DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

12 Months Ended

Dec. 31, 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 at December 31 follow:

	2020
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreements - commercial	$	7,088		8.4	$	(776	)
Pay-fixed interest rate swap agreements - securities available for sale		41,950		7.1		15
Total	$	49,038		7.3	$	(761	)
No hedge designation
Rate-lock mortgage loan commitments	$	168,816		0.1	$	7,020
Mandatory commitments to sell mortgage loans		186,092		0.1		(941	)
Pay-fixed interest rate swap agreements - commercial		147,456		4.5		(9,700	)
Pay-variable interest rate swap agreements - commercial		147,456		4.5		9,700
Pay-fixed interest rate swap agreements		25,000		0.6		(295	)
Interest rate cap agreements		135,000		1.8		5
Purchased options		2,908		0.5		42
Written options		2,848		0.5		(42	)
Total	$	815,576		2.0	$	5,789

	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
	December 31,								December 31,
	2020				2019				2020				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		$	15	Other assets		$	-	Other liabilities		$	776	Other liabilities		$	416
Interest rate cap agreements	Other assets			-	Other assets			214	Other liabilities			-	Other liabilities			-
				15				214				776				416
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitments	Other assets			7,020	Other assets			1,412	Other liabilities		$	-	Other liabilities			-
Mandatory commitments to sell mortgage loans	Other assets			-	Other assets			-	Other liabilities			941	Other liabilities			150
Pay-fixed interest rate swap agreements - commercial	Other assets			-	Other assets			28	Other liabilities			9,700	Other liabilities			3,669
Pay-variable interest rate swap agreements - commercial	Other assets			9,700	Other assets			3,669	Other liabilities			-	Other liabilities			28
Pay-fixed interest rate swap agreements	Other assets			-	Other assets			-	Other liabilities			295	Other liabilities			-
Interest rate cap agreements	Other assets			5	Other assets			-	Other liabilities			-	Other liabilities			-
Purchased options	Other assets			42	Other assets			141	Other liabilities			-	Other liabilities			-
Written options	Other assets			-	Other assets			-	Other liabilities			42	Other liabilities			139
				16,767				5,250				10,978				3,986
Total derivatives			$	16,782			$	5,464			$	11,754			$	4,402

Effect of Derivative Financial Instruments on Consolidated Statement of Operations

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

Year Ended December 31,
	Gain (loss) Recognized in Other Comprehensive Income (Loss) (Effective Portion)									Location  Gain (Loss)  Reclassified  from  Accumulated  Other  Comprehensive Income (Loss)  into Income  (Effective  Portion)	Gain (Loss) Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Effective Portion)							Location of  Gain (Loss) Recognized  in Income(1)	Gain (Loss) Recognized in Income(1)
	2020			2019			2018				2020			2019		2018			2020			2019			2018
	(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap ageement - Commercial loan																		Interest and fees on loans	$	(534	)	$	(242	)	$	-
Pay-fixed interest rate swap agreements - Securities available for sale																		Interest on securities available for sale - tax-exempt		15			-			-
Total																			$	(519	)	$	(242	)	$	-
Cash Flow Hedges
Interest rate cap agreements	$	125		$	(1,211	)	$	(340	)	Interest expense	$	(1,885	)	$	363	$	206	Interest expense	$	-		$	-		$	-
Pay-fixed interest rate swap agreements		(479	)		(392	)		78		Interest expense		(654	)		62		31	Interest expense		-			-			(12	)
Total	$	(354	)	$	(1,603	)	$	(262	)		$	(2,539	)	$	425	$	237		$	-		$	-		$	(12	)
No hedge designation
Rate-lock mortgage loan commitments																		Net gains on mortgage loans	$	5,608		$	725		$	157
Mandatory commitments to sell mortgage loans																		Net gains on mortgage loans		(791	)		233			(420	)
Pay-fixed interest rate swap agreements - commercial																		Interest income		(6,059	)		(4,046	)		113
Pay-variable interest rate swap agreements -commercial																		Interest income		6,059			4,046			(113	)
Pay-fixed interest rate swap agreements																		Interest expense		231			-			-
Interest rate cap agreements																		Interest expense		(57	)		-			-
Purchased options																		Interest expense		(99	)		25			(206	)
Written options																		Interest expense		97			(23	)		206
Total																			$	4,989		$	960		$	(263	)

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