Derivatives (Tables)

3 Months Ended

Mar. 31, 2021

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 March 31, 2021 and December 31, 2020. 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 March 31, 2021 and December 31, 2020. 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)	March 31, 2021						December 31, 2020
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Derivative Assets		Derivative  Liabilities				Derivative Assets		Derivative  Liabilities
Derivatives designated as hedging instruments:
Cash flow hedges:
Interest rate contracts	$	275,000	$	—	$	1,258	$	275,000	$	—	$	1,864
Net investment hedges:
Foreign exchange contracts	83,936		908		—		84,269		—		235
Total derivatives designated as hedging instruments	$	358,936	$	908	$	1,258	$	359,269	$	—	$	2,099
Derivatives not designated as hedging instruments:
Interest rate contracts	$	17,891,960	$	319,049	$	229,032	$	18,155,678	$	489,132	$	315,834
Foreign exchange contracts	4,036,958		38,654		27,287		3,108,488		30,300		22,524
Credit contracts	76,992		5		153		76,992		13		206
Equity contracts	—		272		—		—		858		—
Commodity contracts	—		98,429		86,405		—		82,451		84,165
Total derivatives not designated as hedging instruments	$	22,005,910	$	456,409	$	342,877	$	21,341,158	$	602,754	$	422,729
Gross derivative assets/liabilities			$	457,317	$	344,135			$	602,754	$	424,828
Less: Master netting agreements			(100,454)		(100,454)				(93,063)		(93,063)
Less: Cash collateral received/paid			(7,781)		(86,233)				(8,449)		(91,634)
Net derivative assets/liabilities			$	349,082	$	157,448			$	501,242	$	240,131

(1)The Company held equity contracts in 18 private companies as of March 31, 2021. In comparison, the Company held equity contracts in two public companies and 17 private companies as of December 31, 2020.

(2)The notional amount of the Company’s commodity contracts entered with its customers totaled 8,258 thousand barrels of crude oil and 102,996 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of March 31, 2021. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 6,321 thousand barrels of crude oil and 109,635 thousand MMBTUs of natural gas as of December 31, 2020. 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 March 31, 2021 and December 31, 2020:

($ in thousands)	March 31, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	800,962	$	—	$	544	Purchased options	$	800,962	$	551	$	—
Sold collars and corridors	531,840		5,849		158		Collars and corridors	531,840		160		5,888
Swaps	7,597,856		279,361		53,975		Swaps	7,628,500		33,128		168,467
Total	$	8,930,658	$	285,210	$	54,677	Total	$	8,961,302	$	33,839	$	174,355

($ in thousands)	December 31, 2020
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	957,393	$	—	$	115	Purchased options	$	957,393	$	101	$	15
Sold collars and corridors	518,477		7,673		—		Collars and corridors	518,477		—		7,717
Swaps	7,586,414		479,634		1,364		Swaps	7,617,524		1,724		306,623
Total	$	9,062,284	$	487,307	$	1,479	Total	$	9,093,394	$	1,825	$	314,355

The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of March 31, 2021 and December 31, 2020:

($ in thousands)	March 31, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	2,468,974	$	27,803	$	21,835	Forwards and spot	$	168,942	$	869	$	494
Swaps	184,584		1,902		247		Swaps	974,974		7,733		4,364
Written options	116,575		—		336		Purchased options	116,575		336		—
Collars	3,167		—		11		Collars	3,167		11		—
Total	$	2,773,300	$	29,705	$	22,429	Total	$	1,263,658	$	8,949	$	4,858

($ in thousands)	December 31, 2020
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	1,522,888	$	17,575	$	17,928	Forwards and spot	$	145,197	$	1,230	$	273
Swaps	13,590		872		91		Swaps	1,191,355		10,049		3,658
Written options	117,729		—		574		Purchased options	117,729		574		—
Total	$	1,654,207	$	18,447	$	18,593	Total	$	1,454,281	$	11,853	$	3,931

The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of March 31, 2021 and December 31, 2020:

($ in thousands)	March 31, 2021						December 31, 2020
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs - protection sold	$	66,278	$	—	$	153	$	66,278	$	—	$	206
RPAs - protection purchased	10,714		5		—		10,714		13		—
Total RPAs	$	76,992	$	5	$	153	$	76,992	$	13	$	206

The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of March 31, 2021 and December 31, 2020:

