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Derivatives | 6 Months Ended
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Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives | Derivatives In the normal course of business, FHN utilizes various financial instruments (including derivative contracts and credit-related agreements) through its fixed income and risk management operations, as part of its risk management strategy and as a means to meet customers’ needs. Derivative instruments are subject to credit and market risks in excess of the amount recorded on the balance sheet as required by GAAP. The contractual or notional amounts of these financial instruments do not necessarily represent the amount of credit or market risk. However, they can be used to measure the extent of involvement in various types of financial instruments. Controls and monitoring procedures for these instruments have been established and are routinely reevaluated. The Asset/Liability Committee (“ALCO”) controls, coordinates, and monitors the usage and effectiveness of these financial instruments. Credit risk represents the potential loss that may occur if a party to a transaction fails to perform according to the terms of the contract. The measure of credit exposure is the replacement cost of contracts with a positive fair value. FHN manages credit risk by entering into financial instrument transactions through national exchanges, primary dealers or approved counterparties, and by using mutual margining and master netting agreements whenever possible to limit potential exposure. FHN also maintains collateral posting requirements with certain counterparties to limit credit risk. Daily margin posted or received with central clearinghouses is considered a legal settlement of the related derivative contracts which results in a net presentation for each contract in the Consolidated Condensed Statements of Condition. Treatment of daily margin as a settlement has no effect on hedge accounting or gains/losses for the applicable derivative contracts. On June 30, 2020 and December 31, 2019, respectively, FHN had $230.2 million and $136.6 million of cash receivables and $130.6 million and $53.0 million of cash payables related to collateral posting under master netting arrangements, inclusive of collateral posted related to contracts with adjustable collateral posting thresholds and over-collateralized positions, with derivative counterparties. With exchange-traded contracts, the credit risk is limited to the clearinghouse used. For non-exchange traded instruments, credit risk may occur when there is a gain in the fair value of the financial instrument and the counterparty fails to perform according to the terms of the contract and/or when the collateral proves to be of insufficient value. See additional discussion regarding master netting agreements and collateral posting requirements later in this note under the heading “Master Netting and Similar Agreements.” Market risk represents the potential loss due to the decrease in the value of a financial instrument caused primarily by changes in interest rates or the prices of debt instruments. FHN manages market risk by establishing and monitoring limits on the types and degree of risk that may be undertaken. FHN continually measures this risk through the use of models that measure value-at-risk and earnings-at-risk. Derivative Instruments. FHN enters into various derivative contracts both to facilitate customer transactions and as a risk management tool. Where contracts have been created for customers, FHN enters into upstream transactions with dealers to offset its risk exposure. Contracts with dealers that require central clearing are novated to a clearing agent who becomes FHN’s counterparty. Derivatives are also used as a risk management tool to hedge FHN’s exposure to changes in interest rates or other defined market risks. Forward contracts are over-the-counter contracts where two parties agree to purchase and sell a specific quantity of a financial instrument at a specified price, with delivery or settlement at a specified date. Futures contracts are exchange-traded contracts where two parties agree to purchase and sell a specific quantity of a financial instrument at a specified price, with delivery or settlement at a specified date. Interest rate option contracts give the purchaser the right, but not the obligation, to buy or sell a specified quantity of a financial instrument, at a specified price, during a specified period of time. Caps and floors are options that are linked to a notional principal amount and an underlying indexed interest rate. Interest rate swaps involve the exchange of interest payments at specified intervals between two parties without the exchange of any underlying principal. Swaptions are options on interest rate swaps that give the