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Derivative Financial Instruments and Hedging Activities (Tables)
 6 Months Ended
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 value1
 
$
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
 
 
Assets1
Condition
of Condition1
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
 
 
Liabilities2
Condition
Condition2
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.