As part of its asset liability management activities, the Corporation utilizes interest rate swaps to help manage its interest rate risk position. The notional amount of an interest rate swap does not represent the amount exchanged by the parties. The exchange of cash flows is determined by reference to the notional amount and the other terms of the interest rate swap agreements.

The Bank entered into an interest rate swap with a notional amount totaling $150 million on May 22, 2018 and a second interest rate swap with a notional amount of $50 million on January 17, 2019. The interest rate swaps were designated as cash flow hedges of certain Federal Home Loan Bank (“FHLB”) advances and brokered certificates of deposit (“CDs”). The swaps were determined to be fully effective during the periods presented and therefore no amount of ineffectiveness has been included in net income. The aggregate fair value of the swaps is recorded in other liabilities, with changes in fair value net of related income taxes recorded in other comprehensive income (loss). The amount included in accumulated other comprehensive income (loss) would be reclassified to current earnings should the hedges no longer be considered effective. The Corporation expects the hedges to remain fully effective during the remaining term of the swaps.

The following table summarizes information about the interest rate swaps designated as cash flow hedges.



	September 30, 2019	December 31, 2018
Notional amount	$200 million	$150 million
Weighted average fixed pay rate	2.83%	2.90%
Weighted average 3-month LIBOR receive rate	2.36%	2.38%
Weighted average maturity	2.31 Years	2.43 Years

Interest expense recorded on the swap transactions, which totaled $423,000 for the nine months ended September 30, 2019, is recorded as a component of interest expense in the consolidated statements of income. Amounts reported in accumulated other comprehensive income (loss) related to swaps will be reclassified to interest expense as interest payments are made on the Bank’s variable-rate liabilities. During the nine months ended September 30, 2019, the Corporation had $423,000 of reclassifications to interest expense. During the next 12 months, the Corporation estimates that $2,114,000 will be reclassified as an increase to interest expense.

The following table presents the net (gains) losses recorded in the consolidated statements of income and the consolidated statements of comprehensive income relating to interest rate swaps for the nine and three months ended September 30, 2019 and 2018.




	Nine Months Ended				Three Months Ended
	September 30,				September 30,
(in thousands)	2019		2018		2019		2018
Interest rate contracts:
Amount of gain (loss) recognized in OCI (effective portion)	$	(4,757)	$	(34)	$	(516)	$	462
Amount of loss reclassified from OCI to interest expense		423		315		240		225
Amount of loss recognized in other noninterest income (ineffective portion)		—		—		—		—

The following table reflects the amounts relating to the interest rate swap included in the consolidated balance sheet at September 30, 2019 and December 31, 2018.



	September 30, 2019						December 31, 2018
	Notional		Fair Value					Notional	Fair Value
(in thousands)	Amount		Asset		Liability			Amount	Asset		Liability
Included in other liabilities			$	—	$	5,464			$	—	$	1,130
Interest rate swap hedging FHLB advances	$	—					$	150,000
Interest rate swaps hedging brokered CDs	$	200,000					$	—