The Company enters into interest rate swap agreements to accommodate the needs of its banking customers. The Company mitigates the interest rate risk entering into these swap agreements by entering into equal and offsetting swap agreements with a highly rated third-party financial institution. These back-to-back swap agreements are free-standing derivatives and are recorded at fair value in the Company’s consolidated balance sheets (asset positions are included in other assets and liability positions are included in other liabilities).

The following table presents the notational and fair values of the swap agreements for the dates stated.


	December 31, 2021
(Dollars in thousands)	Notional Amount		Fair Value
Interest rate swap agreement
Receive fixed/pay variable swaps	$	2,052	$	199
Pay fixed/receive variable swaps		2,052		(199	)

	December 31, 2020
(Dollars in thousands)	Notional Amount		Fair Value
Interest rate swap agreement
Receive fixed/pay variable swaps	$	2,145	$	185
Pay fixed/receive variable swaps		2,145		(185	)

The Company entered into various interest rate swaps in 2020 and 2019, the objective of which was to hedge the risk of variability in the cash flows attributable to changes in the 3-month LIBOR benchmark rate component of forecasted 3-month fixed rate funding advances from the FHLB. The hedging objective was to reduce the interest rate risk associated with the Company’s fixed rate advances from the designation date and through the maturity date. During the fourth quarter of 2021, the Company terminated these cash flow hedges and recognized a gain of $6.2 million, which is included in noninterest income in the consolidated statements of operations. In connection with the termination of the cash flow hedges, the Company repaid $115.0 million of FHLB advances that were associated with these hedges.

As part of its efforts to sell originated government guaranteed and conventional residential mortgages into the secondary market, the Bank had entered into $64.8 million and $154.3 million of rate lock commitments with borrowers, net of expected fallout, as of December 31, 2021 and 2020, respectively, and $113.6 million and $97.1 million of closed loan inventory waiting for sale, which were hedged by $169.5 million and $225.0 million in forward TBA mortgage-backed securities as of December 31, 2021 and 2020, respectively. Mortgage derivative assets totaled $1.9 million and $5.3 million as of December 31, 2021 and 2020, respectively, and mortgage derivative liabilities, which are included in other liabilities on the consolidated balance sheets, were $75 thousand and $1.6 million as of December 31, 2021 and 2020, respectively.