Derivatives (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional and fair values of derivatives

The following table presents the total notional amounts and gross fair values of the Company’s derivatives, as well as the balance sheet netting adjustments on an aggregate basis as of December 31, 2019 and 2018. The derivative assets and liabilities are presented on a gross basis prior to the application of bilateral collateral and master netting agreements, but after the variation margin payments with central clearing organizations have been applied as settlement, as applicable. Total derivative assets and liabilities are adjusted to take into consideration the effects of legally enforceable master netting agreements and cash collateral received or paid as of December 31, 2019 and 2018. The resulting net derivative asset and liability fair values are included in Other assets and Accrued expenses and other liabilities, respectively, on the Consolidated Balance Sheet.

($ in thousands)	December 31, 2019									December 31, 2018
	Notional Amount			Fair Value						Notional Amount			Fair Value
				Derivative Assets			Derivative Liabilities						Derivative Assets			Derivative Liabilities
Derivatives designated as hedging instruments:
Fair value hedges:
Interest rate contracts	$	31,026		$	—		$	3,198		$	35,811		$	—		$	5,866
Net investment hedges:
Foreign exchange contracts	86,167			—			1,586			90,245			—			611
Total derivatives designated as hedging instruments	$	117,193		$	—		$	4,784		$	126,056		$	—		$	6,477
Derivatives not designated as hedging instruments:
Interest rate contracts	$	15,489,692		$	192,883		$	124,119		$	11,695,499		$	69,818		$	69,267
Foreign exchange contracts	4,839,661			54,637			47,024			3,407,522			21,624			19,329
Credit contracts	210,678			2			84			119,320			1			164
Equity contracts	—		(1)	1,414			—			—		(1)	1,951			—
Commodity contracts	—		(2)	81,380			80,517			—		(2)	14,422			23,068
Total derivatives not designated as hedging instruments	$	20,540,031		$	330,316		$	251,744		$	15,222,341		$	107,816		$	111,828
Gross derivative assets/liabilities				$	330,316		$	256,528					$	107,816		$	118,305
Less: Master netting agreements				(121,561		)	(121,561		)				(31,569		)	(31,569		)
Less: Cash collateral received/paid				(3,758		)	(38,238		)				(13,577		)	(6,833		)
Net derivative assets/liabilities				$	204,997		$	96,729					$	62,670		$	79,903

(1) The Company held equity contracts in three public companies and 18 private companies as of December 31, 2019. In comparison, the Company held equity contracts in four public companies and 18 private companies as of December 31, 2018.

(2) The notional amount of the Company’s commodity contracts entered with its customers totaled 7,811 thousand barrels of crude oil and 63,773 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of December 31, 2019. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 2,507 thousand of crude oil and 14,722 thousand MMBTUs of natural gas as of December 31, 2018. The Company simultaneously entered into the offsetting commodity contracts with mirrored terms with third-party financial institutions.

The following table presents the notional amounts and fair values of the commodity derivative positions outstanding as of December 31, 2019 and 2018.

($ and units in thousands)	December 31, 2019
	Customer Counterparty						($ and units in thousands)	Financial Counterparty
	Notional Unit		Fair Value					Notional Unit		Fair Value
			Assets		Liabilities					Assets		Liabilities
Crude oil:							Crude oil:
Written options	36	Barrels	$	—	$	30	Purchased options	36	Barrels	$	29	$	—
Collars	3,174	Barrels	2,673		538		Collars	3,630	Barrels	677		2,815
Swaps	4,601	Barrels	6,949		5,531		Swaps	4,721	Barrels	4,516		5,215
Total	7,811		$	9,622	$	6,099	Total	8,387		$	5,222	$	8,030
Natural gas:							Natural gas:
Written options	540	MMBTUs	$	—	$	22	Purchased options	530	MMBTUs	$	21	$	—
Collars	14,277	MMBTUs	186		522		Collars	14,517	MMBTUs	471		150
Swaps	48,956	MMBTUs	30,257		35,497		Swaps	48,779	MMBTUs	35,601		30,197
Total	63,773		$	30,443	$	36,041	Total	63,826		$	36,093	$	30,347
Total			$	40,065	$	42,140	Total			$	41,315	$	38,377

