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Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2017
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 December 31, 2017 and 2016, and their impact on earnings and other comprehensive income for the years ended December 31, 2017, 2016 and 2015. The net fair value of derivative instruments as of December 31, 2017 was a liability of $1.8 million, compared to the net fair value as of December 31, 2016 liability of $18.1 million. The change in the net fair value reflects a $3.5 million decrease in fair value offset by variation margin amounts of $19.9 million. The net position as of December 31, 2017 was a $19.8 million liability, compared to a $30.0 million liability as of December 31, 2016. The change in the net position reflects a $3.5 million decrease in fair value, $32.1 million decrease in collateral held and pledged (for contracts other than those cleared through the CME), offset by variation margin impacts of $25.4 million.

Impact of Derivatives on the Consolidated Balance Sheets
 
 
 
 
Cash Flow Hedges
 
Fair Value Hedges
 
Trading
 
Total
 
 
 
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
 
 
 
2017
 
2016
 
2017
 
2016
 
2017
 
2016
 
2017
 
2016
Fair Values(1)
 
Hedged Risk Exposure
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Assets:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
$
—

 
$
—

 
$
630

 
$
7,808

 
$
182

 
$
—

 
$
812

 
$
7,808

Derivative Liabilities:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
Interest rate
 
(2,584
)
 
(14,463
)
 
—

 
(10,398
)
 
—

 
(1,076
)
 
(2,584
)
 
(25,937
)
Total net derivatives
 
 
 
$
(2,584
)
 
$
(14,463
)
 
$
630

 
$
(2,590
)
 
$
182

 
$
(1,076
)
 
$
(1,772
)
 
$
(18,129
)
 
(1)
Except for instruments cleared through the CME, 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. The net position includes the variation margin as legal settlement of the derivative contract for instruments cleared through the CME.

(2)
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
 
2017
 
2016
 
2017
 
2016
Gross position(1)
 
$
812

 
$
7,808

 
$
(2,584
)
 
$
(25,937
)
Impact of master netting agreement
 
(812
)
 
(7,808
)
 
812

 
7,808

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
—

 
—

 
(1,772
)
 
(18,129
)
Cash collateral (held) pledged(2)
 
—

 
—

 
21,586

 
48,134

Net position
 
$
—

 
$
—

 
$
19,814

 
$
30,005



(1)
Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2)
Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Offsetting assets
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
 
2017
 
2016
 
2017
 
2016
Gross position(1)
 
$
812

 
$
7,808

 
$
(2,584
)
 
$
(25,937
)
Impact of master netting agreement
 
(812
)
 
(7,808
)
 
812

 
7,808

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
—

 
—

 
(1,772
)
 
(18,129
)
Cash collateral (held) pledged(2)
 
—

 
—

 
21,586

 
48,134

Net position
 
$
—

 
$
—

 
$
19,814

 
$
30,005



(1)
Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2)
Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Offsetting liabilities
The following table reconciles gross positions with the impact of master netting agreements to the balance sheet classification:
    
 
 
Other Assets
 
Other Liabilities
 
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
 
2017
 
2016
 
2017
 
2016
Gross position(1)
 
$
812

 
$
7,808

 
$
(2,584
)
 
$
(25,937
)
Impact of master netting agreement
 
(812
)
 
(7,808
)
 
812

 
7,808

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
—

 
—

 
(1,772
)
 
(18,129
)
Cash collateral (held) pledged(2)
 
—

 
—

 
21,586

 
48,134

Net position
 
$
—

 
$
—

 
$
19,814

 
$
30,005



(1)
Except for instruments cleared with the CME, gross position amounts are exclusive of accrued interest and collateral held and pledged.
(2)
Cash collateral (held) pledged excludes amounts that represent legal settlement of the derivative contracts.
Schedule of notional amounts of outstanding derivative positions
 
 
 
Cash Flow
 
Fair Value
 
Trading
 
Total
 
 
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
December 31,
 
 
 
2017
 
2016
 
2017
 
2016
 
2017
 
2016
 
2017
 
2016
Notional Values
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
 
$
1,408,649

 
$
1,054,688

 
$
3,062,849

 
$
3,628,062

 
$
987,577

 
$
494,638

 
$
5,459,075

 
$
5,177,388
Schedule of derivative instruments performance and location
Impact of Derivatives on the Consolidated Statements of Income

 
 
Years Ended December 31,
 
 
2017
 
2016
 
2015
 
 
 
 
 
 
 
Fair Value Hedges
 
 
 
 
 
 
Interest rate swaps:
Hedge ineffectiveness realized gains (losses) recorded in earnings(1)
 
$
(4,557
)
 
$
(1,035
)
 
$
2,695

Realized gains recorded in interest expense
 
8,286

 
27,810

 
29,940

Total
 
$
3,729

 
$
26,775

 
$
32,635

 
 
 
 
 
 
 
Cash Flow Hedges
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
Hedge ineffectiveness gains (losses) recorded in earnings(1)
 
$
53

 
$
(1,579
)
 
$
(1,427
)
Realized losses recorded in interest expense
 
(11,187
)
 
(17,665
)
 
(21,475
)
Total
 
$
(11,134
)
 
$
(19,244
)
 
$
(22,902
)
 
 
 
 
 
 
 
Trading
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
Interest reclassification
 
$
(69
)
 
$
2,170

 
$
3,451

Realized gains (losses) recorded in earnings
 
(3,693
)
 
(513
)
 
581

Total(1) 
 
(3,762
)
 
1,657

 
4,032

Total
 
$
(11,167
)
 
$
9,188

 
$
13,765

_______
(1)Amounts included in “gains (losses) 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
 
 
Years Ended December 31,
 
 
2017
 
2016
 
2015
Amount of gain (loss) recognized in other comprehensive income (loss)
 
$
8,008

 
$
(3,901
)
 
$
(26,699
)
Amount of loss reclassified in interest expense(1)
 
(11,187
)
 
(17,665
)
 
(21,475
)
Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax (expense) benefit
 
$
19,195

 
$
13,764

 
$
(5,224
)

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