purchaser the right, but not the obligation, to enter into an interest rate swap agreement during a specified period of time. Trading Activities FHN’s fixed income segment trades U.S. Treasury, U.S. Agency, government-guaranteed loan, mortgage-backed, corporate and municipal fixed income securities, and other securities for distribution to customers. When these securities settle on a delayed basis, they are considered forward contracts. Fixed income also enters into interest rate contracts, including caps, swaps, and floors, for its customers. In addition, fixed income enters into futures and option contracts to economically hedge interest rate risk associated with a portion of its securities inventory. These transactions are measured at fair value, with changes in fair value recognized currently in fixed income noninterest income. Related assets and liabilities are recorded on the Consolidated Condensed Statements of Condition as Derivative assets and Derivative liabilities. The FHN Financial Risk Committee and the Credit Risk Management Committee collaborate to mitigate credit risk related to these transactions. Credit risk is controlled through credit approvals, risk control limits, and ongoing monitoring procedures. Total trading revenues were $100.3 million and $54.5 million for the three months ended June 30, 2020 and 2019, and $178.6 million and $99.0 million for the six months ended June 30, 2020 and 2019, respectively. Trading revenues are inclusive of both derivative and non-derivative financial instruments, and are included in Fixed income noninterest income on the Consolidated Condensed Statements of Income. The following tables summarize FHN’s derivatives associated with fixed income trading activities as of June 30, 2020 and December 31, 2019:
|  | June 30, 2020
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Customer interest rate contracts |  | $ | 3,667,914 |  |  | $ | 254,246 |  |  | $ | 1,827 |
Offsetting upstream interest rate contracts |  | 3,667,914 |  |  | 7,454 |  |  | 17,667 |
Forwards and futures purchased |  | 7,351,632 |  |  | 31,853 |  |  | 787 |
Forwards and futures sold |  | 7,744,323 |  |  | 3,555 |  |  | 29,696 |
|  | December 31, 2019
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Customer interest rate contracts |  | $ | 2,697,522 |  |  | $ | 65,768 |  |  | $ | 6,858 |
Offsetting upstream interest rate contracts |  | 2,697,522 |  |  | 2,583 |  |  | 3,994 |
Option contracts purchased |  | 40,000 |  |  | 131 |  |  | — |
Forwards and futures purchased |  | 9,217,350 |  |  | 17,029 |  |  | 3,187 |
Forwards and futures sold |  | 9,403,112 |  |  | 3,611 |  |  | 16,620 |
Interest Rate Risk Management FHN’s ALCO focuses on managing market risk by controlling and limiting earnings volatility attributable to changes in interest rates. Interest rate risk exists to the extent that interest-earning assets and interest-bearing liabilities have different maturity or repricing characteristics. FHN uses derivatives, primarily swaps, that are designed to moderate the impact on earnings as interest rates change. Interest paid or received for swaps utilized by FHN to hedge the fair value of long term debt is recognized as an adjustment of the interest expense of the liabilities whose risk is being managed. FHN’s interest rate risk management policy is to use derivatives to hedge interest rate risk or market value of assets or liabilities, not to speculate. In addition, FHN has entered into certain interest rate swaps and caps as a part of a product offering to commercial customers that includes customer derivatives paired with upstream offsetting market instruments that, when completed, are designed to mitigate interest rate risk. These contracts do not qualify for hedge accounting and are measured at fair value with gains or losses included in current earnings in Noninterest expense on the Consolidated Condensed Statements of Income. FHN designated a derivative transaction in a hedging strategy to manage interest rate risk on $400.0 million of senior debt issued by First Horizon Bank prior to its maturity in December 2019. This qualified for hedge accounting under ASC 815-20 using the long-haul method. FHN entered into a pay floating, receive fixed interest rate swap to hedge the interest rate risk of the senior debt. First Horizon Bank early redeemed the $400.0 million senior debt on November 1, 2019. FHN has designated a derivative transaction in a hedging strategy to manage interest rate risk on $500.0 million of senior debt which matures in December 2020. This qualifies for hedge accounting under ASC 815-20 using the long-haul method. FHN entered into a pay floating, receive fixed interest rate swap to hedge the interest rate risk of the senior debt. The following tables summarize FHN’s derivatives associated with interest rate risk management activities as of June 30, 2020 and December 31, 2019:
