Derivatives

3 Months Ended

Mar. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Note 5 – Derivatives

The Company utilizes interest rate swap agreements as part of its asset liability management strategy to help manage its interest rate risk position. The notional amount of the interest rate swap does not represent amounts exchanged by the parties. The amount exchanged is determined by reference to the notional amount and the other terms of the individual interest rate swap agreements.

Interest rate swaps were entered into on August 24, 2015, October 15, 2014 and December 30, 2014, each with a respective notional amount of $25.0 million and were designated as cash flow hedges of a Federal Home Loan Bank advance. The swaps were determined to be fully effective during the period presented and therefore no amount of ineffectiveness has been included in net income while the aggregate fair value of the swaps is recorded in other assets (liabilities) with changes in fair value recorded in other comprehensive income (loss). The amount included in accumulated other comprehensive income (loss) would be reclassified to current earnings should the hedges no longer be considered effective. The Company expects the hedges to remain fully effective during the remaining term of the swaps.

Summary information about the interest rate swaps designated as cash flow hedges as of March 31, 2016, December 31, 2015 and March 31, 2015 are presented in the following table.

	March 31,		December 31,		March 31,
(dollars in thousands)	2016		2015		2015
Notional amount	$	75,000	$	75,000	$	50,000
Weighted average pay rates		1.57%		1.56%		1.58%
Weighted average receive rates		0.56%		0.44%		0.24%
Weighted average maturity	3.6 years			3.8 years		4.2 years
Fair value	$	(1,568)	$	(131)	$	(486)

Interest expense recorded on these swap transactions totaled approximately $191 thousand for the three months ended March 31, 2016 and $166 thousands for the three months ended March 31, 2015.

Cash Flow Hedge

The following table presents the net gains (losses), recorded in other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the following periods:

	Three Months Ended March 31, 2016
					Amount of
					loss
					recognized
					in other
	Amount of loss				Non-
	recognized		Amount of loss		interest
	in OCI		reclassified		income
	(Effective		from OCI to interest		(Ineffective
(in thousands)	Portion)		income		Portion)
Interest rate contracts	$	(1,437)	$	-	$	-
	Three Months Ended March 31, 2015
					Amount of
					loss
					recognized
					in other
	Amount of loss				non-
	recognized		Amount of loss		interest
	in OCI		reclassified		income
	(effective		from OCI to interest		(ineffective
(in thousands)	Portion)		income		portion)
Interest rate contracts	$	(534)	$	-	$	-

The following table reflects the cash flow hedges included in the consolidated statements of condition as of March 31, 2016 and December 31, 2015:

	2016				2015
	Notional				Notional
(in thousands)	Amount		Fair Value		Amount		Fair Value
Included in other assets/(liabilities):
Interest rate swaps related to FHLB Advances	$	75,000	$	(1,568)	$	75,000	$	(131)