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Derivative Financial Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table presents the notional amount and fair value of our derivatives designated as hedging instruments:
 
Derivative Assets
 
Derivative Liabilities
(in thousands)
September 30,
2018
December 31, 2017
 
September 30,
2018
December 31, 2017
Fair value hedges:
 
 
 
 
 
Interest rate contracts notional amount
$
8,988

$
4,019

 
$
9,156

$
14,810

Interest rate contracts fair value1
$
436

$
74

 
$
163

$
740

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

The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of hedged assets as of September 30, 2018:
(in thousands)
Carrying Amounts of Hedged Assets

Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans

Loans
$
17,651

$
(493
)
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance
The following table presents the net gains (losses) recognized in interest income on loans on the consolidated statements of comprehensive income related to our derivatives designated as fair value hedges:
 
 
Three months ended
(in thousands)
 
September 30, 2018
September 30, 2017
Increase in value of designated interest rate swaps
 
$
222

$
25

Payment on interest rate swaps
 
$
(32
)
$
(76
)
Decrease in value of hedged loans
 
$
(231
)
$
(43
)
Decrease in value of yield maintenance agreement
 
$
(4
)
$
(4
)
Net loss on fair value hedging relationships recognized in interest income
 
$
(45
)
$
(98
)
 
 
 
 
Nine months ended
(in thousands)
 
September 30, 2018
September 30, 2017
Increase in value of designated interest rate swaps
 
$
939

$
7

Payment on interest rate swaps
 
$
(127
)
$
(261
)
(Decrease) increase in value of hedged loans
 
$
(924
)
$
35

Decrease in value of yield maintenance agreement
 
$
(11
)
$
(11
)
Net loss on fair value hedging relationships recognized against interest income
 
$
(123
)
$
(230
)
Offsetting Assets
The following table shows information on financial instruments that are eligible for offset in the consolidated statements of condition.
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, 2018
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
436

$
—

$
436

$
(163
)
$
—

$
273

December 31, 2017
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
74

$
—

$
74

$
(74
)
$
—

$
—

1 Amounts exclude accrued interest totaling less than $1 thousand at both September 30, 2018 and December 31, 2017.
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, 2018
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
163

$
—

$
163

$
(163
)


$
—

December 31, 2017
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
740

$
—

$
740

$
(74
)
$
(666
)
$
—
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, 2018
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
163

$
—

$
163

$
(163
)


$
—

December 31, 2017
 
 
 
 
 
 
Derivatives by Counterparty:
 
 
 
 
 
 
Counterparty A
$
740

$
—

$
740

$
(74
)
$
(666
)
$
—


2 Amounts exclude accrued interest totaling $3 thousand and $8 thousand at September 30, 2018 and December 31, 2017, respectively.