DERIVATIVES

3 Months Ended

Mar. 31, 2023

DERIVATIVES [Abstract]

DERIVATIVES

11.  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 Company’s Consolidated Statements of Comprehensive Income (Loss) for the periods indicated (dollars in thousands):

		Three Months Ended
		March 31,
Interest Rate Contracts	Location	2023			2022
Change in fair value of interest rate swaps hedging investment securities	Other noninterest expense	$	(2,654	)	$	6,749
Change in fair value of hedged investment securities	Other noninterest expense		2,638			(6,899	)
Change in fair value of interest rate swaps hedging fixed rate loans	Interest income - Loans	$	—		$	458
Change in fair value of hedged fixed rate loans	Interest income - Loans		—			(463	)

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

	March 31, 2023				December 31, 2022
	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other liabilities:
Interest rate swaps related to fixed rate loans	$	—	$	—	$	—	$	—
Interest rate swaps related to state and municipal securities		—		—		—		—
Included in other assets:
Interest rate swaps related to fixed rate loans	$	9,348	$	482	$	9,493	$	482
Interest rate swaps related to state and municipal securities		123,760		17,471		123,760		20,125

Mortgage banking derivatives

These derivatives are not designated as hedging instruments. The net gains (losses) relating to free standing derivative instruments used for risk management are summarized below for the periods indicated (dollars in thousands):

		Three Months Ended
		March 31,
	Location	2023			2022
Gain (loss) on mortgage banking derivatives	Net gain (loss) on sales of loans	$	(281	)	$	(1,093	)

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

	March 31, 2023				December 31, 2022
	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other assets:
Forward contracts related to mortgage loans held for sale	$	—	$	—	$	23,500	$	186
Interest rate lock commitments		42,188		978		27,348		369
Included in other liabilities:
Forward contracts related to mortgage loans held for sale	$	35,244	$	409	$	5,615	$	128

The Company had received cash collateral of $17.6 million and $18.9 million to offset asset derivative positions on its interest rate swaps at March 31, 2023 and December 31, 2022, respectively. This amount is reported in other liabilities in the Company’s Consolidated Balance Sheets. The Company had advanced $1.1 million to offset liability derivative positions on its interest rate swaps at March 31, 2023 and December 31, 2022, respectively. Additionally, the Company had advanced $440 thousand on its mortgage forward contracts at March 31, 2023 and December 31, 2022, respectively. The advanced cash collateral amounts are reported in cash and due from banks in the Company’s Consolidated Balance Sheets.