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Derivatives | 6 Months Ended
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Jun. 30, 2021
Derivatives [Abstract] |
Derivatives | NOTE 8 — DERIVATIVES The following table presents OFG’s derivatives at June 30, 2021 and December 31, 2020:
| June 30, |  | December 31,
| 2021 |  | 2020
| (In thousands)
Derivative liabilities: |  |  |  |  |
Interest rate swaps designated as cash flow hedges | $ | 1,293 |  | $ | 1,712
Interest Rate Swaps OFG enters into interest rate swap contracts to hedge the variability of future interest cash flows of forecasted wholesale borrowings attributable to changes in a predetermined variable index rate. The interest rate swaps effectively fix OFG’s interest payments on an amount of forecasted interest expense attributable to the variable index rate corresponding to the swap notional stated rate. These swaps are designated as cash flow hedges for the forecasted wholesale borrowing transactions and are properly documented as such; therefore, qualify for cash flow hedge accounting. Any gain or loss associated with the effective portion of the cash flow hedges is recognized in other comprehensive income and is subsequently reclassified into operations in the period during which the hedged forecasted transactions affect earnings. Changes in the fair value of these derivatives are recorded in accumulated other comprehensive income to the extent there is no significant ineffectiveness in the cash flow hedging relationships. Currently, OFG does not expect to reclassify any amount included in other comprehensive income related to these interest rate swaps to operations in the next twelve months. The following table shows a summary of these swaps and their terms at June 30, 2021:
|  | Notional |  | Fixed |  | Variable |  | Trade |  | Settlement |  | Maturity
Type |  | Amount |  | Rate |  | Rate Index |  | Date |  | Date |  | Date
|  | (In thousands) |  |  |  |  |  |  |  |  |  |
Interest Rate Swaps |  | $ | 29,380 |  | 2.4210% |  | 1-Month LIBOR |  | 07/03/13 |  | 07/03/13 |  | 08/01/23
|  | $ | 29,380 |  |  |  |  |  |  |  |  |  |
Accumulated unrealized losses of $1.3 million and $1.7 million were recognized in accumulated other comprehensive income related to the valuation of these swaps at June 30, 2021 and December 31, 2020, respectively, and the related liability is being reflected in the consolidated statements of financial condition. Interest Rate Caps OFG has entered into interest rate cap transactions with various clients with floating-rate debt who wish to protect their financial results against increases in interest rates. In these cases, OFG simultaneously enters into mirror-image interest rate cap transactions with financial counterparties. None of these cap transactions qualify for hedge accounting, and therefore, they are marked to market through earnings. As of June 30, 2021 and December 31, 2020, the outstanding total notional amount of interest rate caps was $26.4 million and $40.4 million, respectively. At both June 30, 2021 and December 31, 2020, the interest rate caps sold to clients represented a liability with zero value. At both June 30, 2021 and December 31, 2020, the interest rate caps purchased as mirror-images represented an asset of zero value.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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