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DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Fair Value of Derivative Instruments | The following table summarizes the fair value of the Company's derivative instruments at March 31, 2021 and December 31, 2020:
| March 31, 2021 |  | December 31, 2020
| Notional Amount |  | Balance Sheet Location |  | Fair Value |  | Notional Amount |  | Balance Sheet Location |  | Fair Value
Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps - balance sheet hedge | $ | 50,000 |  |  | Other liabilities |  | $ | (407) |  |  | $ | 50,000 |  |  | Other liabilities |  | $ | (1,234) |
Total derivatives designated as hedging instruments |  |  |  |  | $ | (407) |  |  |  |  |  |  | $ | (1,234) |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |
Interest rate swap - commercial borrower | $ | 30,467 |  |  | Other assets |  | $ | 377 |  |  | $ | 30,673 |  |  | Other assets |  | $ | 708 |
Interest rate swap - counterparty | 30,467 |  |  | Other liabilities |  | (360) |  |  | 30,673 |  |  | Other liabilities |  | (744) |
Interest rate lock commitments with customers | 23,680 |  |  | Other assets |  | 672 |  |  | 22,560 |  |  | Other assets |  | 673 |
Forward sale commitment | 11,310 |  |  | Other assets |  | 193 |  |  | 10,400 |  |  | Other liabilities |  | (61) |
Total derivatives not designated as hedging instruments |  |  |  |  | $ | 882 |  |  |  |  |  |  | $ | 576 |
Effect of Derivative Financial Instruments on OCI and Net Income | The following tables summarize the effect of the Company's derivative financial instruments on OCI and net income for the three months ended March 31, 2021 and 2020:
|  |  | Amount of Loss Recognized in OCI on Derivative
|  |  | Three Months Ended March 31,
|  |  |  |  | 2021 |  | 2020
Derivatives in cash flow hedging relationships: |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | 739 |  |  | $ | (1,259) |
Total |  |  |  |  | $ | 739 |  |  | $ | (1,259) |
|  |  | Amount of Loss Reclassified from AOCI into Income |  | Location of Loss Recognized from AOCI into Income
|  |  | Three Months Ended March 31, |  |
|  |  |  |  | 2021 |  | 2020 |  |
Derivatives in cash flow hedging relationships: |  |  |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | (87) |  |  | $ | (4) |  |  | Interest expense
Total |  |  |  |  | $ | (87) |  |  | $ | (4) |  |  |
|  |  | Amount of Gain (Loss) Recognized in Income |  | Location of Gain (Loss) Recognized in Income
|  |  | Three Months Ended March 31, |  |
|  |  |  |  | 2021 |  | 2020 |  |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | 52 |  |  | $ | — |  |  | Other operating expenses
Risk participation agreement |  |  |  |  | 4 |  |  | — |  |  | Other operating expenses
Interest rate lock commitments with customers |  |  |  |  | (1) |  |  | 332 |  |  | Mortgage banking activities
Forward sale commitment |  |  |  |  | 254 |  |  | (197) |  |  | Mortgage banking activities
Total |  |  |  |  | $ | 309 |  |  | $ | 135 |  |  |
Summary of Interest Rate Swap Components | The following table is a summary of interest rate swap components at March 31, 2021 and December 31, 2020:
| March 31, 2021 |  | December 31, 2020
Weighted average pay rate | 0.77 | % |  | 0.77 | %
Weighted average receive rate | 0.09 | % |  | 0.09 | %
Weighted average maturity in years | 3.9 |  | 4.2

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624163-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5580258-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41620-113959 Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579245-113959 Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41638-113959 Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41678-113959 Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=121590274&loc=d3e41641-113959 Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624171-113959 Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5579240-113959 + Details
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