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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.