Derivatives (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional and gross fair values of derivatives

The following table presents the 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, 2022 and December 31, 2021. 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, 2022 and December 31, 2021. 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, 2022							December 31, 2021
	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	$	1,275,000		$	385	$	—	$	275,000		$	—	$	57
Net investment hedges:
Foreign exchange contracts	86,751			—		490		86,531			—		225
Total derivatives designated as hedging instruments	$	1,361,751		$	385	$	490	$	361,531		$	—	$	282
Derivatives not designated as hedging instruments:
Interest rate contracts	$	17,771,724		$	187,716	$	236,569	$	17,575,420		$	240,222	$	179,905
Foreign exchange contracts	2,365,524			16,122		11,545		1,874,681			21,033		15,276
Credit contracts	122,560			—		67		72,560			—		141
Equity contracts	—		(1)	314		—		—		(1)	220		—
Commodity contracts	—		(2)	484,563		443,358		—		(2)	222,709		194,567
Total derivatives not designated as hedging instruments	$	20,259,808		$	688,715	$	691,539	$	19,522,661		$	484,184	$	389,889
Gross derivative assets/liabilities				$	689,100	$	692,029				$	484,184	$	390,171
Less: Master netting agreements				(108,782)		(108,782)					(58,679)		(58,679)
Less: Cash collateral received/paid				(81,534)		(326,299)					(42,274)		(174,048)
Net derivative assets/liabilities				$	498,784	$	256,948				$	383,231	$	157,444

(1)The Company held equity contracts in one public company and 13 private companies as of March 31, 2022. In comparison, the Company held equity contracts in one public company and 12 private companies as of December 31, 2021.

(2)The notional amount of the Company’s commodity contracts entered with its customers totaled 7,217 thousand barrels of crude oil and 83,460 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of March 31, 2022. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 7,519 thousand barrels of crude oil and 83,274 thousand MMBTUs of natural gas as of December 31, 2021. 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, 2022 and December 31, 2021:

($ in thousands)	March 31, 2022
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	1,460,907	$	—	$	13,804	Purchased options	$	1,460,907	$	13,867	$	—
Sold collars and corridors	210,909		307		3,869		Collars and corridors	210,910		3,896		307
Swaps	7,199,663		40,246		193,683		Swaps	7,228,428		129,400		24,906
Total	$	8,871,479	$	40,553	$	211,356	Total	$	8,900,245	$	147,163	$	25,213

($ in thousands)	December 31, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	1,118,074	$	—	$	2,148	Purchased options	$	1,118,074	$	2,159	$	—
Sold collars and corridors	194,181		1,272		642		Collars and corridors	194,181		646		1,275
Swaps	7,460,836		211,727		39,650		Swaps	7,490,074		24,418		136,190
Total	$	8,773,091	$	212,999	$	42,440	Total	$	8,802,329	$	27,223	$	137,465

The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of March 31, 2022 and December 31, 2021:

($ in thousands)	March 31, 2022
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	747,870	$	8,675	$	2,567	Forwards and spot	$	361,741	$	1,685	$	1,210
Swaps	137,691		1,088		433		Swaps	1,118,222		4,674		7,335
Total	$	885,561	$	9,763	$	3,000	Total	$	1,479,963	$	6,359	$	8,545

($ in thousands)	December 31, 2021
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	900,290	$	13,688	$	9,446	Forwards and spot	$	267,689	$	1,564	$	2,695
Swaps	66,474		1,034		17		Swaps	599,654		4,745		3,116
Written options	20,287		1		—		Purchased options	20,287		1		2
Total	$	987,051	$	14,723	$	9,463	Total	$	887,630	$	6,310	$	5,813

The following table presents the notional amounts and the gross fair values of RPAs sold outstanding as of March 31, 2022 and December 31, 2021:

($ in thousands)	March 31, 2022						December 31, 2021
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs — protection sold	$	122,560	$	—	$	67	$	72,560	$	—	$	141
Total RPAs	$	122,560	$	—	$	67	$	72,560	$	—	$	141

The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of March 31, 2022 and December 31, 2021:

