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Derivative financial instruments (Tables)
 12 Months Ended
Dec. 31, 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-

 

 

Estimated

 

 

 

Notional

 

 

Average

 

 

Average Rate

 

 

Fair Value

 

 

 

Amount

 

 

Maturity

 

 

Fixed

 

 

Variable

 

 

Gain (Loss) (a)

 

 

 

(In thousands)

 

 

(In years)

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

December 31, 2019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

3,800,000

 

 

 

2.2

 

 

 

2.51

%

 

 

2.27

%

 

$

(567

)

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(c)

 

 

53,750,000

 

 

 

1.4

 

 

 

2.44

%

 

 

1.73

%

 

 

(1,195

)

     Total

 

$

57,550,000

 

 

 

1.5

 

 

 

 

 

 

 

 

 

 

$

(1,762

)

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 exchange rules provide that required payments by counterparties for variation margin are treated as settlements of those positions. The impact of such settlements at December 31, 2019 was a reduction of estimated fair value gains on interest rate swap agreements designated as fair value hedges of $45.1 million and cash flow hedges of $140.7 million.  The impact of  such settlements at December 31, 2018 was a reduction of estimated fair value losses on agreements designated as fair value hedges of $54.7 million and cash flow hedges of $9.1 million.

(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 $40.4 billion of forward-starting interest rate swap agreements that will become effective in 2020-2022.

(d)

Includes notional amount and terms of $12.6 billion of forward-starting interest rate swap agreements.
Notional Amount of Interest Rate Swap Agreements Outstanding Maturity

The notional amount of interest rate swap agreements entered into for risk management purposes that were outstanding at December 31, 2019 mature as follows:

 

 

 

(In thousands)

 

Year ending December 31:

 

 

 

 

2020

 

$

12,200,000

 

2021

 

 

28,350,000

 

2022

 

 

16,000,000

 

2023

 

 

500,000

 

2027

 

 

500,000

 

 

 

$

57,550,000

 
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

 

 

 

December 31

 

 

December 31

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

232

 

 

$

5,530

 

 

$

1,994

 

 

$

—

 

Commitments to sell real estate loans (a)

 

 

1,195

 

 

 

1,090

 

 

 

421

 

 

 

6,434

 

 

 

 

1,427

 

 

 

6,620

 

 

 

2,415

 

 

 

6,434

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-related commitments to originate real estate loans

    for sale (a)

 

 

11,965

 

 

 

9,304

 

 

 

1,225

 

 

 

1,592

 

Commitments to sell real estate loans (a)

 

 

3,074

 

 

 

3,702

 

 

 

3,548

 

 

 

4,535

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

398,295

 

 

 

118,687

 

 

 

68,103

 

 

 

169,255

 

Foreign exchange and other option and futures contracts (b)

 

 

12,506

 

 

 

10,549

 

 

 

11,800

 

 

 

8,870

 

 

 

 

425,840

 

 

 

142,242

 

 

 

84,676

 

 

 

184,252

 

Total derivatives

 

$

427,267

 

 

$

148,862

 

 

$

87,091

 

 

$

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 settlement payments at December 31, 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 $43.3 million and $170.7 million, respectively, and in a liability position of $281.3 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

 

 

 

December 31

 

 

December 31

 

 

 

2019

 

 

2018

 

 

2019

 

 

2018

 

 

 

(In thousands)

 

Location in the Consolidated Balance Sheet

   of the Hedged Items in Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

3,840,775

 

 

$

4,394,109

 

 

$

43,640

 

 

$

(51,102

)

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

 

 

Amount of Gain (Loss) Recognized

 

 

 

Year Ended December 31, 2019

 

 

Year Ended December 31, 2018

 

 

Year Ended December 31, 2017

 

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

Derivative

 

 

Hedged Item

 

 

 

(In thousands)

 

Derivatives in fair value

   hedging relationships

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (a)

 

$

95,006

 

 

 

(94,742

)

 

$

(10,006

)

 

 

10,969

 

 

$

(52,392

)

 

 

51,628

 

Derivatives not designated as

   hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

24,701

 

 

 

 

 

 

$

4,506

 

 

 

 

 

 

$

5,398

 

 

 

 

 

Foreign exchange and other option and

   futures contracts (b)

 

 

8,511

 

 

 

 

 

 

 

9,416

 

 

 

 

 

 

 

6,821

 

 

 

 

 

Total

 

$

33,212

 

 

 

 

 

 

$

13,922

 

 

 

 

 

 

$

12,219

 

 

 

 

 

 

(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.