Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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, 2022
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreements - commercial	$	6,666		7.1	$	(7	)
Pay-fixed interest rate swap agreements - securities available for sale		148,895		5.6		11,959
Total	$	155,561		5.7	$	11,952
No hedge designation
Rate-lock mortgage loan commitments	$	140,135		0.1	$	(3,230	)
Mandatory commitments to sell mortgage loans		111,010		0.1		1,906
Pay-fixed interest rate swap agreements - mortgage		22,000		7.5		627
Pay-fixed interest rate swap agreements - commercial		216,001		5.5		4,398
Pay-variable interest rate swap agreements - commercial		216,001		5.5		(4,398	)
Interest rate cap agreements		90,000		1.0		257
Total	$	795,147		3.3	$	(440	)

	December 31, 2021
	Notional Amount		Average Maturity (years)		Fair Value
	(Dollars in thousands)
Fair value hedge designation
Pay-fixed interest rate swap agreements - commercial	$	6,753		7.4	$	(384	)
Pay-fixed interest rate swap agreements - securities available for sale		148,895		5.8		4,413
Total	$	155,648		5.9	$	4,029
No hedge designation
Rate-lock mortgage loan commitments	$	129,846		0.1	$	2,140
Mandatory commitments to sell mortgage loans		97,737		0.1		(68	)
Interest rate swaption agreement		10,000		0.2		186
Pay-fixed interest rate swap agreements - commercial		207,080		5.7		(5,179	)
Pay-variable interest rate swap agreements - commercial		207,080		5.7		5,179
Interest rate cap agreements		90,000		1.3		35
Total	$	741,743		3.4	$	2,293

Fair Value of Derivative Instruments

 Fair Values of Derivative Instruments

	Asset Derivatives								Liability Derivatives
	March 31, 2022				December 31, 2021				March 31, 2022				December 31, 2021
	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		$	11,959	Other assets		$	4,413	Other liabilities		$	7	Other liabilities		$	384
Derivatives not designated as hedging instruments
Rate-lock mortgage loan commitments	Other assets			-	Other assets		$	2,140	Other liabilities			3,230	Other liabilities		$	-
Mandatory commitments to sell mortgage loans	Other assets			1,906	Other assets			-	Other liabilities			-	Other liabilities			68
Pay-fixed interest rate swap agreements - mortgage	Other assets			627	Other assets			-	Other liabilities			-	Other liabilities			-
Interest rate swaption agreement	Other assets			-	Other assets			186	Other liabilities			-	Other liabilities			-
Pay-fixed interest rate swap agreements - commercial	Other assets			5,103	Other assets			165	Other liabilities			705	Other liabilities			5,344
Pay-variable interest rate swap agreements - commercial	Other assets			705	Other assets			5,344	Other liabilities			5,103	Other liabilities			165
Interest rate cap agreements	Other assets			257	Other assets			35	Other liabilities			-	Other liabilities			-
				8,598				7,870				9,038				5,577
Total derivatives			$	20,557			$	12,283			$	9,045			$	5,961

Effect of Derivative Financial Instruments on Consolidated Statement of Operations

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

		Gain (Loss) Recognized in Income
	Location of  Gain (Loss)  Recognized  in Income	Three Month Periods Ended March 31,
		2022			2021
		(In thousands)
Fair Value Hedges
Pay-fixed interest rate swap ageement - commercial	Interest and fees on loans	$	376		$	352
Pay-fixed interest rate swap ageement - securities available for sale	Interest on securities available for sale - tax- exempt		7,547			4,873
Total		$	7,923		$	5,225
No hedge designation
Rate-lock mortgage loan commitments	Net gains on  mortgage loans	$	(5,370	)	$	(3,822	)
Mandatory commitments to sell mortgage loans	Net gains on  mortgage loans		1,974			1,837
Pay-fixed interest rate swap agreements -  mortgage	Net gains on mortgage loans		627			-
Interest rate swaption agreement	Net gains on mortgage loans		(186	)		-
Pay-fixed interest rate  swap agreements - commercial	Interest income		9,577			3,275
Pay-variable interest rate swap agreements - commercial	Interest income		(9,577	)		(3,275	)
Pay-fixed interest rate swap agreements	Interest expense		-			118
Interest rate cap agreements	Interest expense		222			15
Purchased options	Interest expense		-			18
Written options	Interest expense		-			(18	)
Total		$	(2,733	)	$	(1,852	)