XML 51 R31.htm IDEA: XBRL DOCUMENT v3.20.2
Derivatives (Tables)
 6 Months Ended
Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of notional and gross fair values of derivatives
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 June 30, 2020 and December 31, 2019. 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 June 30, 2020 and December 31, 2019. 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)June 30, 2020December 31, 2019
Notional
Amount		Fair ValueNotional
Amount		Fair Value
Derivative
Assets 		Derivative
Liabilities 		Derivative
Assets 		Derivative
Liabilities 
Derivatives designated as hedging instruments:
Fair value hedges:
Interest rate contracts
$15,194  $—  $174  $31,026  $—  $3,198  
Cash flow hedges:
Interest rate contracts
275,000  —  1,483  —  —  —  
Net investment hedges:
Foreign exchange contracts
77,689  245  —  86,167  —  1,586  
Total derivatives designated as hedging instruments
$367,883  $245  $1,657  $117,193  $—  $4,784  
Derivatives not designated as hedging instruments:
Interest rate contracts
$17,170,884  $613,480  $400,146  $15,489,692  $192,883  $124,119  
Foreign exchange contracts2,738,018  24,044  19,741  4,839,661  54,637  47,024  
Credit contracts204,498  41  327  210,678  2  84  
Equity contracts
—  (1)9,173  —  —  (1)1,414  —  
Commodity contracts
—  (2)117,447  138,298  —  (2)81,380  80,517  
Total derivatives not designated as hedging instruments
$20,113,400  $764,185  $558,512  $20,540,031  $330,316  $251,744  
Gross derivative assets/liabilities
$764,430  $560,169  $330,316  $256,528  
Less: Master netting agreements
(110,569) (110,569) (121,561) (121,561) 
Less: Cash collateral received/paid
(11,649) (94,435) (3,758) (38,238) 
Net derivative assets/liabilities
$642,212  $355,165  $204,997  $96,729  
(1)The Company held equity contracts in three public companies and 17 private companies as of June 30, 2020. In comparison, the Company held equity contracts in three public companies and 18 private companies as of December 31, 2019.
(2)The notional amount of the Company’s commodity contracts entered with its customers totaled 6,155 thousand barrels of crude oil and 84,957 thousand units of natural gas, measured in million British thermal units (“MMBTUs”) as of June 30, 2020. In comparison, the notional amount of the Company’s commodity contracts entered with its customers totaled 7,811 thousand barrels of crude oil and 63,773 thousand MMBTUs of natural gas as of December 31, 2019. The Company simultaneously entered into the offsetting commodity contracts with mirrored terms with third-party financial institutions.
The following tables present the notional amounts and the gross fair values of interest rate derivative contracts outstanding as of June 30, 2020 and December 31, 2019:
($ in thousands)June 30, 2020
Customer Counterparty($ in thousands)Financial Counterparty
Notional
Amount		Fair ValueNotional
Amount		Fair Value
AssetsLiabilitiesAssetsLiabilities
Written options
$858,996  $—  $241  
Purchased options
$858,996  $241  $—  
Sold collars and corridors
531,098  10,658  1  
Collars and corridors
531,098  1  10,696  
Swaps7,179,331  601,250  —  Swaps7,211,365  1,330  389,208  
Total
$8,569,425  $611,908  $242  
Total
$8,601,459  $1,572  $399,904  
($ in thousands)December 31, 2019
Customer Counterparty($ in thousands)Financial Counterparty
Notional
Amount		Fair ValueNotional
Amount		Fair Value
AssetsLiabilitiesAssetsLiabilities
Written options
$1,003,558  $—  $66  
Purchased options
$1,003,558  $67  $—  
Sold collars and corridors
490,852  1,971  16  
Collars and corridors
490,852  17  1,996  
Swaps6,247,667  187,294  6,237  Swaps6,253,205  3,534  115,804  
Total
$7,742,077  $189,265  $6,319  
Total
$7,747,615  $3,618  $117,800  
The following tables present the notional amounts and the gross fair values of foreign exchange derivative contracts outstanding as of June 30, 2020 and December 31, 2019:
($ in thousands)June 30, 2020
Customer Counterparty($ in thousands)Financial Counterparty
Notional
Amount		Fair ValueNotional
Amount		Fair Value
AssetsLiabilitiesAssetsLiabilities
Forwards and spot$1,768,864  $17,940  $14,246  Forwards and spot$62,424  $62  $98  
Swaps7,160  —  42  Swaps734,640  4,502  3,808  
