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Derivatives | 9 Months Ended
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Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Note 5 - Derivatives The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swap does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements. Interest rate swaps were entered into on August 24, 2015, December 30, 2014 and October 15, 2014 each with a respective notional amount of $25 million and were designated as cash flow hedges of a Federal Home Loan Bank advance. The swaps were determined to be fully effective during the period presented and therefore no amount of ineffectiveness has been included in net income while the aggregate fair value of the swaps is recorded in other assets (liabilities) with changes in fair value recorded in other comprehensive income (loss). The amount included in accumulated other comprehensive income (loss) would be reclassified to current earnings should the hedges no longer be considered effective. The Company expects the hedges to remain fully effective during the remaining term of the swaps. Summary information about the interest rate swaps designated as cash flow hedges as of September 30, 2016, December 31, 2015 and September 30, 2015 are presented in the following table.
| September 30, |  | December 31, |  | September 30,
(dollars in thousands) | 2016 |  | 2015 |  | 2015
Notional amount | $ | 75,000 |  |  | $ | 75,000 |  |  | $ | 75,000 |
Weighted average pay rates |  | 1.58 | % |  |  | 1.56 | % |  |  | 1.56 | %
Weighted average receive rates |  | 0.70 | % |  |  | 0.44 | % |  |  | 0.30 | %
Weighted average maturity |  | 3.1 years |  |  |  | 3.8 years |  |  |  | 4.1 years |
Fair value | $ | (1,212 | ) |  | $ | (131 | ) |  | $ | (1,105 | )
Interest expense recorded on these swap transactions totaled approximately $167,000 and $534,000 for the three and nine months ended September 30, 2016 and approximately $165,000 and $331,000 for the three and nine months ended September 30, 2015. Cash Flow Hedge The following table presents the net gains (losses), recorded in other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the following periods:
|  | Nine Months Ended September 30, 2016
|  | Amount of loss |  | Amount of loss |  | Amount of loss
|  | recognized |  | reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
(in thousands) |  | Portion) |  | interest income |  | (Ineffective Portion)
Interest rate contracts |  | $ | (640) |  | $ | - |  | $ | -
|  | Nine Months Ended September 30, 2015
|  | Amount of loss |  | Amount of loss |  | Amount of loss
|  | recognized |  | reclassified |  | recognized in other
|  | in OCI (Effective |  | from OCI to |  | Noninterest income
(in thousands) |  | Portion) |  | interest income |  | (Ineffective Portion)
Interest rate contracts |  | $ | (1,153) |  | $ | - |  | $ | -
The following table reflects the cash flow hedges included in the consolidated statements of condition as of September 30, 2016 and December 31, 2015:
| September 30, 2016 |  | December 31, 2015
| Notional |  |  |  |  |  | Notional |  |  |  |
(in thousands) | Amount |  | Fair Value |  | Amount |  | Fair Value
Interest rate swaps related to FHLB Advances included in Assets | $ | 75,000 |  | $ | (1,212 | ) |  | $ | 75,000 |  | $ | (131 | )

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