Derivatives (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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 September 30, 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)	September 30, 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		$	—	$	1,149	$	275,000		$	—	$	1,864
Net investment hedges:
Foreign exchange contracts	85,316			158		—		84,269			—		235
Total derivatives designated as hedging instruments	$	360,316		$	158	$	1,149	$	359,269		$	—	$	2,099
Derivatives not designated as hedging instruments:
Interest rate contracts	$	17,743,446		$	298,831	$	212,179	$	18,155,678		$	489,132	$	315,834
Foreign exchange contracts	3,047,846			31,717		24,313		3,108,488			30,300		22,524
Credit contracts	83,693			15		120		76,992			13		206
Equity contracts	—		(1)	226		—		—		(1)	858		—
Commodity contracts	—		(2)	363,063		324,027		—		(2)	82,451		84,165
Total derivatives not designated as hedging instruments	$	20,874,985		$	693,852	$	560,639	$	21,341,158		$	602,754	$	422,729
Gross derivative assets/liabilities				$	694,010	$	561,788				$	602,754	$	424,828
Less: Master netting agreements				(102,515)		(102,515)					(93,063)		(93,063)
Less: Cash collateral received/paid				(62,968)		(240,104)					(8,449)		(91,634)
Net derivative assets/liabilities				$	528,527	$	219,169				$	501,242	$	240,131

(1)The Company held equity contracts in one public company and 12 private companies as of September 30, 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 8,557 thousand barrels of crude oil and 95,273 thousand units of natural gas, measured in million British thermal units (“MMBTUs”), as of September 30, 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 September 30, 2021 and December 31, 2020:

($ in thousands)	September 30, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	1,103,453	$	—	$	751	Purchased options	$	1,103,453	$	757	$	—
Sold collars and corridors	179,605		2,083		198		Collars and corridors	179,605		199		2,093
Swaps	7,573,811		276,902		31,316		Swaps	7,603,519		18,890		177,821
Total	$	8,856,869	$	278,985	$	32,265	Total	$	8,886,577	$	19,846	$	179,914

($ 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 September 30, 2021 and December 31, 2020:

($ in thousands)	September 30, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	1,573,945	$	18,558	$	20,340	Forwards and spot	$	249,814	$	1,913	$	1,653
Swaps	66,696		321		76		Swaps	814,355		10,885		2,204
Written options	169,434		22		10		Purchased options	169,434		10		22
Collars	2,084		—		8		Collars	2,084		8		—
Total	$	1,812,159	$	18,901	$	20,434	Total	$	1,235,687	$	12,816	$	3,879

($ 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 September 30, 2021 and December 31, 2020:

($ in thousands)	September 30, 2021						December 31, 2020
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs - protection sold	$	72,979	$	—	$	120	$	66,278	$	—	$	206
RPAs - protection purchased	10,714		15		—		10,714		13		—
Total RPAs	$	83,693	$	15	$	120	$	76,992	$	13	$	206

The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of September 30, 2021 and December 31, 2020:

($ and units in thousands)	September 30, 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	212	Barrels	$	302	$	1	Purchased options	212	Barrels	$	—	$	278
Collars	3,070	Barrels	35,941		—		Collars	3,126	Barrels	—		35,575
Swaps	5,275	Barrels	82,563		2		Swaps	8,219	Barrels	30,604		98,712
Total	8,557		$	118,806	$	3	Total	11,557		$	30,604	$	134,565
Natural gas:							Natural gas:
Written options	2,668	MMBTUs	$	—	$	—	Purchased options	2,668	MMBTUs	$	—	$	—
Collars	25,224	MMBTUs	30,542		62		Collars	29,242	MMBTUs	5,236		32,005
Swaps	67,381	MMBTUs	106,653		14,756		Swaps	127,419	MMBTUs	71,222		142,636
Total	95,273		$	137,195	$	14,818	Total	159,329		$	76,458	$	174,641
Total			$	256,001	$	14,821	Total			$	107,062	$	309,206

($ 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	32,074		27,238		Swaps	103,973	MMBTUs	26,988		29,837
Total	109,635		$	33,137	$	27,502	Total	120,863		$	27,252	$	30,650
Total			$	44,763	$	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 and nine months ended September 30, 2021 and 2020. The after-tax impact of cash flow hedges on AOCI is discussed in Note 12 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in this Form-10-Q.

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
(Losses) gains recognized in AOCI	$	(170)	$	34	$	150	$	(1,449)
(Losses) gains reclassified from AOCI to interest expense	$	(241)	$	(87)	$	(619)	$	290

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 and nine months ended September 30, 2021 and 2020:

($ in thousands)	Classification on Consolidated Statement of Income	Three Months Ended September 30,				Nine Months Ended September 30,
		2021		2020		2021		2020
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	2,467	$	(3,013)	$	11,030	$	(15,385)
Foreign exchange contracts	Foreign exchange income	11,820		5,255		34,035		14,317
Credit contracts	Interest rate contracts and other derivative income	(20)		26		175		(72)
Equity contracts	Lending fees	3		3,592		388		11,971
Commodity contracts	Interest rate contracts and other derivative income	32		34		13		(13)
Net gains		$	14,302	$	5,894	$	45,641	$	10,818

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, 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	$	694,010	$	(102,515)	$	(62,968)	$	528,527	$	—	$	528,527
	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	$	561,788	$	(102,515)	$	(240,104)	$	219,169	$	(157,315)	$	61,854

($ 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)Included $1.2 million 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 September 30, 2021 and December 31, 2020, respectively.

(2)Included $1.4 million and $220 thousand of gross fair value liabilities with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of September 30, 2021 and December 31, 2020, respectively.

(3)Gross cash collateral received under master netting arrangements or similar agreements were $67.1 million and $15.8 million as of September 30, 2021 and December 31, 2020, respectively. Of the gross cash collateral received, $63.0 million and $8.4 million were used to offset against derivative assets as of September 30, 2021 and December 31, 2020, respectively.

(4)Gross cash collateral pledged under master netting arrangements or similar agreements were $240.1 million and $91.6 million as of September 30, 2021 and December 31, 2020, respectively. Of the gross cash collateral pledged, $240.1 million and $91.6 million were used to offset against derivative liabilities as of September 30, 2021 and December 31, 2020, respectively.

(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. U.S. GAAP does not permit the netting of noncash collateral on the Consolidated Balance Sheet but requires disclosure of such amounts.

Schedule of Net Investment Hedges in Accumulated Other Comprehensive Income (Loss)

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, 2021 and 2020:

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Losses recognized in AOCI	$	(318)	$	(2,627)	$	(1,860)	$	(2,000)