DERIVATIVES

9 Months Ended

Sep. 30, 2021

DERIVATIVES [Abstract]

DERIVATIVES

9.  DERIVATIVES

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

The following table reflects the fair value hedges included in the consolidated balance sheets:

	September 30, 2021				December 31, 2020
	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other liabilities:
Interest rate swaps related to fixed rate loans	$	9,911	$	576	$	10,178	$	927
Included in other assets:
Interest rate swaps related to fixed rate loans	$	—	$	—	$	—	$	—

The following table reflects the cash flow hedges included in the consolidated balance sheets:

	September 30, 2021				December 31, 2020
	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other liabilities:
Cash flow swaps related to state and municipal securities	$	—	$	—	$	68,485	$	1,643
Included in other assets:
Cash flow swaps related to state and municipal securities	$	123,760	$	4,828	$	55,275	$	1,618

Mortgage banking derivatives

The following table reflects the amount and fair value of mortgage banking derivatives in the consolidated balance sheets:

	September 30, 2021				December 31, 2020
	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other assets:
Forward contracts related to mortgage loans held for sale	$	—	$	—	$	—	$	—
Interest rate lock commitments		142,419		3,453		210,716		5,115
Total included in other assets	$	142,419	$	3,453	$	210,716	$	5,115
Included in other liabilities:
Forward contracts related to mortgage loans held for sale	$	129,045	$	879	$	203,669	$	1,787
Interest rate lock commitments		—		—		—		—
Total included in other liabilities	$	129,045	$	879	$	203,669	$	1,787

The Company had received cash collateral of $3.7 million to offset asset derivative positions on its securities cash flow hedges at September 30, 2021. This amount is reported in other liabilities in the consolidated balance sheets. The Company had advanced $1.1 million to offset liability positions on its interest rate swaps at September 30, 2021. Additionally, the Company had advanced $440 thousand on its mortgage forward contracts at September 30, 2021. The advanced cash collateral amounts are reported in cash and due from banks in the consolidated balance sheets.