As part of its asset liability management activities, the Corporation utilized an interest rate swap 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 agreement.

The Bank entered into a five year interest rate swap with a notional amount totaling $50 million on January 17, 2019, which was designated as a cash flow hedge of certain Federal Home Loan Bank (“FHLB”) advances included in short-term borrowings on the consolidated balance sheets. On April 18, 2022, the swap was terminated and the FHLB advance was paid off. Termination fees were immaterial.

The following table summarizes information about the interest rate swap designated as a cash flow hedge at the periods indicated.



	September 30, 2022	December 31, 2021
Notional amount	—	$50 million
Weighted average fixed pay rate	—	2.62%
Weighted average 3-month LIBOR receive rate	—	0.13%
Weighted average maturity	—	2.05 Years

Interest expense recorded on swap transactions, which totaled $426,000 and $2.5 million for the nine months ended September 30, 2022 and 2021, respectively, was recorded as a component of interest expense in the consolidated statements of income. Amounts reported in accumulated OCI related to swaps were reclassified to interest expense as interest payments were made on the Bank’s variable-rate liabilities. During the nine months ended September 30, 2022, the Corporation had $426,000 of reclassifications to interest expense.

The following table presents the net gains and losses recorded in the consolidated statements of income and the consolidated statements of comprehensive income relating to interest rate swaps.



	Nine Months Ended				Three Months Ended
	September 30,				September 30,
(in thousands)	2022		2021		2022		2021
Interest rate contracts:
Amount of gain (loss) recognized in OCI (effective portion)	$	1,324	$	266	$	—	$	(1)
Amount of loss reclassified from OCI to interest expense		426		2,549		—		316
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 sheets at the periods indicated.



	September 30, 2022						December 31, 2021
	Notional		Fair Value					Notional	Fair Value
(in thousands)	Amount		Asset		Liability			Amount	Asset		Liability
Included in other liabilities			$	—	$	—			$	—	$	1,750
Interest rate swap hedging FHLB advances	$	—					$	50,000