Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional and gross 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 September 30, 2020 and December 31, 2019. 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 September 30, 2020 and December 31, 2019. 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)	September 30, 2020							December 31, 2019
	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	$	15,194		$	64	$	—	$	31,026		$	—	$	3,198
Cash flow hedges:
Interest rate contracts	275,000			—		1,861		—			—		—
Net investment hedges:
Foreign exchange contracts	80,992			—		252		86,167			—		1,586
Total derivatives designated as hedging instruments	$	371,186		$	64	$	2,113	$	117,193		$	—	$	4,784
Derivatives not designated as hedging instruments:
Interest rate contracts	$	17,613,982		$	566,571	$	370,196	$	15,489,692		$	192,883	$	124,119
Foreign exchange contracts	1,832,383			19,134		14,530		4,839,661			54,637		47,024
Credit contracts	77,397			47		307		210,678			2		84
Equity contracts	—		(1)	12,765		—		—		(1)	1,414		—
Commodity contracts	—		(2)	110,029		118,873		—		(2)	81,380		80,517
Total derivatives not designated as hedging instruments	$	19,523,762		$	708,546	$	503,906	$	20,540,031		$	330,316	$	251,744
Gross derivative assets/liabilities				$	708,610	$	506,019				$	330,316	$	256,528
Less: Master netting agreements				(104,456)		(104,456)					(121,561)		(121,561)
Less: Cash collateral received/paid				(5,240)		(97,675)					(3,758)		(38,238)
Net derivative assets/liabilities				$	598,914	$	303,888				$	204,997	$	96,729

(1)The Company held equity contracts in three public companies and 17 private companies as of September 30, 2020. In comparison, the Company held equity contracts in three public companies and 18 private companies as of December 31, 2019.

(2)The notional amount of the Company’s commodity contracts entered with its customers totaled 6,100 thousand barrels of crude oil and 110,340 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of September 30, 2020. In comparison, 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 MMBTUs of natural gas as of December 31, 2019. The Company simultaneously entered into the offsetting commodity contracts with mirrored terms with third-party financial institutions.

The following tables present the notional amounts and the gross fair values of interest rate derivative contracts outstanding as of September 30, 2020 and December 31, 2019:

($ in thousands)	September 30, 2020
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	816,659	$	—	$	64	Purchased options	$	816,659	$	65	$	—
Sold collars and corridors	510,489		9,051		—		Collars and corridors	510,489		—		9,107
Swaps	7,464,057		556,237		—		Swaps	7,495,629		1,218		361,025
Total	$	8,791,205	$	565,288	$	64	Total	$	8,822,777	$	1,283	$	370,132

($ 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

The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of September 30, 2020 and December 31, 2019:

($ in thousands)	September 30, 2020
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	959,820	$	8,480	$	11,884	Forwards and spot	$	205,113	$	1,367	$	124
Swaps	11,373		358		45		Swaps	486,211		8,383		1,951
Collars	1,172		—		26		Collars	168,694		546		500
Total	$	972,365	$	8,838	$	11,955	Total	$	860,018	$	10,296	$	2,575

($ in thousands)	December 31, 2019
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					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

The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of September 30, 2020 and December 31, 2019:

($ in thousands)	September 30, 2020						December 31, 2019
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs - protection sold	$	66,683	$	—	$	307	$	199,964	$	—	$	84
RPAs - protection purchased	10,714		47		—		10,714		2		—
Total RPAs	$	77,397	$	47	$	307	$	210,678	$	2	$	84

The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of September 30, 2020 and December 31, 2019:

($ and units in thousands)	September 30, 2020
	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	—	Barrels	$	—	$	—	Purchased options	—	Barrels	$	—	$	—
Collars	1,390	Barrels	18		12,245		Collars	1,544	Barrels	12,946		943
Swaps	4,710	Barrels	3,635		36,622		Swaps	4,759	Barrels	21,336		2,991
Total	6,100		$	3,653	$	48,867	Total	6,303		$	34,282	$	3,934
Natural gas:							Natural gas:
Written options	973	MMBTUs	$	—	$	116	Purchased options	963	MMBTUs	$	115	$	—
Collars	14,761	MMBTUs	3,705		—		Collars	18,111	MMBTUs	—		3,046
Swaps	94,606	MMBTUs	42,231		26,055		Swaps	102,263	MMBTUs	26,043		36,855
Total	110,340		$	45,936	$	26,171	Total	121,337		$	26,158	$	39,901
Total			$	49,589	$	75,038	Total			$	60,440	$	43,835

