NOTE 21 – DERIVATIVES

In 2020, the Company entered into an interest rate cap derivative contract (“interest rate cap” or “contract”) as a part of its asset liability management strategy to help manage its interest rate risk position. The interest rate cap has a notional amount of $300.0 million and matures on March 1, 2025. The notional amount of the interest rate cap does not represent the amount exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the contract. The interest rate subject to the cap is 30-day LIBOR.

The interest rate cap was designated as a cash flow hedge of certain deposit liabilities of the Company. The hedge was determined to be highly effective during the year ended December 31, 2021. The Company expects the hedge to remain highly effective during the remaining term of the contract.

The following tables reflect the derivatives recorded on the balance sheet (in thousands):

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The effect of cash flow hedge accounting on accumulated other comprehensive income is as follows (in thousands):

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