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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2018
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 June 30, 2018 and December 31, 2017, and their impact on earnings and other comprehensive income for the three and six months ended June 30, 2018 and 2017. Please refer to Note 11, “Derivative Financial Instruments” in our 2017 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
 
 
 
June 30,
 
December
31,
 
June 30,
 
December
31,
 
June 30,
 
December
31,
 
June 30,
 
December
31,
 
 
 
2018
 
2017
 
2018
 
2017
 
2018
 
2017
 
2018
 
2017
Fair Values(1)
Hedged Risk Exposure
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative Assets:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
$
959

 
$
—

 
$
444

 
$
630

 
$
—

 
$
182

 
$
1,403

 
$
812

Derivative Liabilities:(2)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
Interest rate
 
—

 
(2,584
)
 
—

 
—

 
(92
)
 
—

 
(92
)
 
(2,584
)
Total net derivatives
 
 
$
959

 
$
(2,584
)
 
$
444

 
$
630

 
$
(92
)
 
$
182

 
$
1,311

 
$
(1,772
)
     ___________
(1)
Fair values reported include variation margin as legal settlement of the derivative contract 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
 
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
 
2018
 
2017
 
2018
 
2017
Gross position(1)
 
$
1,403

 
$
812

 
$
(92
)
 
$
(2,584
)
Impact of master netting agreement
 
(92
)
 
(812
)
 
92

 
812

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
1,311

 
—

 
—

 
(1,772
)
Cash collateral pledged(2)
 
28,385

 
—

 
—

 
21,586

Net position
 
$
29,696

 
$
—

 
$
—

 
$
19,814


__________
(1)
Gross position amounts include accrued interest and variation margin as legal settlement of the derivative contract.
(2)
Cash collateral 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
 
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
 
2018
 
2017
 
2018
 
2017
Gross position(1)
 
$
1,403

 
$
812

 
$
(92
)
 
$
(2,584
)
Impact of master netting agreement
 
(92
)
 
(812
)
 
92

 
812

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
1,311

 
—

 
—

 
(1,772
)
Cash collateral pledged(2)
 
28,385

 
—

 
—

 
21,586

Net position
 
$
29,696

 
$
—

 
$
—

 
$
19,814


__________
(1)
Gross position amounts include accrued interest and variation margin as legal settlement of the derivative contract.
(2)
Cash collateral 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
 
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
 
2018
 
2017
 
2018
 
2017
Gross position(1)
 
$
1,403

 
$
812

 
$
(92
)
 
$
(2,584
)
Impact of master netting agreement
 
(92
)
 
(812
)
 
92

 
812

Derivative values with impact of master netting agreements (as carried on balance sheet)
 
1,311

 
—

 
—

 
(1,772
)
Cash collateral pledged(2)
 
28,385

 
—

 
—

 
21,586

Net position
 
$
29,696

 
$
—

 
$
—

 
$
19,814


__________
(1)
Gross position amounts include accrued interest and variation margin as legal settlement of the derivative contract.
(2)
Cash collateral 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
 
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
June 30,
 
December 31,
 
 
2018
 
2017
 
2018
 
2017
 
2018
 
2017
 
2018
 
2017
Notional Values
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate swaps
 
$
1,344,791

 
$
1,408,649

 
$
3,867,204

 
$
3,062,849

 
$
1,317,494

 
$
987,577

 
$
6,529,489

 
$
5,459,075
Derivative instruments, gain (loss)
Impact of Derivatives on the Consolidated Statements of Income
 
 
Three Months Ended 
 June 30,
 
Six Months Ended 
 June 30,
 
 
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
Fair Value Hedges
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Hedge ineffectiveness realized gains (losses) recorded in earnings(1)
 
$
(2,914
)
 
$
(3,711
)
 
$
2,939

 
$
(7,878
)
Realized gains (losses) recorded in interest expense
 
(2,812
)
 
2,881

 
(3,326
)
 
7,428

Total
 
$
(5,726
)
 
$
(830
)
 
$
(387
)
 
$
(450
)
 
 
 
 
 
 
 
 
 
Cash Flow Hedges
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Hedge ineffectiveness gains (losses) recorded in earnings(1)
 
$
65

 
$
(75
)
 
$
2,749

 
$
(147
)
Realized losses recorded in interest expense
 
(543
)
 
(2,669
)
 
(2,104
)
 
(6,008
)
Total
 
$
(478
)
 
$
(2,744
)
 
$
645

 
$
(6,155
)
 
 
 
 
 
 
 
 
 
Trading
 
 
 
 
 
 
 
 
Interest rate swaps:
 
 
 
 
 
 
 
 
Interest reclassification
 
$
(239
)
 
$
(101
)
 
$
(129
)
 
$
(20
)
Realized losses recorded in earnings
 
(2,180
)
 
278

 
(6,935
)
 
(942
)
Total(1) 
 
(2,419
)
 
177

 
(7,064
)
 
(962
)
Total
 
$
(8,623
)
 
$
(3,397
)
 
$
(6,806
)
 
$
(7,567
)

________
(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
 
 
Three Months Ended
 
Six Months Ended
 
 
June 30,
 
June 30,
 
 
2018
 
2017
 
2018
 
2017
 
 
 
 
 
 
 
 
 
Amount of gain recognized in other comprehensive income (loss)
 
$
9,471

 
$
(4,698
)
 
$
28,200

 
$
(3,258
)
Less: amount of loss reclassified in interest expense(1)
 
(543
)
 
(2,669
)
 
(2,104
)
 
(6,008
)
Total change in other comprehensive income (loss) for unrealized gains (losses) on derivatives, before income tax (expense) benefit
 
$
10,014

 
$
(2,029
)
 
$
30,304

 
$
2,750


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