($ 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

Schedule of net gains (losses) recognized on the Consolidated Statement 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 three and nine months ended September 30, 2020 and 2019:

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Gains (losses) recorded in interest expense:
Recognized on interest rate swaps	$	154	$	202	$	3,150	$	3,056
Recognized on certificates of deposit	$	112	$	(37)	$	(1,607)	$	(2,732)

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 September 30, 2020 and December 31, 2019:

($ in thousands)	Carrying Value (1)				Cumulative Fair     Value Adjustment (2)
	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
Certificates of deposit	$	(14,874)	$	(29,080)	$	(2)	$	1,604

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

(2)For liabilities, (increase) decrease to carrying value.

Schedule of pre-tax changes in AOCI from cash flows hedges

The following table presents the pre-tax changes in AOCI from cash flow hedges for the three and nine months ended September 30, 2020 and 2019. The after-tax impact of cash flow hedges on AOCI is shown in Note 14 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in the Form-10-Q.

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
Gains (losses) recognized in AOCI	$	34	$	—	$	(1,449)	$	—
(Losses) gains reclassified from AOCI to Interest expense	$	(87)	$	—	$	290	$	—

Tabular disclosure of gains and losses on derivative instruments qualified and designated in net investment hedges

The following table presents the after-tax (losses) gains recognized in AOCI on net investment hedges for the three and nine months ended September 30, 2020 and 2019:

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2020		2019		2020		2019
(Losses) gains recognized in AOCI	$	(2,627)	$	2,954	$	(2,000)	$	351

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

The following table presents the net (losses) gains recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments for the three and nine months ended September 30, 2020 and 2019:

($ in thousands)	Classification on Consolidated Statement of Income	Three Months Ended September 30,				Nine Months Ended September 30,
		2020		2019		2020		2019
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	(3,013)	$	(2,738)	$	(15,385)	$	(5,876)
Foreign exchange contracts	Foreign exchange income	5,255		5,306		14,317		15,127
Credit contracts	Interest rate contracts and other derivative income	26		(3)		(72)		44
Equity contracts	Lending fees	3,592		(442)		11,971		725
Commodity contracts	Interest rate contracts and other derivative income	34		14		(13)		(4)
Net gains		$	5,894	$	2,137	$	10,818	$	10,016

Schedule of 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 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 noncash 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 central counterparties, where applicable. The collateral amounts in the 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 September 30, 2020
	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	$	708,610	$	(104,456)	$	(5,240)	$	598,914	$	(8,647)	$	590,267
	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	$	506,019	$	(104,456)	$	(97,675)	$	303,888	$	(262,165)	$	41,723

($ 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

(1)Gross amounts recognized for derivative assets include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $695.6 million and $328.7 million, respectively, as of September 30, 2020 and December 31, 2019, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $13.0 million and $1.6 million, respectively, as of September 30, 2020 and December 31, 2019.

(2)Gross amounts recognized for derivative liabilities include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $505.8 million and $256.5 million, respectively, as of September 30, 2020 and December 31, 2019, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $208 thousand and $20 thousand, respectively, as of September 30, 2020 and December 31, 2019.

(3)Gross cash collateral received under master netting arrangements or similar agreements were $9.1 million and $3.8 million, respectively, as of September 30, 2020 and December 31, 2019. Of the gross cash collateral received, $5.2 million and $3.8 million were used to offset against derivative assets, respectively, as of September 30, 2020 and December 31, 2019.

(4)Gross cash collateral pledged under master netting arrangements or similar agreements were $100.1 million and $43.0 million, respectively, as of September 30, 2020 and December 31, 2019. Of the gross cash collateral pledged, $97.7 million and $38.2 million were used to offset against derivative liabilities, respectively, as of September 30, 2020 and December 31, 2019.

(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 noncash collateral on the consolidated balance sheet but requires disclosure of such amounts.