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DERIVATIVES
 6 Months Ended
Jun. 30, 2024
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) for the periods indicated (dollars in thousands):


  
 
Three Months Ended
  
       
June 30,
  
Interest Rate Contracts
  
Location
  
2024
  
2023
  
Change in fair value of interest rate swaps hedging investment securities
  
Other noninterest expense
    
$
(447
)
  
$
1,844
  
Change in fair value of hedged investment securities
  
Other noninterest expense
      
463
      
(1,866
)
Change in fair value of interest rate swaps hedging fixed rate loans
  Interest income - Loans
    $ (32 )   $ 26  
Change in fair value of hedged fixed rate loans
  Interest income - Loans
      37       (25 )


 
 
Six Months Ended
  
       
June 30,
  
Interest Rate Contracts
  
Location
  
2024
  
2023
  
Change in fair value of interest rate swaps hedging investment securities
  
Other noninterest expense
    
$
865
    
$
(810
)
Change in fair value of hedged investment securities
  
Other noninterest expense
      
(920
)
    
771
  
Change in fair value of interest rate swaps hedging fixed rate loans
  Interest income - Loans
    $ 205     $ 26  
Change in fair value of hedged fixed rate loans
  Interest income - Loans
      (116 )     (25 )


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

   
June 30, 2024
    
December 31, 2023
  
   
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
  
$
11,803
    
$
353
    
$
7,796
    
$
158
  
Interest rate swaps related to state and municipal securities
    
123,760
      
17,493
      
123,760
      
16,628
  

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
    2024
     2023
 
Gain (loss) on mortgage banking derivatives
  
Net gain (loss) on sales of loans
    
$
(64
)
  
$
(53
)

                  
Six Months Ended
  
 
  
 
  
June 30,
  
 
   Location   
2024
    
2023
  
Gain (loss) on mortgage banking derivatives
  
Net gain (loss) on sales of loans
    
$
244
 
$
89

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, 2024
  
December 31, 2023
  
 
Notional
Amount
  
Fair
Value
  
Notional
Amount
  
Fair
Value
  
                 
Included in other assets:
                
Forward contracts related to mortgage loans held for sale
  
$
15,250
    
$
22
    
$
—
    
$
—
  
Interest rate lock commitments
    
29,679
      
360
      
16,887
      
444
  
       
        
        
        
  
Included in other liabilities:
                                
Forward contracts related to mortgage loans held for sale
  
$
12,724
    
$
116
    
$
19,021
    
$
422
  

The Company had received cash collateral of $19.0 million and $18.3 million to offset asset derivative positions on its interest rate swaps at June 30, 2024 and December 31, 2023, respectively. 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, 2024 and December 31, 2023, respectively. Additionally, the Company had advanced $440 thousand on its mortgage forward contracts at June 30, 2024 and December 31, 2023, respectively. The advanced cash collateral amounts are reported in cash and due from banks in the Consolidated Balance Sheets.