Loan-Level Interest Rate Swaps

6 Months Ended

Jun. 30, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

(6)	Loan-Level Interest Rate Swaps

Mid Penn enters into loan-level interest rate swaps with certain qualifying commercial loan customers to meet their interest rate risk management needs. Mid Penn simultaneously enters into interest rate swaps with dealer counterparties, with identical notional amounts and terms. The net result of the offsetting customer and dealer counterparty swap agreements is that the customer pays a fixed rate of interest and Mid Penn receives a floating rate. Mid Penn’s loan-level interest rate swaps are considered derivatives but are not accounted for using hedge accounting.

The fair value, notional amount, and collateral posted related to loan-level interest rate swaps are presented below.


(Dollars in thousands)	June 30, 2020		December 31, 2019
Interest Rate Swap Contracts - Commercial Loans:
Gross Fair Value (a)	$	239	$	—
Notional Amount		8,907		—
Cash Collateral Posted (b)		250		—

(a)

Included in other assets on the Consolidated Balance Sheet

(b)

Included in cash and due from banks on the Consolidated Balance Sheet

The gross amounts of commercial loan swap derivatives, the amounts offset and the carrying values in the Consolidated Balance Sheets, and the collateral pledged to support such agreements are presented below.


(Dollars in thousands)	June 30, 2020		December 31, 2019
Interest Rate Swap Contracts - Commercial Loans:
Gross amounts recognized	$	239	$	—
Gross amounts offset		239		—
Net Amounts Presented in the Consolidated Balance Sheets		—		—
Gross amounts not offset:
Financial instruments		—		—
Cash collateral		250		—
Net Amounts	$	250	$	—