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Derivative Financial Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2016
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) |  | June 30, 2016 |  | December 31, 2015 |  | June 30, 2016 |  | December 31, 2015
Fair value hedges: |  |  |  |  |  |  |  |
Interest rate contracts notional amount |  | $ | — |  |  | $ | 4,407 |  |  | $ | 22,527 |  |  | $ | 22,187 |
Interest rate contracts fair value 1 |  | $ | — |  |  | $ | 3 |  |  | $ | 2,721 |  |  | $ | 1,658 |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
| Three months ended
(in thousands) | June 30, 2016 | June 30, 2015
(Decrease) increase in value of designated interest rate swaps recognized in interest income | $ | (190 | ) | $ | 966 |
Payment on interest rate swaps recorded in interest income | (138 | ) | (233 | )
Increase (decrease) in value of hedged loans recognized in interest income | 240 |  | (1,023 | )
Decrease in value of yield maintenance agreement recognized against interest income | (11 | ) | (13 | )
Net loss on derivatives recognized against interest income 2 | $ | (99 | ) | $ | (303 | )
| Six months ended
(in thousands) | June 30, 2016 | June 30, 2015
(Decrease) increase in value of designated interest rate swaps recognized in interest income | $ | (1,066 | ) | $ | 420 |
Payment on interest rate swaps recorded in interest income | (313 | ) | (469 | )
Increase (decrease) in value of hedged loans recognized in interest income | 1,290 |  | (451 | )
Decrease in value of yield maintenance agreement recognized against interest income | (23 | ) | (27 | )
Net loss on derivatives recognized against interest income 2 | $ | (112 | ) | $ | (527 | )
1 See Note 3 for valuation methodology. 2 Includes hedge ineffectiveness gain of $39 thousand and loss of $70 thousand for the quarters ended June 30, 2016 and June 30, 2015, respectively. Ineffectiveness gain of $201 thousand and loss of $58 thousand was recorded in interest income during the six months ended June 30, 2016 and June 30, 2015, 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 exactly offset the change in the fair value of the hedged items from period to period.
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
|  | Gross Amounts | Net Amounts of | Gross Amounts Not Offset in |
| Gross Amounts | Offset in the | Assets Presented | the Statements of Condition |
| of Recognized | Statements of | in the Statements | Financial | Cash Collateral |
(in thousands) | Assets 1 | Condition | of Condition 1 | Instruments | Received | Net Amount
June 30, 2016 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
None | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |  | $ | — |
December 31, 2015 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 3 |  | $ | — |  | $ | 3 |  | $ | (3 | ) | $ | — |  | $ | — |
1 Amounts exclude accrued interest totaling zero and $1 thousand at June 30, 2016 and December 31, 2015, respectively.
Offsetting Liabilities |
Offsetting of Financial Liabilities and Derivative Liabilities |
|  | Gross Amounts | Net Amounts of | Gross Amounts Not Offset in |  |
| Gross Amounts | Offset in the | Liabilities Presented | the Statements of Condition |  |
| of Recognized | Statements of | in the Statements | Financial | Cash Collateral |  |
(in thousands) | Liabilities 2 | Condition | of Condition 2 | Instruments | Pledged | Net Amount |
June 30, 2016 |  |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |  |
Counterparty A | $ | 2,721 |  | $ | — |  | $ | 2,721 |  | $ | — |  | $ | (2,390 | ) | $ | 331 |  | 3
December 31, 2015 |  |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |  |
Counterparty A | $ | 1,390 |  | $ | — |  | $ | 1,390 |  | $ | (3 | ) | $ | (1,387 | ) | $ | — |  |
Counterparty B | 268 |  | — |  | 268 |  | — |  | (268 | ) | — |  |
Total | $ | 1,658 |  | $ | — |  | $ | 1,658 |  | $ | (3 | ) | $ | (1,655 | ) | $ | — |  |
2 Amounts exclude accrued interest totaling $16 thousand and $27 thousand at June 30, 2016 and December 31, 2015, respectively. 3 The under-collateralized position was covered subsequent to June 30, 2016.

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- Definition Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4A -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5618551-113959 + Details
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