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DERIVATIVES
 12 Months Ended
Dec. 31, 2021
DERIVATIVES [Abstract]  
DERIVATIVES
16.
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 changes in fair value hedges included in the Consolidated Statements of Comprehensive Income as of December 31:


Interest Rate Contracts
   Location  
2021
    
2020
     2019
  
Change in fair value on interest rate swaps hedging fixed rate loans
   Interest income  
$
498
    
$
(576
)
   $
(520
 )
Change in fair value on fixed rate loans - hedged item
   Interest income  
$
(512
)
  
$
580
     $
511
  

The following table reflects the fair value hedges included in the Consolidated Balance Sheets as of December 31:

 
2021
  
2020
  
 
Notional
Amount
  
Fair
Value
  
Notional
Amount
  
Fair
Value
  
Included in other liabilities:
                        
Interest rate swaps related to fixed rate loans
  
$
9,775
    
$
429
    
$
10,178
    
$
927
  

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

   
2021
    
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
    
$
5,686
    
$
55,275
    
$
1,618
  

Mortgage banking derivatives

The net gains (losses) relating to free standing derivative instruments used for risk management are summarized below as of December 31:

 
   Location  
2021
    
2020
     2019
  
Forward contracts related to mortgage loans held for sale
   Net gain (loss) on sales of loans 
 
$
(3,473
)
  
$
(754
)
   $ 672  
Interest rate lock commitments
   Net gain (loss) on sales of loans 
 
$
1,681
    
$
3,409
     $ (249 )

The following table reflects the amount and fair value of mortgage banking derivatives in the Consolidated Balance Sheets as of December 31:

   
2021
    
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
    
104,437
      
1,642
      
210,716
      
5,115
  
Total included in other assets
  
$
104,437
    
$
1,642
    
$
210,716
    
$
5,115
  
                                 
Included in other liabilities:
                                
Forward contracts related to mortgage loans held for sale
  
$
93,120
    
$
106
    
$
203,669
    
$
1,787
  
Interest rate lock commitments
    
—
      
—
      
—
      
—
  
Total included in other liabilities
  
$
93,120
    
$
106
    
$
203,669
    
$
1,787