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Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Impact of derivatives on the consolidated balance sheet
The following tables summarize the fair values and notional amounts of all derivative instruments at September 30, 2016 and December 31, 2015, and their impact on earnings and other comprehensive income for the three and nine months ended September 30, 2016 and 2015. Please refer to Note 11, “Derivative Financial Instruments” in our 2015 Form 10-K for a full discussion of cash flow hedges, fair value hedges, and trading activities.

Impact of Derivatives on the Consolidated Balance Sheet
 
 
 
Cash Flow Hedges
 
Fair Value Hedges
 
Trading
 
Total
 
 
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
 
 
2016
 
2015
 
2016
 
2015
 
2016
 
2015
 
2016
 
2015
Fair Values(1)
Hedged Risk Exposure
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Assets:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
$
—

 
$
—

 
$
42,996

 
$
15,231

 
$
414

 
$
83

 
$
43,410

 
$
15,314

Derivative Liabilities:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
(52,197
)
 
(27,512
)
 
(187
)
 
(2,339
)
 
(194
)
 
(646
)
 
(52,578
)
 
(30,497
)
Total net derivatives
 
 
$
(52,197
)
 
$
(27,512
)
 
$
42,809

 
$
12,892

 
$
220

 
$
(563
)
 
$
(9,168
)
 
$
(15,183
)
     ___________
(1)
Fair values reported are exclusive of collateral held and pledged and accrued interest. Assets and liabilities are presented without consideration of master netting agreements. Derivatives are carried on the balance sheet based on net position by counterparty under master netting agreements, and classified in other assets or other liabilities depending on whether in a net positive or negative position.

(2)
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
September 30,
 
December 31,
 
September 30,
 
December 31,
 
 
2016
 
2015
 
2016
 
2015
Gross position(1)
 
$
43,410

 
$
15,314

 
$
(52,578
)
 
$
(30,497
)
Impact of master netting agreement
 
(14,111
)
 
(9,278
)
 
14,111

 
9,278

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
29,299

 
6,036

 
(38,467
)
 
(21,219
)
Cash collateral (held) pledged
 
(12,101
)
 
(1,070
)
 
47,283

 
54,845

Net position
 
$
17,198

 
$
4,966

 
$
8,816

 
$
33,626


__________
(1)
Gross position amounts are exclusive of accrued interest.

Offsetting assets
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
September 30,
 
December 31,
 
September 30,
 
December 31,
 
 
2016
 
2015
 
2016
 
2015
Gross position(1)
 
$
43,410

 
$
15,314

 
$
(52,578
)
 
$
(30,497
)
Impact of master netting agreement
 
(14,111
)
 
(9,278
)
 
14,111

 
9,278

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
29,299

 
6,036

 
(38,467
)
 
(21,219
)
Cash collateral (held) pledged
 
(12,101
)
 
(1,070
)
 
47,283

 
54,845

Net position
 
$
17,198

 
$
4,966

 
$
8,816

 
$
33,626


__________
(1)
Gross position amounts are exclusive of accrued interest.
Offsetting liabilities
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
September 30,
 
December 31,
 
September 30,
 
December 31,
 
 
2016
 
2015
 
2016
 
2015
Gross position(1)
 
$
43,410

 
$
15,314

 
$
(52,578
)
 
$
(30,497
)
Impact of master netting agreement
 
(14,111
)
 
(9,278
)
 
14,111

 
9,278

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
29,299

 
6,036

 
(38,467
)
 
(21,219
)
Cash collateral (held) pledged
 
(12,101
)
 
(1,070
)
 
47,283

 
54,845

Net position
 
$
17,198

 
$
4,966

 
$
8,816

 
$
33,626


__________
(1)
Gross position amounts are exclusive of accrued interest.


Schedule of notional amounts of outstanding derivative positions
 
 
 
Cash Flow
 
Fair Value
 
Trading
 
Total
 
 
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
September 30,
 
December
31,
 
 
 
2016
 
2015
 
2016
 
2015
 
2016
 
2015
 
2016
 
2015
Notional Values
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
 
$
1,078,709

 
$
1,109,933

 
$
3,767,045

 
$
3,080,167

 
$
1,267,694

 
$
1,305,757

 
$
6,113,448

 
$
5,495,857
Derivative instruments, gain (loss)
Impact of Derivatives on the Consolidated Statements of Income

 
 
Three Months Ended 
 September 30,
 
Nine Months Ended 
 September 30,
 
 
2016
 
2015
 
2016
 
2015
 
 
 
 
 
 
 
 
 
Fair Value Hedges
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Hedge ineffectiveness gains (losses) recorded in earnings(1)
 
$
3,199

 
$
(1,843
)
 
$
2,000

 
$
(929
)
Realized gains recorded in interest expense
 
6,944

 
7,531

 
21,593

 
22,512

Total
 
$
10,143

 
$
5,688

 
$
23,593

 
$
21,583

 
 
 
 
 
 
 
 
 
Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Hedge ineffectiveness losses recorded in earnings(1)
 
$
(843
)
 
$
(273
)
 
$
(1,524
)
 
$
(542
)
Realized losses recorded in interest expense
 
(4,381
)
 
(5,411
)
 
(13,588
)
 
(16,157
)
Total
 
$
(5,224
)
 
$
(5,684
)
 
$
(15,112
)
 
$
(16,699
)
 
 
 
 
 
 
 
 
 
Trading
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Interest reclassification
 
$
537

 
$
853

 
$
1,897

 
$
2,846

Change in fair value of future interest payments recorded in earnings
 
(1,525
)
 
716

 
783

 
2,972

Total(1) 
 
(988
)
 
1,569

 
2,680

 
5,818

Total
 
$
3,931

 
$
1,573

 
$
11,161

 
$
10,702


________
(1)
Amounts included in “gains on derivatives and hedging activities, net” in the consolidated statements of income.
Schedule of derivative instruments, effect on other comprehensive income (loss)
Impact of Derivatives on the Statements of Changes in Stockholders’ Equity
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
 
 
2016
 
2015
 
2016
 
2015
Amount of gain (loss) recognized in other comprehensive income (loss)
 
$
4,943

 
$
(27,162
)
 
$
(37,370
)
 
$
(35,441
)
Less: amount of (loss) gain reclassified in interest expense(1)
 
(4,381
)
 
5,411

 
(13,588
)
 
16,157

Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax benefit
 
$
9,324

 
$
(21,751
)
 
$
(23,782
)
 
$
(19,284
)

___________
(1) Amounts included in “realized losses recorded in interest expense” in the “Impact of Derivatives on the Consolidated Statements of Income” table.