At March 31, 2022, the Company had approximately $27.3 million of interest rate lock commitments and $337.0 million of forward sales of mortgage backed securities. These commitments are considered derivatives. The Company had $65.4 million of interest rate lock commitments and $305.0 million of forward commitments at December 31, 2021.

The fair value of these mortgage banking derivatives are reflected by a derivative asset recorded in other assets in the Consolidated Statements of Financial Condition. The table below provides data about the carrying values of these derivative instrument assets:


	March 31, 2022		December 31, 2021
	(In Thousands)
Derivatives not designated as hedging instruments
Mortgage Banking Derivatives	$	9,923	$	2,336

The table below provides data about the amount of gains and losses recognized in income on derivative instruments not designated as hedging instruments. The difference in derivative carrying value at March 31, 2022 and 2021 represents a fair value adjustment that runs through mortgage banking income.


	Three Months Ended March 31,
	2022		2021
	(In Thousands)
Derivatives not designated as hedging instruments
Mortgage Banking Derivatives – Gain (Loss)	$	7,587	$	4,124

The Company maintains an interest rate protection program for commercial loan customers. Under this program, the Company provides a customer with a fixed rate loan while creating a variable rate asset for the Company by the customer entering into an interest rate swap with terms that match the loan. The Company offsets its risk exposure by entering into an offsetting interest rate swap with an unaffiliated institution. The Company had interest rate swaps associated with commercial loans with a notional value of $82.6 million and fair value of $2.3 million in other assets and $2.3 million in other liabilities at March 31, 2022. As of December 31, 2021, the Company had interest rate swaps associated with commercial loans with a notional value of $69.4 million and fair value of $1.3 million in other assets and $1.3 million in other liabilities. For the three months ended March 31, 2022 and 2021, $1,000 and $198,000, respectively, flowed through noninterest income.

In May 2021, the Company entered into derivative instruments designated as a cash flow hedge. For a derivative instrument that is designated and qualifies as a cash flow hedge, the change in fair value of the derivative instrument is reported as a component of other comprehensive income (loss) and reclassified into earnings in the same period or periods during which the hedged transaction affects earnings.

An interest rate swap with notional amount totaling $250.0 million as of March 31, 2022 was designated as a cash flow hedge to hedge the risk of variability in cash flows (future interest receipts) attributable to changes in the contractually specified LIBOR benchmark interest rate on the Company’s floating rate loan pool. The gross aggregate fair value of the swap of $16.2 million is recorded in other liabilities in the unaudited Consolidated

Balance Sheets at March 31, 2022, with changes in fair value recorded net of tax in other comprehensive income (loss). As of December 31, 2021, the gross aggregate fair value of the swap of $854,000 was recorded in other assets in the Consolidated Balance Sheets. A summary of the interest-rate swap designated as a cash flow hedge is presented below (dollars in thousands):


	March 31, 2022			December 31, 2021

Notional amount	$	250,000		$	250,000
Weighted average fixed receive rates		1.437	%		1.437	%
Weighted average variable 1-month LIBOR pay rates		0.438	%		0.089	%
Weighted average remaining maturity (in years)		9.0			9.3
Fair value	$	(16,180	)	$	854