Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table summarizes the amortized cost basis of hedged assets that are designated and qualify as fair value hedges and the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded on our consolidated balance sheets as of March 31, 2021:

	March 31, 2021
(Dollars in thousands)	Amortized Cost Basis of the Hedged Assets		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets
Available-for-sale securities (1)	$	21,312,139	$	(16,975)

(1)These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At March 31, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $21.3 billion, the amounts of the designated hedged items was $10.0 billion and the cumulative basis adjustments associated with these hedging relationships was $17.0 million.

Total Notional or Contractual Amounts, Fair Value, Collateral and Net Exposure of Derivative Financial Instruments

The total notional or contractual amounts and fair value of our derivative financial instruments at March 31, 2021 and December 31, 2020 were as follows:

	March 31, 2021						December 31, 2020
	Notional or Contractual Amount		Fair Value				Notional or Contractual Amount		Fair Value
(Dollars in thousands)			Derivative Assets (1)		Derivative Liabilities (1)				Derivative Assets (1)		Derivative Liabilities (1)
Derivatives designated as hedging instruments:
Interest rate risks:
Interest rate swaps (2)	$	10,000,000	$	—	$	—	$	—	$	—	$	—
Interest rate swaps	—		—		—		—		—		—
Derivatives not designated as hedging instruments:
Currency exchange risks:
Foreign exchange forwards	687,576		19,109		—		68,381		306		—
Foreign exchange forwards	97,950		—		2,626		566,988		—		20,566
Other derivative instruments:
Equity warrant assets	299,101		244,334		—		253,153		203,438		—
Client foreign exchange forwards	9,015,147		220,034		—		8,025,973		214,969		—
Client foreign exchange forwards	8,675,502		—		198,866		7,490,723		—		188,565
Client foreign currency options	63,503		1,040		—		97,529		1,702		—
Client foreign currency options	63,503		—		1,040		97,522		—		1,702
Client interest rate derivatives (2)	1,212,842		65,123		—		1,082,265		67,854		—
Client interest rate derivatives (2)	1,381,626		—		68,954		1,250,975		—		26,646
Total derivatives not designated as hedging instruments			549,640		271,486				488,269		237,479
Total derivatives			$	549,640	$	271,486			$	488,269	$	237,479

(1)Derivative assets and liabilities are included in "accrued interest receivable and other assets" and "other liabilities", respectively, on our consolidated balance sheets.

(2)The amount reported reflects reductions of approximately $22.7 million of derivative assets and $45.4 million of derivative liabilities at March 31, 2021 and December 31, 2020, respectively, reflecting variation margin treated as settlement of the related derivative fair values for legal and accounting purposes as required by central clearing houses.

Summary of Derivative Activity and Related Impact on Consolidated Statements of Income

A summary of our derivative activity and the related impact on our consolidated statements of income for the three months ended March 31, 2021 and 2020 is as follows:

		Three months ended March 31,
(Dollars in thousands)	Statement of income location	2021		2020
Derivatives designated as hedging instruments:
Interest rate risks:
Amounts reclassified from accumulated other comprehensive income into income	Interest income - loans	$	15,657	$	2,089
Change in fair value of interest rate swaps hedging investment securities	Interest income - investment securities taxable	18,494		—
Change in fair value of hedged investment securities	Interest income - investment securities taxable	(16,975)		—
Net gains associated with interest rate risk derivatives		$	17,176	$	2,089
Derivatives not designated as hedging instruments:
Currency exchange risks:
Losses on revaluations of internal foreign currency instruments, net	Other noninterest income	$	(28,129)	$	(8,375)
Gains on internal foreign exchange forward contracts, net	Other noninterest income	26,853		8,668
Net (losses) gains associated with internal currency risk		$	(1,276)	$	293
Other derivative instruments:
Losses on revaluations of client foreign currency instruments, net	Other noninterest income	$	(2,427)	$	(8,284)
Gains on client foreign exchange forward contracts, net	Other noninterest income	2,751		7,747
Net gains (losses) associated with client currency risk		$	324	$	(537)
Net gains on equity warrant assets	Gains on equity warrant assets, net	$	221,685	$	13,395
Net gains (losses) on other derivatives	Other noninterest income	$	4,521	$	(4,345)

