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Derivative Financial Instruments
 12 Months Ended
Dec. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments
NOTE 10 – DERIVATIVE FINANCIAL INSTRUMENTS

The following table presents the notional amounts and fair values of derivative financial instruments as of December 31:
 
2015
 
2014
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
Notional
Amount
 
Asset
(Liability)
Fair Value
 
(in thousands)
Interest Rate Locks with Customers
 
 
 
 
 
 
 
Positive fair values
$
87,781

 
$
1,291

 
$
89,655

 
$
1,391

Negative fair values
267

 
(16
)
 
301

 
(6
)
Net interest rate locks with customers
 
 
1,275

 
 
 
1,385

Forward Commitments
 
 
 
 
 
 
 
Positive fair values
69,045

 
205

 
—

 
—

Negative fair values
16,193

 
(24
)
 
93,802

 
(1,164
)
Net forward commitments
 
 
181

 
 
 
(1,164
)
Interest Rate Swaps with Customers
 
 
 
 
 
 
 
Positive fair values
846,490

 
32,915

 
468,080

 
19,716

Negative fair values
8,757

 
(55
)
 
25,418

 
(198
)
Net interest rate swaps with customers
 
 
32,860

 
 
 
19,518

Interest Rate Swaps with Dealer Counterparties
 
 
 
 
 
 
 
Positive fair values
8,757

 
55

 
25,418

 
198

Negative fair values
846,490

 
(32,915
)
 
468,080

 
(19,716
)
Net interest rate swaps with dealer counterparties
 
 
(32,860
)
 
 
 
(19,518
)
Foreign Exchange Contracts with Customers
 
 
 
 
 
 
 
Positive fair values
4,897

 
114

 
11,616

 
810

Negative fair values
8,050

 
(184
)
 
5,250

 
(441
)
Net foreign exchange contracts with customers
 
 
(70
)
 
 
 
369

Foreign Exchange Contracts with Correspondent Banks
 
 
 
 
 
 
 
Positive fair values
9,728

 
428

 
5,287

 
446

Negative fair values
6,899

 
(147
)
 
13,572

 
(876
)
Net foreign exchange contracts with correspondent banks
 
 
281

 
 
 
(430
)
Net derivative fair value asset
 
 
$
1,667

 
 
 
$
160



The following table presents the fair value gains and losses on derivative financial instruments for the years ended December 31:
 
2015
 
2014
 
2013
 
Statement of Income Classification
 
(in thousands)
 
 
Interest rate locks with customers
$
(110
)
 
$
577

 
$
(5,949
)
 
Mortgage banking income
Forward commitments
1,345

 
(2,422
)
 
1,466

 
Mortgage banking income
Interest rate swaps with customers
13,342

 
20,406

 
(7,978
)
 
Other non-interest expense
Interest rate swaps with counterparties
(13,342
)
 
(20,406
)
 
7,978

 
Other non-interest expense
Foreign exchange contracts with customers
(439
)
 
688

 
(108
)
 
Other service charges and fees
Foreign exchange contracts with correspondent banks
711

 
(880
)
 
507

 
Other service charges and fees
Net fair value gains (losses) on derivative financial instruments
$
1,507

 
$
(2,037
)
 
$
(4,084
)
 
 








The Corporation has elected to record mortgage loans held for sale at fair value. The following table presents a summary of mortgage loans held for sale and the impact of the fair value election on the consolidated financial statements as of and for the years ended December 31, 2015 and 2014:
 
Cost (1)
 
Fair Value
 
Balance Sheet
Classification
 
Fair Value (Loss) Gain
 
Statement of Income Classification
 
(in thousands)
December 31, 2015:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale
$
16,584

 
$
16,886

 
Loans held for sale
 
$
(140
)
 
Mortgage banking income
December 31, 2014:
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale
17,080

 
17,522

 
Loans held for sale
 
263

 
Mortgage banking income
 
(1)
Cost basis of mortgage loans held for sale represents the unpaid principal balance.

The fair values of interest rate swap agreements the Corporation enters into with customers and dealer counterparties may be eligible for offset on the consolidated balance sheets as they are subject to master netting arrangements or similar agreements. The Corporation elects to not offset assets and liabilities subject to such arrangements on the consolidated financial statements. The following table presents the financial instruments that are eligible for offset, and the effects of offsetting, on the consolidated balance sheets as of December 31:
 
Gross Amounts
 
Gross Amounts Not Offset
 
 
 
Recognized
 
 on the Consolidated
 
 
 
on the
 
Balance Sheets
 
 
 
Consolidated
 
Financial
 
Cash
 
Net
 
Balance Sheets
 
Instruments (1)
 
Collateral (2)
 
Amount
 
(in thousands)
2015
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
32,970

 
$
(55
)
 
$
—

 
$
32,915

Foreign exchange derivative assets with correspondent banks
428

 
(147
)
 
—

 
281

   Total
$
33,398

 
$
(202
)
 
$
—

 
$
33,196

 
 
 
 
 
 
 
 
Interest rate swap liabilities
$
32,970

 
$
(55
)
 
$
(31,130
)
 
$
1,785

Foreign exchange derivative liabilities with correspondent banks
147

 
(147
)
 
—

 
—

   Total
$
33,117

 
$
(202
)
 
$
(31,130
)
 
$
1,785

 
 
 
 
 
 
 
 
2014
 
 
 
 
 
 
 
Interest rate swap derivative assets
$
19,914

 
$
(206
)
 
$
—

 
$
19,708

Foreign exchange derivative assets with correspondent banks
446

 
(446
)
 
—

 
—

   Total
$
20,360

 
$
(652
)
 
$
—

 
$
19,708

 
 
 
 
 
 
 
 
Interest rate swap liabilities
$
19,914

 
$
(206
)
 
$
(19,210
)
 
$
498

Foreign exchange derivative liabilities with correspondent banks
876

 
(446
)
 
(310
)
 
120

   Total
$
20,790

 
$
(652
)
 
$
(19,520
)
 
$
618


(1)
For interest rate swap assets, amounts represent any derivative liability fair values that could be offset in the event of counterparty or customer default. For interest rate swap liabilities, amounts represent any derivative asset fair values that could be offset in the event of counterparty or customer default.
(2)
Amounts represent cash collateral posted on interest rate swap transactions with financial institution counterparties. Interest rate swaps with customers are collateralized by the underlying loans to those borrowers.