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Derivative Financial Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2018

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)	December 31, 2018			December 31, 2017			December 31, 2018			December 31, 2017
Fair value hedges:
Interest rate contracts notional amount	$	8,895		$	4,019		$	9,016		$	14,810
Interest rate contracts fair value 1	$	161		$	74		$	375		$	740

¹ See Note 9, Fair Value of Assets and Liabilities for valuation methodology.

The following table presents the carrying amount 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 December 31, 2018 and 2017:

	Carrying Amounts of Hedged Assets						Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands)	December 31, 2018			December 31, 2017			December 31, 2018			December 31, 2017
Loans	$	17,917		$	19,260		$	6		$	431

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:

	Years ended December 31,
(in thousands)	2018			2017
Interest and fees on loans 1	$	79,527		$	66,799
Increase in value of designated interest rate swaps due to LIBOR interest rate movements	$	452		$	212
Payment on interest rate swaps	(149		)	(333		)
Decrease in value of hedged loans	(425		)	(166		)
Decrease in value of yield maintenance agreement	(14		)	(15		)
Net loss on fair value hedging derivatives recognized against loan interest income 2	$	(136	)	$	(302	)

¹ Represents the income line item in the statement of comprehensive income in which the effects of fair value hedges are recorded.

² Includes hedge ineffectiveness gain of $13 thousand and $31 thousand for the years ended December 31, 2018, and 2017, 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 Not Offset in the Statements of Condition
				Gross Amounts			Net Amounts
	Gross Amounts			Offset in the			of Assets Presented
	of Recognized			Statements of			in the Statements			Financial			Cash Collateral
(in thousands)	Assets1			Condition			of Condition1			Instruments			Received			Net Amount
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	161		$	—		$	161		$	(161	)	$	—		$	—
Total	$	161		$	—		$	161		$	(161	)	$	—		$	—
December 31, 2017
Derivatives by Counterparty:
Counterparty A	$	74		$	—		$	74		$	(74	)	$	—		$	—
Total	$	74		$	—		$	74		$	(74	)	$	—		$	—

¹ Amounts exclude accrued interest totaling less than $1 thousand both at December 31, 2018 and 2017.

Offsetting of Financial Liabilities and Derivative Liabilities
										Gross Amounts Not Offset in the Statements of Condition
				Gross Amounts			Net Amounts of
	Gross Amounts			Offset in the			Liabilities Presented
	of Recognized			Statements of			in the Statements of			Financial			Cash Collateral
(in thousands)	Liabilities2			Condition			Condition2			Instruments			Pledged			Net Amount
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	375		$	—		$	375		$	(161	)	—			$	214
Total	$	375		$	—		$	375		$	(161	)	$	—		$	214
December 31, 2017
Derivatives by Counterparty:
Counterparty A	$	740		$	—		$	740		$	(74	)	(666		)	$	—
Total	$	740		$	—		$	740		$	(74	)	$	(666	)	$	—

Offsetting Liabilities

Offsetting of Financial Liabilities and Derivative Liabilities
										Gross Amounts Not Offset in the Statements of Condition
				Gross Amounts			Net Amounts of
	Gross Amounts			Offset in the			Liabilities Presented
	of Recognized			Statements of			in the Statements of			Financial			Cash Collateral
(in thousands)	Liabilities2			Condition			Condition2			Instruments			Pledged			Net Amount
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	375		$	—		$	375		$	(161	)	—			$	214
Total	$	375		$	—		$	375		$	(161	)	$	—		$	214
December 31, 2017
Derivatives by Counterparty:
Counterparty A	$	740		$	—		$	740		$	(74	)	(666		)	$	—
Total	$	740		$	—		$	740		$	(74	)	$	(666	)	$	—

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

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