($ and units in thousands)	March 31, 2022
	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	$	672	$	—	Purchased options	—	Barrels	$	—	$	496
Collars	2,957	Barrels	80,352		—		Collars	3,006	Barrels	—		76,875
Swaps	4,260	Barrels	138,209		255		Swaps	6,757	Barrels	46,487		164,652
Total	7,217		$	219,233	$	255	Total	9,763		$	46,487	$	242,023
Natural gas:							Natural gas:
Collars	23,156	MMBTUs	41,807		4		Collars	23,396	MMBTUs	4		41,649
Swaps	60,304	MMBTUs	126,496		—		Swaps	100,433	MMBTUs	50,536		159,427
Total	83,460		$	168,303	$	4	Total	123,829		$	50,540	$	201,076
Total			$	387,536	$	259	Total			$	97,027	$	443,099

($ and units in thousands)	December 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	—	Barrels	$	87	$	—	Purchased options	—	Barrels	$	—	$	81
Collars	2,837	Barrels	$	33,826	$	106	Collars	2,888	Barrels	$	—	$	33,399
Swaps	4,682	Barrels	71,242		60		Swaps	7,517	Barrels	27,524		82,723
Total	7,519		$	105,155	$	166	Total	10,405		$	27,524	$	116,203
Natural gas:							Natural gas:
Collars	24,315	MMBTUs	10,903		458		Collars	25,929	MMBTUs	1,136		10,936
Swaps	58,959	MMBTUs	49,188		3,775		Swaps	109,567	MMBTUs	28,803		63,029
Total	83,274		$	60,091	$	4,233	Total	135,496		$	29,939	$	73,965
Total			$	165,246	$	4,399	Total			$	57,463	$	190,168

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, 2022 and 2021. The after-tax impact of cash flow hedges on AOCI is discussed 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,
	2022		2021
(Losses) gains recognized in AOCI:
Interest rate swaps	$	(32,609)	$	426
Gains (losses) reclassified from AOCI into earnings:
Interest expense	$	(173)	$	(177)
Interest income	2,273		—
Total	$	2,100	$	(177)

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

The following table presents the after-tax gains (losses) recognized in AOCI on net investment hedges for the three months ended March 31, 2022 and 2021:

($ in thousands)	Three Months Ended March 31,
	2022		2021
(Losses) gains recognized in AOCI	$	(1,119)	$	101

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, 2022 and 2021:

($ in thousands)	Classification on Consolidated Statement of Income	Three Months Ended March 31,
		2022		2021
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	7,585	$	13,901
Foreign exchange contracts	Foreign exchange income	7,322		10,243
Credit contracts	Interest rate contracts and other derivative income	74		45
Equity contracts	Lending fees	94		311
Commodity contracts	Interest rate contracts and other derivative income	(49)		169
Net gains		$	15,026	$	24,669

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, 2022
	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	$	689,100	$	(108,782)	$	(81,534)	$	498,784	$	—	$	498,784
	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	$	692,029	$	(108,782)	$	(326,299)	$	256,948	$	(42,627)	$	214,321

($ in thousands)	As of December 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	$	484,184	$	(58,679)	$	(42,274)	$	383,231	$	—	$	383,231
	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	$	390,171	$	(58,679)	$	(174,048)	$	157,444	$	(106,598)	$	50,846

(1)Includes $811 thousand and $587 thousand of gross fair value assets with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2022 and December 31, 2021, respectively.

(2)Includes $834 thousand and $666 thousand of gross fair value liabilities with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2022 and December 31, 2021, respectively.

(3)Gross cash collateral received under master netting arrangements or similar agreements were $87.6 million and $47.0 million as of March 31, 2022 and December 31, 2021, respectively. Of the gross cash collateral received, $81.5 million and $42.3 million were used to offset against derivative assets as of March 31, 2022 and December 31, 2021, respectively.

(4)Gross cash collateral pledged under master netting arrangements or similar agreements were $330.2 million and $176.5 million as of March 31, 2022 and December 31, 2021, respectively. Of the gross cash collateral pledged, $326.3 million and $174.0 million were used to offset against derivative liabilities as of March 31, 2022 and December 31, 2021, 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. GAAP does not permit the netting of noncash collateral on the consolidated balance sheet but requires disclosure of such amounts.