Offsetting Assets

The following table summarizes our assets subject to enforceable master netting arrangements as of March 31, 2021 and December 31, 2020:

	Gross Amounts of Recognized Assets		Gross Amounts offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position		Gross Amounts Not Offset in the Statement of Financial Position but Subject to Master Netting Arrangements				Net Amount
(Dollars in thousands)							Financial Instruments		Cash Collateral Received (1)
March 31, 2021
Derivative assets:
Foreign exchange forwards	$	239,143	$	—	$	239,143	$	(77,667)	$	(38,286)	$	123,190
Foreign currency options	1,040		—		1,040		(413)		(148)		479
Client interest rate derivatives	65,123		—		65,123		(65,123)		—		—
Total derivative assets	305,306		—		305,306		(143,203)		(38,434)		123,669
Reverse repurchase, securities borrowing, and similar arrangements	288,438		—		288,438		(288,438)		—		—
Total	$	593,744	$	—	$	593,744	$	(431,641)	$	(38,434)	$	123,669
December 31, 2020
Derivative assets:
Foreign exchange forwards	$	215,275	$	—	$	215,275	$	(75,983)	$	(20,550)	$	118,742
Foreign currency options	1,702		—		1,702		(1,045)		(3)		654
Client interest rate derivatives	67,854		—		67,854		(67,854)		—		—
Total derivative assets	284,831		—		284,831		(144,882)		(20,553)		119,396
Reverse repurchase, securities borrowing, and similar arrangements	226,847		—		226,847		(226,847)		—		—
Total	$	511,678	$	—	$	511,678	$	(371,729)	$	(20,553)	$	119,396

(1)Cash collateral received from our counterparties in relation to market value exposures of derivative contracts in our favor is recorded as a component of “short-term borrowings” on our consolidated balance sheets.

Offsetting Liabilities

The following table summarizes our liabilities subject to enforceable master netting arrangements as of March 31, 2021 and December 31, 2020:

	Gross Amounts of Recognized Liabilities		Gross Amounts offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position		Gross Amounts Not Offset in the Statement of Financial Position but Subject to Master Netting Arrangements				Net Amount
(Dollars in thousands)							Financial Instruments		Cash Collateral Pledged (1)
March 31, 2021
Derivative liabilities:
Foreign exchange forwards	$	201,492	$	—	$	201,492	$	(61,303)	$	(58,582)	$	81,607
Foreign currency options	1,040		—		1,040		(491)		—		549
Client interest rate derivatives	68,954		—		68,954		(53,003)		(15,570)		381
Total derivative liabilities	271,486		—		271,486		(114,797)		(74,152)		82,537
Repurchase, securities lending, and similar arrangements	—		—		—		—		—		—
Total	$	271,486	$	—	$	271,486	$	(114,797)	$	(74,152)	$	82,537
December 31, 2020
Derivative liabilities:
Foreign exchange forwards	$	209,131	$	—	$	209,131	$	(84,547)	$	(45,367)	$	79,217
Foreign currency options	1,702		—		1,702		(645)		(8)		1,049
Client interest rate derivatives	26,646		—		26,646		—		(26,100)		546
Total derivative liabilities	237,479		—		237,479		(85,192)		(71,475)		80,812
Repurchase, securities lending, and similar arrangements	—		—		—		—		—		—
Total	$	237,479	$	—	$	237,479	$	(85,192)	$	(71,475)	$	80,812

(1)Cash collateral pledged to our counterparties in relation to market value exposures of derivative contracts in a liability position and repurchase agreements are recorded as a component of “cash and cash equivalents" on our consolidated balance sheets.