|  | June 30, 2020
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Customer Interest Rate Contracts Hedging |  |  |  |  |  |
Hedging Instruments and Hedged Items: |  |  |  |  |  |
Customer interest rate contracts |  | $ | 3,679,991 |  |  | $ | 297,233 |  |  | $ | 258 |
Offsetting upstream interest rate contracts |  | 3,679,991 |  |  | 4,877 |  |  | 24,922 |
Debt Hedging |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |
Interest rate swaps |  | $ | 500,000 |  |  | $ | 27 |  |  | N/A |
Hedged Items: |  |  |  |  |  |
Term borrowings: |  |  |  |  |  |
Par |  | N/A |  |  | N/A |  |  | $ | 500,000 |
Cumulative fair value hedging adjustments |  | N/A |  |  | N/A |  |  | 2,142 |
Unamortized premium/(discount) and issuance costs |  | N/A |  |  | N/A |  |  | (296 | )
Total carrying value |  | N/A |  |  | N/A |  |  | $ | 501,846 |
|  | December 31, 2019
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Customer Interest Rate Contracts Hedging |  |  |  |  |  |
Hedging Instruments and Hedged Items: |  |  |  |  |  |
Customer interest rate contracts |  | $ | 3,044,067 |  |  | $ | 90,394 |  |  | $ | 3,515 |
Offsetting upstream interest rate contracts |  | 3,044,067 |  |  | 3,537 |  |  | 9,735 |
Debt Hedging |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |
Interest rate swaps |  | $ | 500,000 |  |  | N/A |  |  | $ | 69 |
Hedged Items: |  |  |  |  |  |
Term borrowings: |  |  |  |  |  |
Par |  | N/A |  |  | N/A |  |  | $ | 500,000 |
Cumulative fair value hedging adjustments |  | N/A |  |  | N/A |  |  | (1,604 | )
Unamortized premium/(discount) and issuance costs |  | N/A |  |  | N/A |  |  | (740 | )
Total carrying value |  | N/A |  |  | N/A |  |  | $ | 497,656 |
The following table summarizes gains/(losses) on FHN’s derivatives associated with interest rate risk management activities for the three and six months ended June 30, 2020 and 2019:
|  | Three Months Ended June 30 |  | Six Months Ended June 30
|  | 2020 |  | 2019 |  | 2020 |  | 2019
(Dollars in thousands) |  | Gains/(Losses) |  | Gains/(Losses) |  | Gains/(Losses) |  | Gains/(Losses)
Customer Interest Rate Contracts Hedging |  |  |  |  |  |
Hedging Instruments and Hedged Items: |  |  |  |  |  |  |  |
Customer interest rate contracts (a) |  | $ | 15,844 |  |  | $ | 50,706 |  |  | $ | 211,396 |  |  | $ | 79,818 |
Offsetting upstream interest rate contracts (a) |  | (15,844 | ) |  | (50,706 | ) |  | (211,396 | ) |  | (79,818 | )
Debt Hedging |  |  |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |  |  |
Interest rate swaps (b) |  | $ | (737 | ) |  | $ | 6,697 |  |  | $ | 4,197 |  |  | $ | 10,976 |
Hedged Items: |  |  |  |  |  |  |  |
Term borrowings (a) (c) |  | 720 |  |  | (6,605 | ) |  | (3,745 | ) |  | (10,871 | )
(a) | Gains/losses included in All other expense within the Consolidated Condensed Statements of Income.
(b) | Gains/losses included in the Interest expense.
(c) | Represents gains and losses attributable to changes in fair value due to interest rate risk as designated in ASC 815-20 hedging relationships.
In first quarter 2016, FHN entered into a pay floating, receive fixed interest rate swap in a hedging strategy to manage its exposure to the variability in cash flows related to the interest payments for the following five years on $250 million principal of debt instruments, which primarily consist of held-to-maturity trust preferred loans that have variable interest payments based on 3-month LIBOR. In first quarter 2017, FHN initiated cash flow hedges of $650 million notional amount that had initial durations between three years and seven years. The debt instruments primarily consist of held-to-maturity commercial loans that have variable interest payments based on 1-month LIBOR. $200 million of these swaps expired in first quarter 2020. These qualify for hedge accounting as cash flow hedges under ASC 815-20. All changes in the fair value of these derivatives are recorded as a component of AOCI. Amounts are reclassified from AOCI to earnings as the hedged cash flows affect earnings. Interest paid or received for these swaps is recognized as an adjustment to interest income of the assets whose cash flows are being hedged. The following tables summarize FHN’s derivative activities associated with cash flow hedges as of June 30, 2020 and December 31, 2019:
|  | June 30, 2020
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Cash Flow Hedges |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |
Interest rate swaps |  | $ | 700,000 |  |  | $ | 29 |  |  | $ | 48 |
Hedged Items: |  |  |  |  |  |
Variability in cash flows related to debt instruments (primarily loans) |  | N/A |  |  | $ | 700,000 |  |  | N/A |
|  | December 31, 2019
(Dollars in thousands) |  | Notional |  | Assets |  | Liabilities
Cash Flow Hedges |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |
