Note 5. Derivatives

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 swap 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 were entered into on April 13, 2017, August 24, 2015, and December 30, 2014, each with a respective notional amount of $25.0 million and were designated as a cash flow hedge of a Federal Home Loan Bank advance. The swaps were determined to be fully effective during the period presented and therefore no amount of ineffectiveness has been included in net income while the aggregate fair value of the swaps is recorded in other assets (liabilities) with changes in fair value recorded in other comprehensive income (loss). The amount included in accumulated other comprehensive income (loss) 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 term of the swaps. Summary information about the interest rate swaps designated as cash flow hedges as of March 31, 2019, December 31, 2018 and March 31, 2018 are presented in the following table.

	March 31,			December 31,			March 31,
	2019			2018			2018
	(dollars in thousands)
Notional amount	$	75,000		$	75,000		$	100,000
Weighted average pay rates		1.80	%		1.70	%		1.79	%
Weighted average receive rates		2.79	%		2.19	%		1.82	%
Weighted average maturity		1.7 years			2.0 years			2.2 years

Fair value	$	768		$	1,159		$	1,714

Net interest income recorded on these swap transactions totaled approximately $182 thousand during the three months ended March 31, 2019 compared to $5 thousand during the three months ended March 31, 2018.

Cash Flow Hedge

The following table presents the net losses recorded in other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the following periods:

	Three Months Ended March 31, 2019
	Amount of gain			Amount of gain			Amount of gain
	(loss) recognized			(loss) reclassified			recognized in other
	in OCI (Effective			from OCI to			Noninterest income
	Portion)			interest income			(Ineffective Portion)
	(dollars in thousands)
Interest rate contracts	$	(209	)	$	(182	)	$	-

	Three Months Ended March 31, 2018
	Amount of gain		Amount of gain			Amount of gain
	(loss) recognized		(loss) reclassified			recognized in other
	in OCI (Effective		from OCI to			Noninterest income
	Portion)		interest income			(Ineffective Portion)
	(dollars in thousands)
Interest rate contracts	$	921	$	(5	)	$	-

The following table reflects the cash flow hedges included in the consolidated statements of condition as of March 31, 2019 and December 31, 2018:

	March 31, 2019				December 31, 2018
	Notional				Notional
	Amount		Fair Value		Amount		Fair Value
	(dollars in thousands)
Interest rate swaps related to FHLB advances included in assets	$	75,000	$	768	$	75,000	$	1,159