Derivative Financial Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2017

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)	March 31, 2017		December 31, 2016		March 31, 2017		December 31, 2016
Fair value hedges:
Interest rate contracts notional amount	$	4,168	$	4,217	$	15,324	$	15,495
Interest rate contracts fair value¹	$	70	$	55	$	837	$	933

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance



	Three months ended
(in thousands)	March 31, 2017			March 31, 2016
Increase (decrease) in value of designated interest rate swaps due to LIBOR interest rate movements recognized in interest income	$	111		$	(876	)
Payment on interest rate swaps recorded in interest income	(98		)	(174		)
(Decrease) increase in value of hedged loans recognized in interest income	(113		)	1,050
Decrease in value of yield maintenance agreement recognized against interest income	(4		)	(12		)
Net loss on derivatives recognized against interest income ²	$	(104	)	$	(12	)

¹See Note 3, Fair Value of Assets and Liabilities, for valuation methodology.

²Includes hedge ineffectiveness loss of $6 thousand and gain of $162 thousand for the quarters ended March 31, 2017 and March 31, 2016, 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
March 31, 2017
Derivatives by Counterparty:
Counterparty A	$	70	$	—	$	70	$	(70	)	$	—	$	—
December 31, 2016
Derivatives by Counterparty:
Counterparty A	$	55	$	—	$	55	$	(55	)	$	—	$	—

¹Amounts exclude accrued interest totaling $1 thousand at both March 31, 2017 and December 31, 2016, respectively.



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
March 31, 2017
Derivatives by Counterparty:
Counterparty A	$	837	$	—	$	837	$	(70	)	$	(767	)	$	—
December 31, 2016
Derivatives by Counterparty:
Counterparty A	$	933	$	—	$	933	$	(55	)	$	(878	)	$	—

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
March 31, 2017
Derivatives by Counterparty:
Counterparty A	$	837	$	—	$	837	$	(70	)	$	(767	)	$	—
December 31, 2016
Derivatives by Counterparty:
Counterparty A	$	933	$	—	$	933	$	(55	)	$	(878	)	$	—

²Amounts exclude accrued interest totaling $11 thousand and $12 thousand at March 31, 2017 and December 31, 2016, respectively.

For more information on how we account for our interest rate swaps, refer to Note 1 to the Consolidated Financial Statements included in our 2016 Form 10-K filed with the SEC on March 14, 2017.