($ and units in thousands)	December 31, 2018
	Customer Counterparty						($ and units in thousands)	Financial Counterparty
	Notional Unit		Fair Value					Notional Unit		Fair Value
			Assets		Liabilities					Assets		Liabilities
Crude oil:							Crude oil:
Written options	524	Barrels	$	—	$	2,628	Purchased options	524	Barrels	$	2,251	$	—
Collars	872	Barrels	—		3,772		Collars	872	Barrels	3,225		—
Swaps	1,111	Barrels	—		14,278		Swaps	1,111	Barrels	5,799		—
Total	2,507		$	—	$	20,678	Total	2,507		$	11,275	$	—
Natural gas:							Natural gas:
Collars	3,063	MMBTUs	$	78	$	152	Collars	3,063	MMBTUs	$	151	$	64
Swaps	11,659	MMBTUs	1,049		1,857		Swaps	11,659	MMBTUs	1,869		317
Total	14,722		$	1,127	$	2,009	Total	14,722		$	2,020	$	381
Total			$	1,127	$	22,687	Total			$	13,295	$	381

The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of December 31, 2019 and 2018:

($ in thousands)	December 31, 2019						December 31, 2018
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs - protection sold	$	199,964	$	—	$	84	$	108,606	$	—	$	164
RPAs - protection purchased	10,714		2		—		10,714		1		—
Total RPAs	$	210,678	$	2	$	84	$	119,320	$	1	$	164

The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of December 31, 2019 and 2018:

($ in thousands)	December 31, 2019
	Customer Counterparty						Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities		($ in thousands)			Assets		Liabilities
Forwards and spot	$	3,581,036	$	45,911	$	40,591	Forwards and spot	$	207,492	$	1,400	$	507
Swaps	6,889		16		84		Swaps	702,391		6,156		4,712
Written options	87,036		127		—		Purchased options	87,036		—		127
Collars	2,244		—		14		Collars	165,537		1,027		989
Total	$	3,677,205	$	46,054	$	40,689	Total	$	1,162,456	$	8,583	$	6,335

($ in thousands)	December 31, 2018
	Customer Counterparty						Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities		($ in thousands)			Assets		Liabilities
Forwards and spot	$	2,023,425	$	11,719	$	13,079	Forwards and spot	$	506,342	$	3,407	$	2,285
Swaps	21,108		348		243		Swaps	687,845		5,764		3,336
Written options	537		16		—		Purchased options	537		—		16
Collars	83,864		—		370		Collars	83,864		370		—
Total	$	2,128,934	$	12,083	$	13,692	Total	$	1,278,588	$	9,541	$	5,637

The following tables present the notional amounts and the gross fair values of interest rate derivative contracts outstanding as of December 31, 2019 and 2018:

($ in thousands)	December 31, 2019
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	1,003,558	$	—	$	66	Purchased options	$	1,003,558	$	67	$	—
Sold collars and corridors	490,852		1,971		16		Collars and corridors	490,852		17		1,996
Swaps	6,247,667		187,294		6,237		Swaps	6,253,205		3,534		115,804
Total	$	7,742,077	$	189,265	$	6,319	Total	$	7,747,615	$	3,618	$	117,800

($ in thousands)	December 31, 2018
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	931,601	$	—	$	492	Purchased options	$	931,601	$	503	$	—
Sold collars and corridors	429,879		1,121		305		Collars and corridors	429,879		308		1,140
Swaps	4,482,881		41,457		41,545		Swaps	4,489,658		26,429		25,785
Total	$	5,844,361	$	42,578	$	42,342	Total	$	5,851,138	$	27,240	$	26,925

Schedule of net gains (losses) recognized on the Consolidated Statements of Income related to derivatives designated as fair value hedge

The following table presents the net gains (losses) recognized on the Consolidated Statement of Income related to the derivatives designated as fair value hedges for the years ended December 31, 2019, 2018 and 2017:

($ in thousands)	Year Ended December 31,
	2019			2018			2017
Gains (losses) recorded in interest expense:
Recognized on interest rate swaps	$	2,655		$	(93	)	$	(2,734	)
Recognized on certificates of deposit	$	(2,536	)	$	278		$	2,271

Schedule of the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of the hedged certificates of deposit

The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of the hedged certificates of deposit as of December 31, 2019 and 2018:

($ in thousands)	Carrying Value (1)						Cumulative Fair Value Adjustment (2)
	December 31,						December 31,
	2019			2018			2019		2018
Certificates of deposit	$	(29,080	)	$	(26,877	)	$	1,604	$	4,141

(1) Represents the full carrying amount of the hedged certificates of deposit.

(2)

For liabilities, (increase) decrease to carrying value.

Schedule of gains (losses) related to net investment hedges on a pre-tax basis in accumulated other comprehensive income (loss) and Consolidated Statements of Income

The following table presents the (losses) gains recorded on net investment hedges for the years ended December 31, 2019, 2018 and 2017:

($ in thousands)	Year Ended December 31,
	2019			2018		2017
(Losses) gains recognized in AOCI	$	(471	)	$	6,072	$	(648	)
(Losses) recognized in Foreign exchange income(1)	$	—		$	—	$	(1,953	)

(1)

Represents the losses recorded in the Consolidated Statement of Income related to the ineffective portion of the net investment hedges prior to the adoption of ASU 2017-12, effective January 1, 2018. After the adoption, the fair value gains (losses) are recorded in Foreign Currency Translation Adjustments within AOCI.

