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DERIVATIVES
 3 Months Ended
Mar. 31, 2022
DERIVATIVES [Abstract]  
DERIVATIVES
10.  DERIVATIVES

The Company utilizes interest rate swap agreements as part of its asset-liability management strategy to help manage its interest rate risk position. These interest rate swaps are designated and qualify as fair value hedges and are entered into to reduce exposure to changes in fair value of fixed rate financial instruments. The notional amount of the interest rate 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 swap agreements.

The following table reflects the changes in fair value hedges included in the Consolidated Statements of Comprehensive Income (Loss) as of the periods indicated (dollars in thousands):

        
Three Months Ended
  
        
March 31,
  
Interest Rate Contracts
Location
  
2022
    
2021
  
Interest rate swaps - fair value hedges
Interest income
  
$
(136
)
  
$
(175
)
Fair value hedge ineffectiveness
Other noninterest expense
  
$
149
    
$
127
  

The following table reflects the fair value hedges included in the Consolidated Balance Sheets at the dates indicated (dollars in thousands):

   
March 31, 2022
    
December 31, 2021
  
   
Notional
Amount
    
Fair
Value
    
Notional
Amount
    
Fair
Value
  
                         
Included in other liabilities:
                        
Interest rate swaps related to fixed rate loans
  
$
1,019
    
$
39
    
$
9,775
    
$
429
  
Interest rate swaps related to state and municipal securities
    
—
      
—
      
—
      
—
  
                                 
Included in other assets:
                                
Interest rate swaps related to fixed rate loans
  
$
8,650
    
$
68
    
$
—
    
$
—
  
Interest rate swaps related to state and municipal securities
    
123,760
      
12,435
      
123,760
      
5,686
  

Mortgage banking derivatives

The net gains (losses) relating to free standing derivative instruments used for risk management are summarized below as of the periods indicated (dollars in thousands):

       
Three Months Ended
  
       
March 31,
  

Location  
2022
    
2021
  
Forward contracts related to mortgage loans held for sale
Net gain (loss) on sales of loans
  
$
(1,093
)
  
$
(101
)
Interest rate lock commitments
Net gain (loss) on sales of loans
  
$
1,057
    
$
1,089
  

The following table reflects the amount and fair value of mortgage banking derivatives in the Consolidated Balance Sheets at the dates indicated (dollars in thousands):

 
March 31, 2022
    
December 31, 2021
  
   
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
    
96,387
      
2,699
      
104,437
      
1,642
  
                                 
Total included in other assets
  
$
96,387
    
$
2,699
    
$
104,437
    
$
1,642
  
                                 
                                 
Included in other liabilities:
                                
Forward contracts related to mortgage loans held for sale
  
$
83,384
    
$
1,199
    
$
93,120
    
$
106
  
Interest rate lock commitments
    
—
      
—
      
—
      
—
  
                                 
Total included in other liabilities
  
$
83,384
    
$
1,199
    
$
93,120
    
$
106
  

The Company had received cash collateral of $12.3 million to offset asset derivative positions on its interest rate swaps at March 31, 2022. This amount is reported in other liabilities in the consolidated balance sheets. The Company had advanced $1.1 million to offset liability derivative positions on its interest rate swaps at March 31, 2022. Additionally, the Company had advanced $440 thousand on its mortgage forward contracts at March 31, 2022. The advanced cash collateral amounts are reported in cash and due from banks in the consolidated balance sheets.