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DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
 12 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
Cash Flow Hedge

During 2010, the Company entered into an interest rate swap to lock in a fixed rate as opposed to the contractual variable interest rate on certain junior subordinated debentures. The interest rate swap contract had a notional amount of $37.1 million and was hedging the variable rate on certain junior subordinated debentures described in Note 10 of the consolidated financial statements. The Company received a variable rate of the 90-day LIBOR rate plus 1.63% and paid a fixed rate of 4.11%. The swap matured in September 2020.

This contract was classified as a cash flow hedge of an exposure to changes in the cash flow of a recognized liability.  As a cash flow hedge, the change in fair value of a hedge that is deemed to be highly effective is recognized in other comprehensive income and the portion deemed to be ineffective is recognized in earnings.  Interest expense recorded on this swap transaction totaled $420,000 and $(10,000) during 2020 and 2019, respectively, and is reported as a component of interest expense on other borrowings.

Mortgage Banking Derivatives

The Company maintains a risk management program to manage interest rate risk and pricing risk associated with its mortgage lending activities. This program includes the use of forward contracts and other derivatives that are used to offset changes in value of the mortgage inventory due to changes in market interest rates. As a normal part of its operations, the Company enters into derivative contracts such as forward sale commitments and IRLCs to economically hedge risks associated with overall price risk related to IRLCs and mortgage loans held for sale carried at fair value. These mortgage banking derivatives are not designated in hedge relationships. At December 31, 2021, the Company had approximately $417.1 million of IRLCs and $1.94 billion of forward commitments for the future delivery of residential mortgage loans. The fair value of these mortgage banking derivatives was reflected as a derivative asset of $11.9 million and a derivative liability of $710,000. At December 31, 2020, the Company had approximately $1.20 billion of IRLCs and $2.13 billion of forward commitments for the future delivery of residential mortgage loans. The fair value of these mortgage banking derivatives was reflected as a derivative asset of $51.8 million and a derivative liability of $16.4 million. Fair values were estimated based on changes in mortgage interest rates from the date of the commitments. Changes in the fair values of these mortgage banking derivatives are included as a component of mortgage banking activity in the consolidated statements of income.

The net gains (losses) relating to free-standing mortgage banking derivative instruments used for risk management are summarized below as of December 31, 2021, 2020 and 2019.
(dollars in thousands)LocationDecember 31, 2021December 31, 2020December 31, 2019
Forward contracts related to mortgage loans held for saleMortgage banking activity$15,705 $(11,944)$(5,344)
Interest rate lock commitmentsMortgage banking activity$(39,816)$43,942 $(3,910)
The following table reflects the amount and market value of mortgage banking derivatives included in the consolidated balance sheets as of December 31, 2021 and 2020.
20212020
(dollars in thousands)Notional AmountFair ValueNotional AmountFair Value
Included in other assets:
Interest rate lock commitments$417,126 $11,940 $1,199,939 $51,756 
Total included in other assets$11,940 $51,756 
Included in other liabilities:
Forward contracts related to mortgage loans held for sale$1,935,237 $710 $2,128,000 $16,415 
Total included in other liabilities$710 $16,415