Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Our derivative financial instruments according to the type of hedge in which they are designated follows:

	September 30, 2019
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)

Fair value hedge designation - Pay-fixed interest rate swap agreements	$	7,117		9.6	$	(391	)

Cash flow hedge designation
Pay-fixed interest rate swap agreements	$	25,000		1.8	$	(220	)
Interest rate cap agreements		150,000		2.8		318
Total	$	175,000		2.7	$	98

No hedge designation
Rate-lock mortgage loan commitments	$	79,446		0.1	$	2,051
Mandatory commitments to sell mortgage loans		137,315		0.1		(27	)
Pay-fixed interest rate swap agreements - commercial		141,427		5.4		(4,849	)
Pay-variable interest rate swap agreements - commercial		141,427		5.4		4,849
Purchased options		3,088		1.8		125
Written options		3,028		1.8		(124	)
Total	$	505,731		3.1	$	2,025

	December 31, 2018
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)
Cash flow hedge designation
Pay-fixed interest rate swap agreements	$	25,000		2.6	$	280
Interest rate cap agreements		150,000		3.6		2,245
Total	$	175,000		3.5	$	2,525

No hedge designation
Rate-lock mortgage loan commitments	$	32,473		0.1	$	687
Mandatory commitments to sell mortgage loans		57,583		0.1		(383	)
Pay-fixed interest rate swap agreements - commercial		94,451		5.5		405
Pay-variable interest rate swap agreements - commercial		94,451		5.5		(405	)
Purchased options		3,095		2.5		116
Written options		3,095		2.5		(116	)
Total	$	285,148		3.7	$	304

Fair Values of Derivative Instruments

	Asset Derivatives						Liability Derivatives
	September 30, 2019			December 31, 2018			September 30, 2019			December 31, 2018
	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 agreements	Other assets	$	-	Other assets	$	280	Other liabilities	$	611	Other liabilities	$	-
Interest rate cap agreements	Other assets		318	Other assets		2,245	Other liabilities		-	Other liabilities		-
			318			2,525			611			-
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitments	Other assets		2,051	Other assets		687	Other liabilities		-	Other liabilities		-
Mandatory commitments to sell mortgage loans	Other assets		-	Other assets		-	Other liabilities		27	Other liabilities		383
Pay-fixed interest rate swap agreements - commercial	Other assets		23	Other assets		1,116	Other liabilities		4,872	Other liabilities		711
Pay-variable interest rate swap agreements - commercial	Other assets		4,872	Other assets		711	Other liabilities		23	Other liabilities		1,116
Purchased options	Other assets		125	Other assets		116	Other liabilities		-	Other liabilities		-
Written options	Other assets		-	Other assets		-	Other liabilities		124	Other liabilities		116
			7,071			2,630			5,046			2,326
Total derivatives		$	7,389		$	5,155		$	5,657		$	2,326

The effect of derivative financial instruments on the Condensed Consolidated Statements of Operations follows:

Three Month Periods Ended September 30,
	Gain (Loss) Recognized in Other Comprehensive Income (Loss) (Effective Portion)					Location of Gain Reclassified from Accumulated Other Comprehensive Loss into Income (Effective	Gain Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)				Location of Gain (Loss) Recognized	Gain (Loss) Recognized in Income (1)
	2019			2018		Portion)	2019		2018		in Income (1)	2019			2018
	(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreements											Non-interest income-other	$	(188	)	$	-
Cash Flow Hedges
Interest rate cap agreements	$	(37	)	$	297	Interest expense	$	88	$	67	Interest expense	$	-		$	-
Pay-fixed interest rate swap agreements		(35	)		92	Interest expense		14		6	Interest expense		-			16
Total	$	(72	)	$	389		$	102	$	73		$	-		$	16

No hedge designation
Rate-lock mortgage loan commitments											Net gains on mortgage loans	$	(96	)	$	(318	)
Mandatory commitments to sell mortgage loans											Net gains on mortgage loans		307			415
Pay-fixed interest rate swap agreements - commercial											Interest income		(1,670	)		407
Pay-variable interest rate swap agreements - commercial											Interest income		1,670			(407	)
Purchased options											Interest income		(46	)		(45	)
Written options											Interest income		46			45
Total												$	211		$	97

(1)	For cash flow hedges, this location and amount refers to the ineffective portion.

Nine Month Periods Ended September 30,
	Gain (Loss) Recognized in Other Comprehensive Income (Loss) (Effective Portion)					Location of Gain Reclassified from Accumulated Other Comprehensive Loss into Income (Effective	Gain Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion)				Location of Gain (Loss) Recognized	Gain (Loss) Recognized in Income (1)
	2019			2018		Portion)	2019		2018		in Income (1)	2019			2018
	(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap agreements											Non-interest income-other	$	(391	)	$	-
Cash Flow Hedges
Interest rate cap agreements	$	(1,311	)	$	1,054	Interest expense	$	321	$	119	Interest expense	$	-		$	-
Pay-fixed interest rate swap agreements		(429	)		346	Interest expense		72		13	Interest expense		-			4
Total	$	(1,740	)	$	1,400		$	393	$	132		$	-		$	4

No hedge designation
Rate-lock mortgage loan commitments											Net gains on mortgage loans	$	1,364		$	354
Mandatory commitments to sell mortgage loans											Net gains on mortgage loans		356			145
Pay-fixed interest rate swap agreements - commercial											Interest income		(5,254	)		1,950
Pay-variable interest rate swap agreements - commercial											Interest income		5,254			(1,950	)
Purchased options											Interest expense		9			(144	)
Written options											Interest expense		(8	)		144
Total												$	1,721		$	499

(1)	For cash flow hedges, this location and amount refers to the ineffective portion.