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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 9 Months Ended
Sep. 30, 2022
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 September 30, 2022 and December 31, 2021:
September 30, 2022December 31, 2021
Notional AmountBalance Sheet LocationFair ValueNotional AmountBalance Sheet LocationFair Value
Derivatives designated as hedging instruments:
Interest rate swaps - balance sheet hedge$100,000 Other liabilities$(562)$— $— 
Total derivatives designated as hedging instruments$(562)$— 
Derivatives not designated as hedging instruments:
Interest rate swaps$103,206 Other assets$10,987 $37,915 Other assets$764 
Interest rate swaps103,206 Other liabilities(10,672)37,915 Other liabilities(758)
Risk participation - sold credit protection15,855 Other liabilities— 15,855 Other liabilities(2)
Risk participation - purchased credit protection4,966 Other assets17 — Not applicable— 
Interest rate lock commitments with customers3,516 Other assets88 16,604 Other assets353 
Forward sale commitments1,997 Other assets73 8,665 Other assets52 
Total derivatives not designated as hedging instruments$493 $409 
Effect of Derivative Financial Instruments on OCI and Net Income
The following tables summarize the effect of the Company's derivative financial instruments on OCI and net income for the three and nine months ended September 30, 2022 and 2021:
Amount of Loss Recognized in OCI on DerivativeAmount of (Loss) Gain Recognized in OCI on Derivative
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
Derivatives in cash flow hedging relationships:
Interest rate products$(562)$(183)$(562)$473 
Total$(562)$(183)$(562)$473 

Amount of Loss Reclassified from AOCI into IncomeAmount of Loss Reclassified from AOCI into IncomeLocation of Loss Recognized from AOCI into Income
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
Derivatives in cash flow hedging relationships:
Interest rate products$— $(581)$— $(757)Interest Income (1) / Interest Expense (2)
Total$— $(581)$— $(757)
(1) For interest rate swaps designated as cash flow hedges entered into during the three and nine months ended September 30, 2022, the amount of loss reclassified from AOCI will be recorded to other income in the unaudited condensed consolidated statements of income.
(2) During the three and nine months ended September 30, 2021, the Company terminated its interest rate swap designated as a hedging instrument with a notional value of $50.0 million. The Company recorded a $514 thousand loss in other operating expenses in the unaudited condensed consolidated statements of income.
Amount of (Loss) Gain Recognized in IncomeAmount of Gain (Loss) Recognized in IncomeLocation of Gain (Loss) Recognized in Income
Three Months Ended September 30,Nine Months Ended September 30,
2022202120222021
Derivatives not designated as hedging instruments:
Interest rate products$179 $8 $309 $44 Other operating expenses
Risk participation agreements(11)1 19 (3)Other operating expenses
Interest rate lock commitments with customers(99)89 (265)(128)Mortgage banking activities
Forward sale commitments(610)1 21 84 Mortgage banking activities
Total$(540)$99 $84 $(3)
Summary of Interest Rate Swap Components
The following table is a summary of components for interest rate swaps designated as cash flow hedges at September 30, 2022. At September 30, 2022, the Company had two interest rate derivatives designated as cash flow hedges with a total notional value of $100.0 million.
September 30, 2022
Weighted average pay rate2.86 %
Weighted average receive rate3.81 %
Weighted average maturity in years1.5