Derivatives (Tables)

9 Months Ended

Sep. 30, 2012

Derivative Instrument Detail [Abstract]

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at September 30, 2012 (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
To-be-announced mortgage-backed securities	$	14,858,520	$	276,678	$	14,738,232	$	274,195	$	155,105		$	152,622
Interest rate swaps	1,301,109		79,350		1,301,109		79,937		79,350			79,937
Energy contracts	1,556,164		105,588		1,596,791		107,556		38,558			40,526
Agricultural contracts	198,735		6,835		195,068		6,750		824			739
Foreign exchange contracts	150,232		150,232		149,977		149,977		150,232			149,977
Equity option contracts	217,283		14,460		217,283		14,460		14,460			14,460
Total customer derivative before cash collateral	18,282,043		633,143		18,198,460		632,875		438,529			438,261
Less: cash collateral			—		—		—		(11,153		)	(184,622		)
Total customer derivatives	18,282,043		633,143		18,198,460		632,875		427,376			253,639
Interest rate risk management programs	66,000		8,277		25,000		783		8,277			783
Total derivative contracts	$	18,348,043	$	641,420	$	18,223,460	$	633,658	$	435,653		$	254,422


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 securities used by mortgage banking customers to hedge their loan production.

When bilateral netting agreements exist between the Company and its counterparties that create a single legal claim or obligation to pay or receive the net amount in settlement of the individual derivative contracts, the Company reports derivative assets and liabilities on a net by counterparty basis.

Derivative contracts may also require the Company to provide or receive cash margin as collateral for derivative assets and liabilities. Derivative assets and liabilities are reported net of cash margin when certain conditions are met. As of September 30, 2012, a decrease in credit rating to below investment grade would increase our obligation to post cash margin on existing contracts by approximately $35 million.

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
To-be-announced residential mortgage-backed securities	$	9,118,627	$	101,189	$	9,051,627	$	99,211	$	68,519		$	66,541
Interest rate swaps	1,272,617		81,261		1,272,617		81,891		81,261			81,891
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 option contracts	208,647		12,508		208,647		12,508		12,508			12,508
Total customer derivative 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 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 September 30, 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
To-be-announced residential mortgage-backed securities	$	12,189,827	$	195,580	$	12,054,557	$	192,333	$	134,052		$	130,805
Interest rate swaps	1,386,449		85,899		1,386,449		86,603		85,899			86,603
Energy contracts	1,726,402		200,142		1,965,233		198,725		102,938			101,521
Agricultural contracts	190,100		8,100		190,700		8,012		2,373			2,285
Foreign exchange contracts	65,747		65,747		65,787		65,787		65,747			65,787
Equity option contracts	198,518		10,645		186,192		10,645		10,645			10,645
Total customer derivative before cash collateral	15,757,043		566,113		15,848,918		562,105		401,654			397,646
Less: cash collateral	—		—		—		—		(37,298		)	(55,824		)
Total customer derivatives	15,757,043		566,113		15,848,918		562,105		364,356			341,822
Interest rate risk management programs	44,000		6,260		—		—		6,260			—
Total derivative contracts	$	15,801,043	$	572,373	$	15,848,918	$	562,105	$	370,616		$	341,822


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 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):

	Three Months Ended					Three Months Ended
	September 30, 2012					September 30, 2011
	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
To-be-announced residential mortgage-backed securities	$	(803	)	$	—	$	1,225	$	—
Interest rate swaps	706			—		484
Energy contracts	1,856			—		1,360		—
Agricultural contracts	115			—		103		—
Foreign exchange contracts	124			—		155		—
Equity option contracts	—			—		—		—
Total Customer Derivatives	1,998			—		3,327		—
Interest Rate Risk Management Programs	—			464		—		4,048
Total Derivative Contracts	$	1,998		$	464	$	3,327	$	4,048



	Nine Months Ended				Nine Months Ended
	September 30, 2012				September 30, 2011
	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
To-be-announced residential mortgage-backed securities	$	504	$	—	$	(2,829	)	$	—
Interest rate swaps	2,850		—		2,026
Energy contracts	6,754		—		5,759			—
Agricultural contracts	298		—		263			—
Foreign exchange contracts	455		—		381			—
Equity option contracts	—		—		—			—
Total Customer Derivatives	10,861		—		5,600			—
Interest Rate Risk Management Programs	—		336		—			2,700
Total Derivative Contracts	$	10,861	$	336	$	5,600		$	2,700

- 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