Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2012

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 June 30, 2012 and December 31, 2011 were as follows:

		June 30, 2012								December 31, 2011
(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	$	45,964	$	9,331	$	5,880	$	3,451	$	187,393	$	11,441	$	-	$	11,441
Derivatives not designated as hedging instruments:
Currency exchange risks:
Foreign exchange forwards	Other assets		53,158		1,518		-		1,518		68,518		514		-		514
Foreign exchange forwards	Other liabilities		45,505		(1,126)		-		(1,126)		6,822		(199)		-		(199)
Net exposure					392		-		392				315		-		315
Other derivative instruments:
Equity warrant assets	Other assets		156,784		74,405		-		74,405		144,586		66,953		-		66,953
Other derivatives:
Foreign exchange forwards	Other assets		530,889		18,317		-		18,317		387,714		17,541		-		17,541
Foreign exchange forwards	Other liabilities		388,394		(13,488)		-		(13,488)		366,835		(16,346)		-		(16,346)
Foreign currency options	Other assets		97,943		747		-		747		75,600		271		-		271
Foreign currency options	Other liabilities		97,943		(747)		-		(747)		75,600		(271)		-		(271)
Loan conversion options	Other assets		10,254		1,569		-		1,569		14,063		923		-		923
Client interest rate derivatives	Other assets		38,588		57		-		57		39,713		50		-		50
Client interest rate derivatives	Other liabilities		38,588		(59)		-		(59)		39,713		(52)		-		(52)
Net exposure					6,396		-		6,396				2,116		-		2,116
Net				$	90,524	$	5,880	$	84,644			$	80,825	$	-	$	80,825

(1) Cash collateral received from our counterparty for our interest rate swap agreement 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 June 30, 2012 remain at investment grade or higher and there were no material changes in their credit ratings for the three and six months ended June 30, 2012.

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 six months ended June 30, 2012 and 2011 is as follows:

		Three months ended June 30,				Six months ended June 30,
(Dollars in thousands)	Statement of income location	2012		2011		2012		2011
Derivatives designated as hedging instruments:
Interest rate risks:
Net cash benefit associated with interest rate swaps	Interest expense—borrowings	$	1,696	$	3,695	$	3,925	$	9,868
Changes in fair value of interest rate swaps	Net gain on derivative instruments		108		(67)		497		(67)
Net gains associated with interest rate risk derivatives		$	1,804	$	3,628	$	4,422	$	9,801
Derivatives not designated as hedging instruments:
Currency exchange risks:
(Losses) gains on revaluations of foreign currency loans, net	Other noninterest income	$	(3,125)	$	502	$	(1,466)	$	3,191
Gains (losses) on internal foreign exchange forward contracts, net	Net gains on derivative instruments		2,993		(483)		942		(3,051)
Net (losses) gains associated with currency risk		$	(132)	$	19	$	(524)	$	140
Other derivative instruments:
Gains on equity warrant assets	Net gains on derivative instruments	$	4,876	$	13,861	$	11,811	$	17,857
Gains on client foreign exchange forward contracts, net	Net gains on derivative instruments	$	1,330	$	315	$	2,395	$	790
Net (losses) gains on other derivatives (1)	Net gains on derivative instruments	$	(594)	$	25	$	(956)	$	(1,327)

(1) Primarily represents the change in fair value of loan conversion options.