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INTEREST RATE SWAPS | 6 Months Ended
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Jun. 30, 2023
INTEREST RATE SWAPS |
INTEREST RATE SWAPS | 13. INTEREST RATE SWAPS ​ Non-hedge Interest Rate Swaps ​ The Bank enters into interest rate swaps to facilitate client transactions and meet their financing needs. Upon entering into these instruments, the Bank enters into offsetting positions in order to minimize the Bank’s interest rate risk. These swaps are derivatives, but are not designated as hedging instruments, and therefore changes in fair value are reported in current year earnings. ​ Interest rate swap contracts involve the risk of dealing with counterparties and their ability to meet contractual terms. When the fair value of a derivative instrument contract is positive, this generally indicates that the counterparty or client owes the Bank, and results in credit risk to the Bank. When the fair value of a derivative instrument contract is negative, the Bank owes the client or counterparty, and therefore, has no credit risk. ​ A summary of the Bank’s interest rate swaps related to clients is included in the following table: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ |  | June 30, 2023 | ​ | December 31, 2022 | ​
​ | ​ | ​ | ​ | Notional | ​ | ​ | ​ | ​ | Notional | ​ | ​ | ​ | ​
(in thousands) |  | Bank Position | ​ | Amount |  | Fair Value |  | Amount |  | Fair Value | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Interest rate swaps with Bank clients - Assets |  | Pay variable/receive fixed |  | $ | 42,932 |  | $ | 1,224 |  | $ | 40,032 |  | $ | 1,386 | ​
Interest rate swaps with Bank clients - Liabilities |  | Pay variable/receive fixed |  | ​ | 100,126 |  | ​ | (6,605) |  | ​ | 91,636 | ​ | ​ | (6,742) | ​
Interest rate swaps with Bank clients - Total |  | Pay variable/receive fixed |  | $ | 143,058 |  | $ | (5,381) |  | $ | 131,668 |  | $ | (5,356) | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Offsetting interest rate swaps with institutional swap dealer - Assets | ​ | Pay fixed/receive variable | ​ | ​ | 100,126 | ​ | ​ | 6,605 | ​ | ​ | 91,636 | ​ | ​ | 6,742 | ​
Offsetting interest rate swaps with institutional swap dealer - Liabilities | ​ | Pay fixed/receive variable | ​ | ​ | 42,932 | ​ | ​ | (1,224) | ​ | ​ | 40,032 | ​ | ​ | (1,386) | ​
Offsetting interest rate swaps with institutional swap dealer - Total | ​ | Pay fixed/receive variable | ​ | $ | 143,058 |  | $ | 5,381 |  | $ | 131,668 |  | $ | 5,356 | ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
Total | ​ | ​ |  | $ | 286,116 | ​ | $ | — |  | $ | 263,336 | ​ | $ | — | ​
​ The Bank is required to pledge securities as collateral when the Bank is in a net loss position for all swaps with dealer counterparties when such net loss positions exceed $250,000. The fair value of cash or investment securities pledged as collateral by the Bank to cover such net loss positions totaled $4.9 million and $560,000 as of June 30, 2023 and December 31, 2022.

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