Derivatives (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of notional and gross fair values of derivatives

The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of September 30, 2019 and December 31, 2018:

($ in thousands)	September 30, 2019
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	3,205,662	$	46,233	$	34,023	Forwards and spot	$	321,044	$	2,538	$	5,171
Swaps	10,091		77		217		Swaps	760,748		7,239		7,554
Written options	85,379		640		—		Purchased options	85,379		—		640
Collars	5,344		30		209		Collars	164,489		2,755		2,583
Total	$	3,306,476	$	46,980	$	34,449	Total	$	1,331,660	$	12,532	$	15,948

($ in thousands)	December 31, 2018
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Forwards and spot	$	2,023,425	$	11,719	$	13,079	Forwards and spot	$	506,342	$	3,407	$	2,285
Swaps	21,108		348		243		Swaps	687,845		5,764		3,336
Written options	537		16		—		Purchased options	537		—		16
Collars	83,864		—		370		Collars	83,864		370		—
Total	$	2,128,934	$	12,083	$	13,692	Total	$	1,278,588	$	9,541	$	5,637

The following tables present the notional amounts and the gross fair values of interest rate derivative contracts outstanding as of September 30, 2019 and December 31, 2018:

($ in thousands)	September 30, 2019
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	1,009,823	$	—	$	59	Purchased options	$	1,009,823	$	61	$	—
Sold collars and corridors	495,511		3,592		6		Collars and corridors	495,511		6		3,641
Swaps	5,560,947		260,251		975		Swaps	5,567,618		693		163,432
Total	$	7,066,281	$	263,843	$	1,040	Total	$	7,072,952	$	760	$	167,073

($ in thousands)	December 31, 2018
	Customer Counterparty						($ in thousands)	Financial Counterparty
	Notional Amount		Fair Value					Notional Amount		Fair Value
			Assets		Liabilities					Assets		Liabilities
Written options	$	931,601	$	—	$	492	Purchased options	$	931,601	$	503	$	—
Sold collars and corridors	429,879		1,121		305		Collars and corridors	429,879		308		1,140
Swaps	4,482,881		41,457		41,545		Swaps	4,489,658		26,429		25,785
Total	$	5,844,361	$	42,578	$	42,342	Total	$	5,851,138	$	27,240	$	26,925

The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of September 30, 2019 and December 31, 2018:

($ and units in thousands)	September 30, 2019
	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	148	Barrels	$	—	$	305	Purchased options	148	Barrels	$	225	$	—
Collars	2,838	Barrels	19		5,523		Collars	3,384	Barrels	6,141		713
Swaps	4,180	Barrels	1,454		22,806		Swaps	4,299	Barrels	14,922		1,939
Total	7,166		$	1,473	$	28,634	Total	7,831		$	21,288	$	2,652
Natural gas:							Natural gas:
Written options	570	MMBTUs	$	—	$	42	Purchased Options	560	MMBTUs	$	35	$	—
Collars	10,742	MMBTUs	$	228	$	447	Collars	10,672	MMBTUs	$	387	$	183
Swaps	21,777	MMBTUs	2,588		7,024		Swaps	22,938	MMBTUs	6,979		2,885
Total	33,089		$	2,816	$	7,513	Total	34,170		$	7,401	$	3,068
Total			$	4,289	$	36,147	Total			$	28,689	$	5,720

($ and units in thousands)	December 31, 2018
	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	524	Barrels	$	—	$	2,628	Purchased options	524	Barrels	$	2,251	$	—
Collars	872	Barrels	—		3,772		Collars	872	Barrels	3,225		—
Swaps	1,111	Barrels	—		14,278		Swaps	1,111	Barrels	5,799		—
Total	2,507		$	—	$	20,678	Total	2,507		$	11,275	$	—
Natural gas:							Natural gas:
Collars	3,063	MMBTUs	$	78	$	152	Collars	3,063	MMBTUs	$	151	$	64
Swaps	11,659	MMBTUs	1,049		1,857		Swaps	11,659	MMBTUs	1,869		317
Total	14,722		$	1,127	$	2,009	Total	14,722		$	2,020	$	381
Total			$	1,127	$	22,687	Total			$	13,295	$	381

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, 2019 and December 31, 2018. 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, 2019 and December 31, 2018. 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, 2019									December 31, 2018
	Notional Amount			Fair Value						Notional Amount			Fair Value
				Derivative Assets			Derivative  Liabilities						Derivative Assets			Derivative  Liabilities
Derivatives designated as hedging instruments:
Fair value hedges:
Interest rate contracts	$	31,026		$	—		$	2,804		$	35,811		$	—		$	5,866
Net investment hedges:
Foreign exchange contracts	84,831			—			431			90,245			—			611
Total derivatives designated as hedging instruments	$	115,857		$	—		$	3,235		$	126,056		$	—		$	6,477
Derivatives not designated as hedging instruments:
Interest rate contracts	$	14,139,233		$	264,603		$	168,113		$	11,695,499		$	69,818		$	69,267
Foreign exchange contracts	4,638,136			59,512			50,397			3,407,522			21,624			19,329
Credit contracts	211,343			4			122			119,320			1			164
Equity contracts	—		(1)	1,542			—			—		(1)	1,951			—
Commodity contracts	—		(2)	32,978			41,867			—		(2)	14,422			23,068
Total derivatives not designated as hedging instruments	$	18,988,712		$	358,639		$	260,499		$	15,222,341		$	107,816		$	111,828
Gross derivative assets/liabilities				$	358,639		$	263,734					$	107,816		$	118,305
Less: Master netting agreements				(62,741		)	(62,741		)				(31,569		)	(31,569		)
Less: Cash collateral received/paid				(6,587		)	(47,979		)				(13,577		)	(6,833		)
Net derivative assets/liabilities				$	289,311		$	153,014					$	62,670		$	79,903

(1) The Company held equity contracts in three public companies and 17 private companies as of September 30, 2019. In comparison, the Company held equity contracts in four public companies and 18 private companies as of December 31, 2018.

