DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2022

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 March 31, 2022 and December 31, 2021.

(Dollars in thousands)	March 31, 2022				December 31, 2021
			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	$	310	$	20,000	$	52
Interest rate swaps - forward-starting on long-term FHLB advances		20,000		897		20,000		489

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 March 31, 2022 and December 31, 2021 are as follows:

(Dollars in thousands)	March 31, 2022
	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	$	654	Interest expense on short-term borrowings and repurchase agreements	$	11

(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

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 months ended March 31, 2022 and March 31, 2021 is as follows:

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

	Interest Expense
	Three Months Ended
	March 31,
(Dollars in thousands)	2022		2021
Effects of cash flow hedging:
Loss on cash flow hedging relationships:
Amount reclassified from AOCI into income	$	(11)	$	(4)
Total	$	(11)	$	(4)