Interest rate swaps |  | $ | 900,000 |  |  | N/A |  |  | $ | 241 |
Hedged Items: |  |  |  |  |  |
Variability in cash flows related to debt instruments (primarily loans) |  | N/A |  |  | $ | 900,000 |  |  | N/A |
The following table summarizes gains/(losses) on FHN’s derivatives associated with cash flow hedges for the three and six months ended June 30, 2020 and 2019:
|  | Three Months Ended June 30 |  | Six Months Ended June 30
|  | 2020 |  | 2019 |  | 2020 |  | 2019
(Dollars in thousands) |  | Gains/(Losses) |  | Gains/(Losses) |  | Gains/(Losses) |  | Gains/(Losses)
Cash Flow Hedges |  |  |  |  |  |
Hedging Instruments: |  |  |  |  |  |  |  |
Interest rate swaps (a) |  | $ | 69 |  |  | $ | 11,896 |  |  | $ | 17,443 |  |  | $ | 19,114 |
Gain/(loss) recognized in Other comprehensive income/(loss) |  | 1,640 |  |  | 7,575 |  |  | 14,795 |  |  | 11,511 |
Gain/(loss) reclassified from AOCI into Interest income |  | (1,623 | ) |  | 1,334 |  |  | (1,717 | ) |  | 2,785 |
(a) | Approximately $9.6 million of pre-tax gains are expected to be reclassified into earnings in the next twelve months.
Other Derivatives In conjunction with the sales of a portion of its Visa Class B shares in 2010 and 2011, FHN and the purchaser entered into derivative transactions whereby FHN will make or receive cash payments whenever the conversion ratio of the Visa Class B shares into Visa Class A shares is adjusted. FHN is also required to make periodic financing payments to the purchasers until all of Visa's covered litigation matters are resolved. In third quarter 2018, FHN sold the remainder of its Visa Class B shares, entering into a similar derivative arrangement with the counterparty. All of these derivatives extend until the end of Visa’s Covered Litigation matters. In September 2018, Visa reached a preliminary settlement for one class of plaintiffs in its Payment Card Interchange matter which later received final court approval in December 2019. In accordance with the agreement terms, several individual plaintiffs opted out of the settlement and have the opportunity to separately pursue resolution with Visa. Settlement has not been reached with the second class of plaintiffs in this matter and other covered litigation matters are also pending judicial resolution. Accordingly, the value and timing for completion of Visa’s Covered Litigation matters are uncertain. The derivative transaction executed in third quarter 2018 includes a contingent accelerated termination clause based on the credit ratings of FHN and First Horizon Bank. FHN has not received or paid collateral related to this contract. As of June 30, 2020 and December 31, 2019, the derivative liabilities associated with the sales of Visa Class B shares were $18.0 million and $22.8 million, respectively. See Note 17 - Fair Value of Assets & Liabilities for discussion of the valuation inputs and processes for these Visa-related derivatives. FHN utilizes cross currency swaps and cross currency interest rate swaps to economically hedge its exposure to foreign currency risk and interest rate risk associated with non-U.S. dollar denominated loans. As of June 30, 2020 and December 31, 2019, these loans were valued at $13.8 million and $18.4 million, respectively. The balance sheet amount and the gains/losses associated with these derivatives were not significant. Related to its loan participation/syndication activities, FHN enters into risk participation agreements, under which it assumes exposure for, or receives indemnification for, borrowers’ performance on underlying interest rate derivative contracts. FHN’s counterparties in these contracts are other lending institutions involved in the loan participation/syndication arrangements for which the underlying interest rate derivative contract is intended to hedge interest rate risk for the borrower. FHN will make (other institution is the lead bank) or receive (FHN is the lead bank) payments for risk participations if the borrower defaults on its obligation to perform under the terms of its interest rate derivative agreement with the lead bank in the participation. As of June 30, 2020 the notional values of FHN’s risk participations were $93.8 million of derivative assets and $246.1 million of derivative liabilities. The notional value for risk participation/syndication agreements is consistent with the percentage of participation in the lending arrangement. FHN’s maximum exposure or benefit in the risk participation agreements is contingent on the fair value of the underlying interest rate derivative contracts for which the borrower is in a liability position at the time of default. FHN monitors the credit risk associated with the borrowers to which the risk participations relate through the same credit risk assessment process utilized for establishing credit loss estimates for its loan portfolio. These credit risk estimates are