Derivative Financial Instruments and Hedging Activities (Tables)

6 Months Ended

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 value¹	$	—	$	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	)

¹See Note 3 for valuation methodology.

²Includes 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)	Assets¹		Condition		of Condition¹		Instruments			Received		Net Amount
June 30, 2016
Derivatives by Counterparty:
None	$	—	$	—	$	—	$	—		$	—	$	—

December 31, 2015
Derivatives by Counterparty:
Counterparty A	$	3	$	—	$	3	$	(3	)	$	—	$	—

¹Amounts 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)	Liabilities²		Condition		of Condition²		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	)	$	—

²Amounts exclude accrued interest totaling $16 thousand and $27 thousand at June 30, 2016 and December 31, 2015, respectively.

³The under-collateralized position was covered subsequent to June 30, 2016.