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Derivative Financial Instruments | 9 Months Ended
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Sep. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The Corporation manages its exposure to certain interest rate and foreign currency risks through the use of derivatives. None of the Corporation's outstanding derivative contracts are designated as hedges, and none are entered into for speculative purposes. Derivative instruments are carried at fair value, with changes in fair values recognized in earnings as components of non-interest income and non-interest expense on the consolidated statements of income. Derivative contracts create counterparty credit risk with both the Corporation's customers and with institutional derivative counterparties. The Corporation manages counterparty credit risk through its credit approval processes, monitoring procedures and obtaining adequate collateral, when the Corporation determines it is appropriate to do so and in accordance with counterparty contracts. Mortgage Banking Derivatives In connection with its mortgage banking activities, the Corporation enters into commitments to originate certain fixed rate residential mortgage loans for customers, also referred to as interest rate locks. In addition, the Corporation enters into forward commitments for the future sales or purchases of mortgage-backed securities to or from third-party counterparties to hedge the effect of changes in interest rates on the values of both the interest rate locks and mortgage loans held for sale. Forward sales commitments may also be in the form of commitments to sell individual mortgage loans at a fixed price at a future date. The amount necessary to settle each interest rate lock is based on the price that secondary market investors would pay for loans with similar characteristics, including interest rate and term, as of the date fair value is measured. Gross derivative assets and liabilities are recorded within other assets and other liabilities, respectively, on the consolidated balance sheets, and changes in fair values during the period are recorded within mortgage banking income on the consolidated statements of income. Interest Rate Swaps The Corporation enters into interest rate swaps with certain qualifying commercial loan customers to meet their interest rate risk management needs. The Corporation simultaneously enters into interest rate swaps with dealer counterparties, with identical notional amounts and terms. The net result of these interest rate swaps is that the customer pays a fixed rate of interest and the Corporation receives a floating rate. These interest rate swaps are derivative financial instruments that are recorded at their fair value within other assets and other liabilities on the consolidated balance sheets, with changes in fair value during the period recorded within other non-interest expense on the consolidated statements of income. Foreign Exchange Contracts The Corporation enters into foreign exchange contracts to accommodate the needs of its customers. Foreign exchange contracts are commitments to buy or sell foreign currency on a future date at a contractual price. The Corporation offsets its foreign exchange contract exposure with customers by entering into contracts with third-party correspondent financial institutions to mitigate its exposure to fluctuations in foreign currency exchange rates. The Corporation also holds certain amounts of foreign currency with international correspondent banks. The Corporation's policy limits the total net foreign currency open positions, which includes all outstanding contracts and foreign account balances, to $500,000. Gross derivative assets and liabilities are recorded within other assets and other liabilities, respectively, on the consolidated balance sheets, with changes in fair values during the period recorded within other service charges and fees on the consolidated statements of income. The following table presents a summary of the notional amounts and fair values of derivative financial instruments:
| September 30, 2015 |  | December 31, 2014
| Notional Amount |  | Asset (Liability) Fair Value |  | Notional Amount |  | Asset (Liability) Fair Value
| (in thousands)
Interest Rate Locks with Customers |  |  |  |  |  |  |
Positive fair values | $ | 121,546 |  |  | $ | 2,263 |  |  | $ | 89,655 |  |  | $ | 1,391 |
Negative fair values | 172 |  |  | (2 | ) |  | 301 |  |  | (6 | )
Net interest rate locks with customers |  |  | 2,261 |  |  |  |  | 1,385 |
Forward Commitments |  |  |  |  |  |  |
Positive fair values | 110 |  |  | — |  |  | — |  |  | — |
Negative fair values | 117,389 |  |  | (1,502 | ) |  | 93,802 |  |  | (1,164 | )
Net forward commitments |  |  | (1,502 | ) |  |  |  | (1,164 | )
Interest Rate Swaps with Customers |  |  |  |  |  |  |
Positive fair values | 681,647 |  |  | 37,436 |  |  | 468,080 |  |  | 19,716 |
Negative fair values | 8,000 |  |  | (87 | ) |  | 25,418 |  |  | (198 | )
Net interest rate swaps with customers |  |  | 37,349 |  |  |  |  | 19,518 |
Interest Rate Swaps with Dealer Counterparties |  |  |  |  |  |  |
Positive fair values | 8,000 |  |  | 87 |  |  | 25,418 |  |  | 198 |
Negative fair values | 681,647 |  |  | (37,436 | ) |  | 468,080 |  |  | (19,716 | )
Net interest rate swaps with dealer counterparties |  |  | (37,349 | ) |  |  |  | (19,518 | )
Foreign Exchange Contracts with Customers |  |  |  |  |  |  |
Positive fair values | 7,183 |  |  | 260 |  |  | 11,616 |  |  | 810 |
Negative fair values | 7,091 |  |  | (269 | ) |  | 5,250 |  |  | (441 | )
Net foreign exchange contracts with customers |  |  | (9 | ) |  |  |  | 369 |
Foreign Exchange Contracts with Correspondent Banks |  |  |  |  |  |  |
Positive fair values | 10,308 |  |  | 614 |  |  | 5,287 |  |  | 446 |
Negative fair values | 8,630 |  |  | (334 | ) |  | 13,572 |  |  | (876 | )
Net foreign exchange contracts with correspondent banks |  |  | 280 |  |  |  |  | (430 | )
Net derivative fair value asset |  |  | $ | 1,030 |  |  |  |  | $ | 160 |
The following table presents a summary of the fair value gains and losses on derivative financial instruments:
| Three months ended September 30 |  | Nine months ended September 30
| 2015 |  | 2014 |  | 2015 |  | 2014
| (in thousands)
Interest rate locks with customers | $ | 1,041 |  |  | $ | (1,092 | ) |  | $ | 876 |  |  | $ | 500 |
Forward commitments | (3,183 | ) |  | 1,374 |  |  | (338 | ) |  | (1,627 | )
Interest rate swaps with customers | 18,266 |  |  | (40 | ) |  | 17,831 |  |  | 10,300 |
Interest rate swaps with dealer counterparties | (18,266 | ) |  | 40 |  |  | (17,831 | ) |  | (10,300 | )
Foreign exchange contracts with customers | (197 | ) |  | 557 |  |  | (378 | ) |  | 854 |
Foreign exchange contracts with correspondent banks | 323 |  |  | (527 | ) |  | 710 |  |  | (893 | )
Net fair value gains (losses) on derivative financial instruments | $ | (2,016 | ) |  | $ | 312 |  |  | $ | 870 |  |  | $ | (1,166 | )

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