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DERIVATIVES (Tables)
6 Months Ended
Jun. 30, 2022
DERIVATIVES  
Schedule of cumulative-basis adjustment for fair value hedges

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June 30, 2022

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 Cumulative Amount of Fair Value 

Line Item in the Statement of Financial

​

​

​

   Hedging Adjustment Included in    

Position in Which the Hedged Item is

​

  Carrying Amount of the      

​

 the Carrying Amount of the 

Included

   

Hedged Assets/(Liabilities)

          

  Hedged Assets/(Liabilities) 

Investment securities (1)

​

$

59,067

​

$

(933)

Total

​

$

59,067

​

$

(933)

__________________________

1)These amounts include the amortized cost basis of closed portfolios used in designated hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship.  At June 30, 2022, the amortized cost basis of the closed portfolios used in these hedging relationships was $244.7 million;  the cumulative basis adjustments associated with these hedging relationships was $933,000; and the amounts of the designated hedged items was $60.0 million.
Schedule of Derivative Instruments

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June 30, 2022

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Fair Value

Cash flow hedges:

    

Notional

    

Asset

    

Liability

Interest rate swaps - brokered deposits and borrowings

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$

90,000

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$

4,670

​

$

—

Fair value hedges:

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​

​

​

​

​

​

​

​

Interest rate swaps - securities

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$

60,000

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$

931

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$

—

Non-hedging derivatives:

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​

​

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Fallout adjusted interest rate lock commitments with customers

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​

43,792

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​

184

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​

—

Mandatory and best effort forward commitments with investors

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18,320

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518

​

 

—

Forward TBA mortgage-backed securities

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52,565

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203

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—

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December 31, 2021

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Fair Value

Cash flow hedges:

​

Notional

     

Asset

     

Liability

Interest rate swaps - brokered deposits and borrowings

​

$

90,000

​

$

1,168

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$

155

Non-hedging derivatives:

    

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Fallout adjusted interest rate lock commitments with customers

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71,890

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​

757

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—

Mandatory and best effort forward commitments with investors

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74,375

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808

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—

Forward TBA mortgage-backed securities

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111,000

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53

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—

Schedule of effect of fair value and cash flow hedge accounting on the income statement

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Three Months Ended

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Three Months Ended

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June 30, 2022

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June 30, 2021

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Interest Expense Deposits

  

Interest Income Securities

  

Interest Expense Deposits

  

Interest Income Securities

Total amounts presented in the Consolidated Statements of Income

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$

1,557

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$

1,670

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$

1,870

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$

1,313

Net gains (losses) on fair value hedging relationships

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Interest rate swaps - securities

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Recognized on hedged items

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$

—

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$

(933)

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$

—

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$

—

Recognized on derivatives designated as hedging instruments

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—

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831

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—

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—

Net income (expense) recognized on fair value hedges

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$

—

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$

(102)

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$

—

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$

—

Net gain (loss) on cash flow hedging relationships

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Interest rate swaps - brokered deposits and borrowings

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Realized gains (losses) (pre-tax) reclassified from AOCI into net income

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$

55

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$

—

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$

(124)

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$

—

Net income (expense) recognized on cash flow hedges

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$

55

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$

—

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$

(124)

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$

—

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Six Months Ended

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Six Months Ended

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June 30, 2022

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June 30, 2021

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Interest Expense Deposits

  

Interest Income Securities

  

Interest Expense Deposits

  

Interest Income Securities

Total amounts presented in the Consolidated Statements of Income

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$

2,842

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$

3,249

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$

3,852

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$

2,563

Net gains (losses) on fair value hedging relationships

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​

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​

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​

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​

Interest rate swaps - securities

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Recognized on hedged items

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$

—

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$

(933)

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$

—

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$

—

Recognized on derivatives designated as hedging instruments

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—

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​

831

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—

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—

Net income (expense) recognized on fair value hedges

​

$

—

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$

(102)

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$

—

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$

—

Net gain (loss) on cash flow hedging relationships

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​

​

​

​

​

​

​

​

​

​

​

Interest rate swaps - brokered deposits and borrowings

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​

​

​

​

​

​

​

​

​

​

​

Realized gains (losses) (pre-tax) reclassified from AOCI into net income

​

$

(46)

​

$

—

​

$

(238)

​

$

—

Net income (expense) recognized on cash flow hedges

​

$

(46)

​

$

—

​

$

(238)

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$

—

Schedule of offsetting derivative assets

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Gross Amounts

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Net Amounts of Assets

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Gross Amounts Not Offset

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Gross Amounts

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Offset in the

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Presented in the

​

in the Statement of Financial Position

Offsetting of Derivative Assets

 

of Recognized

​

Statement of

​

Statement of

​

Financial

​

Cash Collateral

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​

as of June 30, 2022

 

Assets

  

Financial Position

  

Financial Position

  

Instruments

  

Received

  

Net Amount

Interest rate swaps

 

$

5,601

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$

—

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$

5,601

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$

—

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$

—

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$

5,601

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as of December 31, 2021

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Interest rate swaps

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$

1,168

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$

—

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$

1,168

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$

—

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$

—

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$

1,168

Schedule of offsetting derivative liabilities

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Gross Amounts

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Net Amounts of

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Gross Amounts Not Offset

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Gross Amounts

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Offset in the

​

Liabilities

​

in the Statement of Financial Position

Offsetting of Derivative Liabilities

 

of Recognized

  

Statement of

  

Presented in the Statement

  

Financial

  

Cash Collateral

  

​

as of June 30, 2022

 

Liabilities

​

Financial Position

​

of Financial Position

​

Instruments

​

Posted

​

Net Amount

Interest rate swaps

 

$

—

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$

—

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$

—

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$

—

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$

—

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$

—

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as of December 31, 2021

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Interest rate swaps

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$

155

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$

—

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$

155

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$

—

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$

155

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$

—