XML 40 R29.htm IDEA: XBRL DOCUMENT v3.20.2
Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Financial Instruments [Abstract]  
Derivative Financial Instruments According to Type of Hedge Designation
Our derivative financial instruments according to the type of hedge in which they are designated follows:

  
June 30, 2020
  
   
Notional
Amount
    
Average
Maturity
(years)
    
Fair
Value
  
   
(Dollars in thousands)
  
                   
Fair value hedge designation - Pay-fixed interest rate swap agreements
  
$
7,117
      
8.9
    
$
(866
)
                         
Cash flow hedge designation - Pay-fixed interest rate swap agreements
  
$
25,000
      
1.1
    
$
(526
)
                         
No hedge designation
                        
Rate-lock mortgage loan commitments
  
$
187,358
      
0.1
    
$
7,260
  
Mandatory commitments to sell mortgage loans
    
222,745
      
0.1
      
(632
)
Pay-fixed interest rate swap agreements - commercial
    
144,828
      
4.8
      
(11,499
)
Pay-variable interest rate swap agreements - commercial
    
144,828
      
4.8
      
11,499
  
Interest rate cap agreements
    
150,000
      
2.1
      
20
  
Purchased options
    
2,908
      
1.0
      
40
  
Written options
    
2,848
      
1.0
      
(40
)
Total
  
$
855,515
      
2.0
    
$
6,648
  

 
December 31, 2019
  
   
Notional
Amount
    
Average
Maturity
(years)
    
Fair
Value
  
   
(Dollars in thousands)
  
Fair value hedge designation - Pay-fixed interest rate swap agreements
  
$
7,117
      
9.4
    
$
(242
)
                         
Cash flow hedge designation
                        
Pay-fixed interest rate swap agreements
  
$
25,000
      
1.6
    
$
(174
)
Interest rate cap agreements
    
150,000
      
2.6
      
214
  
Total
  
$
175,000
      
2.5
    
$
40
  
                         
No hedge designation
                        
Rate-lock mortgage loan commitments
  
$
49,268
      
0.1
    
$
1,412
  
Mandatory commitments to sell mortgage loans
    
95,363
      
0.1
      
(150
)
Pay-fixed interest rate swap agreements - commercial
    
153,946
      
5.5
      
(3,641
)
Pay-variable interest rate swap agreements - commercial
    
153,946
      
5.5
      
3,641
  
Purchased options
    
2,908
      
1.5
      
141
  
Written options
    
2,848
      
1.5
      
(139
)
Total
  
$
458,279
      
3.7
    
$
1,264
  
Fair Value of Derivative Instruments
Fair Values of Derivative Instruments

  
Asset Derivatives
    
Liability Derivatives
  
   
June 30,
2020
    
December 31,
2019
    
June 30,
2020
    
December 31,
2019
  
   
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
    
$
-
    
Other liabilities
    
$
1,392
    
Other liabilities
    
$
416
  
Interest rate cap agreements
  
Other assets
      
-
    
Other assets
      
214
    
Other liabilities
      
-
    
Other liabilities
      
-
  
             
-
              
214
              
1,392
              
416
  
                                                                 
Derivatives not designated as hedging instruments
                                                                
Rate-lock mortgage loan commitments
  
Other assets
      
7,260
    
Other assets
      
1,412
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Mandatory commitments to sell mortgage loans
  
Other assets
      
-
    
Other assets
      
-
    
Other liabilities
      
632
    
Other liabilities
      
150
  
Pay-fixed interest rate swap agreements - commercial
  
Other assets
      
-
    
Other assets
      
28
    
Other liabilities
      
11,499
    
Other liabilities
      
3,669
  
Pay-variable interest rate swap agreements - commercial
  
Other assets
      
11,499
    
Other assets
      
3,669
    
Other liabilities
      
-
    
Other liabilities
      
28
  
Interest rate cap agreements
  
Other assets
      
20
    
Other assets
      
-
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Purchased options
  
Other assets
      
40
    
Other assets
      
141
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Written options
  
Other assets
      
-
    
Other assets
      
-
    
Other liabilities
      
40
    
Other liabilities
      
139
  
             
18,819
              
5,250
              
12,171
              
3,986
  
Total derivatives
          
$
18,819
            
$
5,464
            
$
13,563
            
$
4,402
  
Effect of Derivative Financial Instruments on Consolidated Statement of Operations
The effect of derivative financial instruments on the Condensed Consolidated Statements of Operations follows:

