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Derivative Financial Instruments
 9 Months Ended
Sep. 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:
September 30, 2023
Notional
Amount		Average
Maturity
(years)		Fair
Value
(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreement - commercial$6,127 5.6$560 
Pay-fixed interest rate swap agreements - securities available for sale148,895 4.120,456 
Pay-fixed interest rate swap agreements - installment100,000 3.71,439 
Pay-fixed interest rate swap agreements - mortgage
75,000 4.9785 
Interest rate cap agreements - securities available for sale40,970 4.61,062 
Total$370,992 4.2$24,302 
Cash flow hedge designation
Interest rate floor agreements - commercial
$75,000 3.9$1,398 
No hedge designation
Rate-lock mortgage loan commitments$28,704 0.1$(140)
Mandatory commitments to sell mortgage loans41,034 0.1484 
Pay-fixed interest rate swap agreements - commercial348,825 5.821,757 
Pay-variable interest rate swap agreements - commercial348,825 5.8(21,757)
Total$767,388 5.3$344 
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 mortgage and 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 mortgage and 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 gain 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.
We have entered into interest rate floor agreements to manage the variability in future expected cash flows of certain commercial loans (‘‘Cash Flow Hedge – Portfolio Loans’’). We record the fair value of Cash Flow Hedge – Portfolio Loans in accrued income and other assets and accrued expenses and other liabilities on our Condensed Consolidated Statements of Financial Condition. The changes in the fair value of Cash Flow Hedge - Portfolio Loans are recorded in accumulated other comprehensive loss and are reclassified into the line item in our Condensed Consolidated Statements of Operations in which the hedged items are recorded in the same period the hedged items affect earnings. It is anticipated that $0.4 million of unrealized losses on Cash Flow Hedge - Portfolio Loans at September 30, 2023, will be reclassified into earnings over the next twelve months. The maximum term of any Cash Flow Hedge - Portfolio Loans at September 30, 2023 is 4.2 years.
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 had 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. This no hedge designation pay-variable interest rate swap agreement matured during the third quarter of 2023.
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
September 30,
2023		December 31,
2022		September 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$23,240 Other assets$20,430 Other liabilities$— Other liabilities$— 
Interest rate cap agreementsOther assets1,062 Other assets931 Other liabilities— Other liabilities— 
Interest rate floor agreements
Other assets1,398 Other assets— Other liabilities— Other liabilities— 
25,700 21,361 — — 
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitmentsOther assets— Other assets— Other liabilities140 Other liabilities1,056 
Mandatory commitments to sell mortgage loansOther assets484 Other assets315 Other liabilities— Other liabilities— 
Pay-fixed interest rate swap agreements - commercialOther assets22,400 Other assets17,567 Other liabilities643 Other liabilities504 
Pay-variable interest rate swap agreements - commercialOther assets643 Other assets504 Other liabilities22,400 Other liabilities17,567 
23,527 18,386 23,183 19,127 
Total derivatives$49,227 $39,747 $23,183 $19,127 
The effect of derivative financial instruments on the Condensed Consolidated Statements of Operations follows:
Loss Recognized in Other
Comprehensive Income (Loss) (Effective Portion)
Location of Loss Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Effective Portion)
Loss Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)Gain (Loss)
Recognized
in Income
Three Month
Periods Ended
September 30,		Three Month
Periods Ended
September 30,		Location of
Gain (Loss)
Recognized
in Income		Three Month
Periods Ended
September 30,
202320222023202220232022
(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreement - commercial
Interest and fees on loans$96 $292 
Pay-fixed interest rate swap agreements - securities available for sale
Interest on securities available for sale - tax - exempt926 5,881 
Pay-fixed interest rate swap agreements - Installment
Interest and fees on loans765 — 
Pay-fixed interest rate swap agreements - Mortgage
Interest and fees on loans785 — 
Interest rate cap agreements - securities available for sale$(25)$— Interest on securities available for sale - tax - exempt$(55)$— Interest on securities available for sale - tax - exempt39 — 
Interest rate cap agreements - installment— — Interest and fees on loans— — Interest and fees on loans— — 
Total$(25)$— $(55)$— $2,611 $6,173 
Cash Flow Hedges
Interest rate floor agreements - commercial
$(502)$— Interest and fees on loans$(17)$— Interest and fees on loans(17)— 
No hedge designation
Rate-lock mortgage loan commitmentsNet gains on mortgage loans$(147)$(1,284)
Mandatory commitments to sell mortgage loansNet gains on mortgage loans238 2,250 
Pay-fixed interest rate swap agreements - commercialInterest income5,579 $9,015 
Pay-variable interest rate swap agreements - commercialInterest income(5,579)(9,015)
Interest rate swaption agreementNet gains on mortgage loans— $— 
Pay-fixed interest rate swap agreements - mortgageNet gains on mortgage loans— (650)
Pay-variable interest rate swap agreementNon-interest expense - other— $— 
Interest rate cap agreementsInterest expense— — 
Total$91 $316 
Loss Recognized in Other
Comprehensive Income (Loss) (Effective Portion)
Location of Loss Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Effective Portion)
Loss Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)Gain (Loss)
Recognized
in Income
Nine Month
Periods Ended
September 30,		Nine Month
Periods Ended
September 30,		Location of
Gain (Loss)
Recognized
in Income		Nine Month
Periods Ended
September 30,
202320222023202220232022
(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreement - commercial
Interest and fees on loans$113 $868 
Pay-fixed interest rate swap agreements - securities available for sale
Interest on securities available for sale - tax - exempt550 16,929 
Pay-fixed interest rate swap agreements - Installment
Interest and fees on loans1,362 — 
Pay-fixed interest rate swap agreements - Mortgage
Interest and fees on loans785 — 
Interest rate cap agreements - securities available for sale$(438)$— Interest on securities available for sale - tax - exempt$(207)$— Interest on securities available for sale - tax - exempt286 — 
Interest rate cap agreements - installment— — Interest and fees on loans— — Interest and fees on loans(14)— 
Total$(438)$— $(207)$— $3,082 $17,797 
Cash Flow Hedges
Interest rate floor agreements - commercial
$(502)$— Interest and fees on loans$(17)$— Interest and fees on loans$(17)$— 
No hedge designation
Rate-lock mortgage loan commitmentsNet gains on mortgage loans$916 $(8,496)
Mandatory commitments to sell mortgage loansNet gains on mortgage loans169 2,874 
Pay-fixed interest rate swap agreements - commercialInterest income4,694 23,739 
Pay-variable interest rate swap agreements - commercialInterest income(4,694)(23,739)
Interest rate swaption agreementNet gains on mortgage loans— (186)
Pay-fixed interest rate swap agreements - mortgageNet gains on mortgage loans— 633 
Pay-variable interest rate swap agreementNon-interest expense - other(12)— 
Interest rate cap agreementsInterest expense— 245 
Total$1,073 $(4,930)