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Derivative Financial Instruments and Hedging Activities (Tables) | 9 Months Ended
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Sep. 30, 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) | September 30, 2017 | December 31, 2016 |  | September 30, 2017 | December 31, 2016
Fair value hedges: |  |  |  |  |
Interest rate contracts notional amount | $ | 4,070 |  | $ | 4,217 |  |  | $ | 14,984 |  | $ | 15,495 |
Interest rate contracts fair value 1 | $ | 38 |  | $ | 55 |  |  | $ | 909 |  | $ | 933 |
|  | Three months ended
(in thousands) |  | September 30, 2017 | September 30, 2016
Increase in value of designated interest rate swaps due to LIBOR interest rate movements recognized in interest income |  | $ | 25 |  | $ | 241 |
Payment on interest rate swaps recorded in interest income |  | $ | (76 | ) | $ | (132 | )
Decrease in value of hedged loans recognized in interest income |  | $ | (43 | ) | $ | (268 | )
Decrease in value of yield maintenance agreement recognized against interest income |  | $ | (4 | ) | $ | (67 | )
Net loss on derivatives recognized against interest income 2 |  | $ | (98 | ) | $ | (226 | )
|  |  |  | Nine months ended
(in thousands) |  | September 30, 2017 | September 30, 2016
Increase (decrease) in value of designated interest rate swaps due to LIBOR interest rate movements recognized in interest income |  | $ | 7 |  | $ | (825 | )
Payment on interest rate swaps recorded in interest income |  | $ | (261 | ) | $ | (445 | )
Increase in value of hedged loans recognized in interest income |  | $ | 35 |  | $ | 1,022 |
Decrease in value of yield maintenance agreement recognized against interest income |  | $ | (11 | ) | $ | (90 | )
Net loss on derivatives recognized against interest income 2 |  | $ | (230 | ) | $ | (338 | )
1 See Note 3, Fair Value of Assets and Liabilities, for valuation methodology. 2 Includes hedge ineffectiveness loss of $22 thousand and loss of $94 thousand for the quarters ended September 30, 2017 and September 30, 2016, respectively. Ineffectiveness gain of $31 thousand and gain of $107 thousand were recorded in interest income during the nine months ended September 30, 2017 and September 30, 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.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | Information on our derivatives follows:
| Asset derivatives |  | Liability derivatives
(in thousands) | September 30, 2017 | December 31, 2016 |  | September 30, 2017 | December 31, 2016
Fair value hedges: |  |  |  |  |
Interest rate contracts notional amount | $ | 4,070 |  | $ | 4,217 |  |  | $ | 14,984 |  | $ | 15,495 |
Interest rate contracts fair value 1 | $ | 38 |  | $ | 55 |  |  | $ | 909 |  | $ | 933 |
|  | Three months ended
(in thousands) |  | September 30, 2017 | September 30, 2016
Increase in value of designated interest rate swaps due to LIBOR interest rate movements recognized in interest income |  | $ | 25 |  | $ | 241 |
Payment on interest rate swaps recorded in interest income |  | $ | (76 | ) | $ | (132 | )
Decrease in value of hedged loans recognized in interest income |  | $ | (43 | ) | $ | (268 | )
Decrease in value of yield maintenance agreement recognized against interest income |  | $ | (4 | ) | $ | (67 | )
Net loss on derivatives recognized against interest income 2 |  | $ | (98 | ) | $ | (226 | )
|  |  |  | Nine months ended
(in thousands) |  | September 30, 2017 | September 30, 2016
Increase (decrease) in value of designated interest rate swaps due to LIBOR interest rate movements recognized in interest income |  | $ | 7 |  | $ | (825 | )
Payment on interest rate swaps recorded in interest income |  | $ | (261 | ) | $ | (445 | )
Increase in value of hedged loans recognized in interest income |  | $ | 35 |  | $ | 1,022 |
Decrease in value of yield maintenance agreement recognized against interest income |  | $ | (11 | ) | $ | (90 | )
Net loss on derivatives recognized against interest income 2 |  | $ | (230 | ) | $ | (338 | )
1 See Note 3, Fair Value of Assets and Liabilities, for valuation methodology. 2 Includes hedge ineffectiveness loss of $22 thousand and loss of $94 thousand for the quarters ended September 30, 2017 and September 30, 2016, respectively. Ineffectiveness gain of $31 thousand and gain of $107 thousand were recorded in interest income during the nine months ended September 30, 2017 and September 30, 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) | Assets 1 | Condition | of Condition 1 | Instruments | Received | Net Amount
September 30, 2017 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 38 |  | $ | — |  | $ | 38 |  | $ | (38 | ) | $ | — |  | $ | — |
December 31, 2016 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 55 |  | $ | — |  | $ | 55 |  | $ | (55 | ) | $ | — |  | $ | — |
1 Amounts exclude accrued interest totaling $1 thousand at both September 30, 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) | Liabilities 2 | Condition | of Condition 2 | Instruments | Pledged | Net Amount
September 30, 2017 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 909 |  | $ | — |  | $ | 909 |  | $ | (38 | ) | $ | (871 | ) | $ | — |
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) | Liabilities 2 | Condition | of Condition 2 | Instruments | Pledged | Net Amount
September 30, 2017 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 909 |  | $ | — |  | $ | 909 |  | $ | (38 | ) | $ | (871 | ) | $ | — |
December 31, 2016 |  |  |  |  |  |
Derivatives by Counterparty: |  |  |  |  |  |
Counterparty A | $ | 933 |  | $ | — |  | $ | 933 |  | $ | (55 | ) | $ | (878 | ) | $ | — |
2 Amounts exclude accrued interest totaling $8 thousand and $12 thousand at September 30, 2017 and December 31, 2016, respectively.

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