Derivatives

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Note 10 – Derivatives

The Company utilizes an interest rate swap, designated as a fair value hedge, to mitigate the risk of changing interest rates on the fair value of a fixed rate commercial real estate loan. For derivative instruments that are designed and qualify as a fair value hedge, the gain or loss on the derivative instrument, as well as the offsetting loss or gain in the hedged asset attributable to the hedged risk, is recognized in current earnings.

Derivatives Designated as Hedging Instruments

The following table provides the outstanding notional balances and fair values of outstanding derivatives designated as hedging instruments as of September 30, 2023 and December 31, 2022 (in thousands):

	Balance Sheet Location	Weighted Average Remaining Maturity (Years)	Notional Amount		Estimated Value
September 30, 2023
Fair value hedges:
Interest rate swap agreements	Other liabilities	5.6	$	13,145	$	(2,932	)
December 31, 2022
Fair value hedges:
Interest rate swap agreements	Other liabilities	6.3	$	13,448	$	(3,100	)

The effects of the fair value hedges on the Company's income statement during the three and nine months ended September 30, 2023 and 2022 were as follows (in thousands):

		Three months ended				Nine months ended
		September 30,				September 30,
Derivative	Location of Gain (Loss) on Derivatives	2023		2022		2023		2022
Interest rate swap agreements	Interest income on loans	$	226	$	595	$	264	$	1,871

		Three months ended						Nine months ended
		September 30,						September 30,
Derivative	Location of Gain (Loss) on Hedged Items	2023			2022			2023			2022
Interest rate swap agreements	Interest income on loans	$	(226	)	$	(595	)	$	(264	)	$	(1,871	)

As of September 30, 2023, the following amounts were recorded on the consolidated balance sheet related to cumulative basis adjustment for fair value hedges (in thousands):

Line Item in the Balance Sheet in Which the Hedge Item is Included	Carrying Amount of the Hedged Asset		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Asset
Loans	$	11,729	$	(1,417	)

Derivatives Not Designated as Hedging Instruments

The following amounts represent the notional amounts and gross fair value of derivative contracts not designated as hedging instruments outstanding during the nine months ended September 30, 2023 (dollars in thousands):

September 30, 2023	Balance Sheet Location	Weighted Average Remaining Maturity (Years)	Notional Amount		Estimated Value
Interest rate swap agreements	Other assets	5.3	$	31,093	$	4,349
Interest rate swap agreements	Other liabilities	5.3		31,093		(4,349	)