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Derivative Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Basis Swaps | The following table summarizes the Company’s outstanding basis swaps in which the Company receives three-month LIBOR set discretely in advance and pays one-month LIBOR plus or minus a spread as defined in the agreements (the "1:3 Basis Swaps").
|  | Notional amount |  |  |
|  | As of September 30, |  | As of December 31, |
Maturity |  | 2019 |  | 2018 |
2019 |  | $ | — |  |  | 3,500,000 |  |
2020 |  | 1,000,000 |  |  | 1,000,000 |  |
2021 |  | 250,000 |  |  | 250,000 |  |
2022 (a) |  | 2,000,000 |  |  | 2,000,000 |  |
2023 |  | 750,000 |  |  | 750,000 |  |
2024 |  | 1,750,000 |  |  | 250,000 |  |
2026 |  | 1,150,000 |  |  | 1,150,000 |  |
2027 (b) |  | 250,000 |  |  | 375,000 |  |
2028 (b) |  | — |  |  | 325,000 |  |
2029 (b) |  | — |  |  | 100,000 |  |
2031 (b) |  | — |  |  | 300,000 |  |
|  | $ | 7,150,000 |  |  | 10,000,000 |  |
(a) $750 million of the notional amount of these derivatives have forward effective start dates in May 2020. (b) During the third quarter of 2019, the Company terminated $125 million (notional amount), $325 million (notional amount), $100 million (notional amount), and $300 million (notional amount) of 1:3 Basis Swaps that had a maturity date in 2027, 2028, 2029, and 2031, respectively, and received $0.5 million in net proceeds.
Schedule of Interest Rate Swaps, Floor Income Hedge | The following table summarizes the outstanding derivative instruments used by the Company to economically hedge loans earning fixed rate floor income.
|  | As of September 30, 2019 |  |  |  | As of December 31, 2018 |  |
Maturity |  | Notional amount |  | Weighted average fixed rate paid by the Company (a) |  | Notional amount |  | Weighted average fixed rate paid by the Company (a)
2019 |  | $ | 500,000 |  |  | 1.12 | % |  | $ | 3,250,000 |  |  | 0.97 | %
2020 |  | 1,500,000 |  |  | 1.01 |  |  | 1,500,000 |  |  | 1.01 |
2021 |  | 600,000 |  |  | 2.15 |  |  | 100,000 |  |  | 2.95 |
2022 (b) |  | 250,000 |  |  | 1.65 |  |  | — |  |  | — |
2023 |  | 150,000 |  |  | 2.25 |  |  | 400,000 |  |  | 2.24 |
2024 |  | — |  |  | — |  |  | 300,000 |  |  | 2.28 |
2027 |  | — |  |  | — |  |  | 25,000 |  |  | 2.35 |
|  | $ | 3,000,000 |  |  | 1.37 | % |  | $ | 5,575,000 |  |  | 1.18 | %
(a) For all interest rate derivatives, the Company receives discrete three-month LIBOR. (b) These derivatives have forward effective start dates in June 2021.
Schedule Of Derivative Swaptions |
Schedule of Interest Rate Caps | The following table summarizes these derivative instruments as of September 30, 2019.
Notional Amount |  |  | Strike rate |  | Maturity date
$ | 125,000 |  |  | 2.50% (1-month LIBOR) |  | July 15, 2020
150,000 |  |  | 4.99 (1-month LIBOR) |  | July 15, 2020
500,000 |  |  | 2.25 (3-month LIBOR) |  | September 25, 2020
Schedule of Derivatives as Reflected on Balance Sheet | The following table summarizes the fair value of the Company’s derivatives as reflected in the consolidated balance sheets. There is no difference between the gross amounts of recognized assets presented in the consolidated balance sheets related to the Company's derivative portfolio and the net amount when excluding derivatives subject to enforceable master netting arrangements and cash collateral received.
| Fair value of asset derivatives |  |  |  | Fair value of liability derivatives |  |
| As of September 30, 2019 |  | As of December 31, 2018 |  | As of September 30, 2019 |  | As of December 31, 2018
Interest rate swap options - floor income hedges | $ | — |  |  | 1,465 |  |  | — |  |  | — |
Interest rate caps | 57 |  |  | 353 |  |  | — |  |  | — |
Total | $ | 57 |  |  | 1,818 |  |  | — |  |  | — |
Schedule of Income Statement Impact | The following table summarizes the components of "derivative market value adjustments and derivative settlements, net" included in the consolidated statements of income.
| Three months ended September 30, |  |  |  | Nine months ended September 30, |  |
| 2019 |  | 2018 |  | 2019 |  | 2018
Settlements: |  |  |  |  |  |  |
1:3 basis swaps | $ | 234 |  |  | 3,361 |  |  | 3,375 |  |  | 4,676 |
Interest rate swaps - floor income hedges | 7,064 |  |  | 19,087 |  |  | 35,931 |  |  | 46,752 |
Interest rate swaps - hybrid debt hedges | — |  |  | (124) |  |  | — |  |  | (410) |
Total settlements - income | 7,298 |  |  | 22,324 |  |  | 39,306 |  |  | 51,018 |
Change in fair value: |  |  |  |  |  |  |
1:3 basis swaps | 6,636 |  |  | 1,283 |  |  | 4,427 |  |  | 12,058 |
Interest rate swaps - floor income hedges | (12,094) |  |  | (7,427) |  |  | (75,657) |  |  | 34,008 |
Interest rate swap options - floor income hedges | (1) |  |  | (31) |  |  | (1,465) |  |  | 437 |
Interest rate caps | (171) |  |  | 119 |  |  | (570) |  |  | 567 |
Interest rate swaps - hybrid debt hedges | — |  |  | 830 |  |  | — |  |  | 2,839 |
Total change in fair value - (expense) income | (5,630) |  |  | (5,226) |  |  | (73,265) |  |  | 49,909 |
Derivative market value adjustments and derivative settlements, net - income (expense) | $ | 1,668 |  |  | 17,098 |  |  | (33,959) |  |  | 100,927 |

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