DERIVATIVES

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The Company utilizes interest rate swap agreements as part of its asset liability management strategy to increase net interest income and 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 with notional amounts totaling $109,000,000 at September 30, 2021 and December 31, 2020, were designated as cash flow hedges of certain Federal Home Loan Bank advances and were determined to be fully effective during all periods presented. The Company expects the hedges to remain fully effective during the remaining terms of the swaps. The fair value of derivative instruments are presented in other assets and other liabilities.

Summary information about the interest-rate swaps designated as cash flow hedges as of period-end is as follows:


	September 30, 2021			December 31, 2020
	(Dollars in thousands)
Notional amounts	$	109,000		$	109,000
Weighted average pay rates	1.4577		%	1.4577		%
Weighted average receive rates	0.1241		%	0.2303		%
Weighted average maturity	5.5 Years			6.0 years
Unrealized losses	$	(1,520)		$	(5,545)

Interest income (expense) recorded on these swap transactions totaled $(368) thousand, $(1.1) million, $(317) thousand and $(413) thousand during the three and nine months ended September 30, 2021 and 2020, respectively, and is reported as a component of interest expense on FHLB advances. At September 30, 2021, the Company

expected $0.4 million of the unrealized loss to be reclassified as an increase to interest expense during the remainder of 2021.

Cash Flow Hedge

The effect of cash flow hedge accounting on accumulated other comprehensive income for the three and nine months ended September 30, 2021 and September 30, 2020 are as follows:


	Amount of Gain (Loss) Recognized in OCI (Net of Tax) on Derivative		Location of Gain (Loss) Reclassified from OCI into Income/(Expense)	Amount of Gain (Loss) Reclassified from OCI to Income/(Expense)
	(In thousands)
Three months ended September 30, 2021
Interest rate contracts	$	474	Interest Expense	$	(368)

Nine Months Ended September 30, 2021
Interest rate contracts	$	2,893	Interest Expense	$	(1,059)

Three months ended September 30, 2020
Interest rate contracts	$	296	Interest Expense	$	(317)

Nine months ended September 30, 2020
Interest rate contracts	$	(4,410)	Interest Expense	$	(413)