Three Month Periods Ended June 30,
  
   
Gain (Loss)
Recognized in
Other
Comprehensive
Income
(Effective Portion)
  
Location of
Gain (Loss)
Reclassified
from
Accumulated
Other
Comprehensive
 Income (Loss) into
Income
(Effective
  
Gain (Loss)
Reclassified from
Accumulated Other
Comprehensive
Income (Loss)
into Income
(Effective Portion)
  
Location of
Gain (Loss)
Recognized
  
Gain (Loss)
Recognized
in Income
  
   
2020
    
2019
  
Portion)
  
2020
    
2019
  
 in Income
  
2020
    
2019
  
   
(In thousands)
  
Fair Value Hedges
                                        
Pay-fixed interest rate swap agreements
                          
Non-interest income-other
  
$
(78
)
  
$
(203
)
Cash Flow Hedges
                                            
Interest rate cap agreements
  
$
140
    
$
(489
)
Interest expense
  
$
(180
)
  
$
115
  
Interest expense
  
$
-
    
$
-
  
Pay-fixed interest rate swap agreements
    
(62
)
    
(267
)
Interest expense
    
(81
)
    
27
  
Interest expense
    
-
      
-
  
Total
  
$
78
    
$
(756
)
    
$
(261
)
  
$
142
      
$
-
    
$
-
  
                                                     
No hedge designation
                                                    
Rate-lock mortgage loan commitments
                                  
Net gains on mortgage loans
  
$
1,528
    
$
831
  
Mandatory commitments to sell mortgage loans
                                  
Net gains on mortgage loans
    
1,472
      
(125
)
Pay-fixed interest rate swap agreements -  commercial
                                  
Interest income
    
315
      
(2,437
)
Pay-variable interest rate swap agreements - commercial
                                  
Interest income
    
(315
)
    
2,437
  
Interest rate cap agreements
                                  
Interest expense
    
(7
)
    
-
  
Purchased options
                                  
Interest expense
    
3
      
(31
)
Written options
                                  
Interest expense
    
(4
)
    
30
  
Total
                                           
$
2,992
    
$
705
  


Six Month Periods Ended June 30,
  
 
  
Gain (Loss)
Recognized in
Other
Comprehensive
Income
(Effective Portion)
  
 Location of
 Gain (Loss)
 Reclassified
 from
 Accumulated
 Other
 Comprehensive
Income (Loss)
 into
 Income
 (Effective
  
Gain (Loss)
Reclassified from
Accumulated Other
Comprehensive
Income (Loss)
into Income
(Effective Portion)
  
 Location of
 Gain (Loss)
 Recognized
  
Gain (Loss)
Recognized
in Income
  
 
  
2020
    
2019
  
 Portion)
  
2020
    
2019
  
 in Income
  
2020
    
2019
  
 
  
(In thousands)
  
Fair Value Hedges
            
 
            
 
            
Pay-fixed interest rate swap agreements
            
 
            
Non-interest income-other
  
$
(624
)
  
$
(203
)
Cash Flow Hedges
Interest rate cap agreements
  
$
126
    
$
(1,274
)
Interest expense
  
$
(233
)
  
$
233
  
Interest expense
  
$
-
    
$
-
  
Pay-fixed interest rate swap agreements
    
(454
)
    
(394
)
Interest expense
    
(103
)
    
58
  
Interest expense
    
-
      
-
  
Total
  
$
(328
)
  
$
(1,668
)
 
  
$
(336
)
  
$
291
  
 
  
$
-
    
$
-
  
 
                
 
                
 
                
No hedge designation
                
 
                
 
                
Rate-lock mortgage loan commitments
                
 
                
Net gains on mortgage loans
  
$
5,848
    
$
1,460
  
Mandatory commitments to sell mortgage loans
                
 
                
Net gains on mortgage loans
    
(482
)
    
49
  
Pay-fixed interest rate swap agreements - commercial
                
 
                
Interest income
    
(7,858
)
    
(3,584
)
Pay-variable interest rate swap agreements - commercial
                
 
                
Interest income
    
7,858
      
3,584
  
Interest rate cap agreements
                                  
Interest expense
    
(42
)
    
-
  
Purchased options
                
 
                
Interest expense
    
(101
)
    
55
  
Written options
                
 
                
Interest expense
    
99
      
(54
)
Total
                
 
                
           
  
$
5,322
    
$
1,510