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Derivative Financial Instruments and Hedging Activities - (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Information on our interest rate swaps is shown in the derivative tables below:

	Asset Derivatives							Liability Derivatives
(in thousands)	September 30, 2019			December 31, 2018				September 30, 2019			December 31, 2018
Fair value hedges:
Interest rate contracts notional amount	$	—		$	8,895			$	17,199		$	9,016
Interest rate contracts fair value1	$	—		$	161			$	1,603		$	375

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, 2019 and December 31, 2018:

	Carrying Amounts of Hedged Assets							Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Loans
(in thousands)	September 30, 2019			December 31, 2018				September 30, 2019			December 31, 2018
Loans	$	18,564		$	17,917			$	1,365		$	6

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						Nine months ended
(in thousands)	September 30, 2019			September 30, 2018			September 30, 2019			September 30, 2018
Interest and fees on loans 1	$	21,525		$	20,284		$	63,208		$	58,795
(Decrease) increase in value of designated interest rate swaps due to LIBOR interest rate movements	$	(485	)	$	222		$	(1,389	)	$	939
Payment on interest rate swaps	(23		)	(32		)	(49		)	(127		)
Increase (decrease) in value of hedged loans	424			(231		)	1,359			(924		)
Decrease in value of yield maintenance agreement	(3		)	(4		)	(10		)	(11		)
Net losses on fair value hedging relationships recognized in interest income	$	(87	)	$	(45	)	$	(89	)	$	(123	)

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

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			Condition			of Condition			Instruments			Received			Net Amount
September 30, 2019
Derivatives by Counterparty:
Counterparty A	$	—		$	—		$	—		$	—		$	—		$	—
Total	$	—		$	—		$	—		$	—		$	—		$	—
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	161		$	—		$	161		$	(161	)	$	—		$	—
Total	$	161		$	—		$	161		$	(161	)	$	—		$	—

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)	Liabilities1			Condition			of Condition1			Instruments			Pledged			Net Amount
September 30, 2019
Derivatives by Counterparty:
Counterparty A	$	1,603		$	—		$	1,603		$	—		$	(1,603	)	$	—
Total	$	1,603		$	—		$	1,603		$	—		$	(1,603	)	$	—
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	375		$	—		$	375		$	(161	)	$	—		$	214
Total	$	375		$	—		$	375		$	(161	)	$	—		$	214

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)	Liabilities1			Condition			of Condition1			Instruments			Pledged			Net Amount
September 30, 2019
Derivatives by Counterparty:
Counterparty A	$	1,603		$	—		$	1,603		$	—		$	(1,603	)	$	—
Total	$	1,603		$	—		$	1,603		$	—		$	(1,603	)	$	—
December 31, 2018
Derivatives by Counterparty:
Counterparty A	$	375		$	—		$	375		$	(161	)	$	—		$	214
Total	$	375		$	—		$	375		$	(161	)	$	—		$	214

¹ Amounts exclude accrued interest totaling $4 thousand at September 30, 2019 and $3 thousand at December 31, 2018.

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