XML 41 R24.htm IDEA: XBRL DOCUMENT v3.24.0.1
DERIVATIVES
 12 Months Ended
Dec. 31, 2023
DERIVATIVES [Abstract]  
DERIVATIVES
17.
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):


         Year Ended December 31,
  
Interest Rate Contracts
   Location  
2023
    
2022
     2021
  
Change in fair value of interest rate swaps hedging investment securities
   Other noninterest expense   $ (3,497 )   $ 14,439     $ 5,710  
Change in fair value of hedged investment securities
   Other noninterest expense     3,685       (14,607 )     (5,812 )
                             
Change in fair value of interest rate swaps hedging fixed rate loans
   Interest income - Loans    
(334
)
    
911
       498  
Change in fair value of hedged fixed rate loans
   Interest income - Loans    
335
      
(918
)
     (512 )

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

   
2023
    
2022
  
   
Notional
Amount
    
Fair
Value
    
Notional
Amount
    
Fair
Value
  
Included in other liabilities:
                        
Interest rate swaps related to fixed rate loans
  
$
987
    
$
10
    
$
—
    
$
—
  
Interest rate swaps related to state and municipal securities
     —       —       —       —  
Included in other assets:                                
Interest rate swaps related to fixed rate loans
     7,796       158       9,493       482  
Interest rate swaps related to state and municipal securities
     123,760       16,628       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):

         For the Year Ended December 31,
  
  Location   2023     2022     2021  
Gain (loss) on mortgage banking derivatives Net gain (loss) on sales of loans 
 
$
(405
)
  
$
(1,109
)
   $ (1,792 )

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

   
December 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
    
16,887
      
444
      
27,348
      
369
  
Total included in other assets
  
$
16,887
    
$
444
    
$
50,848
    
$
555
  
                                 
Included in other liabilities:
                                
Forward contracts related to mortgage loans held for sale
  
$
19,021
    
$
422
    
$
5,615
    
$
128
  
Interest rate lock commitments
    
—
      
—
      
—
      
—
  
Total included in other liabilities
  
$
19,021
    
$
422
    
$
5,615
    
$
128
  

The Company had received cash collateral of $18.3 million and $18.9 million to offset asset derivative positions on its interest rate swaps at December 31, 2023 and 2022, respectively. This amount is reported in other liabilities in the Consolidated Balance Sheets. The Company had advanced $1.1 million and $1.1 million to offset liability derivative positions on its interest rate swaps at December 31, 2023 and 2022, respectively. Additionally, the Company had advanced $440 thousand and $440 thousand on its mortgage forward contracts at December 31, 2023 and 2022, respectively. The advanced cash collateral amounts are reported in cash and due from banks in the Consolidated Balance Sheets.