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Derivative Financial Instruments | 12 Months Ended
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Dec. 31, 2016
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:
| 2016 |  | 2015
| Notional Amount |  | Asset (Liability) Fair Value |  | Notional Amount |  | Asset (Liability) Fair Value
| (in thousands)
Interest Rate Locks with Customers |  |  |  |  |  |  |
Positive fair values | $ | 87,119 |  |  | $ | 863 |  |  | $ | 87,781 |  |  | $ | 1,291 |
Negative fair values | 18,239 |  |  | (227 | ) |  | 267 |  |  | (16 | )
Net interest rate locks with customers |  |  | 636 |  |  |  |  | 1,275 |
Forward Commitments |  |  |  |  |  |  |
Positive fair values | 70,031 |  |  | 2,223 |  |  | 69,045 |  |  | 205 |
Negative fair values | 19,964 |  |  | (112 | ) |  | 16,193 |  |  | (24 | )
Net forward commitments |  |  | 2,111 |  |  |  |  | 181 |
Interest Rate Swaps with Customers |  |  |  |  |  |  |
Positive fair values | 876,744 |  |  | 24,397 |  |  | 846,490 |  |  | 32,915 |
Negative fair values | 583,060 |  |  | (16,998 | ) |  | 8,757 |  |  | (55 | )
Net interest rate swaps with customers |  |  | 7,399 |  |  |  |  | 32,860 |
Interest Rate Swaps with Dealer Counterparties |  |  |  |  |  |  |
Positive fair values | 583,060 |  |  | 16,998 |  |  | 8,757 |  |  | 55 |
Negative fair values | 876,744 |  |  | (24,397 | ) |  | 846,490 |  |  | (32,915 | )
Net interest rate swaps with dealer counterparties |  |  | (7,399 | ) |  |  |  | (32,860 | )
Foreign Exchange Contracts with Customers |  |  |  |  |  |  |
Positive fair values | 11,674 |  |  | 504 |  |  | 4,897 |  |  | 114 |
Negative fair values | 4,659 |  |  | (221 | ) |  | 8,050 |  |  | (184 | )
Net foreign exchange contracts with customers |  |  | 283 |  |  |  |  | (70 | )
Foreign Exchange Contracts with Correspondent Banks |  |  |  |  |  |  |
Positive fair values | 7,040 |  |  | 241 |  |  | 9,728 |  |  | 428 |
Negative fair values | 12,869 |  |  | (447 | ) |  | 6,899 |  |  | (147 | )
Net foreign exchange contracts with correspondent banks |  |  | (206 | ) |  |  |  | 281 |
Net derivative fair value asset |  |  | $ | 2,824 |  |  |  |  | $ | 1,667 |
The following table presents the fair value gains and losses on derivative financial instruments for the years ended December 31:
| 2016 |  | 2015 |  | 2014 |  | Statement of Income Classification
| (in thousands) |  |
Interest rate locks with customers | $ | (639 | ) |  | $ | (110 | ) |  | $ | 577 |  |  | Mortgage banking income
Forward commitments | 1,930 |  |  | 1,345 |  |  | (2,422 | ) |  | Mortgage banking income
Interest rate swaps with customers | (25,461 | ) |  | 13,342 |  |  | 20,406 |  |  | Other non-interest expense
Interest rate swaps with counterparties | 25,461 |  |  | (13,342 | ) |  | (20,406 | ) |  | Other non-interest expense
Foreign exchange contracts with customers | 353 |  |  | (439 | ) |  | 688 |  |  | Other service charges and fees
Foreign exchange contracts with correspondent banks | (487 | ) |  | 711 |  |  | (880 | ) |  | Other service charges and fees
Net fair value gains (losses) on derivative financial instruments | $ | 1,157 |  |  | $ | 1,507 |  |  | $ | (2,037 | ) |  |
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, 2016 and 2015:
| Cost (1) |  | Fair Value |  | Balance Sheet Classification |  | Fair Value Loss |  | Statement of Income Classification
| (in thousands)
December 31, 2016: |  |  |  |  |  |  |  |  |
Mortgage loans held for sale | $ | 28,708 |  |  | $ | 28,697 |  |  | Loans held for sale |  | $ | (313 | ) |  | Mortgage banking income
December 31, 2015: |  |  |  |  |  |  |  |  |
Mortgage loans held for sale | 16,584 |  |  | 16,886 |  |  | Loans held for sale |  | (140 | ) |  | 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 and foreign exchange contracts 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)
2016 |  |  |  |  |  |  |
Interest rate swap derivative assets | $ | 41,395 |  |  | $ | (15,117 | ) |  | $ | — |  |  | $ | 26,278 |
Foreign exchange derivative assets with correspondent banks | 241 |  |  | (241 | ) |  | — |  |  | — |
Total | $ | 41,636 |  |  | $ | (15,358 | ) |  | $ | — |  |  | $ | 26,278 |
Interest rate swap derivative liabilities | $ | 41,395 |  |  | $ | (15,117 | ) |  | $ | (4,010 | ) |  | $ | 22,268 |
Foreign exchange derivative liabilities with correspondent banks | 447 |  |  | (241 | ) |  | (206 | ) |  | — |
Total | $ | 41,842 |  |  | $ | (15,358 | ) |  | $ | (4,216 | ) |  | $ | 22,268 |
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 derivative 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 |
(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 and foreign exchange contracts with financial institution counterparties. Interest rate swaps with customers are collateralized by the underlying loans to those borrowers. Cash and securities collateral amounts are included in the table only to the extent of the net derivative fair values.

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