Derivatives (Tables)

12 Months Ended

Dec. 31, 2011

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at December 31, 2011 (in thousands):

	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts3	$	10,391,244	$	182,450	$	10,324,244	$	181,102	$	149,780		$	148,432
Energy contracts		1,554,400		158,625		1,799,367		171,050		62,945			75,370
Agricultural contracts		146,252		4,761		148,924		4,680		782			701
Foreign exchange contracts		73,153		73,153		72,928		72,928		73,153			72,928
Equity options		208,647		12,508		208,647		12,508		12,508			12,508
Total customer derivatives before cash collateral		12,373,696		431,497		12,554,110		442,268		299,168			309,939
Less: cash collateral		–		–		–		–		(11,690	)		(73,712	)
Total customer derivatives		12,373,696		431,497		12,554,110		442,268		287,478			236,227

Interest rate risk management programs		44,000		6,381		25,000		295		6,381			295
Total derivative contracts	$	12,417,696	$	437,878	$	12,579,110	$	442,563	$	293,859		$	236,522

¹	Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.

²	Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.

3	Includes interest rate swaps used by borrowers to modify interest rate terms of their loans and to be announced residential mortgage-backed securities used by mortgage banking customers to hedge their loan production.

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at December 31, 2010 (in thousands):

	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts3	$	11,664,409	$	235,961	$	11,524,077	$	233,421	$	141,279		$	138,739
Energy contracts		1,914,519		188,655		2,103,923		191,075		76,746			79,166
Agricultural contracts		183,250		10,616		186,709		10,534		4,226			4,144
Foreign exchange contracts		45,014		45,014		45,014		45,014		45,014			45,014
Equity options		160,535		16,247		160,535		16,247		16,247			16,247
Total customer derivatives before cash collateral		13,967,727		496,493		14,020,258		496,291		283,512			283,310
Less: cash collateral		–		–		–		–		(15,017	)		(68,987	)
Total customer derivatives		13,967,727		496,493		14,020,258		496,291		268,495			214,323

Interest rate risk management programs		124,000		1,950		17,977		1,097		1,950			1,097
Total derivative contracts	$	14,091,727	$	498,443	$	14,038,235	$	497,388	$	270,445		$	215,420

¹	Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.

²	Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.

3	Includes interest rate swaps used by borrowers to modify interest rate terms of their loans and to be announced residential mortgage-backed securities used by mortgage banking customers to hedge their loan production.

Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following summarizes the pre-tax net gains (losses) on derivative instruments and where they are recorded in the income statement (in thousands):

	Year ended December 31,
	2011					2010
	Brokerage and Trading Revenue			Gain (Loss) on Derivatives, Net		Brokerage and Trading Revenue		Gain (Loss) on Derivatives, Net
Customer risk management programs:
Interest rate contracts	$	(854	)	$	–	$	2,784	$	–
Energy contracts		5,262			–		7,951		–
Agriculture contracts		341			–		629		–
Foreign exchange contracts		565			–		375		–
Equity options		–			–		–		–
Total customer derivatives		5,314			–		11,739		–
Interest rate risk management programs		–			2,526		–		3,032
Total derivative contracts	$	5,314		$	2,526	$	11,739	$	3,032

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details