Collars1,685  2  —  Collars162,245  1,538  1,547  
Total$1,777,709  $17,942  $14,288  Total$959,309  $6,102  $5,453  
($ in thousands)December 31, 2019
Customer Counterparty($ in thousands)Financial Counterparty
Notional
Amount		Fair ValueNotional
Amount		Fair Value
AssetsLiabilitiesAssetsLiabilities
Forwards and spot$3,581,036  $45,911  $40,591  Forwards and spot$207,492  $1,400  $507  
Swaps6,889  16  84  Swaps702,391  6,156  4,712  
Written options87,036  127  —  Purchased options87,036  —  127  
Collars2,244  —  14  Collars165,537  1,027  989  
Total$3,677,205  $46,054  $40,689  Total$1,162,456  $8,583  $6,335  
The following table presents the notional amounts and the gross fair values of RPAs sold and purchased outstanding as of June 30, 2020 and December 31, 2019:
($ in thousands)June 30, 2020December 31, 2019
Notional
Amount		Fair ValueNotional
Amount		Fair Value
AssetsLiabilitiesAssetsLiabilities
RPAs - protection sold$193,783  $—  $327  $199,964  $—  $84  
RPAs - protection purchased10,714  41  —  10,714  2  —  
Total RPAs$204,497  $41  $327  $210,678  $2  $84  
The following tables present the notional amounts and fair values of the commodity derivative positions outstanding as of June 30, 2020 and December 31, 2019:
($ and units in thousands)
June 30, 2020
Customer Counterparty
($ and units in thousands)
Financial Counterparty
Notional
Unit		Fair ValueNotional
Unit		Fair Value
AssetsLiabilitiesAssetsLiabilities
Crude oil:Crude oil:
Written options—  Barrels$—  $70  
Purchased options
—  Barrels$70  $—  
Collars
1,966  Barrels63  20,463  
Collars
2,218  Barrels21,847  1,607  
Swaps
4,189  Barrels1,273  51,320  
Swaps
4,261  Barrels32,875  1,779  
Total
6,155  $1,336  $71,853  
Total
6,479  $54,792  $3,386  
Natural gas:
Natural gas:
Written options1,033  MMBTUs$—  $172  Purchased Options1,023  MMBTUs$157  $—  
Collars
13,066  MMBTUs881  955  
Collars
13,186  MMBTUs883  881  
Swaps
70,858  MMBTUs29,550  31,988  
Swaps
78,528  MMBTUs29,848  29,063  
Total
84,957  $30,431  $33,115  
Total
92,737  $30,888  $29,944  
Total$31,767  $104,968  Total$85,680  $33,330  
($ and units in thousands)
December 31, 2019
Customer Counterparty
($ and units in thousands)
Financial Counterparty
Notional
Unit		Fair ValueNotional
Unit		Fair Value
AssetsLiabilitiesAssetsLiabilities
Crude oil:Crude oil:
Written options36  Barrels$—  $30  
Purchased options
36  Barrels$29  $—  
Collars
3,174  Barrels2,673  538  
Collars
3,630  Barrels677  2,815  
Swaps
4,601  Barrels6,949  5,531  
Swaps
4,721  Barrels4,516  5,215  
Total
7,811  $9,622  $6,099  
Total
8,387  $5,222  $8,030  
Natural gas:
Natural gas:
Written options
540  MMBTUs$—  $22  
Purchased options
530  MMBTUs$21  $—  
Collars
14,277  MMBTUs186  522  
Collars
14,517  MMBTUs471  150  
Swaps
48,956  MMBTUs30,257  35,497  
Swaps
48,779  MMBTUs35,601  30,197  
Total
63,773  $30,443  $36,041  
Total
63,826  $36,093  $30,347  
Total$40,065  $42,140  Total$41,315  $38,377  
Schedule of net gains (losses) recognized on the Consolidated Statement of Income related to derivatives designated as fair value hedge
The following table presents the net gains (losses) recognized on the Consolidated Statement of Income related to the derivatives designated as fair value hedges for the three and six months ended June 30, 2020 and 2019:
($ in thousands)Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
Gains (losses) recorded in interest expense:
Recognized on interest rate swaps$951  $1,634  $2,996  $2,854  
Recognized on certificates of deposit$(357) $(1,434) $(1,719) $(2,695) 
Schedule of the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of the hedged certificates of deposit
The following table presents the carrying amount and associated cumulative basis adjustment related to the application of fair value hedge accounting that is included in the carrying amount of the hedged certificates of deposit as of June 30, 2020 and December 31, 2019:
($ in thousands)
Carrying Value (1)
Cumulative Fair
    Value Adjustment (2)
June 30, 2020December 31, 2019June 30, 2020December 31, 2019
Certificates of deposit$(14,986) $(29,080) $(114) $1,604  
(1)Represents the full carrying amount of the hedged certificates of deposit.
