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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 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:

  
June 30, 2021
  
   
Notional
Amount
    
Average
Maturity
(years)
    
Fair
Value
  
   
(Dollars in thousands)
  
                   
Fair value hedge designation
                  
Pay-fixed interest rate swap agreements - commercial
  
$
6,923
      
7.9
    
$
(516
)
Pay-fixed interest rate swap agreements - securities available for sale
    
148,895
      
6.3
      
2,654
  
Total
  
$
155,818
      
6.4
    
$
2,138
  
                         
No hedge designation
                        
Rate-lock mortgage loan commitments
  
$
165,181
      
0.1
    
$
4,356
  
Mandatory commitments to sell mortgage loans
    
124,141
      
0.1
      
(131
)
Interest rate swaption agreement
    
10,000
      
0.7
      
162
  
Pay-fixed interest rate swap agreements - commercial
    
154,934
      
4.6
      
(6,873
)
Pay-variable interest rate swap agreements - commercial
    
154,934
      
4.6
      
6,873
  
Pay-fixed interest rate swap agreements
    
15,000
      
0.2
      
(57
)
Interest rate cap agreements
    
120,000
      
1.4
      
16
  
Purchased options
    
1,777
      
0.2
      
71
  
Written options
    
1,777
      
0.2
      
(71
)
Total
  
$
747,744
      
2.2
    
$
4,346
  

 
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
Fair Values of Derivative Instruments

  
Asset Derivatives
    
Liability Derivatives
  
   
June 30,
2021
    
December 31,
2020
    
June 30,
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
    
$
2,654
    
Other assets
    
$
15
    
Other liabilities
    
$
516
    
Other liabilities
    
$
776
  
                                                                 
Derivatives not designated as hedging instruments
                                                                
Rate-lock mortgage loan commitments
  
Other assets
      
4,356
    
Other assets
      
7,020
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Mandatory commitments to sell mortgage loans
  
Other assets
      
-
    
Other assets
      
-
    
Other liabilities
      
131
    
Other liabilities
      
941
  
Interest rate swaption agreement
  
Other assets
      
162
    
Other assets
      
-
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Pay-fixed interest rate swap agreements - commercial
  
Other assets
      
45
    
Other assets
      
-
    
Other liabilities
      
6,918
    
Other liabilities
      
9,700
  
Pay-variable interest rate swap agreements - commercial
  
Other assets
      
6,918
    
Other assets
      
9,700
    
Other liabilities
      
45
    
Other liabilities
      
-
  
Pay-fixed interest rate swap agreements
  
Other assets
      
-
    
Other assets
      
-
    
Other liabilities
      
57
    
Other liabilities
      
295
  
Interest rate cap agreements
  
Other assets
      
16
    
Other assets
      
5
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Purchased options
  
Other assets
      
71
    
Other assets
      
42
    
Other liabilities
      
-
    
Other liabilities
      
-
  
Written options
  
Other assets
      
-
    
Other assets
      
-
    
Other liabilities
      
71
    
Other liabilities
      
42
  
             
11,568
              
16,767
              
7,222
              
10,978
  
Total derivatives
          
$
14,222
            
$
16,782
            
$
7,738
            
$
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 June 30,
  
   
Gain (Loss)
Recognized in
Other
Comprehensive Income (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
  
$
(92
)
  
$
(78
)
Pay-fixed interest rate swap agreement - Securities available for sale
                          
Interest on securities available for sale - tax - exempt
    
(2,234
)
    
-
  
Total
                                   
$
(2,326
)
  
$
(78
)
Cash Flow Hedges
                                            
Interest rate cap agreements
  
$
-
    
$
140
  
Interest expense
  
$
-
    
$
(180
)
                  
Pay-fixed interest rate swap agreements
    
-
      
(62
)
Interest expense
    
-
      
(81
)
                  
Total
  
$
-
    
$
78
      
$
-
    
$
(261
)
                  
                                                     
No hedge designation
                                                    
Rate-lock mortgage loan commitments
                                  
Net gains on mortgage loans
  
$
1,158
    
$
1,528
  
Mandatory commitments to sell mortgage loans
                                  
Net gains on mortgage loans
    
(1,027
)
    
1,472
  
Interest rate swaption agreement
                                  
Net gains on mortgage loans
    
(27
)
    
-
  
Pay-fixed interest rate swap agreements -  commercial
                                  
Interest income
    
(448
)
    
315
  
Pay-variable interest rate swap agreements - commercial
                                  
Interest income
    
448
      
(315
)
Pay-fixed interest rate swap agreements
                                  
Interest expense
    
120
      
-
  
Interest rate cap agreements
                                  
Interest expense
    
(4
)
    
(7
)
Purchased options
                                  
Interest expense
    
11
      
3
  
Written options
                                  
Interest expense
    
(11
)
    
(4
)
Total
                                           
$
220
    
$
2,992
  


Six Month Periods Ended June 30,
  
 
  
Gain (Loss)
Recognized in
Other
Comprehensive
Income (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
  
$
260
    
$
(624
)
Pay-fixed interest rate swap agreement - Securities available for sale
            
 
            
Interest on securities available for sale - tax - exempt
    
2,639
      
-
  
Total
                                   
$
2,899
    
$
(624
)
Cash Flow Hedges
                                            
Interest rate cap agreements
  
$
-
    
$
126
  
Interest expense
  
$
-
    
$
(233
)
                  
Pay-fixed interest rate swap agreements
    
-
      
(454
)
Interest expense
    
-
      
(103
)
                  
       Total
  
$
-
    
$
(328
)
 
  
$
-
    
$
(336
)
 
                
 
                
 
                
 
                
No hedge designation
                
 
                
 
                
Rate-lock mortgage loan commitments
                
 
                
Net gains on mortgage loans
  
$
(2,664
)
  
$
5,848
  
Mandatory commitments to sell mortgage loans
                
 
                
Net gains on mortgage loans
    
810
      
(482
)
Interest rate swaption agreement
                                  
Net gains on mortgage loans
    
(27
)
    
-
  
Pay-fixed interest rate swap agreements - commercial
                
 
                
Interest income
    
2,827
      
(7,858
)
Pay-variable interest rate swap agreements - commercial
                
 
                
Interest income
    
(2,827
)
    
7,858
  
Pay-fixed interest rate swap agreements
                                  
Interest expense
    
238
      
-
  
Interest rate cap agreements
                                  
Interest expense
    
11
      
(42
)
Purchased options
                
 
                
Interest expense
    
29
      
(101
)
Written options
                
 
                
Interest expense
    
(29
)
    
99
  
Total
                
 
                
           
  
$
(1,632
)
  
$
5,322