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Derivative financial instruments (Tables)
 9 Months Ended
Sep. 30, 2019
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

 

 

Average

 

 

 

 

 

 

 

 

 

 

Estimated

Fair Value

 

 

 

Amount

 

 

Maturity

 

 

Fixed

 

 

Variable

 

 

Gain (Loss) (a)

 

 

 

(In thousands)

 

 

(In years)

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

September 30, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

3,800,000

 

 

 

2.5

 

 

 

2.51

%

 

 

2.55

%

 

$

(1,086

)

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate commercial real

         estate loans (b)(c)

 

 

43,600,000

 

 

 

1.4

 

 

 

2.38

%

 

 

2.06

%

 

 

(5,056

)

     Total

 

$

47,400,000

 

 

 

1.5

 

 

 

 

 

 

 

 

 

 

$

(6,142

)

December 31, 2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

4,450,000

 

 

 

2.8

 

 

 

2.47

%

 

 

3.02

%

 

$

4,219

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate commercial real

         estate loans (b)(d)

 

 

15,400,000

 

 

 

1.3

 

 

 

1.52

%

 

 

2.35

%

 

 

1,311

 

     Total

 

$

19,850,000

 

 

 

1.7

 

 

 

 

 

 

 

 

 

 

$

5,530

 

 

(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, 2019 and December 31, 2018 was a reduction of the estimated fair value gains on interest rate swap agreements designated as fair value hedges of $64.0 million and fair value losses of $54.7 million, respectively, and on interest rate swaps designated as cash flow hedges a reduction of fair value gains of $208.5 million and a reduction of fair value losses of $9.1 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 $30.3 billion of forward-starting interest rate swap agreements that become effective in 2019, 2020 and 2021.

(d)

Includes notional amount and terms of $12.6 billion of forward-starting interest rate swap agreements that become effective in  2019 and 2020.
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,

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

47

 

 

$

5,530

 

 

$

6,189

 

 

$

—

 

Commitments to sell real estate loans (a)

 

 

1,339

 

 

 

1,090

 

 

 

1,928

 

 

 

6,434

 

 

 

 

1,386

 

 

 

6,620

 

 

 

8,117

 

 

 

6,434

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-related commitments to originate real estate loans

    for sale (a)

 

 

24,463

 

 

 

9,304

 

 

 

189

 

 

 

1,592

 

Commitments to sell real estate loans (a)

 

 

2,079

 

 

 

3,702

 

 

 

13,402

 

 

 

4,535

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

532,070

 

 

 

118,687

 

 

 

72,098

 

 

 

169,255

 

Foreign exchange and other option and futures contracts (b)

 

 

11,280

 

 

 

10,549

 

 

 

9,944

 

 

 

8,870

 

 

 

 

569,892

 

 

 

142,242

 

 

 

95,633

 

 

 

184,252

 

Total derivatives

 

$

571,278

 

 

$

148,862

 

 

$

103,750

 

 

$

190,686

 

(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, 2019 and December 31, 2018 was a reduction of the estimated fair value of interest rate contracts in the trading account in an asset position of $17.2 million and $170.7 million, respectively, and in a liability position of $390.6 million and $49.7 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, 2019

 

 

December 31, 2018

 

 

September 30, 2019

 

 

December 31, 2018

 

 

 

(In thousands)

 

Location in the Consolidated Balance Sheet of

   the Hedged Items in Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

3,858,490

 

 

$

4,394,109

 

 

$

61,782

 

 

$

(51,102

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

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Three Months Ended September 30, 2019

 

 

Three Months Ended September 30, 2018

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

22,582

 

 

 

(22,412

)

 

$

(12,568

)

 

 

12,607

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

6,435

 

 

 

 

 

 

$

(1,348

)

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

2,598

 

 

 

 

 

 

 

782

 

 

 

 

 

Total

 

$

9,033

 

 

 

 

 

 

$

(566

)

 

 

 

 

11. Derivative financial instruments, continued

 

 

 

Amount of Gain (Loss) Recognized

 

 

 

Nine Months Ended September 30, 2019

 

 

Nine Months Ended September 30, 2018

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

113,441

 

 

 

(112,884

)

 

$

(68,315

)

 

 

68,861

 

Derivatives not designated as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

17,639

 

 

 

 

 

 

$

(5,639

)

 

 

 

 

Foreign exchange and other option and futures contracts (b)

 

 

6,690

 

 

 

 

 

 

 

5,778

 

 

 

 

 

Total

 

$

24,329

 

 

 

 

 

 

$

139

 

 

 

 

 

 

(a)

Reported as interest expense.

 

(b)

Reported as trading account and foreign exchange gains.