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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 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:

  
September 30, 2021
  
   
Notional
Amount
    
Average
Maturity
(years)
    
Fair
Value
  
   
(Dollars in thousands)
  
Fair value hedge designation
                  
Pay-fixed interest rate swap agreements - commercial
  
$
6,839
      
7.6
    
$
(453
)
Pay-fixed interest rate swap agreements - securities available for sale
    
148,895
      
6.1
      
3,271
  
Total
  
$
155,734
      
6.2
    
$
2,818
  
                         
No hedge designation
                        
Rate-lock mortgage loan commitments
  
$
184,611
      
0.1
    
$
3,535
  
Mandatory commitments to sell mortgage loans
    
158,546
      
0.1
      
448
  
Interest rate swaption agreement
    
10,000
      
0.5
      
164
  
Pay-fixed interest rate swap agreements - commercial
    
167,203
      
4.7
      
(5,965
)
Pay-variable interest rate swap agreements - commercial
    
167,203
      
4.7
      
5,965
  
Interest rate cap agreements
    
120,000
      
1.2
      
11
  
Purchased options
    
393
      
0.2
      
1
  
Written options
    
393
      
0.2
      
(1
)
Total
  
$
808,349
      
2.2
    
$
4,158
  

 
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
  
 
September 30,
2021
  
December 31,
2020
  
September 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
    
$
3,271
  
Other assets
    
$
15
  
Other liabilities
    
$
453
  
Other liabilities
    
$
776
  
                                                                 
Derivatives not designated as hedging instruments
                                                                
Rate-lock mortgage loan commitments
Other assets
      
3,535
  
Other assets
      
7,020
  
Other liabilities
      
-
  
Other liabilities
      
-
  
Mandatory commitments to sell mortgage loans
Other assets
      
448
  
Other assets
      
-
  
Other liabilities
      
-
  
Other liabilities
      
941
  
Interest rate swaption agreement
Other assets
      
164
  
Other assets
      
-
  
Other liabilities
      
-
  
Other liabilities
      
-
  
Pay-fixed interest rate swap agreements - commercial
Other assets
      
82
  
Other assets
      
-
  
Other liabilities
      
6,047
  
Other liabilities
      
9,700
  
Pay-variable interest rate swap agreements - commercial
Other assets
      
6,047
  
Other assets
      
9,700
  
Other liabilities
      
82
  
Other liabilities
      
-
  
Pay-fixed interest rate swap agreements
Other assets
      
-
  
Other assets
      
-
  
Other liabilities
      
-
  
Other liabilities
      
295
  
Interest rate cap agreements
Other assets
      
11
  
Other assets
      
5
  
Other liabilities
      
-
  
Other liabilities
      
-
  
Purchased options
Other assets
      
1
  
Other assets
      
42
  
Other liabilities
      
-
  
Other liabilities
      
-
  
Written options
Other assets
      
-
  
Other assets
      
-
  
Other liabilities
      
1
  
Other liabilities
      
42
  
             
10,288
              
16,767
              
6,130
              
10,978
  
Total derivatives
          
$
13,559
            
$
16,782
            
$
6,583
            
$
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 September 30,
  
 
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
  
$
63
    
$
6
  
Pay-fixed interest rate swap agreement - Securities available for sale
                  
Interest on securities available for sale - tax - exempt
    
617
      
-
  
Total
                                
$
680
    
$
6
  
Cash Flow Hedges
                                    
Interest rate cap agreements
  
$
-
    
$
-
  
Interest expense
  
$
-
    
$
(180
)
                  
Pay-fixed interest rate swap agreements
    
-
      
(26
)
Interest expense
    
-
      
(130
)
                  
Total
  
$
-
    
$
(26
)
    
$
-
    
$
(310
)
                  
No hedge designation
                                                    
Rate-lock mortgage loan commitments
                                  
Net gains on mortgage loans
  
$
(821
)
  
$
1,096
  
Mandatory commitments to sell mortgage loans
                                  
Net gains on mortgage loans
    
579
      
52
  
Interest rate swaption agreement
                                  
Net gains on mortgage loans
    
2
      
-
  
Pay-fixed interest rate swap agreements -  commercial
                                  
Interest income
    
908
      
688
  
Pay-variable interest rate swap agreements - commercial
                                  
Interest income
    
(908
)
    
(688
)
Pay-fixed interest rate swap agreements
                                  
Interest expense
    
57
      
117
  
Interest rate cap agreements
                                  
Interest expense
    
(5
)
    
(14
)
Purchased options
                                  
Interest expense
    
(70
)
    
(10
)
Written options
                                  
Interest expense
    
70
      
10
  
Total
                                                    
$
(188
)
  
$
1,251
  


Nine Month Periods Ended September 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
  
$
323
    
$
(618
)
Pay-fixed interest rate swap agreement - Securities available for sale
        
 
        
Interest on securities available for sale - tax - exempt
    
3,256
      
-
  
Total
                                          
$
3,579
    
$
(618
)
Cash Flow Hedges
                                    
Interest rate cap agreements
  
$
-
    
$
126
  
Interest expense
  
$
-
    
$
(413
)
                  
Pay-fixed interest rate swap agreements
    
-
      
(480
)
Interest expense
    
-
      
(233
)
                  
       Total
  
$
-
    
$
(354
)
 
  
$
-
    
$
(646
)
 
                
No hedge designation
                
 
                
 
                
Rate-lock mortgage loan commitments
                
 
                
Net gains on mortgage loans
  
$
(3,485
)
  
$
6,944
  
Mandatory commitments to sell mortgage loans
                
 
                
Net gains on mortgage loans
    
1,389
      
(430
)
Interest rate swaption agreement
                                  
Net gains on mortgage loans
    
(25
)
    
-
  
Pay-fixed interest rate swap agreements - commercial
                
 
                
Interest income
    
3,735
      
(7,170
)
Pay-variable interest rate swap agreements - commercial
                
 
                
Interest income
    
(3,735
)
    
7,170
  
Pay-fixed interest rate swap agreements
                                  
Interest expense
    
295
      
117
  
Interest rate cap agreements
                                  
Interest expense
    
6
      
(56
)
Purchased options
                
 
                
Interest expense
    
(41
)
    
(111
)
Written options
                
 
                
Interest expense
    
41
      
109
  
Total
                
 
                
                                              
  
$
(1,820
)
  
$
6,573