Derivatives (Tables)

9 Months Ended

Sep. 30, 2021

Derivatives

Schedule of Derivatives Recorded on the Consolidated Statements of Condition

The following table reflects the notional amounts and fair values of derivatives recorded on the Consolidated Statements of Condition as of September 30, 2021 and December 31, 2020.

(Dollars in thousands)	September 30, 2021				December 31, 2020
			Fair				Fair
			Value				Value
	Notional		Asset		Notional		Asset
	Amount		(Liability)		Amount		(Liability)
Derivatives designated as hedges:
Interest rate swap - pay fixed / receive floating on 3-month brokered deposit	$	20,000	$	(61)	$	—	$	—
Interest rate swap - pay fixed / receive floating on 3-month FHLB advance		—		—		20,000		(123)
Interest rate swaps - forward-starting on long-term FHLB advances		20,000		496		20,000		66

Schedule of Effect of Cash Flow Hedge Accounting on Accumulated Other Comprehensive Income

The effect of cash flow hedge accounting on accumulated other comprehensive income for the periods ended September 30, 2021 and December 31, 2020 are as follows:

(Dollars in thousands)	September 30, 2021
	Amount of Gain		Location of (Gain)	Amount of (Gain)
	(Loss) Recognized in		Loss Reclassified	Loss Reclassified
	OCI on Derivatives		from OCI into Income	from OCI into Income
Interest rate contracts	$	449	Interest expense on short-term borrowings and repurchase agreements	$	43

Schedule of Effect of Cash Flow Hedge Accounting on the Consolidated Statements of Income

The effect of cash flow hedge accounting on the Consolidated Statements of Income for the three and nine months ended September 30, 2021 and September 30, 2020 was as follows:

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

	Interest Income (Expense)				Interest Income (Expense)
	Three Months Ended				Nine Months Ended
	September 30,				September 30,
(Dollars in thousands)	2021		2020		2021		2020
Effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships:
Amount reclassified from AOCI into income	$	(17)	$	(1)	$	(43)	$	21
Total	$	(17)	$	(1)	$	(43)	$	21