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Derivatives (Tables)
3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule Of Notional And Gross Fair Values Of Derivatives
The following table presents the notional amounts and fair values of the Company’s derivatives as of March 31, 2023 and December 31, 2022. The fair values are presented on a gross basis prior to the application of bilateral collateral and master netting agreements, but after the application of variation margin payments as settlement to fair values of contracts cleared through central clearing organizations. Total derivative asset and liability fair values are adjusted to reflect the effects of legally enforceable master netting agreements and cash collateral received or paid. 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.
March 31, 2023December 31, 2022
Fair ValueFair Value
($ in thousands)Notional AmountDerivative Assets Derivative Liabilities Notional AmountDerivative Assets Derivative Liabilities 
Derivatives designated as hedging instruments:
Cash flow hedges:
Interest rate contracts
$3,250,000 $27,535 $3,861 $3,450,000 $13,455 $19,687 
Net investment hedges:
Foreign exchange contracts
81,480 — 253 84,832 5,590 — 
Total derivatives designated as hedging instruments
$3,331,480 $27,535 $4,114 $3,534,832 $19,045 $19,687 
Derivatives not designated as hedging instruments:
Interest rate contracts
$17,568,116 $387,465 $458,550 $16,932,414 $426,828 $564,829 
Commodity contracts— (1)178,075 186,599 — (1)261,613 258,608 
Foreign exchange contracts3,887,403 34,050 32,538 2,982,891 47,519 44,117 
Credit contracts109,566 (2)— 29 140,950 (2)— 23 
Equity contracts
— (3)277 — — (3)323 — 
Total derivatives not designated as hedging instruments$21,565,085 $599,867 $677,716 $20,056,255 $736,283 $867,577 
Gross derivative assets/liabilities$627,402 $681,830 $755,328 $887,264 
Less: Master netting agreements(169,849)(169,849)(242,745)(242,745)
Less: Cash collateral received(195,278)— (372,038)— 
Net derivative assets/liabilities$262,275 $511,981 $140,545 $644,519 
(1)The notional amount of the Company’s commodity contracts totaled 24,954 thousand barrels of crude oil and 266,047 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of March 31, 2023. In comparison, the notional amount of the Company’s commodity contracts totaled 12,005 thousand barrels of crude oil and 247,704 thousand MMBTUs of natural gas as of December 31, 2022.
(2)Notional amount for credit contracts reflects the Company’s pro-rata share of the derivative instruments in RPAs.
(3)The Company held equity contracts in one public company and 11 private companies as of March 31, 2023. In comparison, the Company held equity contracts in one public company and 13 private companies as of December 31, 2022.
The following table presents the notional amounts and the gross fair values of the interest rate and foreign exchange derivatives issued for customer-related positions and other economic hedges as of March 31, 2023 and December 31, 2022:
March 31, 2023December 31, 2022
Fair ValueFair Value
($ in thousands)Notional AmountAssetsLiabilitiesNotional AmountAssetsLiabilities
Customer-related positions:
Interest rate contracts:
Swaps$6,776,171 $8,537 $416,483 $6,656,491 $1,438 $521,719 
Written options1,693,002 — 24,329 1,548,158 — 30,904 
Collars and corridors269,340 252 7,341 215,773 — 8,924 
Subtotal8,738,513 8,789 448,153 8,420,422 1,438 561,547 
Foreign exchange contracts:
Forwards and spot1,439,521 9,866 18,300 993,588 17,009 18,090 
Swaps514,659 5,808 2,683 623,143 6,629 12,178 
Other127,000 1,876 — 121,631 2,070 245 
Subtotal2,081,180 17,550 20,983 1,738,362 25,708 30,513 
Total$10,819,693 $26,339 $469,136 $10,158,784 $27,146 $592,060 
Other economic hedges:
Interest rate contracts:
Swaps$6,803,027 $345,976 $9,209 $6,683,828 $384,201 $2,047 
Purchased options1,725,119 25,321 — 1,580,275 32,233 — 
Written options32,117 — 925 32,117 — 1,235 
Collars and corridors269,340 7,379 263 215,772 8,956 — 
Subtotal8,829,603 378,676 10,397 8,511,992 425,390 3,282 
Foreign exchange contracts:
Forwards and spot67,680 72 120 77,998 3,050 87 
Swaps1,611,543 16,428 9,559 1,044,900 18,516 11,447 
Other127,000 — 1,876 121,631 245 2,070 
Subtotal1,806,223 16,500 11,555 1,244,529 21,811 13,604 
Total$10,635,826 $395,176 $21,952 $9,756,521 $447,201 $16,886 
The following table presents the notional amounts in units and the gross fair values of the commodity derivatives issued for customer-related positions and other economic hedges as of March 31, 2023 and December 31, 2022:
March 31, 2023December 31, 2022
Fair ValueFair Value
($ and unit in thousands)Notional UnitsAssetsLiabilitiesNotional UnitsAssetsLiabilities
Customer-related positions:
Commodity contracts:
Crude oil:
Swaps7,443 Barrels$18,072 $8,088 2,465 Barrels$39,955 $6,178 
Collars4,597 Barrels6,337 4,528 3,011 Barrels16,038 2,630 
Written options— Barrels— — — Barrels558 — 
Subtotal12,040 Barrels24,409 12,616 5,476 Barrels56,551 8,808 
Natural gas:
Swaps99,111 MMBTUs50,825 71,736 92,590 MMBTUs112,314 73,208 
Collars34,015 MMBTUs1,003 29,501 32,072 MMBTUs2,217 18,317 
Written options367 MMBTUs— 49 — MMBTUs— — 
Subtotal133,493 MMBTUs51,828 101,286 124,662 MMBTUs114,531 91,525 
