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Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Impact of derivatives on the consolidated balance sheet | The following tables summarize the fair values and notional amounts of all derivative instruments at September 30, 2017 and December 31, 2016, and their impact on earnings and other comprehensive income for the nine months ended September 30, 2017 and 2016. Please refer to Note 11, “Derivative Financial Instruments” in our 2016 Form 10-K for a full discussion of cash flow hedges, fair value hedges, and trading activities. The net fair value of derivative instruments as of September 30, 2017 was a liability of $8.0 million, compared to the net fair value as of December 31, 2016 liability of $18.1 million. The change in the net fair value reflects a $2.0 million decrease in fair value offset by variation margin amounts of $12.1 million. The net position as of September 30, 2017 was $23.0 million, compared to $30.0 million as of December 31, 2016. The change in the net position reflects a $2.0 million decrease in fair value, $22.6 million decrease in collateral held and pledged (for contracts other than those cleared through the CME), offset by variation margin impacts of $17.6 million. Impact of Derivatives on the Consolidated Balance Sheet
|  |  | Cash Flow Hedges |  | Fair Value Hedges |  | Trading |  | Total
|  |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  |  | 2017 |  | 2016 |  | 2017 |  | 2016 |  | 2017 |  | 2016 |  | 2017 |  | 2016
Fair Values(1) | Hedged Risk Exposure |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative Assets:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | Interest rate |  | $ | 636 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,808 |  |  | $ | — |  |  | $ | — |  |  | $ | 636 |  |  | $ | 7,808 |
Derivative Liabilities:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps | Interest rate |  | (7,247 | ) |  | (14,463 | ) |  | (1,168 | ) |  | (10,398 | ) |  | (221 | ) |  | (1,076 | ) |  | (8,636 | ) |  | (25,937 | )
Total net derivatives |  |  | $ | (6,611 | ) |  | $ | (14,463 | ) |  | $ | (1,168 | ) |  | $ | (2,590 | ) |  | $ | (221 | ) |  | $ | (1,076 | ) |  | $ | (8,000 | ) |  | $ | (18,129 | )
___________
(1) | Except for instruments cleared through the CME, fair values reported are exclusive of collateral held and pledged and accrued interest. Assets and liabilities are presented without consideration of master netting agreements. Derivatives are carried on the balance sheet based on net position by counterparty under master netting agreements, and classified in other assets or other liabilities depending on whether in a net positive or negative position. The net position includes the variation margin as legal settlement of the derivative contract for instruments cleared through the CME.
(2) | The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
|  | Other Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2017 |  | 2016 |  | 2017 |  | 2016
Gross position(1) |  | $ | 636 |  |  | $ | 7,808 |  |  | $ | (8,636 | ) |  | $ | (25,937 | )
Impact of master netting agreement |  | (636 | ) |  | (7,808 | ) |  | 636 |  |  | 7,808 |
Derivative values with impact of master netting agreements (as carried on balance sheet) |  | — |  |  | — |  |  | (8,000 | ) |  | (18,129 | )
Cash collateral (held) pledged(2) |  | — |  |  | — |  |  | 31,003 |  |  | 48,134 |
Net position |  | $ | — |  |  | $ | — |  |  | $ | 23,003 |  |  | $ | 30,005 |
__________
(1) | Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2) | Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Offsetting assets | The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
|  | Other Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2017 |  | 2016 |  | 2017 |  | 2016
Gross position(1) |  | $ | 636 |  |  | $ | 7,808 |  |  | $ | (8,636 | ) |  | $ | (25,937 | )
Impact of master netting agreement |  | (636 | ) |  | (7,808 | ) |  | 636 |  |  | 7,808 |
Derivative values with impact of master netting agreements (as carried on balance sheet) |  | — |  |  | — |  |  | (8,000 | ) |  | (18,129 | )
