effects of fair value hedge relationships		(83)		(218)		(527)		(781)
Reported interest income on tax-exempt securities	$	320	$	331	$	656	$	894

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
Gain (loss) on fair value hedging relationship	2022		2021		2022		2021
Interest rate swap agreements - securities:
Hedged items	$	1,808	$	288	$	5,319	$	1,994
Derivative designated as hedging instruments	$	(1,808)	$	(288)	$	(5,319)	$	(1,994)
Carry amount of hedged assets - securities available-for-sale	$	36,165	$	43,258	$	36,165	$	43,258

Schedule of Cash Flow Hedges

At September 30, 2022, cash flow hedges are as follows (in thousands):

		September 30, 2022				December 31, 2021
	Balance Sheet	Notional		Estimated		Notional		Estimated
	Location	Amount		Fair Value		Amount		Fair Value
Cash flow hedges:
Assets	Other assets	$	-	$	-	$	-	$	-
Liabilities	Other liabilities		100,000		(1,775)		-		-

Schedule of interest rate swaps related to loan hedging program

At September 30, 2022 and December 31, 2021, interest rate swaps related to the Company’s loan hedging program that were outstanding are presented in the following table (in thousands):

	September 30, 2022				December 31, 2021
		Notional		Estimated		Notional		Estimated
		Amount		Fair Value		Amount		Fair Value
Interest rate swap agreements:
Assets	$	150,997	$	10,682	$	48,125	$	1,326
Liabilities		150,997		(10,682)		48,125		(1,326)

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 and is included in noninterest income.  Such fees were as follows (in thousands):

	Three Months Ended				Nine Months Ended
	September 30,				September 30,
	2022		2021		2022		2021
Interest rate swap agreements	$	53	$	479	$	1,449	$	489

Collateral requirements:

These derivative rate contracts have collateral requirements, both at inception of the trade and as the value of each derivative position changes.  At September 30, 2022 and December 31, 2021, collateral totaling $6.7 million and $2.4 million, respectively, was pledged to the derivative counterparties to comply with collateral requirements.