DERIVATIVES

6 Months Ended

Jun. 30, 2013

DERIVATIVES

DERIVATIVES

12. DERIVATIVES

The Company utilized 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.

An interest rate swap with a notional amount totaling $15.0 million was entered into on June 28, 2012 and was designated as a cash flow hedge of certain Federal Home Loan Bank advances. The swap was determined to be fully effective during the period presented and therefore no amount of ineffectiveness has been included in net income. The aggregate fair value of the swap is recorded in other assets 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 if the hedge transaction becomes probable of not occurring. The Company expects the hedges to remain fully effective during the remaining term of the swap.

The following table presents summary information about the interest rate swap designated as a cash flow hedge as of June 30, 2013, December 31, 2012 and June 30, 2012.

	For the six months ended						For the year ended
(Dollars in thousands)	June 30, 2013			June 30, 2012			December 31, 2012
Notional amounts	$	15,000		$	15,000		$	15,000
Weighted average pay rates	0.99		%	0.99		%	0.99		%
Weighted average receive rates	0.29		%	0.46		%	0.31		%
Weighted average maturity	3.99 years			4.99 years			4.49 years
Unrealized gains (losses)	$	287		$	(33	)	$	(176	)

Interest expense recorded on this swap transaction totaled $52,000 and $1,000 for the six months ended June 30, 2013 and June 30, 2012, respectively, and is reported as a component of interest expense on FHLB Advances.

Cash Flow Hedge

The following table presents the net gains (losses) recorded, net of tax, in accumulated other comprehensive income and the Consolidated Statements of Income relating to the cash flow derivative instruments for the six months ended June 30, 2013 and June 30, 2012.

	2013
	Amount of gain		Amount of gain		Amount of gain (loss)
	(loss) recognized		(loss) reclassified		recognized in other
	in OCI		from OCI to		non interest income
(In thousands)	(Effective Portion)		interest income		(Ineffective Portion)
Interest rate contracts	$	173	$	—	$	—

	2012
	Amount of gain			Amount of gain		Amount of gain (loss)
	(loss) recognized			(loss) reclassified		recognized in other
	in OCI			from OCI to		non interest income
(In thousands)	(Effective Portion)			interest income		(Ineffective Portion)
Interest rate contracts	$	(20	)	$	—	$	—

The following table reflects the cash flow hedge included in the Consolidated Balance Sheet:

	June 30, 2013				December 31, 2012
	Notional		Fair		Notional		Fair
(In thousands)	Amount		Value		Amount		Value
Included in other assets/(liabilities):
Interest rate swap related to FHLB Advance	$	15,000	$	111	$	15,000	$	(176	)