Derivatives

3 Months Ended

Mar. 31, 2022

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Derivatives

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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 March 31, 2022 and December 31, 2021 (in thousands):

	Balance Sheet Location	Weighted Average Remaining Maturity (Years)	Notional Amount		Estimated Value
March 31, 2022
Fair value hedges:
Interest rate swap agreements	Other liabilities	7.1	$	13,839	$	(2,167	)
December 31, 2021
Fair value hedges:
Interest rate swap agreements	Other liabilities	7.3	$	13,900	$	(1,476	)

The effects of the fair value hedges on the Company's income statement during the three months ended March 31, 2022 and 2021 were as follows (in thousands):

		Three months ended March 31,
Derivative	Location of Gain (Loss) on Derivatives	2022			2021
Interest rate swap agreements	Interest income on loans	$	(785	)	$	(743	)

		Three months ended March 31,
Derivative	Location of Gain (Loss) on Hedged Items	2022		2021
Interest rate swap agreements	Interest income on loans	$	785	$	743

As of March 31, 2022, 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	$	13,958	$	(118	)

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 three months ended March 31, 2022 (dollars in thousands):

March 31, 2022	Balance Sheet Location	Weighted Average Remaining Maturity (Years)	Notional Amount		Estimated Value
Interest rate swap agreements	Other assets	5.8	$	40,435	$	2,286
Interest rate swap agreements	Other liabilities	5.8		40,435		(2,286	)

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