Total$76,237 $113,902 $171,082 $100,333 
Other economic hedges:
Commodity contracts:
Crude oil:
Swaps7,539 Barrels$8,900 $16,016 2,587 Barrels$6,935 $36,060 
Collars5,375 Barrels2,900 5,531 3,942 Barrels1,378 12,856 
Purchased options— Barrels— — — Barrels— 516 
Subtotal12,914 Barrels11,800 21,547 6,529 Barrels8,313 49,432 
Natural gas:
Swaps98,891 MMBTUs66,395 50,147 91,900 MMBTUs69,767 106,883 
Collars33,296 MMBTUs23,594 1,003 31,142 MMBTUs12,451 1,960 
Purchased options367 MMBTUs49 — — MMBTUs— — 
Subtotal132,554 MMBTUs90,038 51,150 123,042 MMBTUs82,218 108,843 
Total$101,838 $72,697 $90,531 $158,275 
Schedule Of Pre-Tax Changes In AOCI From Cash Flows Hedges
The following table presents the pre-tax changes in AOCI from cash flow hedges for the three months ended March 31, 2023 and 2022. The after-tax impact of cash flow hedges on AOCI is shown in Note 14 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in this Form-10-Q.
Three Months Ended March 31,
($ in thousands)20232022
 Gains (losses) recognized in AOCI:
Interest rate contracts$29,843 $(32,609)
 Gains (losses) reclassified from AOCI into earnings:
Interest expense (for cash flow hedges on borrowings)696 (173)
Interest and dividend income (for cash flow hedges on loans)(12,954)2,273 
Noninterest income1,614 (1)— 
Total$(10,644)$2,100 
(1)Represents the reclassification of the remaining AOCI into earnings for the terminated cash flow hedge where the forecasted cash flows were no longer probable of occurring.
Tabular Disclosure Of Gains and Losses On Derivative Instruments Qualified And Designated In Net Investment Hedges The following table presents the pre-tax losses recognized in AOCI on net investment hedges for the three months ended March 31, 2023 and 2022:
Three Months Ended March 31,
($ in thousands)20232022
Losses recognized in AOCI$(1,076)$(1,571)
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, 2023 and 2022:
Classification on
Consolidated
Statement of Income
Three Months Ended March 31,
($ in thousands)20232022
Derivatives not designated as hedging instruments:
Interest rate contractsInterest rate contracts and other derivative income$(2,484)$7,585 
Foreign exchange contractsForeign exchange income10,442 7,322 
Credit contractsInterest rate contracts and other derivative income(5)74 
Equity contractsLending fees(45)94 
Commodity contractsInterest rate contracts and other derivative income(49)
Net gains$7,914 $15,026 
Schedule Of Gross Derivative Fair Values, The Balance Sheet Netting Adjustments And The Resulting Net Fair Values Recorded On The Consolidated Balance Sheet, As Well As The Cash and Non-Cash Collateral Associated With Master Netting Arrangements
The following tables present the gross derivative fair values, the balance sheet netting adjustments and the resulting net fair values recorded on the Consolidated Balance Sheet, as well as the cash and noncash collateral associated with master netting arrangements. The gross amounts of derivative assets and liabilities are presented after the application of variation margin payments as settlements to the fair values of contracts cleared through central clearing organizations, where applicable. The collateral amounts in the following tables are limited to the outstanding balances of the related asset or liability. Therefore, instances of overcollateralization are not shown:
($ in thousands)As of March 31, 2023
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$627,402 $(169,849)$(195,278)$262,275 $(233,746)$28,529 
 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$681,830 $(169,849)$— $511,981 $— $511,981 
($ in thousands)As of December 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$755,328 $(242,745)$(372,038)$140,545 $(60,567)$79,978 
 Gross
Amounts
Recognized (2)
Gross Amounts Offset on the Consolidated Balance SheetNet 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$887,264 $(242,745)$— $644,519 $(38,438)$606,081 
(1)Includes $287 thousand and $2.1 million of gross fair value assets with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2023 and December 31, 2022, respectively.
(2)Includes $15 thousand and $566 thousand of gross fair value liabilities with counterparties that were not subject to enforceable master netting arrangements or similar agreements as of March 31, 2023 and December 31, 2022, respectively.
(3)Gross cash collateral received under master netting arrangements or similar agreements was $205.7 million and $384.9 million as of March 31, 2023 and December 31, 2022, respectively. Of the gross cash collateral received, $195.3 million and $372.0 million were used to offset against derivative assets as of March 31, 2023 and December 31, 2022, respectively.
(4)Gross cash collateral pledged under master netting arrangements or similar agreements was $200 thousand and $490 thousand as of March 31, 2023 and December 31, 2022, respectively. None of the collateral was used to offset against derivative liabilities as of both March 31, 2023 and December 31, 2022.
(5)Represents the fair value of security collateral received or pledged limited to derivative assets or 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 the disclosure of such amounts.