Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 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 September 30, 2020 and December 31, 2019 were as follows:

	September 30, 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	462,765		4,083		—		—		—		—
Foreign exchange forwards	59,992		—		278		300,250		—		2,154
Other derivative instruments:
Equity warrant assets	256,774		202,184		—		225,893		165,473		—
Client foreign exchange forwards	6,955,487		138,522		—		4,661,517		114,546		—
Client foreign exchange forwards	5,754,213		—		108,959		4,326,059		—		94,745
Client foreign currency options	111,107		2,986		—		154,985		1,308		—
Client foreign currency options	111,107		—		2,986		154,985		—		1,308
Client interest rate derivatives	916,573		79,270		—		1,275,190		28,811		—
Client interest rate derivatives (2)	1,048,715		—		25,558		1,372,914		—		14,154
Total derivatives not designated as hedging instruments			427,045		137,781				310,138		112,361
Total derivatives			$	427,045	$	137,781			$	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 $59.2 million and $17.4 million of derivative liabilities at September 30, 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 and nine months ended September 30, 2020 and 2019 is as follows:

		Three months ended September 30,				Nine months ended September 30,
(Dollars in thousands)	Statement of income location	2020		2019		2020		2019
Derivatives designated as hedging instruments:
Interest rate risks:
Amounts reclassified from accumulated other comprehensive income into income	Interest income - loans	$	16,004	$	(2,713)	$	33,924	$	(3,224)
Derivatives not designated as hedging instruments:
Currency exchange risks:
Gains (losses) on revaluations of internal foreign currency instruments, net	Other noninterest income	$	17,085	$	(8,724)	$	20,138	$	(5,183)
(Losses) gains on internal foreign exchange forward contracts, net	Other noninterest income	(19,344)		8,660		(20,010)		4,917
Net (losses) gains associated with internal currency risk		$	(2,259)	$	(64)	$	128	$	(266)
Other derivative instruments:
Gains (losses) on revaluations of client foreign currency instruments, net	Other noninterest income	$	71	$	(2,181)	$	(3,302)	$	(14,793)
Gains on client foreign exchange forward contracts, net	Other noninterest income	1,641		2,167		2,582		15,232
Net gains (losses) associated with client currency risk		$	1,712	$	(14)	$	(720)	$	439
Net gains on equity warrant assets	Gains on equity warrant assets, net	$	53,766	$	37,561	$	93,667	$	107,213
Net gains (losses) on other derivatives	Other noninterest income	$	31,151	$	(1,123)	$	26,533	$	(2,619)

Offsetting Assets

The following table summarizes our assets subject to enforceable master netting arrangements as of September 30, 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)
September 30, 2020
Derivative assets:
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange forwards	142,605		—		142,605		(56,584)		(19,049)		66,972
Foreign currency options	2,986		—		2,986		(2,323)		(19)		644
Client interest rate derivatives	79,270		—		79,270		(79,270)		—		—
Total derivative assets	224,861		—		224,861		(138,177)		(19,068)		67,616
Reverse repurchase, securities borrowing, and similar arrangements	450,164		—		450,164		(450,164)		—		—
Total	$	675,025	$	—	$	675,025	$	(588,341)	$	(19,068)	$	67,616
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 September 30, 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)
September 30, 2020
Derivative liabilities:
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange forwards	109,237		—		109,237		(49,862)		(12,918)		46,457
Foreign currency options	2,986		—		2,986		(644)		—		2,342
Client interest rate derivatives	25,558		—		25,558		—		(24,898)		660
Total derivative liabilities	137,781		—		137,781		(50,506)		(37,816)		49,459
Repurchase, securities lending, and similar arrangements	—		—		—		—		—		—
Total	$	137,781	$	—	$	137,781	$	(50,506)	$	(37,816)	$	49,459
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.