($ and units in thousands)	March 31, 2021
	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	248	Barrels	$	211	$	25	Purchased options	248	Barrels	$	—	$	48
Collars	2,361	Barrels	11,181		219		Collars	2,361	Barrels	219		10,989
Swaps	5,649	Barrels	37,076		1,206		Swaps	5,649	Barrels	1,058		28,624
Total	8,258		$	48,468	$	1,450	Total	8,258		$	1,277	$	39,661
Natural gas:							Natural gas:
Written options	8,065	MMBTUs	$	52	$	319	Purchased options	8,065	MMBTUs	$	319	$	52
Collars	10,823	MMBTUs	879		—		Collars	14,023	MMBTUs	—		555
Swaps	84,108	MMBTUs	28,878		18,449		Swaps	91,790	MMBTUs	18,556		25,919
Total	102,996		$	29,809	$	18,768	Total	113,878		$	18,875	$	26,526
Total			$	78,277	$	20,218	Total			$	20,152	$	66,187

($ and units in thousands)	December 31, 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:
Collars	2,022	Barrels	$	2,344	$	2,193	Collars	2,022	Barrels	$	2,217	$	2,402
Swaps	4,299	Barrels	9,282		14,283		Swaps	4,299	Barrels	8,220		7,135
Total	6,321		$	11,626	$	16,476	Total	6,321		$	10,437	$	9,537
Natural gas:							Natural gas:
Written options	597	MMBTUs	$	—	$	59	Purchased options	597	MMBTUs	$	59	$	—
Collars	12,733	MMBTUs	1,063		205		Collars	16,293	MMBTUs	205		813
Swaps	96,305	MMBTUs	32,073		27,238		Swaps	103,973	MMBTUs	26,988		29,837
Total	109,635		$	33,136	$	27,502	Total	120,863		$	27,252	$	30,650
Total			$	44,762	$	43,978	Total			$	37,689	$	40,187

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 months ended March 31, 2021 and 2020. The after-tax impact of cash flow hedges on AOCI is shown in Note 13 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in this Form-10-Q.

($ in thousands)	Three Months Ended March 31,
	2021		2020
Gains recognized in AOCI	$	426	$	—
(Losses) reclassified from AOCI to interest expense	$	(177)	$	—

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 months ended March 31, 2021 and 2020:

($ in thousands)	Three Months Ended March 31,
	2021		2020
Gains recognized in AOCI	$	101	$	1,004

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 gains (losses) recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments for the three months ended March 31, 2021 and 2020:

($ in thousands)	Classification on Consolidated Statement of Income	Three Months Ended March 31,
		2021		2020
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	13,901	$	(7,011)
Foreign exchange contracts	Foreign exchange income	10,243		2,861
Credit contracts	Interest rate contracts and other derivative income	45		(23)
Equity contracts	Lending fees	311		309
Commodity contracts	Interest rate contracts and other derivative income	169		24
Net gains (losses)		$	24,669	$	(3,840)

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 March 31, 2021
	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	$	457,317	$	(100,454)	$	(7,781)	$	349,082	$	—	$	349,082
	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	$	344,135	$	(100,454)	$	(86,233)	$	157,448	$	(64,816)	$	92,632

($ in thousands)	As of December 31, 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	$	602,754	$	(93,063)	$	(8,449)	$	501,242	$	(35)	$	501,207
	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	$	424,828	$	(93,063)	$	(91,634)	$	240,131	$	(221,150)	$	18,981

(1)Includes $532 thousand and $1.1 million of gross fair value assets with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2021 and December 31, 2020, respectively.

(2)Includes $151 thousand and $220 thousand of gross fair value liabilities with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2021 and December 31, 2020, respectively.

(3)Gross cash collateral received under master netting arrangements or similar agreements were $11.9 million and $15.8 million as of March 31, 2021 and December 31, 2020, respectively. Of the gross cash collateral received, $7.8 million and $8.4 million were used to offset against derivative assets, respectively, as of March 31, 2021 and December 31, 2020.

(4)Gross cash collateral pledged under master netting arrangements or similar agreements were $90.8 million and $91.6 million as of March 31, 2021 and December 31, 2020, respectively. Of the gross cash collateral pledged, $86.2 million and $91.6 million were used to offset against derivative liabilities, respectively, as of March 31, 2021 and December 31, 2020.

(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.