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DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 3 Months Ended
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Mar. 31, 2023
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, 2023 and December 31, 2022:
| March 31, 2023 |  | December 31, 2022
| 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 | $ | 100,000 |  |  | Other liabilities |  | $ | (654) |  |  | $ | 100,000 |  |  | Other liabilities |  | $ | (973) |
Total derivatives designated as hedging instruments |  |  |  |  | $ | (654) |  |  |  |  |  |  | $ | (973) |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | $ | 128,963 |  |  | Other assets |  | $ | 8,570 |  |  | $ | 128,385 |  |  | Other assets |  | $ | 10,437 |
Interest rate swaps | 128,963 |  |  | Other liabilities |  | (8,553) |  |  | 128,385 |  |  | Other liabilities |  | (10,262) |
Purchased Options – Rate Cap | 5,977 |  |  | Other assets |  | 19 |  |  | 6,000 |  |  | Other assets |  | 29 |
Written Options – Rate Cap | 5,977 |  |  | Other liabilities |  | (19) |  |  | 6,000 |  |  | Other liabilities |  | (29) |
Risk participations - sold credit protection | 29,158 |  |  | Other liabilities |  | (83) |  |  | 29,019 |  |  | Other liabilities |  | (69) |
Risk participations - purchased credit protection | 4,916 |  |  | Other assets |  | 19 |  |  | 4,941 |  |  | Other assets |  | 16 |
Interest rate lock commitments with customers | 2,044 |  |  | Other assets |  | 57 |  |  | 1,356 |  |  | Other assets |  | 35 |
Forward sale commitments | 1,053 |  |  | Other assets |  | 8 |  |  | 3,483 |  |  | Other assets |  | 140 |
Total derivatives not designated as hedging instruments |  |  |  |  | $ | 18 |  |  |  |  |  |  | $ | 297 |
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, 2023 and 2022:
|  |  | Amount of Gain Recognized in OCI on Derivative
|  |  | Three Months Ended March 31,
|  |  |  |  | 2023 |  | 2022
Derivatives in cash flow hedging relationships: |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | 319 |  |  | $ | — |
Total |  |  |  |  | $ | 319 |  |  | $ | — |
|  |  | Amount of Loss Reclassified from AOCI into Income |  | Location of Loss Recognized from AOCI into Income
|  |  | Three Months Ended March 31, |  |
|  |  |  |  | 2023 |  | 2022 |  |
Derivatives in cash flow hedging relationships: |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | — |  |  | $ | — |  |  | Interest income
Total |  |  |  |  | $ | — |  |  | $ | — |  |  |
|  |  | Amount of (Loss) Gain Recognized in Income |  | Location of Gain (Loss) Recognized in Income
|  |  | Three Months Ended March 31, |  |
|  |  |  |  | 2023 |  | 2022 |  |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |
Interest rate products |  |  |  |  | $ | (159) |  |  | $ | 37 |  |  | Other operating expenses
Risk participation agreements |  |  |  |  | (10) |  |  | 2 |  |  | Other operating expenses
Interest rate lock commitments with customers |  |  |  |  | 22 |  |  | (53) |  |  | Mortgage banking activities
Forward sale commitments |  |  |  |  | (132) |  |  | 300 |  |  | Mortgage banking activities
Total |  |  |  |  | $ | (279) |  |  | $ | 286 |  |  |
Summary of Interest Rate Swap Components | The following table is a summary of components for interest rate swaps designated as hedging instruments at March 31, 2023 and December 31, 2022. At March 31, 2023 and December 31, 2022, the Company had two interest rate derivatives designated as hedges instruments with a total notional value of $100.0 million.
| March 31, 2023 |  | December 31, 2022
Weighted average pay rate | 4.56 | % |  | 3.81 | %
Weighted average receive rate | 3.81 | % |  | 3.81 | %
Weighted average maturity in years | 1.0 |  | 1.2

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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4E -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624181-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5618551-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI https://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959 + Details
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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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&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 https://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959 + Details
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