XML 33 R23.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instrument Detail [Abstract]  
Derivative Contracts [Table Text Block]
The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at September 30, 2017 (in thousands):
 
 
Assets
 
 
Notional1
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
14,244,442

 
$
38,875

 
$
(9,547
)
 
$
29,328

 
$
—

 
$
29,328

Interest rate swaps
 
1,368,210

 
27,016

 
—

 
27,016

 
(2,820
)
 
24,196

Energy contracts
 
983,794

 
45,368

 
(35,166
)
 
10,202

 
(238
)
 
9,964

Agricultural contracts
 
60,745

 
1,870

 
(1,172
)
 
698

 
—

 
698

Foreign exchange contracts
 
252,525

 
249,788

 
—

 
249,788

 
—

 
249,788

Equity option contracts
 
101,841

 
4,871

 
—

 
4,871

 
(920
)
 
3,951

Total customer risk management programs
 
17,011,557

 
367,788

 
(45,885
)
 
321,903

 
(3,978
)
 
317,925

Internal risk management programs
 
11,941,260

 
34,634

 
—

 
34,634

 
—

 
34,634

Total derivative contracts
 
$
28,952,817

 
$
402,422

 
$
(45,885
)
 
$
356,537

 
$
(3,978
)
 
$
352,559

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
Notional¹
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
14,244,442

 
$
34,948

 
$
(9,547
)
 
$
25,401

 
$
(374
)
 
$
25,027

Interest rate swaps
 
1,368,230

 
27,056

 
—

 
27,056

 
(16,599
)
 
10,457

Energy contracts
 
939,350

 
42,744

 
(35,166
)
 
7,578

 
—

 
7,578

Agricultural contracts
 
60,746

 
1,846

 
(1,172
)
 
674

 
—

 
674

Foreign exchange contracts
 
249,269

 
245,925

 
—

 
245,925

 
(1,395
)
 
244,530

Equity option contracts
 
101,841

 
4,871

 
—

 
4,871

 
—

 
4,871

Total customer risk management programs
 
16,963,878

 
357,390

 
(45,885
)
 
311,505

 
(18,368
)
 
293,137

Internal risk management programs
 
9,180,531

 
43,190

 
—

 
43,190

 
—

 
43,190

Total derivative contracts
 
$
26,144,409

 
$
400,580

 
$
(45,885
)
 
$
354,695

 
$
(18,368
)
 
$
336,327

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


The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at December 31, 2016 (in thousands):

 
 
Assets
 
 
Notional 1
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
16,949,152

 
$
180,695

 
$
(60,555
)
 
$
120,140

 
$
—

 
$
120,140

Interest rate swaps
 
1,403,408

 
34,442

 
—

 
34,442

 
(4,567
)
 
29,875

Energy contracts
 
835,566

 
64,140

 
(28,298
)
 
35,842

 
(71
)
 
35,771

Agricultural contracts
 
53,209

 
1,382

 
(515
)
 
867

 
—

 
867

Foreign exchange contracts
 
580,886

 
494,349

 
—

 
494,349

 
(5,183
)
 
489,166

Equity option contracts
 
100,924

 
4,357

 
—

 
4,357

 
(730
)
 
3,627

Total customer risk management programs
 
19,923,145

 
779,365

 
(89,368
)
 
689,997

 
(10,551
)
 
679,446

Internal risk management programs
 
2,514,169

 
10,426

 
—

 
10,426

 
—

 
10,426

Total derivative contracts
 
$
22,437,314

 
$
789,791

 
$
(89,368
)
 
$
700,423

 
$
(10,551
)
 
$
689,872

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
Notional 1
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
16,637,532

 
$
176,928

 
$
(60,555
)
 
$
116,373

 
$
—

 
$
116,373

Interest rate swaps
 
1,403,408

 
34,442

 
—

 
34,442

 
(11,977
)
 
22,465

Energy contracts
 
820,365

 
64,306

 
(28,298
)
 
36,008

 
(31,534
)
 
4,474

Agricultural contracts
 
53,216

 
1,365

 
(515
)
 
850

 
(769
)
 
81

Foreign exchange contracts
 
580,712

 
494,695

 
—

 
494,695

 
(3,630
)
 
491,065

Equity option contracts
 
100,924

 
4,357

 
—

 
4,357

 
—

 
4,357

Total customer risk management programs
 
19,596,157

 
776,093

 
(89,368
)
 
686,725

 
(47,910
)
 
638,815

Internal risk management programs
 
2,582,202

 
25,716

 
—

 
25,716

 
—

 
25,716

Total derivative contracts
 
$
22,178,359

 
$
801,809

 
$
(89,368
)
 
