DERIVATIVES

9 Months Ended

Sep. 30, 2023

DERIVATIVES

DERIVATIVES

13. DERIVATIVES

The Company may use interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. As of September 30, 2023, the Company had no interest rate swaps as the remaining cash flow hedge matured in April 2023. As of December 31, 2022, an interest rate swap with a notional amount of $20.0 million was designated as a cash flow hedge of a short-term FHLB advance. The notional amount of the interest rate swap did not represent amounts exchanged by the parties. The amount exchanged was determined by reference to the notional amount and the other terms of the individual interest rate swap agreement. The aggregate fair value of the swap was $268,000 as of December 31, 2022 and was recorded in other assets on the Consolidated Statements of Condition, with changes in fair value recorded in other comprehensive income.

The Interest rate swap was determined to be fully effective during the periods presented and, as such, no amount of ineffectiveness was included in net income.

The effect of cash flow hedge accounting on accumulated other comprehensive income for the periods ended September 30, 2023 and December 31, 2022 were as follows:

(Dollars in thousands)	September 30, 2023
	Amount of Gain		Location of Gain	Amount of Gain
	Recognized in		Reclassified	Reclassified from
	OCI on Derivatives		from OCI into Income	OCI into Income
Interest rate contract	$	2	Interest expense on short-term borrowings and repurchase agreements	$	(269)
Total	$	2		$	(269)

(Dollars in thousands)	December 31, 2022
	Amount of Gain		Location of Gain	Amount of Gain
	Recognized in		Reclassified	Reclassified from
	OCI on Derivatives		from OCI into Income	OCI into Income
Interest rate contract	$	18	Interest expense on short-term borrowings and repurchase agreements	$	(291)
Swap termination gain		1,202	Other non-interest income		(1,202)
Total	$	1,220		$	(1,493)

The effect of cash flow hedge accounting on the Consolidated Statements of Income for the three and nine months ended September 30, 2023 and 2022 was as follows:

Amount of Gain or Loss Recognized in Income on Cash Flow Hedging Relationships

	Income (Expense)				Income (Expense)
	Three Months Ended				Nine Months Ended
(Dollars in thousands)	September 30,				September 30,
	2023		2022		2023		2022
Effects of cash flow hedging:
Gain on cash flow hedging relationships:
Amount reclassified from AOCI into income	$	—	$	99	$	269	$	115
Amount reclassified from AOCI into income for swap termination		—		(13)		—		1,202
Total	$	—	$	86	$	269	$	1,317