included in the determination of fair value for the risk participations. As of June 30, 2020, FHN had recognized $170 thousand of derivative assets and $830 thousand of derivative liabilities associated with risk participation agreements. Master Netting and Similar Agreements As previously discussed, FHN uses master netting agreements, mutual margining agreements and collateral posting requirements to minimize credit risk on derivative contracts. Master netting and similar agreements are used when counterparties have multiple derivatives contracts that allow for a “right of setoff,” meaning that a counterparty may net offsetting positions and collateral with the same counterparty under the contract to determine a net receivable or payable. The following discussion provides an overview of these arrangements which may vary due to the derivative type and market in which a derivative transaction is executed. Interest rate derivatives are subject to agreements consistent with standard agreement forms of the International Swap and Derivatives Association (“ISDA”). Currently, all interest rate derivative contracts are entered into as over-the-counter transactions and collateral posting requirements are based on the net asset or liability position with each respective counterparty. For contracts that require central clearing, novation to a counterparty with access to a clearinghouse occurs and initial margin is posted. Cash margin received (posted) that is considered settlements for the derivative contracts is included in the respective derivative asset (liability) value. Cash margin that is considered collateral received (posted) for interest rate derivatives is recognized as a liability (asset) on FHN’s Consolidated Condensed Statements of Condition. Interest rate derivatives with customers that are smaller financial institutions typically require posting of collateral by the counterparty to FHN. This collateral is subject to a threshold with daily adjustments based upon changes in the level or fair value of the derivative position. Positions and related collateral can be netted in the event of default. Collateral pledged by a counterparty is typically cash or securities. The securities pledged as collateral are not recognized within FHN’s Consolidated Condensed Statements of Condition. Interest rate derivatives associated with lending arrangements share the collateral with the related loan(s). The derivative and loan positions may be netted in the event of default. For disclosure purposes, the entire collateral amount is allocated to the loan. Interest rate derivatives with larger financial institutions entered into prior to required central clearing typically contain provisions whereby the collateral posting thresholds under the agreements adjust based on the credit ratings of both counterparties. If the credit rating of FHN and/or First Horizon Bank is lowered, FHN could be required to post additional collateral with the counterparties. Conversely, if the credit rating of FHN and/or First Horizon Bank is increased, FHN could have collateral released and be required to post less collateral in the future. Also, if a counterparty’s credit ratings were to decrease, FHN and/or First Horizon Bank could require the posting of additional collateral; whereas if a counterparty’s credit ratings were to increase, the counterparty could require the release of excess collateral. Collateral for these arrangements is adjusted daily based on changes in the net fair value position with each counterparty. The net fair value, determined by individual counterparty, of all interest rate derivative instruments with adjustable collateral posting thresholds was $253.7 million of assets and $3.8 million of liabilities on June 30, 2020, and $63.1 million of assets and $6.4 million of liabilities on December 31, 2019. As of June 30, 2020 and December 31, 2019, FHN had received collateral of $340.0 million and $148.5 million and posted collateral of $43.5 million and $18.4 million, respectively, in the normal course of business related to these agreements. Certain agreements entered into prior to required central clearing also contain accelerated termination provisions, inclusive of the right of offset, if a counterparty’s credit rating falls below a specified level. If a counterparty’s debt rating (including FHN’s and First Horizon Bank’s) were to fall below these minimums, these provisions would be triggered, and the counterparties could terminate the agreements and require immediate settlement of all derivative contracts under the agreements. The net fair value, determined by individual counterparty, of all interest rate derivative instruments with credit-risk-related contingent accelerated termination provisions was $253.6 million of assets and $25.5 million of liabilities on June 30, 2020, and $63.1 million of assets and $10.3 million of liabilities on December 31, 2019. As of June 30, 2020 and December 31, 2019, FHN had received collateral of $340.0 million and $148.5 million and posted collateral of $65.1 million and $22.7 million, respectively, in the normal course of business related to these contracts. FHN’s fixed income segment buys and sells various types of securities for its customers. When these securities settle on a delayed basis, they are considered forward contracts, and are generally not subject to master netting agreements. For futures and options, FHN transacts through a third party, and the transactions are subject to margin and collateral maintenance requirements. In the event of default, open positions can be offset along with the associated collateral. For this disclosure, FHN considers the impact of master netting and other similar agreements which allow FHN to settle all contracts with a single counterparty on a net basis and to offset the net derivative asset or liability position with the related securities and cash collateral. The application of the collateral cannot reduce the net derivative asset or liability position below zero, and therefore any excess collateral is not reflected in the following tables. The following table provides details of derivative assets and collateral received as presented on the Consolidated Condensed Statements of Condition as of June 30, 2020 and December 31, 2019:
|  |  |  |  |  |  |  | Gross amounts not offset in the Statements of Condition |  |
(Dollars in thousands) |  | Gross amounts of recognized assets |  | Gross amounts offset in the Statements of Condition |  | Net amounts of assets presented in the Statements of Condition (a) |  | Derivative liabilities available for offset |  | Collateral received |  | Net amount
Derivative assets: |  |  |  |  |  |  |  |  |  |  |  |
June 30, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivative contracts |  | $ | 564,037 |  |  | $ | — |  |  | $ | 564,037 |  |  | $ | (2,253 | ) |  | $ | (348,497 | ) |  | $ | 213,287 |
Forward contracts |  | 35,408 |  |  | — |  |  | 35,408 |  |  | (6,927 | ) |  | (12,590 | ) |  | 15,891 |
|  | $ | 599,445 |  |  | $ | — |  |  | $ | 599,445 |  |  | $ | (9,180 | ) |  | $ | (361,087 | ) |  | $ | 229,178 |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivative contracts |  | $ | 162,344 |  |  | $ | — |  |  | $ | 162,344 |  |  | $ | (5,604 | ) |  | $ | (143,334 | ) |  | $ | 13,406 |
Forward contracts |  | 20,640 |  |  | — |  |  | 20,640 |  |  | (13,292 | ) |  | (2,000 | ) |  | 5,348 |
|  | $ | 182,984 |  |  | $ | — |  |  | $ | 182,984 |  |  | $ | (18,896 | ) |  | $ | (145,334 | ) |  | $ | 18,754 |
(a) | Included in Derivative assets on the Consolidated Condensed Statements of Condition. As of June 30, 2020 and December 31, 2019, $.3 million and $.1 million, respectively, of derivative assets have been excluded from these tables because they are generally not subject to master netting or similar agreements.
The following table provides details of derivative liabilities and collateral pledged as presented on the Consolidated Condensed Statements of Condition as of June 30, 2020 and December 31, 2019:
|  |  |  |  |  |  |  | Gross amounts not offset in the Statements of Condition |  |
(Dollars in thousands) |  | Gross amounts of recognized liabilities |  | Gross amounts offset in the Statements of Condition |  | Net amounts of liabilities presented in the Statements of Condition (a) |  | Derivative assets available for offset |  | Collateral pledged |  | Net amount
Derivative liabilities: |  |  |  |  |  |  |  |  |  |  |  |
June 30, 2020 |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivative contracts |  | $ | 44,743 |  |  | $ | — |  |  | $ | 44,743 |  |  | $ | (2,253 | ) |  | $ | (38,832 | ) |  | $ | 3,658 |
Forward contracts |  | 30,483 |  |  | — |  |  | 30,483 |  |  | (6,927 | ) |  | (23,556 | ) |  | — |
|  | $ | 75,226 |  |  | $ | — |  |  | $ | 75,226 |  |  | $ | (9,180 | ) |  | $ | (62,388 | ) |  | $ | 3,658 |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |
Interest rate derivative contracts |  | $ | 24,431 |  |  | $ | — |  |  | $ | 24,431 |  |  | $ | (5,604 | ) |  | $ | (18,689 | ) |  | $ | 138 |
Forward contracts |  | 19,807 |  |  | — |  |  | 19,807 |  |  | (13,292 | ) |  | (6,515 | ) |  | — |
|  | $ | 44,238 |  |  | $ | — |  |  | $ | 44,238 |  |  | $ | (18,896 | ) |  | $ | (25,204 | ) |  | $ | 138 |
(a) Included in Derivative liabilities on the Consolidated Condensed Statements of Condition. As of June 30, 2020 and December 31, 2019, $19.2 million and $23.2 million, respectively, of derivative liabilities (primarily Visa-related derivatives) have been excluded from these tables because they are generally not subject to master netting or similar agreements.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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