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Derivative Financial Instruments
 6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments Derivative Financial InstrumentsWe are required to record derivatives on our Condensed Consolidated Statements of Financial Condition as assets and liabilities measured at their fair value. The accounting for increases and decreases in the value of derivatives depends upon the use of derivatives and whether the derivatives qualify for hedge accounting.
Our derivative financial instruments according to the type of hedge in which they are designated follows:
June 30, 2023
Notional
Amount		Average
Maturity
(years)		Fair
Value
(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreement - commercial$6,219 5.9$464 
Pay-fixed interest rate swap agreements - securities available for sale148,895 4.419,530 
Pay-fixed interest rate swap agreements - installment95,000 3.2674 
Interest rate cap agreements - securities available for sale40,970 4.8954 
Total$291,084 4.1$21,622 
No hedge designation
Rate-lock mortgage loan commitments$42,599 0.1$7 
Mandatory commitments to sell mortgage loans62,623 0.1246 
Pay-fixed interest rate swap agreements - commercial318,781 5.916,178 
Pay-variable interest rate swap agreements - commercial318,781 5.9(16,178)
Pay-variable interest rate swap agreement40,000 0.1(12)
Total$782,784 4.8$241 
December 31, 2022
Notional
Amount		Average
Maturity
(years)		Fair
Value
(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreement - commercial$6,401 6.4$447 
Pay-fixed interest rate swap agreements - securities available for sale148,895 4.819,906 
Pay-fixed interest rate swap agreements - installment25,000 2.077 
Interest rate cap agreements - securities available for sale40,970 5.3931 
Total$221,266 4.6$21,361 
No hedge designation
Rate-lock mortgage loan commitments19,918 0.1(1,056)
Mandatory commitments to sell mortgage loans49,258 0.1315 
Pay-fixed interest rate swap agreements - commercial279,005 6.017,063 
Pay-variable interest rate swap agreements - commercial279,005 6.0(17,063)
Total$627,186 5.3$(741)

We have established management objectives and strategies that include interest-rate risk parameters for maximum fluctuations in net interest income and market value of portfolio equity. We monitor our interest rate risk position via simulation modeling reports. The goal of our asset/liability management efforts is to maintain profitable financial leverage within established risk parameters.

We have entered into pay-fixed interest rate swaps and caps to protect a portion of the fair value of a certain fixed rate commercial loan and certain installment loans (‘‘Fair Value Hedge – Portfolio Loans’’). As a result, changes in the fair values of the pay-fixed interest rate swap and caps are expected to offset changes in the fair values of the fixed rate
portfolio loans due to fluctuations in interest rates. We record the fair values of Fair Value Hedge – Portfolio Loans in accrued income and other assets and accrued expenses and other liabilities on our Condensed Consolidated Statements of Financial Condition. The hedged items (fixed rate commercial loan and certain fixed rate installment loans) are also recorded at fair value which offsets the adjustment to the Fair Value Hedge – Portfolio Loans. On an ongoing basis, we adjust our Condensed Consolidated Statements of Financial Condition to reflect the then current fair values of both the Fair Value Hedge – Portfolio Loans and the hedged items. The related gains or losses are reported in interest income – interest and fees on loans in our Condensed Consolidated Statements of Operations. During the second quarter of 2023 we terminated the interest rate cap that was previously hedging certain installment loans. The remaining unrealized loss on this terminated interest cap is being amortized into earnings over the original life of the interest rate cap.

