XML 43 R32.htm IDEA: XBRL DOCUMENT v3.10.0.1
Derivative financial instruments (Tables)
 9 Months Ended
Sep. 30, 2018
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:

 

 

 

Notional

 

 

Average

 

 

Weighted-

Average Rate

 

 

Estimated Fair

 

 

 

Amount

 

 

Maturity

 

 

Fixed

 

 

Variable

 

 

Value Gain (a)

 

 

 

(In thousands)

 

 

(In years)

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

September 30, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

5,200,000

 

 

 

2.7

 

 

 

2.45

%

 

 

2.76

%

 

$

1,458

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(c)

 

 

10,550,000

 

 

 

1.4

 

 

 

1.52

%

 

 

2.11

%

 

 

988

 

     Total

 

$

15,750,000

 

 

 

1.8

 

 

 

 

 

 

 

 

 

 

$

2,446

 

December 31, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

4,550,000

 

 

 

2.9

 

 

 

2.27

%

 

 

2.09

%

 

$

573

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(d)

 

 

4,850,000

 

 

 

2.0

 

 

 

1.52

%

 

 

1.36

%

 

 

66

 

     Total

 

$

9,400,000

 

 

 

2.5

 

 

 

 

 

 

 

 

 

 

$

639

 

(a)

Certain clearinghouse exchanges consider payments by counterparties for variation margin on derivative instruments to be settlements of those positions. The impact of such treatment at September 30, 2018 and December 31, 2017 was a reduction of the estimated fair value losses on interest rate swap agreements designated as fair value hedges of $110.3 million and $41.1 million, respectively, and on interest rate swap agreements designated as cash flow hedges of $36.1 million and $16.3 million, respectively.

(b)

Under the terms of these agreements, the Company receives settlement amounts at a fixed rate and pays at a variable rate.

(c)

Includes notional amount and terms of $7.7 billion of forward-starting interest rate swap agreements that will become effective in 2019 and 2020 upon maturity of a like amount of other swap agreements.

(d)

Includes notional amount and terms of $2.0 billion of forward-starting interest rate swap agreements that will become effective in 2019 upon maturity of a like amount of other swap agreements.
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

 

 

 

September 30,

 

 

December 31,

 

 

September 30,

 

 

December 31,

 

 

 

2018

 

 

2017

 

 

2018

 

 

2017

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

2,446

 

 

$

639

 

 

$

—

 

 

$

—

 

Commitments to sell real estate loans (a)

 

 

5,832

 

 

 

734

 

 

 

546

 

 

 

283

 

 

 

 

8,278

 

 

 

1,373

 

 

 

546

 

 

 

283

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

5,625

 

 

 

8,797

 

 

 

1,439

 

 

 

494

 

Commitments to sell real estate loans (a)

 

 

5,795

 

 

 

2,526

 

 

 

250

 

 

 

1,019

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

62,472

 

 

 

74,164

 

 

 

299,791

 

 

 

132,104

 

Foreign exchange and other option and futures contracts (b)

 

 

9,270

 

 

 

5,657

 

 

 

8,942

 

 

 

5,286

 

 

 

 

83,162

 

 

 

91,144

 

 

 

310,422

 

 

 

138,903

 

Total derivatives

 

$

91,440

 

 

$

92,517

 

 

$

310,968

 

 

$

139,186

 

(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 variation margin payments at September 30, 2018 and December 31, 2017 was a reduction of the estimated fair value of interest rate contracts in the trading account in an asset position of $302.4 million and $136.2 million, respectively, and in a liability position of $2.7 million and $12.2 million, respectively.

 

 

 

Carrying Amount of the Hedged Item

 

 

Cumulative Amount of Fair Value Hedging Adjustment Increasing (Decreasing) the Carrying Amount of the Hedged Item

 

 

 

September 30,

 

 

December 31,

 

 

September 30,

 

 

December 31,

 

 

 

2018

 

 

2017

 

 

2018

 

 

2017

 

 

 

(In thousands)

 

Location in the Consolidated Balance Sheet of

   the Hedged Items in Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

5,085,610

 

 

$

4,504,029

 

 

$

(108,994

)

 

$

(40,133

)

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

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Three Months Ended

September 30, 2018

 

 

Three Months Ended

September 30, 2017

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(12,568

)

 

 

12,607

 

 

$

(13,509

)

 

 

14,026

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

(1,348

)

 

 

 

 

 

$

(418

)

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

782

 

 

 

 

 

 

 

1,362

 

 

 

 

 

Total

 

$

(566

)

 

 

 

 

 

$

944

 

 

 

 

 

9. Derivative financial instruments, continued

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Nine Months Ended

September 30, 2018

 

 

Nine Months Ended

September 30, 2017

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

(68,315

)

 

 

68,861

 

 

$

(23,423

)

 

 

23,049

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

(5,639

)

 

 

 

 

 

$

2,363

 

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

5,778

 

 

 

 

 

 

 

4,766

 

 

 

 

 

Total

 

$

139

 

 

 

 

 

 

$

7,129

 

 

 

 

 

 

(a)

Effective January 1, 2018, reported as an adjustment to interest expense. Prior to 2018, reported as other revenues from operations.  

 

(b)

Reported as trading account and foreign exchange gains.