DERIVATIVES AND HEDGING ACTIVITIES |
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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 increase net interest income and 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 $109.0 million at March 31, 2022 and December 31, 2021, were designated as cash flow hedges of certain Federal Home Loan Bank 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:
At March 31, 2022, the Company held $5.4 million as cash collateral pledged from the counterparty for these interest-rate swaps. At March 31, 2022, we had no securities pledged to the counterparty. See Footnote 2-Securities for the securities pledged at December 31, 2021. Interest expense recorded on these swap transactions totaled $322 thousand and $338 thousand during the three months ended March 31, 2022 and 2021, respectively, and is reported as a component of interest expense on FHLB advances. At March 31, 2022, the Company expected $113 thousand of the unrealized loss to be reclassified as an increase to interest expense during the remainder of 2022. Cash Flow Hedge The effect of cash flow hedge accounting on accumulated other comprehensive income for the three months ended March 31, 2022 and March 31, 2021 is as follows:
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