Schedule of net gains (losses) recognized on the Consolidated Statements of Income related to derivatives not designated as hedging instruments

The following table presents the net gains (losses) recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments for the years ended December 31, 2019, 2018 and 2017:

($ in thousands)	Classification in Consolidated Statement of Income	Year Ended December 31,
		2019			2018			2017
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	(2,126	)	$	280		$	(1,772	)
Foreign exchange contracts	Foreign exchange income	22,264			16,784			22,076
Credit contracts	Interest rate contracts and other derivative income	59			(156		)	(7		)
Equity contracts	Lending fees	678			512			1,672
Commodity contracts	Interest rate contracts and other derivative income	(67		)	(11		)	—
Net gains		$	20,808		$	17,409		$	21,969

Schedule of gross derivative fair values, the balance sheet netting adjustments and net fair values on the Consolidated Balance Sheets, as well as the cash and non-cash collateral

The following tables present the gross derivative fair values, the balance sheet netting adjustments and the resulting net fair values recorded on the consolidated balance sheet, as well as the cash and non-cash collateral associated with master netting arrangements. The gross amounts of derivative assets and liabilities are presented after the application of variation margin payments as settlements with centrally cleared organizations, where applicable. The collateral amounts in following tables are limited to the outstanding balances of the related asset or liability, after the application of netting; therefore instances of overcollateralization are not shown:

($ in thousands)	As of December 31, 2019
	Gross Amounts Recognized (1)		Gross Amounts Offset on the Consolidated Balance Sheet						Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet			Net Amount
			Master Netting Arrangements			Cash Collateral Received (3)					Security Collateral Received (5)
Derivative assets	$	330,316	$	(121,561	)	$	(3,758	)	$	204,997	$	—		$	204,997
	Gross Amounts Recognized (2)		Gross Amounts Offset on the Consolidated Balance Sheet						Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet			Net Amount
			Master Netting Arrangements			Cash Collateral Pledged (4)					Security Collateral Pledged (5)
Derivative liabilities	$	256,528	$	(121,561	)	$	(38,238	)	$	96,729	$	(79,619	)	$	17,110

($ in thousands)	As of December 31, 2018
	Gross Amounts Recognized (1)		Gross Amounts Offset on the Consolidated Balance Sheet						Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet			Net Amount
			Master Netting Arrangements			Cash Collateral Received (3)					Security Collateral Received (5)
Derivative assets	$	107,816	$	(31,569	)	$	(13,577	)	$	62,670	$	(13,975	)	$	48,695
	Gross Amounts Recognized (2)		Gross Amounts Offset on the Consolidated Balance Sheet						Net Amounts Presented on the Consolidated Balance Sheet		Gross Amounts Not Offset on the Consolidated Balance Sheet			Net Amount
			Master Netting Arrangements			Cash Collateral Pledged (4)					Security Collateral Pledged (5)
Derivative liabilities	$	118,305	$	(31,569	)	$	(6,833	)	$	79,903	$	(11,231	)	$	68,672

(1) Gross amounts recognized for derivative assets include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $328.7 million and $105.9 million, respectively, as of December 31, 2019 and 2018, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $1.6 million and $2.0 million, respectively, as of December 31, 2019 and 2018.

(2) Gross amounts recognized for derivative liabilities include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $256.5 million and $118.2 million, respectively, as of December 31, 2019 and 2018, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $20 thousand and $102 thousand, respectively, as of December 31, 2019 and 2018.

(3) Gross cash collateral received under master netting arrangements or similar agreements were $3.8 million and $15.8 million, respectively, as of December 31, 2019 and 2018. Of the gross cash collateral received,$3.8 million and $13.6 million were used to offset against derivative assets, respectively, as of December 31, 2019 and 2018.

(4) Gross cash collateral pledged under master netting arrangements or similar agreements were $43.0 million and $8.4 million, respectively, as of December 31, 2019 and 2018. Of the gross cash collateral pledged, $38.2 million and $6.8 million were used to offset against derivative liabilities, respectively, as of December 31, 2019 and 2018.

(5) Represents the fair value of security collateral received and pledged limited to derivative assets and liabilities that are subject to enforceable master netting arrangements or similar agreements. GAAP does not permit the netting of non-cash collateral on the consolidated balance sheet but requires disclosure of such amounts.