Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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:

	March 31, 2021
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreements - commercial	$	7,005		8.1	$	(423	)
Pay-fixed interest rate swap agreements - securities available for sale		148,895		6.6		4,887
Total	$	155,900		6.7	$	4,464
No hedge designation
Rate-lock mortgage loan commitments	$	187,834		0.1	$	3,198
Mandatory commitments to sell mortgage loans		165,609		0.1		896
Pay-fixed interest rate swap agreements - commercial		149,328		4.3		(6,425	)
Pay-variable interest rate swap agreements - commercial		149,328		4.3		6,425
Pay-fixed interest rate swap agreements		25,000		0.3		(177	)
Interest rate cap agreements		135,000		1.5		20
Purchased options		2,193		0.4		60
Written options		2,193		0.4		(60	)
Total	$	816,485		1.9	$	3,937

	December 31, 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

Fair Value of Derivative Instruments

	Asset Derivatives								Liability Derivatives
	March 31, 2021				December 31, 2020				March 31, 2021				December 31, 2020
	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		$	4,887	Other assets		$	15	Other liabilities		$	423	Other liabilities		$	776
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitments	Other assets			3,198	Other assets		$	7,020	Other liabilities			-	Other liabilities		$	-
Mandatory commitments to sell mortgage loans	Other assets			896	Other assets			-	Other liabilities			-	Other liabilities			941
Pay-fixed interest rate swap agreements - commercial	Other assets			140	Other assets			-	Other liabilities			6,565	Other liabilities			9,700
Pay-variable interest rate swap agreements - commercial	Other assets			6,565	Other assets			9,700	Other liabilities			140	Other liabilities			-
Pay-fixed interest rate swap agreements	Other assets			-	Other assets			-	Other liabilities			177	Other liabilities			295
Interest rate cap agreements	Other assets			20	Other assets			5	Other liabilities			-	Other liabilities			-
Purchased options	Other assets			60	Other assets			42	Other liabilities			-	Other liabilities			-
Written options	Other assets			-	Other assets			-	Other liabilities			60	Other liabilities			42
				10,879				16,767				6,942				10,978
Total derivatives			$	15,766			$	16,782			$	7,365			$	11,754

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 March 31,
	Loss Recognized in Other Comprehensive Loss (Effective Portion)					Location of Loss Reclassified from Accumulated Other Comprehensive Income into Income (Effective		Loss Reclassified from Accumulated Other Comprehensive Income into Income (Effective Portion)					Location of Gain (Loss) Recognized		Gain (Loss) Recognized in Income
	2021		2020			Portion)		2021		2020			in Income		2021			2020
	(In thousands)
Fair Value Hedges							-							-
Pay-fixed interest rate swap agreement - Commercial loan													Interest and fees on loans		$	352		$	(546	)
Pay-fixed interest rate swap agreement - Securities available for sale													Interest on securities available for sale - tax-exempt			4,873			-
Total															$	5,225		$	(546	)
Cash Flow Hedges
Interest rate cap agreements	$	-	$	(14	)	Interest expense		$	-	$	(53	)
Pay-fixed interest rate swap agreements		-		(392	)	Interest expense			-		(22	)
Total	$	-	$	(406	)			$	-	$	(75	)
No hedge designation
Rate-lock mortgage loan commitments													Net gains on mortgage loans		$	(3,822	)	$	4,320
Mandatory commitments to sell mortgage loans													Net gains on mortgage loans			1,837			(1,954	)
Pay-fixed interest rate swap agreements -  commercial													Interest income			3,275			(8,173	)
Pay-variable interest rate swap agreements - commercial													Interest income			(3,275	)		8,173
Pay-fixed interest rate swap agreements													Interest expense			118			-
Interest rate cap agreements													Interest expense			15			(35	)
Purchased options													Interest expense			18			(104	)
Written options													Interest expense			(18	)		103
Total															$	(1,852	)	$	2,330