We have entered into pay-fixed interest rate swap and interest rate cap agreements to protect a portion of the fair value of certain securities available for sale (‘‘Fair Value Hedge – AFS Securities’’). As a result, the change in the fair value of the pay-fixed interest rate swap and interest rate cap agreements is expected to offset a portion of the change in the fair value of the fixed rate securities available for sale due to fluctuations in interest rates. We record the fair value of Fair Value Hedge – AFS Securities in accrued income and other assets and accrued expenses and other liabilities on our Condensed Consolidated Statements of Financial Condition. The hedged items (fixed rate securities available for sale) are also recorded at fair value which offsets the adjustment to the Fair Value Hedge – AFS Securities. On an ongoing basis, we adjust our Condensed Consolidated Statements of Financial Condition to reflect the then current fair value of both the Fair Value Hedge – AFS Securities and the hedged item. The related gains or losses are reported in interest income – interest on securities – taxable and interest income – interest on securities – tax-exempt in our Condensed Consolidated Statements of Operations.
Certain financial derivative instruments have not been designated as hedges. The fair value of these derivative financial instruments has been recorded on our Condensed Consolidated Statements of Financial Condition and is adjusted on an ongoing basis to reflect their then current fair value. The changes in fair value of derivative financial instruments not designated as hedges are recognized in our Condensed Consolidated Statements of Operations.
In the ordinary course of business, we enter into rate-lock mortgage loan commitments with customers (“Rate-Lock Commitments”). These commitments expose us to interest rate risk. We also enter into mandatory commitments to sell mortgage loans (“Mandatory Commitments”) to reduce the impact of price fluctuations of mortgage loans held for sale and Rate-Lock Commitments. Mandatory Commitments help protect our loan sale profit margin from fluctuations in interest rates. The changes in the fair value of Rate-Lock Commitments and Mandatory Commitments are recognized currently as part of net gains on mortgage loans in our Condensed Consolidated Statements of Operations. We obtain market prices on Mandatory Commitments and Rate-Lock Commitments. Net gains on mortgage loans, as well as net income may be more volatile as a result of these derivative instruments, which are not designated as hedges.
We have a program that allows commercial loan customers to lock in a fixed rate for a longer period of time than we would normally offer for interest rate risk reasons. We will enter into a variable rate commercial loan and an interest rate swap agreement with a customer and then enter into an offsetting interest rate swap agreement with an unrelated party. The interest rate swap agreement fair values will generally move in opposite directions resulting in little or no net impact on our Condensed Consolidated Statements of Operations. All of the interest rate swap agreements - commercial in the table above with no hedge designation relate to this program.
We have entered into a no hedge designation pay-variable interest rate swap agreement in an attempt to manage the cost of certain funding liabilities. The changes in fair value of this no hedge pay-variable interest rate swap is recorded in non-interest expense-other in our Condensed Consolidated Statements of Operations.
The following tables illustrate the impact that the derivative financial instruments discussed above have on individual line items in the Condensed Consolidated Statements of Financial Condition for the periods presented:
Fair Values of Derivative Instruments
Asset DerivativesLiability Derivatives
June 30,
2023		December 31,
2022		June 30,
2023		December 31,
2022
Balance
Sheet
Location		Fair
Value		Balance
Sheet
Location		Fair
Value		Balance
Sheet
Location		Fair
Value		Balance
Sheet
Location		Fair
Value
(In thousands)
Derivatives designated as hedging instruments
Pay-fixed interest rate swap agreementsOther assets$20,668 Other assets$20,430 Other liabilities$— Other liabilities$— 
Interest rate cap agreementsOther assets954 Other assets931 Other liabilities— Other liabilities— 
21,622 21,361 — — 
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitmentsOther assets7 Other assets— Other liabilities— Other liabilities1,056 
Mandatory commitments to sell mortgage loansOther assets246 Other assets315 Other liabilities— Other liabilities— 
Pay-variable interest rate swap agreementOther assets— Other assets— Other liabilities12 Other liabilities— 
Pay-fixed interest rate swap agreements - commercialOther assets17,010 Other assets17,567 Other liabilities832 Other liabilities504 
Pay-variable interest rate swap agreements - commercialOther assets832 Other assets504 Other liabilities17,010 Other liabilities17,567 
18,095 18,386 17,854 19,127 
Total derivatives$39,717 $39,747 $17,854 $19,127 
The effect of derivative financial instruments on the Condensed Consolidated Statements of Operations follows:
Gain (loss) Recognized in Other
Comprehensive Income (Loss) (Effective Portion)		Location of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income (Effective Portion)Loss Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)Gain (Loss)
Recognized
in Income
Three Month
Periods Ended
June 30,		Three Month
Periods Ended
June 30,		Location of
Gain (Loss)
Recognized
in Income		Three Month
Periods Ended
June 30,
202320222023202220232022
(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreement - commercialInterest and fees on loans$118 $200 
Pay-fixed interest rate swap agreement - securities available for saleInterest on securities available for sale - tax - exempt2,368 3,501 
Pay-fixed interest rate swap agreement - InstallmentInterest and fees on loans1,018 — 
Interest rate cap agreements - securities available for sale$159 $— Interest on securities available for sale - tax - exempt$(68)$— Interest on securities available for sale - tax - exempt196 — 
Interest rate cap agreements - installment(152)— Interest and fees on loans— — Interest and fees on loans— — 
Total$7 $— $(68)$— $3,700 $3,701 
No hedge designation
Rate-lock mortgage loan commitmentsNet gains on mortgage loans$380 $(1,842)
Mandatory commitments to sell mortgage loansNet gains on mortgage loans677 (1,350)
Pay-fixed interest rate swap agreements - commercialInterest income4,689 $5,147 
Pay-variable interest rate swap agreements - commercialInterest income(4,689)(5,147)
Interest rate swaption agreementNet gains on mortgage loans— $— 
Pay-fixed interest rate swap agreements - mortgageNet gains on mortgage loans— 656 
Pay-variable interest rate swap agreementNon-interest expense - other6 $— 
Interest rate cap agreementsInterest expense— 23 
Total$1,063 $(2,513)
Gain (loss) Recognized in Other
Comprehensive Income (Loss) (Effective Portion)		Location of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income (Effective Portion)Loss Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)Gain (Loss)
Recognized
in Income
Six Month
Periods Ended
June 30,		Six Month
Periods Ended
June 30,		Location of
Gain (Loss)
Recognized
in Income		Six Month
Periods Ended
June 30,
202320222023202220232022
(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreement - commercialInterest and fees on loans$17 $576 
Pay-fixed interest rate swap agreement - securities available for saleInterest on securities available for sale - tax - exempt(376)11,048 
Pay-fixed interest rate swap agreement - InstallmentInterest and fees on loans597 — 
Interest rate cap agreements - securities available for sale$(413)$— Interest on securities available for sale - tax - exempt$(152)$— Interest on securities available for sale - tax - exempt247 — 
Interest rate cap agreements - installment— — Interest and fees on loans— — Interest and fees on loans(14)— 
Total$(413)$— $(152)$— $471 $11,624 
No hedge designation
Rate-lock mortgage loan commitmentsNet gains on mortgage loans$1,063 $(7,212)
Mandatory commitments to sell mortgage loansNet gains on mortgage loans(69)624 
Pay-fixed interest rate swap agreements - commercialInterest income(885)14,724 
Pay-variable interest rate swap agreements - commercialInterest income885 (14,724)
Interest rate swaption agreementNet gains on mortgage loans— (186)
Pay-fixed interest rate swap agreements - mortgageNet gains on mortgage loans— 1,283 
Pay-variable interest rate swap agreementNon-interest expense - other(12)— 
Interest rate cap agreementsInterest expense— 245 
Total$982 $(5,246)