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DERIVATIVES
 6 Months Ended
Jun. 30, 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 Consolidated Statements of Comprehensive Income (Loss) for the periods indicated (dollars in thousands):


  
 
Three Months Ended
  
       
June 30,
  
Interest Rate Contracts
  
Location
  
2023
    
2022
  
Change in fair value of interest rate swaps hedging investment securities
  
Other noninterest expense
  
$
1,844
    
$
3,429
  
Change in fair value of hedged investment securities
  
Other noninterest expense
    
(1,866
)
    
(3,450
)
Change in fair value of interest rate swaps hedging fixed rate loans
  Interest income - Loans
  $ 26     $ 167  
Change in fair value of hedged fixed rate loans
  Interest income - Loans
    (25 )     (170 )


 
  Six Months Ended  
       
June 30,
  
Interest Rate Contracts
  
Location
  
2023
    
2022
  
Change in fair value of interest rate swaps hedging investment securities
  
Other noninterest expense
  
$
(810
)
  
$
10,178
  
Change in fair value of hedged investment securities
  
Other noninterest expense
    
771
      
(10,349
)
Change in fair value of interest rate swaps hedging fixed rate loans
  
Interest income - Loans
  
$
26
    
$
625
  
Change in fair value of hedged fixed rate loans
  
Interest income - Loans
    
(25
)
    
(633
)

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

   
June 30, 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
  
$
11,803
    
$
508
    
$
9,493
    
$
482
  
Interest rate swaps related to state and municipal securities
    
123,760
      
19,315
      
123,760
      
20,125
  

Mortgage banking derivatives

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
  
 
 
  
June 30,
  

 Location
 
2023
    
2022
  
Forward contracts related to mortgage loans held for sale
Net gain (loss) on sales of loans
  
$
375
    
$
166
  
Interest rate lock commitments Net gain (loss) on sales of loans   $ (428 )   $ (940 )



  Six Months Ended  
     
June 30,
  

Location  
2023
    
2022
  
Forward contracts related to mortgage loans held for sale
Net gain (loss) on sales of loans
  
$
94
    
$
(926
)
Interest rate lock commitments
Net gain (loss) on sales of loans
  
$
(5
)
  
$
117
  

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):


  
June 30, 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
  
$
21,000
    
$
78
    
$
23,500
    
$
186
  
Interest rate lock commitments
    
32,816
      
472
      
27,348,000.00
      
369
  
                                 
Total included in other assets
   $
 53,816     $
 550     $
 50,848     $
 555  
                                 
Included in other liabilities:
                                
Forward contracts related to mortgage loans held for sale
  
$
6,296
    
$
34
    
$
5,615
    
$
128
  
Interest rate lock commitments
     —       —       —       —  
                                 
Total included in other liabilities
   $
 6,296     $
 34     $
 5,615     $
 128  

The Company had received cash collateral of $17.3 million to offset asset derivative positions on its interest rate swaps at June 30, 2023. 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 June 30, 2023. Additionally, the Company had advanced $440 thousand on its mortgage forward contracts at June 30, 2023. The advanced cash collateral amounts are reported in cash and due from banks in the Consolidated Balance Sheets.