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Derivative financial instruments (Tables)
 6 Months Ended
Jun. 30, 2017
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Information about Interest Rate Swap Agreements

Information about interest rate swap agreements entered into for interest rate risk management purposes summarized by type of financial instrument the swap agreements were intended to hedge follows:

 

 

 

 

 

 

 

 

 

 

 

Weighted-

Average Rate

 

 

 

 

 

 

 

Notional Amount

 

 

Average Maturity

 

 

Fixed

 

 

Variable

 

 

Estimated Fair Value Gain (a)

 

 

 

(In thousands)

 

 

(In years)

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

June 30, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

3,700,000

 

 

 

2.2

 

 

 

2.64

%

 

 

1.99

%

 

$

4,882

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Variable rate commercial real estate loans (b)

 

 

2,000,000

 

 

 

1.9

 

 

 

1.46

%

 

 

1.05

%

 

 

—

 

     Total

 

$

5,700,000

 

 

 

2.1

 

 

 

 

 

 

 

 

 

 

$

4,882

 

December 31, 2016

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

900,000

 

 

 

1.1

 

 

 

3.75

%

 

 

2.08

%

 

$

11,892

 

(a)

Effective January 2017 certain clearinghouse exchanges revised their rules such that certain required payments by counterparties for variation margin on derivative instruments that had been treated as collateral are now treated as settlements of those positions.   The impact of such rule changes at June 30, 2017 was a reduction of the estimated fair value losses on interest rate swaps designated as fair value hedges of $2.9 million and of estimated fair value losses on interest rate swaps designated as cash flow hedges of $1.5 million.

(b)

Under the terms of these agreements, the Company receives settlement amounts at a fixed rate and pays at a variable rate.
Information about Fair Values of Derivative Instruments in Consolidated Balance Sheet

Information about the fair values of derivative instruments in the Company’s consolidated balance sheet and consolidated statement of income follows:

 

 

 

Asset Derivatives

 

 

Liability Derivatives

 

 

 

Fair Value

 

 

Fair Value

 

 

 

June 30, 2017

 

 

December 31, 2016

 

 

June 30, 2017

 

 

December 31, 2016

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

4,882

 

 

$

11,892

 

 

$

—

 

 

$

—

 

Commitments to sell real estate loans (a)

 

 

1,249

 

 

 

33,189

 

 

 

993

 

 

 

1,347

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

 

6,131

 

 

 

45,081

 

 

 

993

 

 

 

1,347

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-related commitments to originate real estate loans for sale (a)

 

 

12,847

 

 

 

8,060

 

 

 

422

 

 

 

735

 

Commitments to sell real estate loans (a)

 

 

3,776

 

 

 

5,210

 

 

 

832

 

 

 

399

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

113,905

 

 

 

228,810

 

 

 

111,819

 

 

 

167,737

 

Foreign exchange and other option and futures contracts (b)

 

 

5,968

 

 

 

7,908

 

 

 

5,390

 

 

 

6,639

 

 

 

 

136,496

 

 

 

249,988

 

 

 

118,463

 

 

 

175,510

 

Total derivatives

 

$

142,627

 

 

$

295,069

 

 

$

119,456

 

 

$

176,857

 

(a)

Asset derivatives are reported in other assets and liability derivatives are reported in other liabilities.

(b)

Asset derivatives are reported in trading account assets and liability derivatives are reported in other liabilities.  The impact of the variation margin rule change at June 30, 2017 was a reduction of the estimated fair value of interest rate swaps in an asset position of $91.7 million and of those in a liability position of $32.0 million.

10. Derivative financial instruments, continued

 
Information about Fair Values of Derivative Instruments in Consolidated Statement of Income

 

 

Amount of Gain (Loss) Recognized

 

 

 

Three Months Ended June 30, 2017

 

 

Three Months Ended June 30, 2016

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(5,795

)

 

 

5,011

 

 

$

(7,611

)

 

 

7,146

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

831

 

 

 

 

 

 

$

5,782

 

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

1,568

 

 

 

 

 

 

 

2,457

 

 

 

 

 

Total

 

$

2,399

 

 

 

 

 

 

$

8,239

 

 

 

 

 

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Six Months Ended

June 30, 2017

 

 

Six Months Ended

June 30, 2016

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(9,914

)

 

 

9,023

 

 

$

(10,244

)

 

 

9,016

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

2,781

 

 

 

 

 

 

$

6,756

 

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

3,404

 

 

 

 

 

 

 

3,669

 

 

 

 

 

Total

 

$

6,185

 

 

 

 

 

 

$

10,425

 

 

 

 

 

 

(a)

Reported as other revenues from operations.

 

(b)

Reported as trading account and foreign exchange gains.