Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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, 2020 and December 31, 2019 were as follows:

	March 31, 2020						December 31, 2019
	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	$	—	$	—	$	—	$	1,915,000	$	22,676	$	—
Interest rate swaps	—		—		—		3,085,000		—		25,623
Derivatives not designated as hedging instruments:
Currency exchange risks:
Foreign exchange forwards	330,045		5,928		—		—		—		—
Foreign exchange forwards	158,592		—		2,751		300,250		—		2,154
Other derivative instruments:
Equity warrant assets	235,074		152,710		—		225,893		165,473		—
Client foreign exchange forwards	6,914,487		226,621		—		4,661,517		114,546		—
Client foreign exchange forwards	5,720,213		—		186,417		4,326,059		—		94,745
Client foreign currency options	237,349		6,723		—		154,985		1,308		—
Client foreign currency options	237,349		—		6,723		154,985		—		1,308
Client interest rate derivatives	747,228		80,543		—		1,275,190		28,811		—
Client interest rate derivatives (2)	829,528		—		31,533		1,372,914		—		14,154
Total derivatives not designated as hedging instruments			472,525		227,424				310,138		112,361
Total derivatives			$	472,525	$	227,424			$	332,814	$	137,984

(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 $55.7 million and $17.4 million of derivative liabilities at March 31, 2020 and December 31, 2019, 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, 2020 and 2019 is as follows:

		Three months ended March 31,
(Dollars in thousands)	Statement of income location	2020			2019
Derivatives designated as hedging instruments:
Interest rate risks:
Amounts reclassified from accumulated other comprehensive income into income	Interest income—loans	$	2,089		$	(3	)
Derivatives not designated as hedging instruments:
Currency exchange risks:
(Losses) gains on revaluations of internal foreign currency instruments, net	Other noninterest income	$	(8,375	)	$	1,050
Gains (losses) on internal foreign exchange forward contracts, net	Other noninterest income	8,668			(469		)
Net gains associated with internal currency risk		$	293		$	581
Other derivative instruments:
Losses on revaluations of client foreign currency instruments, net	Other noninterest income	$	(8,284	)	$	(13,571	)
Gains on client foreign exchange forward contracts, net	Other noninterest income	7,747			12,654
Net losses associated with client currency risk		$	(537	)	$	(917	)
Net gains on equity warrant assets	Gains on equity warrant assets, net	$	13,395		$	21,305
Net losses on other derivatives	Other noninterest income	$	(4,345	)	$	(365	)

Offsetting Assets

The following table summarizes our assets subject to enforceable master netting arrangements as of March 31, 2020 and December 31, 2019:

	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, 2020
Derivative assets:
Interest rate swaps	$	—	$	—	$	—	$	—		$	—		$	—
Foreign exchange forwards	232,549		—		232,549		(76,009		)	(59,693		)	96,847
Foreign currency options	6,723		—		6,723		(2,016		)	(3,469		)	1,238
Client interest rate derivatives	80,543		—		80,543		(80,543		)	—			—
Total derivative assets	319,815		—		319,815		(158,568		)	(63,162		)	98,085
Reverse repurchase, securities borrowing, and similar arrangements	401,758		—		401,758		(401,758		)	—			—
Total	$	721,573	$	—	$	721,573	$	(560,326	)	$	(63,162	)	$	98,085
December 31, 2019
Derivative assets:
Interest rate swaps	$	22,676	$	—	$	22,676	$	(22,598	)	$	—		$	78
Foreign exchange forwards	$	114,546	$	—	$	114,546	$	(36,855	)	$	(17,095	)	$	60,596
Foreign currency options	1,308		—		1,308		(848		)	(335		)	125
Client interest rate derivatives	28,811		—		28,811		(28,811		)	—			—
Total derivative assets	167,341		—		167,341		(89,112		)	(17,430		)	60,799
Reverse repurchase, securities borrowing, and similar arrangements	289,340		—		289,340		(289,340		)	—			—
Total	$	456,681	$	—	$	456,681	$	(378,452	)	$	(17,430	)	$	60,799

(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, 2020 and December 31, 2019:

	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, 2020
Derivative liabilities:
Interest rate swaps	$	—	$	—	$	—	$	—		$	—		$	—
Foreign exchange forwards	189,168		—		189,168		(68,027		)	(7,442		)	113,699
Foreign currency options	6,723		—		6,723		(2,009		)	—			4,714
Client interest rate derivatives	31,533		—		31,533		—			(31,085		)	448
Total derivative liabilities	227,424		—		227,424		(70,036		)	(38,527		)	118,861
Repurchase, securities lending, and similar arrangements	—		—		—		—			—			—
Total	$	227,424	$	—	$	227,424	$	(70,036	)	$	(38,527	)	$	118,861
December 31, 2019
Derivative liabilities:
Interest rate swaps	25,623		—		25,623		(22,676		)	(2,947		)	—
Foreign exchange forwards	96,899		—		96,899		(33,314		)	(22,030		)	41,555
Foreign currency options	1,308		—		1,308		(531		)	—			777
Client interest rate derivatives	14,154		—		14,154		—			(13,936		)	218
Total derivative liabilities	137,984		—		137,984		(56,521		)	(38,913		)	42,550
Repurchase, securities lending, and similar arrangements	—		—		—		—			—			—
Total	$	137,984	$	—	$	137,984	$	(56,521	)	$	(38,913	)	$	42,550

(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.