XML 34 R24.htm IDEA: XBRL DOCUMENT v3.5.0.2
Derivative Financial Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 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)
September 30, 2016
December 31, 2015
 
September 30, 2016
December 31, 2015
Fair value hedges:
 
 
 
 
 
Interest rate contracts notional amount
$
—

$
4,407

 
$
19,928

$
22,187

Interest rate contracts fair value1
$
—

$
3

 
$
2,480

$
1,658
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
 
Three months ended
(in thousands)
September 30, 2016
September 30, 2015
Increase (decrease) in value of designated interest rate swaps recognized in interest income
$
241

$
(813
)
Payment on interest rate swaps recorded in interest income
(132
)
(231
)
(Decrease) increase in value of hedged loans recognized in interest income
(268
)
905

Decrease in value of yield maintenance agreement recognized against interest income
(67
)
(13
)
Net loss on derivatives recognized against interest income 2
$
(226
)
$
(152
)
 
Nine months ended
(in thousands)
September 30, 2016
September 30, 2015
Decrease in value of designated interest rate swaps recognized in interest income
$
(825
)
$
(393
)
Payment on interest rate swaps recorded in interest income
(445
)
(700
)
Increase in value of hedged loans recognized in interest income
1,022

453

Decrease in value of yield maintenance agreement recognized against interest income
(90
)
(39
)
Net loss on derivatives recognized against interest income 2
$
(338
)
$
(679
)

1 See Note 3 for valuation methodology.
2 Includes hedge ineffectiveness loss of $94 thousand and gain of $79 thousand for the quarters ended September 30, 2016 and September 30, 2015, respectively. Ineffectiveness gains of $107 thousand and $21 thousand were recorded in interest income during the nine months ended September 30, 2016 and September 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
September 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 September 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
September 30, 2016
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
2,480

$
—

$
2,480

$
—

$
(2,480
)
$
—

 
 
 
 
 
 
 
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 $15 thousand and $27 thousand at September 30, 2016 and December 31, 2015, respectively.