Annual report pursuant to Section 13 and 15(d)

Fair Value (Tables)

v2.4.0.6
Fair Value (Tables)
 12 Months Ended
Dec. 31, 2011
Fair Value [Abstract]  
Fair Value, Measurement Inputs, Disclosure [Table 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 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

 
Recurring Fair Value Measurements
 
At December 31, 2010
(in thousands)
Level 1
 
Level 2
 
Level 3
 
Total
Assets
 
 
 
 
 
 
 
Available-for-sale securities
$
—

 
$
1,345,805

 
$
8,600

 
$
1,354,405

Trading securities
199,523

 
—

 
—

 
199,523

Derivative assets
—

 
38,109

 
—

 
38,109

Total assets
$
199,523

 
$
1,383,914

 
$
8,600

 
$
1,592,037

Liabilities
 
 
 
 
 
 
 
Derivative liabilities
$
—

 
$
158

 
$
—

 
$
158

Total liabilities
$
—

 
$
158

 
$
—

 
$
158

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]
The tables below present 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
 
Year Ended December 31, 2011
 
 
 
Total Net Gains/(Losses) Included in Net Income
 
 
 
 
 
 
 
 
 
 
(in thousands)
Beginning of Period Level 3 Fair Value
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
 
Other Comprehensive Income
 
Purchases, Sales and Settlements, net (2)
 
Gross Transfers Into Level 3 (3)
 
Gross Transfers Out of Level 3
 
End of Period Level 3 Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$
8,600

 
$
(24
)
 
$
—

 
$
(46
)
(1)
$
1,816

 
$
770

 
$
—

 
$
11,116

Mortgage loans held-for-sale
—

 
—

 
—

 
—

 
5,782

 
—

 
—

 
5,782

Derivative assets
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

Total assets
$
8,600

 
$
(24
)
 
$
—

 
$
(46
)
 
$
7,598

 
$
770

 
$
—

 
$
16,898

____________________
(1)
Change in unrealized gains (losses) on AFS securities is recorded in equity as accumulated other comprehensive (loss) income.
(2)
During the year ended December 31, 2011, the Company purchased $5.8 million of Level 3 mortgage loans held-for-sale but had no settlements and no sales. For the same period the Company purchased $1.8 million of Level 3 AFS securities, had $17,567 in settlements and no sales.
(3)
The Company transferred one Level 2 asset in the amount of $0.8 million into Level 3 during the year ended December 31, 2011. The asset was deemed to be Level 3 based on the limited availability of third-party pricing.

 
Level 3 Recurring Fair Value Measurements
 
Year Ended December 31, 2010
 
 
 
Total Net Gains/(Losses) Included in Net Income
 
 
 
 
 
 
 
 
 
 
(in thousands)
Beginning of Period Level 3 Fair Value
 
Realized Gains (Losses)
 
Unrealized Gains (Losses)
 
Other Comprehensive Income
 
Purchases, Sales and Settlements, net (2)
 
Gross Transfers Into Level 3 (3)
 
Gross Transfers Out of Level 3
 
End of Period Level 3 Fair Value
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Available-for-sale securities
$
2,126

 
$
(673
)
 
$
—

 
$
125

(1)
$
—

 
14,124

 
$
(7,102
)
 
8,600

Derivative assets
—

 
(7
)
 
(17
)
 
—

 
1,667

 
—

 
(1,643
)
 
—

Total assets
$
2,126

 
$
(680
)
 
$
(17
)
 
$
125

 
$
1,667

 
14,124

 
$
(8,745
)
 
$
8,600

____________________
(1)
Change in unrealized gains (losses) on AFS securities is recorded in equity as accumulated other comprehensive (loss) income.
(2)
During the year ended December 31, 2010, the Company had no purchases, sales or settlements of Level 3 AFS securities. For the same period the Company purchased $1.7 million of Level 3 derivative assets, but had no settlements or sales.
(3)
The Company transferred one Level 2 asset into Level 3 during the year ended December 31, 2010. The asset was deemed to be Level 3 based on the limited availability of third-party pr
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 Consolidated Statements of Operations and Comprehensive Income (Loss)
 
Year Ended December 31, 2011
(in thousands)
Interest income (expense) (1)
Gain on mortgage loans, net
Other revenue, net
Total included in net income
Change in fair value due to credit risk
Assets
 
 
 
 
 
Mortgage loans held-for-sale
$
2

$
—

$
—

$
2

$
—

Total assets
$
2

$
—

$
—

$
2

$
—

____________________
(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.

The table below provides the fair value and the unpaid principal balance for the Company's fair value option-elected loans.
 
December 31, 2011
(in thousands)
Unpaid principal balance
Fair value (1)
Mortgage loans held-for-sale
 
 
Total loans
$
5,655

$
5,782

Nonaccrual loans
$
—

$
—

Loans 90+ days past due
$
—

$
—

____________________
(1)
Excludes accrued interest receivabl