Summary of the interest-rate swaps designated as cash flow hedges

A summary of the interest-rate swaps designated as cash flow hedges is presented below (dollars in thousands):


	As of
	March 31,			December 31,
	2021			2020
Notional amount	$	70,000		$	70,000
Weighted average fixed pay rates		1.80	%		1.80	%
Weighted average variable 3-month LIBOR receive rates		0.18	%		0.22	%
Weighted average maturity, in years		2.61	yrs		2.85	yrs
Unrealized gains (losses), net of tax	$	(1,575)		$	(2,184)

Summary of gross gains and losses on derivative assets and liabilities recorded in non-interest income and expense in consolidated statements of income

The following table reflects the net gains (losses) recorded in accumulated other comprehensive income (loss) and the unaudited Consolidated Statements of Income relating to cash flow derivative instruments for the periods presented (dollars in thousands):


	Three Months Ended March 31,
Interest rate contracts	2021		2020
Gain (loss) recognized in OCI, net of tax	$	410	$	(2,237)
(Gain) loss reclassified from OCI to interest expense, net of tax		199		(11)
Net change in unrealized gains (losses) on cash flow hedges	$	609	$	(2,248)

Summary of fair values of derivative assets and liabilities recorded in consolidated balance sheet

Amounts and fair values of mortgage banking derivatives included in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):


		March 31, 2021				December 31, 2020
		Notional		Fair		Notional		Fair
Derivatives with positive fair value	Location	Amount		Value		Amount		Value
Interest rate lock commitments	Other assets	$	24,142	$	474	$	45,004	$	1,201
Forward sales commitments	Other assets		7,035		59		978		32
Mortgage banking derivatives recorded in other assets		$	31,177	$	533	$	45,982	$	1,233

Derivatives with negative fair value
Interest rate lock commitments	Other liabilities	$	931	$	2	$	118	$	1
Forward sales commitments	Other liabilities		55,454		879		84,964		2,662
Mortgage banking derivatives recorded in other liabilities		$	56,385	$	881	$	85,082	$	2,663

Summary of gross gains and losses on derivative assets and liabilities recorded in non-interest income and expense in consolidated statements of income

Changes in fair value of these derivative assets and liabilities are recorded in non-interest expense in the unaudited Consolidated Statements of Income and summarized as follows (dollars in thousands):


		Three Months Ended March 31,
	Location	2021		2020
Interest rate swaps – pay floating, receive fixed	Non-interest expense	$	(10,595)	$	23,478
Interest rate swaps – pay fixed, receive floating	Non-interest expense		10,595		(23,478)
Net change in fair value of interest rate swaps		$	—	$	—