The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements.

Interest Rate Swap Designated as Cash Flow Hedge: Interest rate swaps with a notional amount of $245.0 million and $230.0 million at December 31, 2019 and 2018, respectively, were designated as cash flow hedges of certain interest-bearing deposits and FHLB advances. On a quarterly basis, the Company performs a qualitative hedge effectiveness assessment. This assessment takes into consideration any adverse developments related to the counterparty’s risk of default and any negative events or circumstances that affect the factors that originally enabled the Company to assess that it could reasonably support, qualitatively, an expectation that the hedging relationship was and will continue to be highly effective. As of December 31, 2019, there were no events or market conditions that would result in hedge ineffectiveness. The aggregate fair value of the swaps is recorded in other assets/liabilities with changes in fair value recorded in other comprehensive income. The amount included in accumulated other comprehensive income would be reclassified to current earnings should the hedges no longer by considered effective. The Company expects the hedges to remain fully effective during the remaining terms of the swaps.

Information about the interest rate swaps designated as cash flow hedges as of December 31, 2019 and 2018 is presented in the following table:

(Dollars in thousands)	2019			2018
Notional amount	$	245,000		$	230,000
Weighted average pay rate		2.05	%		2.04	%
Weighted average receive rate		1.83	%		2.33	%
Weighted average maturity	2.45 years			2.65 years
Unrealized (loss)/gain, net	$	(3,667	)	$	808
Number of contracts		12			11

Net interest income recorded on these swap transactions totaled approximately $953,000 and $390,000 for the twelve months ended December 31, 2019 and 2018, respectively, and is reported as a component of interest expense.

The following table presents the net gains/(losses) recorded in accumulated other comprehensive income and the consolidated financial statements relating to the cash flow derivative instruments for the year ended December 31:

2019

Amount of

Gain/(Loss)

Recognized in

Recognized

Reclassified

Other Non- Interest

In OCI

From OCI to

Expense

(In thousands)

(Effective Portion)

Interest Expense

(Ineffective Portion)

Interest rate contracts

(4,252

)

(223

)

—

2018

Amount of

Gain/(Loss)

Recognized in

Recognized

Reclassified

Other Non- Interest

In OCI

From OCI to

Expense

(In thousands)

(Effective Portion)

Interest Expense

(Ineffective Portion)

Interest rate contracts

(328

)

(124

)

—

During the second quarter of 2019, the Company recognized an unrealized after-tax gain of $189,000 in accumulated other comprehensive income/(loss) related to the termination of four interest rate swaps designated as cash flow hedges. During the first quarter of 2018, the Company recognized an unrealized after-tax gain of $220,000 in accumulated other comprehensive income/(loss) related to the termination of two interest rate swaps designated as cash flow hedges. These gains are being amortized into earnings other the remaining life of the terminated swaps. The Company recognized pre-tax interest income of $223,000 and $124,000 for the years ended December 31, 2019 and 2018, respectively, related to the amortization of the gain on the terminated interest rate swaps designated as cash flow hedges.

The following tables reflect the cash flow hedges included in the financial statements as of December 31, 2019 and 2018:

	December 31, 2019
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits	$	245,000	$	(3,667	)
Total included in other assets		70,000		121
Total included in other liabilities		175,000		(3,788	)

	December 31, 2018
	Notional		Fair
(In thousands)	Amount		Value
Interest rate swaps related to interest-bearing deposits	$	230,000	$	808
Total included in other assets		130,000		1,657
Total included in other liabilities		100,000		(849	)

Derivatives Not Designated as Accounting Hedges: The Company offers facility specific/loan level swaps to its customers and offsets its exposure from such contracts by entering into mirror image swaps with a financial institution/swap counterparty (loan level / back to back swap program). The customer accommodations and any offsetting swaps are treated as non-hedging derivative instruments which do not qualify for hedge accounting (“standalone derivatives”). The notional amount of the swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and other terms of the individual contracts. The fair value of the swaps is recorded as both an asset and a liability, in other assets and other liabilities, respectively, in equal amounts for these transactions.

(Dollars in thousands)	December 31, 2019			December 31, 2018
Notional amount	$	793,875		$	558,690
Fair value	$	32,381		$	9,689
Weighted average pay rates		4.12	%		4.44	%
Weighted average receive rates		3.54	%		4.24	%
Weighted average maturity	7.3 years			7.1 years
Number of contracts		91			67