Derivatives

3 Months Ended

Mar. 31, 2018

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 April 13, 2017, August 24, 2015, October 15, 2014 and December 30, 2014, each with a respective notional amount of $25.0 million and were designated as a cash flow hedge 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. Therefore, 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 swap designated as a cash flow hedges as of year-end is as follows (dollars in thousands):

	March 31,			December 31,
	2018			2017
Notional amount	$	100,000		$	100,000
Weighted average pay rates		1.79	%		1.66	%
Weighted average receive rates		1.82	%		1.23	%
Weighted average maturity		2.2 years			2.4 years
Fair value	$	1,714		$	798

Interest income recorded on these swap transactions totaled approximately $5 thousand during the three months ended March 31, 2018, compared to $108 thousand of interest expense recorded during the three months ended March 31, 2017.

Cash Flow Hedge

The following table presents the net gains recorded in accumulated other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the three months ended March 31, 2018 and March 31, 2017:

	2018
	Amount of gain		Amount of gain		Amount of gain (loss)
	(loss) recognized		(loss) reclassified		recognized in other
	in OCI (Effective		from OCI to		Noninterest income
(dollars in thousands)	Portion)		interest income		(Ineffective Portion)
Interest rate contracts	$	916	$	-	$	-
	2017
	Amount of gain		Amount of gain		Amount of gain (loss)
	(loss) recognized		(loss) reclassified		recognized in other
	in OCI (Effective		from OCI to		Noninterest income
(dollars in thousands)	Portion)		interest income		(Ineffective Portion)
Interest rate contracts	$	160	$	-	$	-

The following table reflects the cash flow hedges included in the Consolidated Statements of Condition as of March 31, 2018 and December 31, 2017:

	2018				2017
(dollars in thousands)	Notional Amount		Fair Value		Notional Amount		Fair Value
Included in other assets/(liabilities):
Interest rate swaps related to FHLB Advances	$	100,000	$	1,714	$	100,000	$	798