Note 13 - Derivative Instruments

6 Months Ended

Jun. 30, 2022

Notes to Financial Statements

Derivative Instruments and Hedging Activities Disclosure [Text Block]

13. Derivative Instruments

The Company is a party to interest rate derivatives that are not designated as hedging instruments. The Company enters into interest rate swaps that allow certain commercial loan customers to effectively convert a variable-rate commercial loan agreement to a fixed-rate commercial loan agreement. These interest rate swaps with customers are simultaneously offset by interest rate swaps that the Company executes with a third-party financial institution, such that the Company minimizes its net interest rate risk exposure resulting from such transactions. The interest rate swap agreements are free-standing derivatives and are 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 the interest rate swaps are structured to offset each other, changes to the underlying benchmark interest rates considered in the valuation of these instruments do not result in an impact to earnings; however there may be fair value adjustments related to credit-quality variations between counterparties, which may impact earnings as required by FASB ASC 820. There was no effect on earnings in any periods presented. The Company had $1 million in investment securities pledged as collateral on its interest rate swaps with a third-party financial institution as of June 30, 2022. There were no interest rate swaps as of December 31, 2021.

			Weighted
	Notional		Average Maturity		Interest Rate	Interest Rate
(dollars in thousands)	Amount		(Years)		Paid	Received	Fair Value
June 30, 2022
Classified in Other assets:
Customer interest rate swaps	$	2,000		15.42	30 Day SOFR + Margin	Fixed	$	111
Classified in Accrued interest payable and other liabilities:
Third party interest rate swaps	$	2,000		15.42	Fixed	30 Day SOFR + Margin	$	111