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Derivative Financial Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | Information on our derivatives follows:
|  | Asset derivatives |  | Liability derivatives
(in thousands; 2015 unaudited) |  | June 30, 2015 |  | December 31, 2014 |  | June 30, 2015 |  | December 31, 2014
Fair value hedges: |  |  |  |  |  |  |  |
Interest rate contracts notional amount |  | $ | 4,499 |  |  | $ | 4,589 |  |  | $ | 26,000 |  |  | $ | 26,899 |
Interest rate contracts fair value 1 |  | $ | 116 |  |  | $ | 61 |  |  | $ | 1,631 |  |  | $ | 1,996 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
| Three months ended
(in thousands; unaudited) | June 30, 2015 |  |  | June 30, 2014
Increase (decrease) in value of designated interest rate swaps recognized in interest income | $ | 966 |  |  |  | $ | (423 | )
Payment on interest rate swaps recorded in interest income | (233 | ) |  |  | (252 | )
(Decrease) increase in value of hedged loans recognized in interest income | (1,023 | ) |  |  | 453 |
Decrease in value of yield maintenance agreement recognized against interest income | (13 | ) |  |  | (15 | )
Net loss on derivatives recognized against interest income 2 | $ | (303 | ) |  |  | $ | (237 | )
| Six months ended
(in thousands; unaudited) | June 30, 2015 |  | June 30, 2014
Increase in value of designated interest rate swaps recognized in interest income | $ | 420 |  |  | $ | 313 |
Payment on interest rate swaps recorded in interest income | (469 | ) |  | (505 | )
Decrease in value of hedged loans recognized in interest income | (451 | ) |  | (78 | )
Decrease in value of yield maintenance agreement recognized against interest income | (27 | ) |  | (62 | )
Net loss on derivatives recognized against interest income 2 | $ | (527 | ) |  | $ | (332 | )
1 See Note 3 for valuation methodology. 2 Includes hedge ineffectiveness loss of $70 thousand and gain of $15 thousand for the quarters ended June 30, 2015 and June 30, 2014, respectively. Ineffectiveness loss of $58 thousand and gain of $173 thousand was recorded in interest income during the six months ended June 30, 2015 and June 30, 2014, respectively. Changes in value of swaps were included in the assessment of hedge effectiveness. Hedge ineffectiveness is the measure of the extent to which the change in the fair value of the hedging instruments does not offset the change in the fair value of the hedged items.
Offsetting Assets | Information on financial instruments that are eligible for offset in the consolidated statements of condition follows:
Offsetting of Financial Assets and Derivative Assets
(in thousands; 2015 unaudited) |  |  | Gross Amounts Not Offset in the Statements of Condition |
|  | Gross Amounts | Net Amounts |  |  |
| Gross Amounts | Offset in the | of Assets Presented |  |  |
| of Recognized | Statements of | in the Statements | Financial | Cash Collateral |
| Assets 1 | Condition | of Condition 1 | Instruments | Received | Net Amount
As of June 30, 2015 |  |  |  |  |  |
Derivatives by Counterparty |  |  |  |  |  |
Counterparty A | $ | 116 |  | $ | — |  | $ | 116 |  | $ | (116 | ) | $ | — |  | $ | — |
Counterparty B | — |  | — |  | — |  | — |  | — |  | — |
Total | $ | 116 |  | $ | — |  | $ | 116 |  | $ | (116 | ) | $ | — |  | $ | — |
As of December 31, 2014 |  |  |  |  |  |
Derivatives by Counterparty |  |  |  |  |  |
Counterparty A | $ | 61 |  | $ | — |  | $ | 61 |  | $ | (61 | ) | $ | — |  | $ | — |
Counterparty B | — |  | — |  | — |  | — |  | — |  | — |
Total | $ | 61 |  | $ | — |  | $ | 61 |  | $ | (61 | ) | $ | — |  | $ | — |
1 Amounts exclude accrued interest totaling $1 thousand at both June 30, 2015 and December 31, 2014, respectively.
Offsetting Liabilities |
Offsetting of Financial Liabilities and Derivative Liabilities
(in thousands; 2015 unaudited) |  |  | Gross Amounts Not Offset in the Statements of Condition |
|  | Gross Amounts | Net Amounts of |  |  |
| Gross Amounts | Offset in the | Liabilities Presented |  |  |
| of Recognized | Statements of | in the Statements of | Financial | Cash Collateral |
| Liabilities 2 | Condition | Condition 2 | Instruments | Pledged | Net Amount
As of June 30, 2015 |  |  |  |  |  |
Derivatives by Counterparty |  |  |  |  |  |
Counterparty A | $ | 1,301 |  | $ | — |  | $ | 1,301 |  | $ | (116 | ) | $ | (1,185 | ) | $ | — |
Counterparty B | 330 |  | — |  | 330 |  | — |  | (330 | ) | — |
Total | $ | 1,631 |  | $ | — |  | $ | 1,631 |  | $ | (116 | ) | $ | (1,515 | ) | $ | — |
As of December 31, 2014 |  |  |  |  |  |
Derivatives by Counterparty |  |  |  |  |  |
Counterparty A | $ | 1,616 |  | $ | — |  | $ | 1,616 |  | $ | (61 | ) | $ | (1,360 | ) | $ | 195 |
Counterparty B | 380 |  | — |  | 380 |  | — |  | (380 | ) | — |
Total | $ | 1,996 |  | $ | — |  | $ | 1,996 |  | $ | (61 | ) | $ | (1,740 | ) | $ | 195 |
2 Amounts exclude accrued interest totaling $35 thousand and $40 thousand at June 30, 2015 and December 31, 2014, respectively.

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