Cash collateral (held) pledged(2) |  | — |  |  | — |  |  | 31,003 |  |  | 48,134 |
Net position |  | $ | — |  |  | $ | — |  |  | $ | 23,003 |  |  | $ | 30,005 |
__________
(1) | Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2) | Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Offsetting liabilities | The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
|  | Other Assets |  | Other Liabilities
|  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2017 |  | 2016 |  | 2017 |  | 2016
Gross position(1) |  | $ | 636 |  |  | $ | 7,808 |  |  | $ | (8,636 | ) |  | $ | (25,937 | )
Impact of master netting agreement |  | (636 | ) |  | (7,808 | ) |  | 636 |  |  | 7,808 |
Derivative values with impact of master netting agreements (as carried on balance sheet) |  | — |  |  | — |  |  | (8,000 | ) |  | (18,129 | )
Cash collateral (held) pledged(2) |  | — |  |  | — |  |  | 31,003 |  |  | 48,134 |
Net position |  | $ | — |  |  | $ | — |  |  | $ | 23,003 |  |  | $ | 30,005 |
__________
(1) | Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2) | Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Schedule of notional amounts of outstanding derivative positions |
|  | Cash Flow |  | Fair Value |  | Trading |  | Total
|  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  | 2017 |  | 2016 |  | 2017 |  | 2016 |  | 2017 |  | 2016 |  | 2017 |  | 2016
Notional Values |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 1,440,220 |  |  | $ | 1,054,688 |  |  | $ | 3,480,365 |  |  | $ | 3,628,062 |  |  | $ | 966,542 |  |  | $ | 494,638 |  |  | $ | 5,887,127 |  |  | $ | 5,177,388 |
Derivative instruments, gain (loss) | Impact of Derivatives on the Consolidated Statements of Income
|  | Three Months Ended September 30, |  | Nine Months Ended September 30,
|  | 2017 |  | 2016 |  | 2017 |  | 2016
Fair Value Hedges |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |
Hedge ineffectiveness realized gains (losses) recorded in earnings(1) |  | $ | 2,748 |  |  | $ | 3,199 |  |  | $ | (5,130 | ) |  | $ | 2,000 |
Realized gains (losses) recorded in interest expense |  | 154 |  |  | 6,944 |  |  | 7,582 |  |  | 21,593 |
Total |  | $ | 2,902 |  |  | $ | 10,143 |  |  | $ | 2,452 |  |  | $ | 23,593 |
Cash Flow Hedges |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |
Hedge ineffectiveness losses recorded in earnings(1) |  | $ | (1,025 | ) |  | $ | (843 | ) |  | $ | (1,172 | ) |  | $ | (1,524 | )
Realized losses recorded in interest expense |  | (2,689 | ) |  | (4,381 | ) |  | (8,697 | ) |  | (13,588 | )
Total |  | $ | (3,714 | ) |  | $ | (5,224 | ) |  | $ | (9,869 | ) |  | $ | (15,112 | )
Trading |  |  |  |  |  |  |  |
Interest rate swaps: |  |  |  |  |  |  |  |
Interest reclassification |  | $ | 185 |  |  | $ | 537 |  |  | $ | 165 |  |  | $ | 1,897 |
Realized gains (losses) recorded in earnings |  | (247 | ) |  | (1,525 | ) |  | (1,189 | ) |  | 783 |
Total(1) |  | (62 | ) |  | (988 | ) |  | (1,024 | ) |  | 2,680 |
Total |  | $ | (874 | ) |  | $ | 3,931 |  |  | $ | (8,441 | ) |  | $ | 11,161 |
________
(1) | Amounts included in “gains (losses) on derivatives and hedging activities, net” in the consolidated statements of income.
Schedule of derivative instruments, effect on other comprehensive income (loss) | Impact of Derivatives on the Statements of Changes in Stockholders’ Equity
|  | Three Months Ended |  | Nine Months Ended
|  | September 30, |  | September 30,
|  | 2017 |  | 2016 |  | 2017 |  | 2016
Amount of gain (loss) recognized in other comprehensive income (loss) |  | $ | 2,125 |  |  | $ | 4,943 |  |  | $ | (1,133 | ) |  | $ | (37,370 | )
Less: amount of gain (loss) reclassified in interest expense(1) |  | (2,689 | ) |  | (4,381 | ) |  | (8,697 | ) |  | (13,588 | )
Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax benefit (expense) |  | $ | 4,814 |  |  | $ | 9,324 |  |  | $ | 7,564 |  |  | $ | (23,782 | )
___________ (1) Amounts included in “realized gains (losses) recorded in interest expense” in the “Impact of Derivatives on the Consolidated Statements of Income” table.

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