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Derivative financial instruments (Tables)
 12 Months Ended
Dec. 31, 2018
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-

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Average Rate

 

 

Estimated

 

 

 

Notional

 

 

Average

 

 

 

 

 

 

 

 

 

 

Fair Value

 

 

 

Amount

 

 

Maturity

 

 

Fixed

 

 

Variable

 

 

Gain (a)

 

 

 

(In thousands)

 

 

(In years)

 

 

 

 

 

 

 

 

 

 

(In thousands)

 

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)(c)

 

 

15,400,000

 

 

 

1.3

 

 

 

1.52

%

 

 

2.35

%

 

 

1,311

 

     Total

 

$

19,850,000

 

 

 

1.7

 

 

 

 

 

 

 

 

 

 

$

5,530

 

December 31, 2017

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed rate long-term borrowings (b)

 

$

4,550,000

 

 

 

2.9

 

 

 

2.27

%

 

 

2.09

%

 

$

573

 

Cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

     Interest payments on variable rate

         commercial real estate loans (b)(d)

 

 

4,850,000

 

 

 

2.0

 

 

 

1.52

%

 

 

1.36

%

 

 

66

 

     Total

 

$

9,400,000

 

 

 

2.5

 

 

 

 

 

 

 

 

 

 

$

639

 

 

(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, 2018 and December 31, 2017 was a reduction of the estimated fair value losses on interest rate swap agreements designated as fair value hedges of $54.7 million and $41.1 million, respectively, and on interest rate swap agreements designated as cash flow hedges of $9.1 million and $16.3 million, respectively.

 

(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 $12.6 billion of forward-starting interest rate swap agreements that will become effective in 2019 and 2020.

 

(d)

Includes notional amount and terms of $2.0 billion of forward-starting interest rate swap agreements that will become effective in 2019.
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, 2018 mature as follows:

 

 

 

(In thousands)

 

Year ending December 31:

 

 

 

 

2019

 

$

3,500,000

 

2020

 

 

11,200,000

 

2021

 

 

3,500,000

 

2022

 

 

650,000

 

2023

 

 

500,000

 

2027

 

 

500,000

 

 

 

$

19,850,000

 
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

 

 

 

2018

 

 

2017

 

 

2018

 

 

2017

 

 

 

(In thousands)

 

Derivatives designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate swap agreements (a)

 

$

5,530

 

 

$

639

 

 

$

—

 

 

$

—

 

Commitments to sell real estate loans (a)

 

 

1,090

 

 

 

734

 

 

 

6,434

 

 

 

283

 

 

 

 

6,620

 

 

 

1,373

 

 

 

6,434

 

 

 

283

 

Derivatives not designated and qualifying as hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mortgage-related commitments to originate real estate loans

    for sale (a)

 

 

9,304

 

 

 

8,797

 

 

 

1,592

 

 

 

494

 

Commitments to sell real estate loans (a)

 

 

3,702

 

 

 

2,526

 

 

 

4,535

 

 

 

1,019

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

 

118,687

 

 

 

74,164

 

 

 

169,255

 

 

 

132,104

 

Foreign exchange and other option and futures contracts (b)

 

 

10,549

 

 

 

5,657

 

 

 

8,870

 

 

 

5,286

 

 

 

 

142,242

 

 

 

91,144

 

 

 

184,252

 

 

 

138,903

 

Total derivatives

 

$

148,862

 

 

$

92,517

 

 

$

190,686

 

 

$

139,186

 

(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, 2018 and December 31, 2017 was a reduction of the estimated fair value of interest rate contracts in the trading account in an asset position of $170.7 million and $136.2 million, respectively, and in a liability position of $49.7 million and $12.2 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

 

 

 

2018

 

 

2017

 

 

2018

 

 

2017

 

 

 

(In thousands)

 

Location in the Consolidated Balance Sheet of

   the Hedged Items in Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Long-term debt

 

$

4,394,109

 

 

$

4,504,029

 

 

$

(51,102

)

 

$

(40,133

)

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

 

 

Amount of Gain (Loss) Recognized

 

 

 

Year Ended December 31, 2018

 

 

Year Ended December 31, 2017

 

 

Year Ended December 31, 2016

 

 

 

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)

 

$

(10,006

)

 

 

10,969

 

 

$

(52,392

)

 

 

51,628

 

 

$

(32,000

)

 

 

30,906

 

Derivatives not designated as

   hedging instruments

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Trading:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts (b)

 

$

4,506

 

 

 

 

 

 

$

5,398

 

 

 

 

 

 

$

14,042

 

 

 

 

 

Foreign exchange and other option and

   futures contracts (b)

 

 

9,416

 

 

 

 

 

 

 

6,821

 

 

 

 

 

 

 

7,665

 

 

 

 

 

Total

 

$

13,922

 

 

 

 

 

 

$

12,219

 

 

 

 

 

 

$

21,707

 

 

 

 

 

 

(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.