Derivative Financial Instruments (Tables)
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6 Months Ended |
Jun. 30, 2019 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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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, | | | | 2019 | | 2018 | | Maturity | | Notional amount | | Notional amount | | 2019 | | $ | 1,000,000 | | 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) | | 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.
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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, 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) | | 500,000 | | 1.90 | | | — | | — | | 2023 | | 400,000 | | 2.24 | | | 400,000 | | 2.24 | | 2024 | | 200,000 | | 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.
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Schedule Of Derivative Swaptions |
The following table summarizes these derivative instruments as of June 30, 2019. | | | | | | | | | | | | | | | | | | | | | If exercised effective date | | Notional amount | | Weighted average fixed rate paid by the Company | | If exercised maturity date | August 21, 2019 | | $ | 750,000 | | 3.28 | % | | August 21, 2024 | September 25, 2019 | | 250,000 | | 3.00 | | | September 25, 2024 | | | $ | 1,000,000 | | 3.21 | % | | |
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Schedule of Interest Rate Caps |
The following table summarizes these derivative instruments as of June 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 |
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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 June 30, 2019 | | As of December 31, 2018 | | As of June 30, 2019 | | As of December 31, 2018 | Interest rate swap options - floor income hedges | $ | 1 | | 1,465 | | — | | — | Interest rate caps | 229 | | 353 | | — | | — | Total | $ | 230 | | 1,818 | | — | | — |
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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, | | | | 2019 | | 2018 | | 2019 | | 2018 | Settlements: | | | | | | | | 1:3 basis swaps | $ | 807 | | 2,979 | | 3,140 | | 1,315 | Interest rate swaps - floor income hedges | 12,165 | | 19,074 | | 28,867 | | 27,664 | Interest rate swaps - hybrid debt hedges | — | | (125) | | — | | (285) | Total settlements - income | 12,972 | | 21,928 | | 32,007 | | 28,694 | Change in fair value: | | | | | | | | 1:3 basis swaps | 4 | | (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 |
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