The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements.

Interest Rate Swaps Designated as Cash Flow Hedges: Interest rate swaps with a notional amount of $270.0 million and $245.0 million as of September 30, 2020 and December 31, 2019, respectively, were designated as cash flow hedges of certain interest-bearing deposits and FHLB advances. On a quarterly basis, the Company performs a qualitative hedge effectiveness assessment. This assessment takes into consideration any adverse developments related to the counterparty’s risk of default and any negative events or circumstances that affect the factors that originally enabled the Company to assess that it could reasonably support, qualitatively, an expectation that the hedging relationship was and will continue to be highly effective. As of September 30, 2020, there were no events or market conditions that would result in hedge ineffectiveness. The aggregate fair value of the swaps is recorded in other assets/liabilities with changes in fair value recorded in other comprehensive income. The amount included in

accumulated other comprehensive income would be reclassified to current earnings should the hedges no longer be considered effective. The Company expects the hedges to remain fully effective during the remaining terms of the swaps.

The following table presents information about the interest rate swaps designated as cash flow hedges as of September 30, 2020 and December 31, 2019:

(Dollars in thousands)	September 30, 2020			December 31, 2019
Notional amount	$	270,000		$	245,000
Weighted average pay rate		1.93	%		2.05	%
Weighted average receive rate		0.22	%		1.83	%
Weighted average maturity	2.27 years			2.45 years
Unrealized gain, net	$	(11,001	)	$	(3,667	)

Number of contracts		13			12

Net interest expense recorded on these swap transactions totaled $1.1 million and $2.4 million for the three and nine months ended September 30, 2020, respectively. Net interest income recorded on these swap transactions totaled $289,000 and $915,000 for the three and nine months ended September 30, 2019, respectively.

The following table presents the net gain/(loss) recorded in accumulated other comprehensive income/(loss) and the consolidated financial statements relating to the cash flow derivative instruments for the three and nine months ended September 30, 2020 and 2019:

	For the Three Months Ended September 30,						For the Nine Months Ended September 30,
(In thousands)	2020			2019			2020			2019
Interest rate contracts
Gain/(loss) recognized in OCI (effective portion)	$	1,026		$	(808	)	$	(5,404	)	$	(3,971	)
Gain/(loss) reclassified from OCI to interest expense		(4	)		56			(63	)		99
Gain/(loss) recognized in other non-interest expense (ineffective portion)		—			—			—			—

During the first quarter of 2020, the Company recognized an unrealized after-tax gain of $26,000 in accumulated other comprehensive income/(loss) related to the termination of three interest rate swaps designated as cash flow hedges. During the second quarter of 2019, the Company recognized an unrealized after-tax gain of $189,000 in accumulated other comprehensive income/(loss) related to the termination of four interest rate swaps designated as cash flow hedges. These gains are being amortized into earnings over the remaining life of the terminated swaps. The Company recognized pre-tax interest income of $5,000 and $85,000 for the three and nine months ended September 30, 2020, respectively, and $81,000 and $142,000 for the three and nine months ended September 30, 2019, respectively, related to the amortization of the gain on the terminated interest rate swaps designated as cash flow hedges.

	September 30, 2020
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits and FHLB advances	$	270,000	$	(11,001	)
Total included in other assets		—		—
Total included in other liabilities		270,000		(11,001	)

	December 31, 2019
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits	$	245,000	$	(3,667	)
Total included in other assets		70,000		121
Total included in other liabilities		175,000		(3,788	)

Derivatives Not Designated as Accounting Hedges: The Company offers facility specific / loan level swaps to its customers and offsets its exposure from such contracts by entering into mirror image swaps with a financial institution / swap counterparty (loan level / back to back swap program). The customer accommodations and any offsetting swaps are treated as non-hedging derivative instruments which do not qualify for hedge accounting (“standalone derivatives”). The notional amount of the swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual contracts. The fair value of the swaps is recorded as both an asset and a liability, in other assets and other liabilities, respectively, in equal amounts for these transactions.

(Dollars in thousands)	September 30, 2020			December 31, 2019
Notional amount	$	853,532		$	793,875
Fair value	$	92,238		$	32,381
Weighted average pay rates		4.02	%		4.12	%
Weighted average receive rates		1.92	%		3.54	%
Weighted average maturity	6.7 years			7.3 years

Number of contracts		98			91