Summary of the interest-rate swaps designated as cash flow hedges

A summary of the interest-rate swaps designated as cash flow hedges is presented below (dollars in thousands):


	As of
	June 30,			December 31,
	2021			2020
Notional amount	$	70,000		$	70,000
Weighted average fixed pay rates		1.80	%		1.80	%
Weighted average variable 3-month LIBOR receive rates		0.12	%		0.22	%
Weighted average maturity, in years		2.36	yrs		2.85	yrs
Unrealized gains (losses), net of tax	$	(1,438)		$	(2,184)

Summary of Net gains (losses) relating to these derivative instruments

The following table reflects the net gains (losses) recorded in accumulated other comprehensive income (loss) and the unaudited Consolidated Statements of Income relating to cash flow derivative instruments for the periods presented (dollars in thousands):


	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Interest rate contracts
Gain (loss) recognized in OCI, net of tax	$	(69)	$	(10)	$	341	$	(2,247)
(Gain) loss reclassified from OCI to interest expense, net of tax		206		(139)		405		(150)
Net change in unrealized gains (losses) on cash flow hedges	$	137	$	(149)	$	746	$	(2,397)

Summary of fair values of derivative assets and liabilities recorded in consolidated balance sheet

Amounts and fair values of mortgage banking derivatives included in the unaudited Consolidated Balance Sheets are summarized as follows (dollars in thousands):


		As of June 30, 2021				As of December 31, 2020
		Notional		Fair		Notional		Fair
	Location	Amount		Value		Amount		Value
Derivatives with positive fair value
Interest rate lock commitments	Other assets	$	25,373	$	496	$	45,004	$	1,201
Forward sales commitments	Other assets		172		3		978		32
Mortgage banking derivatives recorded in other assets		$	25,545	$	499	$	45,982	$	1,233

Derivatives with negative fair value
Interest rate lock commitments	Other liabilities	$	172	$	3	$	118	$	1
Forward sales commitments	Other liabilities		42,043		1,361		84,964		2,662
Mortgage banking derivatives recorded in other liabilities		$	42,215	$	1,364	$	85,082	$	2,663

Summary of Net gains (losses) relating to these derivative instruments

Changes in fair value of these derivative assets and liabilities are recorded in non-interest expense in the unaudited Consolidated Statements of Income and summarized as follows (dollars in thousands):


		Three Months Ended June 30,				Six Months Ended June 30,
	Location	2021		2020		2021		2020
Interest rate swaps
Pay floating, receive fixed	Non-interest expense	$	1,264	$	2,861	$	(9,331)	$	26,339
Pay fixed, receive floating	Non-interest expense		(1,264)		(2,861)		9,331		(26,339)
Net change in fair value of interest rate swaps		$	—	$	—	$	—	$	—