Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table summarizes the Company’s 1:3 Basis Swaps outstanding:



	As of December 31,
	2017		2016
Maturity	Notional amount		Notional amount
2018	$	4,250,000	—
2019	3,500,000		—
2022	1,000,000		—
2024	250,000		—
2026	1,150,000		1,150,000
2027	375,000		—
2028	325,000		325,000
2029	100,000		—
2031	300,000		300,000
	$	11,250,000	1,775,000

Interest Rate Swaps - Floor Income Hedges

The following tables summarize the outstanding derivative instruments used by the Company to economically hedge loans earning fixed rate floor income.



	As of December 31, 2017				As of December 31, 2016
Maturity	Notional amount		Weighted average fixed rate paid by the Company (a)		Notional amount		Weighted average fixed rate paid by the Company (a)
Maturity	Notional amount		Weighted average fixed rate paid by the Company (a)		Notional amount		Weighted average fixed rate paid by the Company (a)
2017	$	—	—	%	$	750,000	0.99	%
2018	1,350,000		1.07		1,350,000		1.07
2019	3,250,000		0.97		3,250,000		0.97
2020	1,500,000		1.01		1,500,000		1.01
2023	750,000		2.28		—		—
2024	300,000		2.28		—		—
2025	100,000		2.32		100,000		2.32
2027	50,000		2.32		—		—
	$	7,300,000	1.21	%	$	6,950,000	1.02	%


(a)	For all interest rate derivatives, the Company receives discrete three-month LIBOR.

Interest Rate Swaps - Unsecured Debt Hedges

As of December 31, 2017 and 2016, the Company had the following derivatives outstanding that are used to effectively convert the variable interest rate on a portion of the Hybrid Securities to a fixed rate of 7.66%.


(a)	For all interest rate derivatives, the Company receives discrete three-month LIBOR.

Impact of Foreign Exchange Contracts on the Statement of Income

The following table shows the income statement impact as a result of the re-measurement of the Euro Notes and the change in the fair value of the related derivative instruments.



	Year ended December 31,
	2017			2016		2015
Re-measurement of Euro Notes	$	(45,600	)	11,849		43,801
Change in fair value of cross currency interest rate swap	34,208			(1,954	)	(45,195	)
Total impact to consolidated statements of income - (expense) income (a)	$	(11,392	)	9,895		(1,394	)


(a)	The financial statement impact of the above items is included in "Derivative market value and foreign currency adjustments and derivative settlements, net" in the Company's consolidated statements of income.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table summarizes the fair value of the Company’s derivatives as reflected on the consolidated balance sheets.



	Fair value of asset derivatives			Fair value of liability derivatives
	As of		As of	As of	As of
	December 31, 2017		December 31, 2016	December 31, 2017	December 31, 2016
1:3 basis swaps	$	—	—	—	2,624
Interest rate swaps - floor income hedges	—		81,159	—	256
Interest rate swap option - floor income hedge	543		2,977	—	—
Interest rate caps	275		1,152	—	—
Interest rate swaps - hybrid debt hedges	—		—	7,063	7,341
Cross-currency interest rate swap	—		—	—	67,605
Other	—		2,243	—	—
Total	$	818	87,531	7,063	77,826

Schedule of Offsetting Derivative Assets/Liabilities

The following tables include the gross amounts related to the Company's derivative portfolio recognized in the consolidated balance sheets, reconciled to the net amount when excluding derivatives subject to enforceable master netting arrangements and cash collateral received/pledged:



			Gross amounts not offset in the consolidated balance sheets
Derivative assets	Gross amounts of recognized assets presented in the consolidated balance sheets		Derivatives subject to enforceable master netting arrangement		Cash collateral pledged	Net asset (liability)
Balance as of December 31, 2017	$	818	—		—	818
Balance as of December 31, 2016	87,531		(2,880	)	475	85,126



				Gross amounts not offset in the consolidated balance sheets
Derivative liabilities	Gross amounts of recognized liabilities presented in the consolidated balance sheets			Derivatives subject to enforceable master netting arrangement	Cash collateral pledged	Net asset (liability)
Balance as of December 31, 2017	$	(7,063	)	—	8,520	1,457
Balance as of December 31, 2016	(77,826		)	2,880	7,292	(67,654	)

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following table summarizes the components of "derivative market value and foreign currency transaction adjustments and derivative settlements, net" included in the consolidated statements of income.



	Year ended December 31,
	2017			2016		2015
Settlements:
1:3 basis swaps	$	(3,069	)	1,493		1,058
Interest rate swaps - floor income hedges	10,838			(17,643	)	(23,041	)
Interest rate swaps - hybrid debt hedges	(781		)	(915	)	(1,012	)
Cross-currency interest rate swap	(6,321		)	(4,884	)	(1,255	)
Total settlements - income (expense)	667			(21,949	)	(24,250	)
Change in fair value:
1:3 basis swaps	(8,224		)	(2,938	)	12,292
Interest rate swaps - floor income hedges	3,585			64,111		20,103
Interest rate swap option - floor income hedge	(2,433		)	(281	)	(2,420	)
Interest rate caps	(893		)	(419	)	(1,365	)
Interest rate swaps - hybrid debt hedges	279			304		(295	)
Cross-currency interest rate swap	34,208			(1,954	)	(45,195	)
Other	(143		)	1,072		1,730
Total change in fair value - income (expense)	26,379			59,895		(15,150	)
Re-measurement of Euro Notes (foreign currency transaction adjustment) - income (expense)	(45,600		)	11,849		43,801
Derivative market value and foreign currency transaction adjustments and derivative settlements, net - income (expense)	$	(18,554	)	49,795		4,401

Notional amount

Weighted average fixed rate paid by the Company (a)