TWO Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

Fair Value (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value, Measurement Inputs, Disclosure [Table Text Block]

The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 assets measured at fair value.



	Quantitative Information about Level 3 Fair Value Measurement
	As of March 31, 2012
(in thousands)	Fair Value		Valuation Technique	Unobservable Input ⁽¹⁾	Input Value
Mortgage loans held-for-sale				Constant prepayment speed	17.80	%
	$	5,711	Discounted cash flow	Expected default	3.00	%
				Severity	25.00	%
				Discount rate	4.22	%

___________________


(1)	Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for the probability of default may be accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

The following tables display the Company's assets and liabilities measured at fair value on a recurring basis. The Company often economically hedges the fair value change of its assets or liabilities with derivatives and other financial instruments. The tables below display the hedges separately from the hedged items, and therefore do not directly display the impact of the Company's risk management activities.



	Recurring Fair Value Measurements
	At March 31, 2012
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available-for-sale securities	$	—	$	9,171,511	$	—	$	9,171,511
Trading securities	1,002,090		—		—		1,002,090
Mortgage loans held-for-sale	—		—		5,711		5,711
Derivative assets	1,484		339,231		—		340,715
Total assets	$	1,003,574	$	9,510,742	$	5,711	$	10,520,027
Liabilities
Derivative liabilities	$	3,133	$	44,342	$	—	$	47,475
Total liabilities	$	3,133	$	44,342	$	—	$	47,475



	Recurring Fair Value Measurements
	At December 31, 2011
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available-for-sale securities	$	—	$	6,238,136	$	11,116	$	6,249,252
Trading securities	1,003,301		—		—		1,003,301
Mortgage loans held-for-sale	—		—		5,782		5,782
Derivative assets	2,664		249,192		—		251,856
Total assets	$	1,005,965	$	6,487,328	$	16,898	$	7,510,191
Liabilities
Derivative liabilities	$	5,652	$	43,428	$	—	$	49,080
Total liabilities	$	5,652	$	43,428	$	—	$	49,080

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The table below presents the reconciliation for all of the Company's Level 3 assets and liabilities measured at fair value on a recurring basis. The Level 3 items presented below may be hedged by derivatives and other financial instruments that are classified as Level 1 or Level 2. Thus, the table below does not fully reflect the impact of the Company's risk management activities.



	Level 3 Recurring Fair Value Measurements
	Three Months Ended March 31, 2012
	Assets
(in thousands)	Available-For-Sale Securities			Mortgage Loans Held-For-Sale
Beginning of period level 3 fair value	$	11,116		$	5,782
Gains/(losses) Included in net income:
Realized gains (losses)	—			—
Unrealized gains (losses)	—			(45		)	⁽²⁾
Total net gains/(losses) Included in net income	—			(45		)
Other comprehensive income⁽¹⁾	—			—
Purchases	—			—
Sales	—			—
Settlements	—			(26		)
Gross transfers Into level 3	—			—
Gross transfers out of level 3	(11,116		)	—
End of period level 3 fair value	$	—		$	5,711
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period	$	—		$	(45	)	⁽³⁾

___________________


(1)	Change in unrealized gains (losses) on AFS securities is recorded in equity as accumulated other comprehensive (loss) income.


(2)	For the three months ended March 31, 2012 , the change in unrealized losses on mortgage loans held-for-sale were recorded in other loss on the condensed consolidated statements of comprehensive income.


(3)	For the three months ended March 31, 2012 , the change in unrealized losses on mortgage loans held-for-sale that were held at the end of the reporting period were recorded in other loss on the condensed consolidated statements of comprehensive income.

Fair Value, Measurement Inputs, Disclosure [Table Text Block]

The table below presents information about the significant unobservable inputs used in the fair value measurement for the Company's Level 3 assets measured at fair value.



	Quantitative Information about Level 3 Fair Value Measurement
	As of March 31, 2012
(in thousands)	Fair Value		Valuation Technique	Unobservable Input ⁽¹⁾	Input Value
Mortgage loans held-for-sale				Constant prepayment speed	17.80	%
	$	5,711	Discounted cash flow	Expected default	3.00	%
				Severity	25.00	%
				Discount rate	4.22	%

___________________


(1)	Significant increases (decreases) in any of the inputs in isolation may result in significantly lower (higher) fair value measurement. A change in the assumption used for the probability of default may be accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.



	Recurring Fair Value Measurements
	At March 31, 2012
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available-for-sale securities	$	—	$	9,171,511	$	—	$	9,171,511
Trading securities	1,002,090		—		—		1,002,090
Mortgage loans held-for-sale	—		—		5,711		5,711
Derivative assets	1,484		339,231		—		340,715
Total assets	$	1,003,574	$	9,510,742	$	5,711	$	10,520,027
Liabilities
Derivative liabilities	$	3,133	$	44,342	$	—	$	47,475
Total liabilities	$	3,133	$	44,342	$	—	$	47,475



	Recurring Fair Value Measurements
	At December 31, 2011
(in thousands)	Level 1		Level 2		Level 3		Total
Assets
Available-for-sale securities	$	—	$	6,238,136	$	11,116	$	6,249,252
Trading securities	1,003,301		—		—		1,003,301
Mortgage loans held-for-sale	—		—		5,782		5,782
Derivative assets	2,664		249,192		—		251,856
Total assets	$	1,005,965	$	6,487,328	$	16,898	$	7,510,191
Liabilities
Derivative liabilities	$	5,652	$	43,428	$	—	$	49,080
Total liabilities	$	5,652	$	43,428	$	—	$	49,080

Fair Value, Option, Quantitative Disclosures [Table Text Block]

The following table summarizes the fair value option elections and information regarding the amounts recognized in earnings for each fair value option-elected item.



	Changes included in the Condensed Consolidated Statements of Comprehensive Income
	Three Months Ended March 31, 2012
(in thousands)	Interest Income⁽¹⁾		Loss on Mortgage Loans ⁽²⁾			Total Included in Net Income		Change in Fair Value Due to Credit Risk
Assets
Mortgage loans held-for-sale	$	69	$	(45	)	$	24	$	—
Total assets	$	69	$	(45	)	$	24	$	—

____________________


(1)	Interest income on mortgage loans held-for-sale is measured by multiplying the unpaid principal balance on the loans by the coupon rate and the number of days of interest due.


(2)	Loss on mortgage loans is recorded in other loss on the condensed consolidated statements of comprehensive income.

The table below provides the fair value and the unpaid principal balance for the Company's fair value option-elected loans.



	March 31, 2012				December 31, 2011
(in thousands)	Unpaid Principal Balance		Fair Value ⁽¹⁾		Unpaid Principal Balance		Fair Value ⁽¹⁾
Mortgage loans held-for-sale
Total loans	$	5,629	$	5,711	$	5,655	$	5,782
Nonaccrual loans	$	—	$	—	$	—	$	—
Loans 90+ days past due	$	—	$	—	$	—	$	—

____________________


(1)	Excludes accrued interest receiva

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details

- Definition

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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+ Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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