Derivatives

12 Months Ended

Dec. 31, 2021

Derivatives

Derivatives

22. DERIVATIVES

The Company entered into interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position in 2020. 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 a notional amount totaling $40,000,000 as of December 31, 2021, were designated as cash flow hedges, of which $20,000,000 were on hedges of brokered deposits, and the other $20,000,000 were hedges of certain FHLB long-term advances. Interest rate swaps with a notional amount totaling $40,000,000 as of December 31, 2020, were designated as cash flow hedges on certain short- and long-term FHLB advances. The interest rate swaps were determined to be fully effective during the 2021 and 2020 year-end periods presented, and as such, no amount of ineffectiveness has been included in net income. The aggregate fair value of the swaps is recorded in either other assets or other liabilities on the Consolidated Statements of Condition with changes in fair value recorded in other comprehensive income. The Company expects the hedges to remain fully effective during the remaining terms of the swaps.

The Company presents derivative positions gross on the balance sheet. The following table reflects the derivatives recorded on the Consolidated Statements of Condition as of December 31, 2021 and 2020.

(Dollars in thousands)	December 31, 2021				December 31, 2020
			Fair				Fair
			Value				Value
	Notional		Asset		Notional		Asset
Derivatives designated as hedges:	Amount		(Liability)		Amount		(Liability)
Interest rate swap - pay fixed / receive floating on 3-month brokered deposit	$	20,000	$	52	$	—	$	—
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		489		20,000		66

The effect of cash flow hedge accounting, before income taxes, on accumulated other comprehensive income for the period ended December 31, 2021 is as follows:

(Dollars in thousands)	December 31, 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	$	538	Interest expense on short-term borrowings and repurchase agreements	$	60

(Dollars in thousands)	December 31, 2020
	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	$	(48)	Interest expense on short-term borrowings and repurchase agreements	$	(9)

The effect of cash flow hedge accounting on the Consolidated Statements of Income for the years ended December 31, 2021 and 2020 were as follows:

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

	Interest Income (Expense)
	Year Ended
	December 31,
(Dollars in thousands)	2021		2020
Effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships:
Amount reclassified from AOCI into income	$	(60)	$	9
Total	$	(60)	$	9