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Derivative Financial Instruments (Tables)
6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Basis Swap 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"). 
As of June 30,As of December 31,
20192018
Maturity
Notional amount
Notional amount
2019$1,000,000 3,500,000 
20201,000,000 1,000,000 
2021250,000 250,000 
2022 (a)2,000,000 2,000,000 
2023750,000 750,000 
20241,750,000 250,000 
20261,150,000 1,150,000 
2027 (b)375,000 375,000 
2028 (b)325,000 325,000 
2029 (b)100,000 100,000 
2031 (b)300,000 300,000 
$9,000,000 10,000,000 
(a) $750 million of the notional amount of these derivatives have forward effective start dates in May 2020.
(b) Subsequent to June 30, 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.
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 June 30, 2019As of December 31, 2018
MaturityNotional amountWeighted average fixed rate paid by the Company (a)Notional amountWeighted average fixed rate paid by the Company (a)
2019$500,000 1.12 %$3,250,000 0.97 %
20201,500,000 1.01  1,500,000 1.01  
2021600,000 2.15  100,000 2.95  
2022 (b)500,000 1.90  — —  
2023400,000 2.24  400,000 2.24  
2024200,000 2.27  300,000 2.28  
2027— —  25,000 2.35  
 $3,700,000 1.53 %$5,575,000 1.18 %
(a) For all interest rate derivatives, the Company receives discrete three-month LIBOR.
(b) $250 million of the notional amount of these derivatives have forward effective start dates in June 2021.
Schedule Of Derivative Swaptions The following table summarizes these derivative instruments as of June 30, 2019.
If exercised effective dateNotional amountWeighted average fixed rate paid by the CompanyIf exercised maturity date
August 21, 2019$750,000 3.28 %August 21, 2024
September 25, 2019250,000 3.00  September 25, 2024
$1,000,000 3.21 %
Schedule of Interest Rate Caps The following table summarizes these derivative instruments as of June 30, 2019.
Notional amount Strike rateMaturity 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 derivativesFair value of liability derivatives
As of June 30, 2019As of December 31, 2018As of June 30, 2019As of December 31, 2018
Interest rate swap options - floor income hedges
$1,465 — — 
Interest rate caps229 353 — — 
Total$230 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 June 30,Six months ended June 30,
 2019201820192018
Settlements:  
1:3 basis swaps$807 2,979 3,140 1,315 
Interest rate swaps - floor income hedges12,165 19,074 28,867 27,664 
Interest rate swaps - hybrid debt hedges— (125)— (285)
Total settlements - income12,972 21,928 32,007 28,694 
Change in fair value:  
1:3 basis swaps(2,522)(2,209)10,775 
Interest rate swaps - floor income hedges(36,851)(2,766)(63,563)41,434 
Interest rate swap options - floor income hedges(88)(279)(1,464)468 
Interest rate caps(125)122 (399)448 
Interest rate swaps - hybrid debt hedges— 548 — 2,010 
Total change in fair value - (expense) income
(37,060)(4,897)(67,635)55,135 
Derivative market value adjustments and derivative settlements, net - (expense) income
$(24,088)17,031 (35,628)83,829