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DERIVATIVE FINANCIAL INSTRUMENTS (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Fair Value of Derivative Instruments
The following table summarizes the notional values and fair value of the Company's derivative instruments at December 31, 2023 and 2022:
December 31, 2023December 31, 2022
Notional AmountBalance Sheet LocationFair ValueNotional AmountBalance Sheet LocationFair Value
Derivatives designated as hedging instruments:
Cash flow hedge designation:
Interest rate swaps - FHLB advances$75,000 Other assets$135 n/an/an/a
Interest rate swaps - AFS securities$50,000 Other liabilities(426)$100,000 Other liabilities$(973)
Fair value hedge designation:
Interest rate swaps - commercial loans$100,000 Other liabilities(1,718)n/an/an/a
Total derivatives designated as hedging instruments$(2,009)$(973)
Derivatives not designated as hedging instruments:
Interest rate swaps$216,485 Other assets$11,157 $128,385 Other assets$10,437 
Interest rate swaps216,485 Other liabilities(11,253)128,385 Other liabilities(10,262)
Purchased options – rate cap5,909 Other assets8 6,000 Other assets29 
Written options – rate cap5,909 Other liabilities(8)6,000 Other liabilities(29)
Risk participations - sold credit protection32,722 Other liabilities(59)29,019 Other liabilities(69)
Risk participations - purchased credit protection11,035 Other assets28 4,941 Other assets16 
Interest rate lock commitments with customers2,181 Other assets55 1,356 Other assets35 
Forward sale commitments688 Other assets(4)3,483 Other assets140 
Total derivatives not designated as hedging instruments$(76)$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 at December 31, 2023, 2022 and 2021:
Amount of Gain (Loss) Recognized in OCI on Derivative
202320222021
Derivatives in cash flow hedging relationships:
Interest rate products$682 $(972)$473 
Total$682 $(972)$473 
Amount of Loss Reclassified from AOCI into IncomeLocation of Loss Recognized from AOCI into Income
202320222021
Derivatives in cash flow hedging relationships:
Interest rate products$— $— $(757)
Interest income / Interest expense (1)
Total$— $— $(757)
(1) For the year ended December 31, 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 consolidated statements of income.
Amount of (Loss) Gain Recognized in IncomeLocation of (Loss) Gain Recognized in Income
202320222021
Derivatives designated as hedging instruments
Fair value hedge designation:
Interest rate swaps - commercial loans 1
$4 n/an/aInterest income on loans
Derivatives not designated as hedging instruments:
Interest rate products$(232)$30 $41 Other operating expenses
Risk participation agreements(16)88 (2)Other operating expenses
Interest rate lock commitments with customers20 (318)(320)Mortgage banking activities
Forward sale commitments(144)88 113 Mortgage banking activities
Total derivatives not designated as hedging instruments$(372)$(113)$(168)
1 Amount includes the net of the change in the fair value of the interest rate swaps hedging commercial loans and the change in the carrying value included in the hedged commercial loans.
Summary of Interest Rate Swap Components
The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of hedged assets as of December 31, 2023.
Carrying Amounts of Hedged AssetsCumulative Amounts of Fair Value Hedging Adjustments Included in the Carrying Amounts of the Hedged Assets
2023202220232022
Commercial loans$100,000 $— $1,722 $— 
The following table is a summary of components for interest rate swap designated as hedging instruments at December 31, 2023 and 2022.
Weighted Average Pay RateWeighted Average Receive RateWeighted Average Maturity in Years
December 31, 2023
Cash flow hedge designation:
Interest rate swaps - FHLB advances3.49 %5.34 %4.3
Interest rate swaps - AFS securities5.34 %3.73 %0.7
Fair value hedge designation:
Interest rate swaps - commercial loans4.12 %5.34 %3.7
December 31, 2022
Cash flow hedge designation:
Interest rate swaps - AFS securities3.81 %3.81 %1.2