Quarterly report pursuant to Section 13 or 15(d)

Fair Value (Tables)

v2.4.0.6
Fair Value (Tables)
 9 Months Ended
Sep. 30, 2012
Fair Value [Abstract]  
Fair Value, Measurement Inputs, Disclosure [Text Block]
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 September 30, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
14,969,859

 
$
—

 
$
14,969,859

Trading securities
1,002,461

 
—

 
—

 
1,002,461

Mortgage loans held-for-sale
—

 
14,553

 
—

 
14,553

Derivative assets
3,967

 
492,821

 
—

 
496,788

Total assets
$
1,006,428

 
$
15,477,233

 
$
—

 
$
16,483,661

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
—

 
$
132,322

 
$
—

 
$
132,322

Total liabilities
$
—

 
$
132,322

 
$
—

 
$
132,322

 
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 tables below do not fully reflect the impact of the Company's risk management activities.
 
Level 3 Recurring Fair Value Measurements
 
 
Three Months Ended September 30, 2012
 
Nine Months Ended September 30, 2012
 
 
Assets
 
Assets
 
(in thousands)
Available-For-Sale Securities
 
Mortgage Loans Held-For-Sale
 
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
)
(1) 
Total net gains/(losses) included in net income
—

 
—

 
—

 
(45
)
 
Other comprehensive income 
—

 
—

 
—

 
—

 
Purchases
—

 
—

 
—

 
—

 
Sales
—

 
—

 
—

 
—

 
Settlements
—

 
—

 
—

 
(26
)
 
Gross transfers into level 3
—

 
—

 
—

 
—

 
Gross transfers out of level 3
—

 
—

 
(11,116
)
 
(5,711
)
 
End of period level 3 fair value
$
—

 
$
—

 
$
—

 
$
—

 
Change in unrealized gains or losses for the period included in earnings for assets held at the end of the reporting period
$
—

 
$
—

 
$
—

 
$
—

 
___________________
(1)
For the nine months ended September 30, 2012 , the change in unrealized losses on mortgage loans held-for-sale was recorded in other income on the condensed consolidated statements of comprehensive income.
Fair Value, Measurement Inputs, Disclosure [Text Block]
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 September 30, 2012
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
14,969,859

 
$
—

 
$
14,969,859

Trading securities
1,002,461

 
—

 
—

 
1,002,461

Mortgage loans held-for-sale
—

 
14,553

 
—

 
14,553

Derivative assets
3,967

 
492,821

 
—

 
496,788

Total assets
$
1,006,428

 
$
15,477,233

 
$
—

 
$
16,483,661

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
—

 
$
132,322

 
$
—

 
$
132,322

Total liabilities
$
—

 
$
132,322

 
$
—

 
$
132,322

 
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 September 30, 2012
 
Nine Months Ended September 30, 2012
(in thousands)
 
 
 
Interest income (1)
$
167

 
$
362

Realized loss on mortgage loans (2)
(23
)
 
(45
)
Unrealized gain on mortgage loans (2)
34

 
59

Total included in net income
$
178

 
$
376

Change in fair value due to credit risk
$
—

 
$
—

____________________
(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)
Realized loss and unrealized gain on mortgage loans is recorded in other income 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.
 
September 30, 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
$
14,156

 
$
14,553

 
$
5,655

 
$
5,782

Nonaccrual loans
$
—

 
$
—

 
$
—

 
$
—

Loans 90+ days past due
$
—

 
$
—

 
$
—

 
$
—

____________________
(1)
Excludes accrued interest receivable.