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Summary of Offsetting Assets and Liabilities
 9 Months Ended
Sep. 30, 2017
Offsetting [Abstract]  
Summary of Offsetting Assets and Liabilities
Summary of Offsetting Assets and Liabilities
 
The Company enters into derivative transactions and short-term reverse repurchase agreements with several approved counterparties. The Company’s derivative transactions are generally governed by MSFTA or ISDA Master Agreements which provide for legally enforceable set-off and close-out netting in the event of default or bankruptcy of the Company’s counterparties.  The Company’s MSFTA and ISDA Master Agreements generally include provisions which require both the pledging and accepting of collateral in connection with its derivative transactions. These provisions have the effect of securing each party’s position to the extent of collateral held. Short-term reverse repurchase agreements also include collateral provisions with the counterparty. The following tables summarize the effect of master netting arrangements on the Company’s financial position in the normal course of business and in the event of default or bankruptcy of the Company’s counterparties: 
 
 
September 30, 2017
 
 
 
 
Gross fair value not offset
 
 
 
 
 
 
in balance sheets
 
 
 
 
Gross fair value of
 
Financial
 
 
 
Net
Financial instruments (assets):
 
recognized assets (1)
 
instruments
 
Cash collateral

 
fair value
Derivative instruments (2)
 
$
72,217


$
(56,224
)

$
(14,263
)

$
1,730

Short-term reverse repurchase agreements (3)

20,900


(20,900
)

—


—

Total financial instruments (assets)

93,117


(77,124
)

(14,263
)

1,730

 
 
 
 
 
 
 
 
 
 
 
September 30, 2017
 
 
 
 
Gross fair value not offset
 
 
 
 
 
 
in balance sheets
 
 
 
 
Gross fair value of
 
Financial
 
 
 
Net
Financial instruments (liabilities):
 
recognized liabilities (1)
 
instruments
 
Cash collateral

 
fair value
Derivative instruments (4)
 
70,720

 
(56,224
)
 
(13,006
)
 
1,490


(1) The gross fair value of derivative instrument and short-term reverse repurchase agreement assets is not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets.
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals.
(3) The estimated fair value of short-term reverse repurchase agreement assets is reported in short-term investments in the condensed consolidated balance sheets. The collateral is held by an independent third-party custodian under a tri-party agreement.
(4) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals.


 

December 31, 2016
 

 
 
Gross fair value not offset
 
 
 

 
 
in balance sheets
 
 
 

Gross fair value of
 
Financial
 
Cash collateral
 
Net
Financial instruments:

recognized assets/liabilities (1)
 
instruments
 
received/(pledged)
 
fair value
Derivative instruments (assets) (2)

$
119,862


$
(26,254
)

$
92,756


$
852

Derivative instruments (liabilities) (3)

26,254


(26,254
)

—


—


(1) The gross fair value of derivative instrument assets is not netted against offsetting liabilities for presentation on the condensed consolidated balance sheets.
(2) The estimated fair value of derivative instrument assets is reported in other assets in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals.
(3) The estimated fair value of derivative instrument liabilities is reported in other liabilities in the condensed consolidated balance sheets. Derivative transactions entered into under ISDA master agreements include income and expense accruals.