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DERIVATIVES
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
DERIVATIVES

As part of the Corporation's product offerings, the Corporation acts as an interest rate swap counterparty for certain commercial borrowers in the normal course of servicing our customers. The interest rate swap agreements are free-standing derivatives and are recorded at fair value in the Corporation's consolidated balance sheets. The Corporation manages its exposure to such interest rate swaps by entering into corresponding and offsetting interest rate swaps with third parties that mirror the terms of the interest rate swaps it has with the commercial borrowers. These positions directly offset each other and the Corporation's exposure is the fair value of the derivatives due to potential changes in credit risk of our commercial borrowers and third parties. The Corporation also enters into risk participation agreements with dealer banks on commercial loans in which it participates. The Corporation receives an upfront fee for participating in the credit exposure of the interest rate swap associated with the commercial loan in which it is a participant and the fee received is recognized immediately in other non-interest income. The Corporation is exposed to its share of the credit loss equal to the fair value of the interest rate swap in the event of nonperformance by the counterparty of the interest rate swap. The Corporation determines the fair value of the credit loss exposure using an estimated credit default rate based on the historical performance of similar assets.

The notional amount of the interest rate swaps 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. At December 31, 2019, the Corporation held derivatives not designated as hedging instruments with a total notional amount of $238.2 million. Derivatives not designated as hedging instruments included back-to-back interest rate swaps of $226.4 million, consisting of $113.2 million of interest rate swaps with commercial borrowers and an additional $113.2 million of offsetting interest rate swaps with third-party counter-parties on substantially the same terms, and risk participation agreements with dealer banks of $11.8 million. Free-standing derivatives are not designated as hedges for accounting purposes and are therefore recorded at fair value with changes in fair value recorded in other non-interest income.

The following table presents information regarding our derivative financial instruments, at December 31:
2019
 
Number of Instruments
 
Notional Amount
 
Weighted Average Maturity
(in years)
 
Weighted Average Interest Rate Received
 
Weighted Average Contract Pay Rate
 
Fair Value Other Assets/ (Other Liabilities)
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements on loans with commercial loan customers
 
15

 
$
113,204

 
7.9
 
4.44
%
 
4.03
%
 
$
(6,800
)
Interest rate swap agreements with third-party counter-parties
 
15

 
113,204

 
7.9
 
4.03
%
 
4.44
%
 
6,466

Risk participation agreements
 
3

 
11,819

 
5.6
 
 
 
 
 
(31
)
Total
 
33

 
$
238,227

 
 
 
 
 
 
 
$
(365
)

2018
 
Number of Instruments
 
Notional Amount
 
Weighted Average Maturity
(in years)
 
Weighted Average Interest Rate Received
 
Weighted Average Contract Pay Rate
 
Fair Value Other Assets/ (Other Liabilities)
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements on loans with commercial loan customers
 
11

 
$
76,395

 
7.1
 
4.69
%
 
4.61
%
 
$
(3,255
)
Interest rate swap agreements with third-party counter-parties
 
11

 
76,395

 
7.1
 
4.61
%
 
4.69
%
 
3,142

Risk participation agreements
 
6

 
20,142

 
15.0
 
 
 
 
 
(27
)
 
 
28

 
$
172,932

 
 
 
 
 
 
 
$
(140
)

2017
 
Number of Instruments
 
Notional Amount
 
Weighted Average Maturity
(in years)
 
Weighted Average Interest Rate Received
 
Weighted Average Contract Pay Rate
 
Fair Value Other Assets/ (Other Liabilities)
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements on loans with commercial loan customers
 
7

 
$
36,675

 
8.3
 
4.40
%
 
4.17
%
 
$
(974
)
Interest rate swap agreements with third-party counter-parties
 
7

 
36,675

 
8.3
 
4.17
%
 
4.40
%
 
974

Risk participation agreements
 
6

 
20,427

 
17.7
 


 


 
(75
)
 
 
20

 
$
93,777

 
 
 
 
 
 
 
$
(75
)

Off-balance sheet exposure for the risk participation agreements was $0.4 million for December 31, 2019 and $0.3 million for December 31, 2018, respectively.

Amounts included in the Consolidated Statements of Income related to derivatives not designated as hedging were as follows:
 
 
Years Ended December 31,
 
 
2019
 
2018
 
2017
Derivatives not designated as hedging instruments:
 
 
 
 
 
 
Interest rate swap agreements with commercial loan customers:
 
 
 
 
 
 
   Unrealized (loss) recognized in non-interest income
 
$
(3,544
)
 
$
(2,281
)
 
$
(281
)
 
 
 
 
 
 
 
Interest rate swap agreements with third-party counter-parties:
 
 
 
 
 
 
   Unrealized gain recognized in non-interest income
 
3,324

 
2,168

 
281

 
 
 
 
 
 
 
Risk participation agreements:
 
 
 
 
 
 
   Unrealized gain (loss) recognized in non-interest income
 
(4
)
 
48

 
(7
)
 
 
 
 
 
 
 
Unrealized gain (loss) recognized in non-interest income
 
$
(224
)
 
$
(65
)
 
$
(7
)