Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Total Notional or Contractual Amounts, Fair Value, Collateral and Net Exposure of Derivative Financial Instruments

The total notional or contractual amounts, fair value, collateral and net exposure of our derivative financial instruments at September 30, 2011 and December 31, 2010 were as follows:

			September 30, 2011										December 31, 2010
(Dollars in thousands)	Balance Sheet Location		Notional or Contractual Amount		Fair Value			Collateral (1)		Net Exposure (2)			Notional or Contractual Amount		Fair Value			Collateral (1)		Net Exposure (2)
Derivatives designated as hedging instruments:
Interest rate risks:
Interest rate swaps		Other assets	$	187,393	$	13,305		$	—	$	13,305		$	500,000	$	52,017		$	37,245	$	14,772
Derivatives not designated as hedging instruments:
Currency exchange risks:
Foreign exchange forwards		Other assets		65,399		1,341			—		1,341			33,046		459			—		459
Foreign exchange forwards		Other liabilities		10,634		(155	)		—		(155	)		26,764		(280	)		—		(280	)
Net exposure						1,186			—		1,186					179			—		179
Other derivative instruments:
Equity warrant assets		Other assets		135,155		58,523			—		58,523			126,062		47,565			—		47,565
Other derivatives:
Foreign exchange forwards		Other assets		313,446		12,188			—		12,188			291,243		9,408			—		9,408
Foreign exchange forwards		Other liabilities		295,392		(11,609	)		—		(11,609	)		267,218		(8,505	)		—		(8,505	)
Foreign currency options		Other assets		75,600		407			—		407			118,133		1,482			—		1,482
Foreign currency options		Other liabilities		75,600		(407	)		—		(407	)		118,133		(1,482	)		—		(1,482	)
Loan conversion options		Other assets		11,000		2,057			—		2,057			10,175		4,291			—		4,291
Client interest rate derivatives		Other assets		36,135		53			—		53			—		—			—		—
Client interest rate derivatives		Other liabilities		36,135		(55	)		—		(55	)		—		—			—		—
Net exposure						2,634			—		2,634					5,194			—		5,194
Net					$	75,648		$	—	$	75,648				$	104,955		$	37,245	$	67,710

(1) Cash collateral received from counterparties for our interest rate swap agreements is recorded as a component of “short-term borrowings” on our consolidated balance sheets.

(2) Net exposure for contracts in a gain position reflects the replacement cost in the event of nonperformance by all such counterparties. The credit ratings of our institutional counterparties as of September 30, 2011 remain at investment grade or higher and there were no material changes in their credit ratings for the three and nine months ended September 30, 2011.

Summary of Derivative Activity and the 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, 2011 and 2010 is as follows:

		Three months ended September 30,						Nine months ended September 30,
(Dollars in thousands)	Statement of income location	2011			2010			2011			2010
Derivatives designated as hedging instruments:
Interest rate risks:
Net cash benefit associated with interest rate swaps	Interest expense—borrowings	$	2,337		$	5,943		$	12,205		$	18,531
Change in fair value of interest rate swaps	Net gains on derivative instruments		(400	)		—			(467	)		—
Net gains associated with interest rate risk derivatives		$	1,937		$	5,943		$	11,738		$	18,531
Derivatives not designated as hedging instruments:
Currency exchange risks:
(Losses) gains on foreign currency loan revaluations, net	Other noninterest income	$	(3,758	)	$	2,871		$	(567	)	$	(75	)
Gains (losses) on foreign exchange forward contracts, net	Net gains on derivative instruments		3,591			(2,987	)		540			178
Net (losses) gains associated with currency risk		$	(167	)	$	(116	)	$	(27	)	$	103
Other derivative instruments:
Gains on equity warrant assets	Net gains on derivative instruments	$	5,518		$	3,762		$	23,375		$	3,073
Gains on client foreign exchange forward contracts, net	Net gains on derivative instruments	$	658		$	420		$	1,448		$	1,252
Net gains (losses) on other derivatives	Net gains on derivative instruments	$	584		$	62		$	(743	)	$	62