(2)For liabilities, (increase) decrease to carrying value.
Schedule of pre-tax changes in AOCI from cash flows hedges
The following table presents the pre-tax changes in AOCI from cash flow hedges for the three and six months ended June 30, 2020 and 2019. The after-tax impact of cash flow hedges on AOCI is shown in Note 14 — Accumulated Other Comprehensive Income (Loss) to the Consolidated Financial Statements in the Form-10-Q.
($ in thousands)Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
Gains (losses) recognized in AOCI$(1,483) $—  $(1,483) $—  
Gains (losses) reclassified from AOCI to Interest expense$377  $—  $377  $—  
Tabular disclosure of gains and losses on derivative instruments qualified and designated in net investment hedges
The following table presents the after-tax (losses) gains recognized in AOCI on net investment hedges for the three and six months ended June 30, 2020 and 2019:
($ in thousands)Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
Gains (losses) recognized in AOCI$(377) $(598) $627  $(2,603) 
Schedule of the net (losses) gains recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments
The following table presents the net (losses) gains recognized on the Company’s Consolidated Statement of Income related to derivatives not designated as hedging instruments for the three and six months ended June 30, 2020 and 2019:
($ in thousands)Classification on
Consolidated
Statement of Income		Three Months Ended June 30,Six Months Ended June 30,
2020201920202019
Derivatives not designated as hedging instruments:
Interest rate contracts
Interest rate contracts and other derivative income$(5,361) $(1,359) $(12,372) $(3,138) 
Foreign exchange contracts
Foreign exchange income
6,201  3,495  9,062  9,821  
Credit contractsInterest rate contracts and other derivative income(75) (36) (98) 47  
Equity contractsLending fees8,070  917  8,379  1,167  
Commodity contractsInterest rate contracts and other derivative income(71) (22) (47) (18) 
Net gains$8,764  $2,995  $4,924  $7,879  
Schedule of gross derivative fair values, the balance sheet netting adjustments and the resulting net fair values recorded on the consolidated balance sheet, as well as the cash and non-cash collateral associated with master netting arrangements
The following tables present the gross derivative fair values, the balance sheet netting adjustments and the resulting net fair values recorded on the consolidated balance sheet, as well as the cash and noncash collateral associated with master netting arrangements. The gross amounts of derivative assets and liabilities are presented after the application of variation margin payments as settlements with centrally cleared organizations, where applicable. The collateral amounts in the following tables are limited to the outstanding balances of the related asset or liability, after the application of netting; therefore instances of overcollateralization are not shown:
($ in thousands)As of June 30, 2020
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$764,430  $(110,569) $(11,649) $642,212  $(13,447) $628,765  
 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
$560,169  $(110,569) $(94,435) $355,165  $(279,528) $75,637  
($ in thousands)As of December 31, 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$330,316  $(121,561) $(3,758) $204,997  $—  $204,997  
 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
$256,528  $(121,561) $(38,238) $96,729  $(79,619) $17,110  
(1)Gross amounts recognized for derivative assets include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $754.7 million and $328.7 million, respectively, as of June 30, 2020 and December 31, 2019, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $9.7 million and $1.6 million, respectively, as of June 30, 2020 and December 31, 2019.
(2)Gross amounts recognized for derivative liabilities include amounts with counterparties subject to enforceable master netting arrangements or similar agreements of $560.0 million and $256.5 million, respectively, as of June 30, 2020 and December 31, 2019, and amounts with counterparties not subject to enforceable master netting arrangements or similar agreements of $211 thousand and $20 thousand, respectively, as of June 30, 2020 and December 31, 2019.
(3)Gross cash collateral received under master netting arrangements or similar agreements were $18.1 million and $3.8 million, respectively, as of June 30, 2020 and December 31, 2019. Of the gross cash collateral received, $11.6 million and $3.8 million were used to offset against derivative assets, respectively, as of June 30, 2020 and December 31, 2019.
(4)Gross cash collateral pledged under master netting arrangements or similar agreements were $98.9 million and $43.0 million, respectively, as of June 30, 2020 and December 31, 2019. Of the gross cash collateral pledged, $94.4 million and $38.2 million were used to offset against derivative liabilities, respectively, as of June 30, 2020 and December 31, 2019.
(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 noncash collateral on the consolidated balance sheet but requires disclosure of such amounts.