DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2022 and December 31, 2021.

(Dollars in thousands)	September 30, 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	$	52
Interest rate swap - pay fixed / receive floating on 3-month FHLB advance		20,000		419		—		—
Interest rate swaps - forward-starting on long-term FHLB advances		—		—		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 September 30, 2022 and December 31, 2021 are as follows:

(Dollars in thousands)	September 30, 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 contract	$	(7)	Interest expense on short-term borrowings and repurchase agreements	$	(115)
Swap termination gain		1,202	Other non-interest income		(1,202)
Total	$	1,195		$	(1,317)

(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
Total	$	538		$	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 and nine months ended September 30, 2022 and 2021 is 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,
	2022		2021		2022		2021
Effects of cash flow hedging:
Loss on cash flow hedging relationships:
Amount reclassified from AOCI into income	$	99	$	(17)	$	115	$	(43)
Amount reclassified from AOCI into income for swap termination		(13)		—		1,202		—
Total	$	86	$	(17)	$	1,317	$	(43)