Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Notional Amount and Fair Values of Derivative Financial Instruments

The following table presents notional amount and fair value of derivative financial instruments on a gross basis.

Notional Amount and Fair Value of Derivative Financial Instruments (dollars in millions)

	March 31, 2020								December 31, 2019
	Notional Amount		Asset Fair Value			Liability Fair Value			Notional Amount		Asset Fair Value			Liability Fair Value
Derivatives designated as hedging instruments (Qualifying hedges)
Foreign exchange contracts	$	39.6	$	0.7		$	-		$	676.3	$	-		$	(10.6	)
Interest rate contracts⁽¹⁾⁽³⁾		500.0		-			-			1,250.0		-			-
Total derivatives designated as hedging instruments		539.6		0.7			-			1,926.3		-			(10.6	)
Derivatives not designated as hedging instruments (Non-qualifying hedges)
Interest rate contracts⁽¹⁾⁽³⁾		19,740.1		524.8			(80.1	)		17,588.1		176.9			(14.5	)
Foreign exchange contracts		524.4		20.2			(12.4	)		982.9		13.7			(6.1	)
Other contracts⁽²⁾		785.4		0.8			(2.6	)		714.7		0.1			(0.8	)
Total derivatives not designated as hedging instruments		21,049.9		545.8			(95.1	)		19,285.7		190.7			(21.4	)
Gross derivatives fair values presented in the Consolidated Balance Sheets	$	21,589.5	$	546.5		$	(95.1	)	$	21,212.0	$	190.7		$	(32.0	)
Less: Gross amounts offset in the Consolidated Balance Sheets				-			-					-			-
Net amount presented in the Consolidated Balance Sheet				546.5			(95.1	)				190.7			(32.0	)
Less: Amounts subject to master netting agreements⁽⁴⁾				(17.2	)		17.2					(11.8	)		11.8
Less: Cash collateral pledged(received) subject to master netting agreements⁽⁵⁾				(2.2	)		47.5					(1.2	)		14.3
Total net derivative fair value			$	527.1		$	(30.4	)			$	177.7		$	(5.9	)

⁽¹⁾	^{Fair value balances include accrued interest.}

⁽²⁾	^{Other derivative contracts not designated as hedging instruments include risk participation agreements.}

⁽³⁾

^{The Company accounts for swap contracts cleared by the Chicago Mercantile Exchange and LCH Clearnet as “settled-to-market”. As a result, variation margin payments are characterized as settlement of the derivative exposure and variation margin balances are netted against the corresponding derivative mark-to-market balances. Gross amounts of recognized assets and liabilities were lowered by $13.2 million and $416.1 million, respectively at March 31, 2020 and $16.2 million and $142.8 million, respectively at December 31, 2019.}

⁽⁴⁾

^{The Company’s derivative transactions are governed by ISDA agreements that allow for net settlements of certain payments as well as offsetting of all contracts with a given counterparty in the event of bankruptcy or default of one of the two parties to the transaction. The Company believes its ISDA agreements meet the definition of a master netting arrangement or similar agreement for purposes of the above disclosure.}

⁽⁵⁾

^{In conjunction with the ISDA agreements described above, the Company has entered into collateral arrangements with its counterparties, which provide for the exchange of cash depending on change in the market valuation of the derivative contracts outstanding. Such collateral is available to be applied in settlement of the net balances upon an event of default of one of the counterparties. Collateral pledged or received is included in Other assets or Other liabilities, respectively.}

Gains (Losses) of Fair Value Hedges Recognized as Interest Expense

Gains (Losses) on Qualifying Hedges (dollars in millions)

	Quarters Ended March 31,
	2020			2019
Recognized on derivatives	$	6.1		$	1.0
Recognized on hedged item		(6.1	)		(1.0	)
Net recognized on fair value hedges (No ineffectiveness)	$	-		$	-

Carrying Value of Hedged Items and Associated Cumulative Hedging Adjustment Relating for Fair Value Hedges

The following table presents the carrying value of hedged items and associated cumulative hedging adjustment relating for fair value hedges.

Cumulative Fair Value Hedging Adjustments (dollars in millions)

			Cumulative Fair Value Hedging Adjustment Included in the Carrying Value of Hedged Items
	Carrying Value of Hedged Items⁽¹⁾		Currently Designated		No Longer Designated
March 31, 2020
Long-term Debt	$	1,752.1	$	6.9	$	2.6
December 31, 2019
Long-term Debt	$	1,747.0	$	2.1	$	1.5

⁽¹⁾	^{Carrying value includes $1,246.4 million and $499.4 million of carrying value of hedged items no longer designated as of March 31, 2020 and December 31, 2019, respectively.}

Pre-tax Net Gains (Losses) Relating to Derivatives Designated as Net Investment Hedges

The following table presents the pre-tax net gains (losses) recorded in the condensed consolidated statements of income and in the consolidated statements of comprehensive income relating to derivatives designated as net investment hedges:

Pre-tax Net Gains (Losses) Relating to Derivatives Designated as Net Investment Hedges (dollars in millions)

			Amounts
	Amounts		recorded in Other
	reclassified from		Comprehensive			Total change in
	AOCI to income		Income			AOCI for period
Contract Type
Quarter Ended March 31, 2020
Foreign currency forward contracts - net investment hedges	$	-	$	1.1		$	1.1
Quarter Ended March 31, 2019
Foreign currency forward contracts - net investment hedges	$	-	$	(13.3	)	$	(13.3	)

Derivative Instrument Gains and Losses on Non Qualifying Hedges Recognized as Other Non-interest Income

The following table presents gains (losses) of non-qualifying hedges recognized as other non-interest income on the condensed consolidated statements of income:

Gains (Losses) on Non-Qualifying Hedges (dollars in millions)

	Quarters Ended March 31,
	2020			2019
Interest rate contracts	$	-		$	0.1
Foreign currency forward contracts		10.9			13.3
Other contracts		(2.4	)		0.1
Total non-qualifying hedges - income statement impact	$	8.5		$	13.5