$
712,441

 
$
(47,910
)
 
$
664,531

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




The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at September 30, 2016 (in thousands):
 
 
Assets
 
 
Notional1
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
20,078,974

 
$
90,999

 
$
(38,678
)
 
$
52,321

 
$
—

 
$
52,321

Interest rate swaps
 
1,323,045

 
49,279

 
—

 
49,279

 
(794
)
 
48,485

Energy contracts
 
729,202

 
41,775

 
(28,464
)
 
13,311

 
(288
)
 
13,023

Agricultural contracts
 
53,002

 
3,950

 
(1,571
)
 
2,379

 
(1,076
)
 
1,303

Foreign exchange contracts
 
550,828

 
536,264

 
—

 
536,264

 
(7,577
)
 
528,687

Equity option contracts
 
103,464

 
4,654

 
—

 
4,654

 
(730
)
 
3,924

Total customer risk management programs
 
22,838,515

 
726,921

 
(68,713
)
 
658,208

 
(10,465
)
 
647,743

Internal risk management programs
 
2,298,038

 
7,335

 
—

 
7,335

 
—

 
7,335

Total derivative contracts
 
$
25,136,553

 
$
734,256

 
$
(68,713
)
 
$
665,543

 
$
(10,465
)
 
$
655,078

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
Notional1
 
Gross Fair Value
 
Netting Adjustments
 
Net Fair Value Before Cash Collateral
 
Cash Collateral
 
Fair Value Net of Cash Collateral
Customer risk management programs:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
 
 
 
 
 
 
 
 
 
 
 
 
To-be-announced residential mortgage-backed securities
 
$
19,776,883

 
$
86,812

 
$
(38,678
)
 
$
48,134

 
$
(39,042
)
 
$
9,092

Interest rate swaps
 
1,323,045

 
49,518

 
—

 
49,518

 
(34,457
)
 
15,061

Energy contracts
 
695,835

 
40,888

 
(28,464
)
 
12,424

 
(3,857
)
 
8,567

Agricultural contracts
 
52,997

 
3,943

 
(1,571
)
 
2,372

 
—

 
2,372

Foreign exchange contracts
 
550,943

 
536,660

 
—

 
536,660

 
(5,396
)
 
531,264

Equity option contracts
 
103,464

 
4,654

 
—

 
4,654

 
—

 
4,654

Total customer risk management programs
 
22,503,167

 
722,475

 
(68,713
)
 
653,762

 
(82,752
)
 
571,010

Internal risk management programs
 
1,485,691

 
2,977

 
—

 
2,977

 
—

 
2,977

Total derivative contracts
 
$
23,988,858

 
$
725,452

 
$
(68,713
)
 
$
656,739

 
$
(82,752
)
 
$
573,987

1 
Notional amounts for commodity contracts are converted into dollar-equivalent amounts based on dollar prices at the inception of the contract.
Derivative Instruments, Gain (Loss) in Statement of Earnings [Table Text Block]
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
 
 
September 30, 2017
 
September 30, 2016
 
 
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
 
$
9,181

 
$
—

 
$
11,584

 
$
—

Interest rate swaps
 
767

 
—

 
710

 
—

Energy contracts
 
378

 
—

 
1,222

 
—

Agricultural contracts
 
38

 
—

 
25

 
—

Foreign exchange contracts
 
164

 
—

 
218

 
—

Equity option contracts
 
—

 
—

 
—

 
—

Total customer risk management programs
 
10,528

 
—

 
13,759

 
—

Internal risk management programs
 
(711
)
 
1,033

 
(1,608
)
 
2,226

Total derivative contracts
 
$
9,817

 
$
1,033

 
$
12,151

 
$
2,226


 
 
Nine Months Ended
 
 
September 30, 2017
 
September 30, 2016
 
 
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
 
$
26,413

 
$
—

 
$
28,886

 
$
—

Interest rate swaps
 
1,891

 
—

 
1,758

 
—

Energy contracts
 
4,917

 
—

 
4,667

 
—

Agricultural contracts
 
58

 
—

 
86

 
—

Foreign exchange contracts
 
524

 
—

 
730

 
—

Equity option contracts
 
—

 
—

 
—

 
—

Total customer risk management programs
 
33,803

 
—

 
36,127

 
—

Internal risk management programs
 
5,307

 
3,824

 
(1,617
)
 
20,130

Total derivative contracts
 
$
39,110

 
$
3,824

 
$
34,510

 
$
20,130