Loan-Level Interest Rate Swaps

6 Months Ended

Jun. 30, 2021

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, creditworthy commercial loan customers to provide a loan pricing structure that meets both Mid Penn’s and the customer’s interest rate risk management needs. Mid Penn simultaneously enters into parallel interest rate swaps with a dealer counterparty, 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, 2021		December 31, 2020
Interest Rate Swap Contracts - Commercial Loans:
Fair Value (a)	$	560	$	489
Notional Amount		77,754		22,331
Cash Collateral Posted (b)		500		500

(a)

Represents the total of the equal and offsetting fair value assets and liabilities related to the loan level interest rate swaps

(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, 2021		December 31, 2020
Interest Rate Swap Contracts - Commercial Loans:
Gross amounts recognized	$	560	$	489
Gross amounts offset		560		489
Net Amounts Presented in the Consolidated Balance Sheets		—		—
Gross amounts not offset:
Financial instruments		—		—
Cash collateral		500		500
Net Amounts	$	500	$	500