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DERIVATIVES AND HEDGING ACTIVITIES | 6 Months Ended
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Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVES AND HEDGING ACTIVITIES | DERIVATIVES AND HEDGING ACTIVITIES The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swaps does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements. Interest rate swaps with notional amounts totaling $209.0 million and $109.0 million at June 30, 2023, and December 31, 2022, respectively, were designated as cash flow hedges of certain Federal Home Loan Bank (“FHLB”) advances and were determined to be highly effective during all periods presented. The Company expects the hedges to remain highly effective during the remaining terms of the swaps. Summary information about the interest-rate swaps designated as cash flow hedges as of period-end is as follows:
| June 30, 2023 |  | December 31, 2022
| (Dollars in thousands)
Notional amounts | $ | 209,000 |  |  | $ | 109,000 |
Weighted average pay rates | 2.53 | % |  | 1.46 | %
Weighted average receive rates | 5.25 | % |  | 4.61 | %
Weighted average maturity (in years) | 3.8 |  | 4.2
Gross unrealized gain included in other assets | $ | 12,527 |  |  | $ | 11,091 |
Gross unrealized loss included in other liabilities | 77 |  |  | — |
Unrealized gains, net | $ | 12,450 |  |  | $ | 11,091 |
At June 30, 2023, the Company held $11.9 million as cash collateral pledged from the counterparty for these interest-rate swaps and had no securities pledged to the counterparty. At December 31, 2022, the Company held $11.5 million as cash collateral pledged from the counterparty and had no securities pledged to the counterparty. Interest income or expense recorded on these swap transactions is reported as a component of interest expense on FHLB advances. Interest income during the three months ended June 30, 2023 totaled $1.3 million and interest expense for the three months ended June 30, 2022 totaled $146 thousand. Interest income during the six months ended June 30, 2023 totaled $2.4 million and interest expense for the six months ended June 30, 2022 totaled $468 thousand. At June 30, 2023, the Company expected $3.8 million of the unrealized gain to be reclassified as a reduction to interest expense during the remainder of 2023. Cash Flow Hedge The effect of cash flow hedge accounting on accumulated other comprehensive income for the three and six months ended June 30, 2023, and June 30, 2022, is as follows:
|  | Amount of Gain Recognized in OCI (Net of Tax) on Derivative (1) |  | Location of Gain (Loss) Reclassified from OCI into Income/(Expense) |  | Amount of Gain (Loss) Reclassified from OCI to Income/(Expense)
|  | (In thousands)
Three months ended June 30, 2023 |  |  |  |  |  |
Interest rate contracts |  | $ | 3,803 |  |  | Interest Expense |  | $ | 1,346 |
Three months ended June 30, 2022 |  |  |  |  |  |
Interest rate contracts |  | $ | 2,360 |  |  | Interest Expense |  | $ | (146) |
Six months ended June 30, 2023 |  |  |  |  |  |
Interest rate contracts |  | $ | 1,359 |  |  | Interest Expense |  | $ | 2,350 |
Six months ended June 30, 2022 |  |  |  |  |  |
Interest rate contracts |  | $ | 7,919 |  |  | Interest Expense |  | $ | (468) |
(1) Net of tax, adjusted for deferred tax valuation allowance.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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