(2)

The notional amount of the Company’s commodity contracts entered with its customers totaled 7,166 thousand barrels of crude oil and 33,089 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of September 30, 2019. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 2,507 thousand barrels of crude oil and 14,722 thousand MMBTUs of natural gas as of December 31, 2018. The Company simultaneously entered into the offsetting commodity contracts with mirrored terms with third-party financial institutions.

The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of September 30, 2019 and December 31, 2018:

($ in thousands)	September 30, 2019						December 31, 2018
	Notional Amount		Fair Value				Notional Amount		Fair Value
			Assets		Liabilities				Assets		Liabilities
RPAs - protection sold	$	200,629	$	—	$	122	$	108,606	$	—	$	164
RPAs - protection purchased	10,714		4		—		10,714		1		—
Total RPAs	$	211,343	$	4	$	122	$	119,320	$	1	$	164

Schedule of net gains (losses) recognized on the Consolidated Statement of Income related to derivatives designated as fair value hedge

The following table presents the net gains (losses) recognized on the Consolidated Statement of Income related to the derivatives designated as fair value hedges for the three and nine months ended September 30, 2019 and 2018:

($ in thousands)	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
Gains (losses) recorded in interest expense:
Recognized on interest rate swaps	$	202		$	(241	)	$	3,056		$	(2,089	)
Recognized on certificates of deposit	$	(37	)	$	520		$	(2,732	)	$	2,239

Schedule of the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of the hedged certificates of deposit

The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that was included in the carrying amount of the hedged certificates of deposit as of September 30, 2019 and December 31, 2018:

($ in thousands)	Carrying Value (1)						Cumulative Fair     Value Adjustment (2)
	September 30, 2019			December 31, 2018			September 30, 2019		December 31, 2018
Certificates of deposit	$	(29,276	)	$	(26,877	)	$	1,408	$	4,141

(1) Represents the full carrying amount of the hedged certificates of deposit.

(2)

For liabilities, decrease to carrying value.

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

The following table presents the gains recognized in AOCI on net investment hedges for the three and nine months ended September 30, 2019 and 2018:

($ in thousands)	Three Months Ended September 30,				Nine Months Ended September 30,
	2019		2018		2019		2018
Gains recognized in AOCI	$	2,954	$	2,960	$	351	$	6,745

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, 2019 and 2018:

($ in thousands)	Classification on Consolidated Statement of Income	Three Months Ended September 30,						Nine Months Ended September 30,
		2019			2018			2019			2018
Derivatives not designated as hedging instruments:
Interest rate contracts	Interest rate contracts and other derivative income	$	(2,738	)	$	653		$	(5,876	)	$	1,847
Foreign exchange contracts	Foreign exchange income	5,306			4,612			15,127			11,115
Credit contracts	Interest rate contracts and other derivative income	(3		)	20			44			(49		)
Equity contracts	Lending fees	(442		)	531			725			970
Commodity contracts	Interest rate contracts and other derivative income	14			(45		)	(4		)	(5		)
Net gains		$	2,137		$	5,771		$	10,016		$	13,878

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

he 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 non-cash 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 centrally cleared organizations, 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)	September 30, 2019
	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	$	358,639	$	(62,741	)	$	(6,587	)	$	289,311	$	—		$	289,311
	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	$	263,734	$	(62,741	)	$	(47,979	)	$	153,014	$	(113,365	)	$	39,649

($ in thousands)	December 31, 2018
	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	$	107,816	$	(31,569	)	$	(13,577	)	$	62,670	$	(13,975	)	$	48,695
	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	$	118,305	$	(31,569	)	$	(6,833	)	$	79,903	$	(11,231	)	$	68,672

(1) Gross amounts recognized for derivative assets include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $357.0 million and $105.9 million, respectively, as of September 30, 2019 and December 31, 2018, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $1.6 million and $2.0 million, respectively, as of September 30, 2019 and December 31, 2018.

(2) Gross amounts recognized for derivative liabilities include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $263.7 million and $118.2 million, respectively, as of September 30, 2019 and December 31, 2018, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $67 thousand and $102 thousand, respectively, as of September 30, 2019 and December 31, 2018.

(3) Gross cash collateral received under master netting arrangements or similar agreements were $7.2 million and $15.8 million, respectively, as of September 30, 2019 and December 31, 2018. Of the gross cash collateral received, $6.6 million and $13.6 million were used to offset against derivative assets, respectively, as of September 30, 2019 and December 31, 2018.

(4) Gross cash collateral pledged under master netting arrangements or similar agreements were $50.9 million and $8.4 million, respectively, as of September 30, 2019 and December 31, 2018. Of the gross cash collateral pledged, $48.0 million and $6.8 million were used to offset against derivative liabilities, respectively, as of September 30, 2019 and December 31, 2018.

(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 non-cash collateral on the Consolidated Balance Sheet but requires disclosure of such amounts.