XML 34 R24.htm IDEA: XBRL DOCUMENT v3.19.1
Derivatives (Tables)
 3 Months Ended
Mar. 31, 2019
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 March 31, 2019 (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
 
$
11,338,256

 
$
91,727

 
$
(33,983
)
 
$
57,744

 
$
—

 
$
57,744

Interest rate swaps
 
2,047,117

 
36,602

 
(8,296
)
 
28,306

 
(593
)
 
27,713

Energy contracts
 
1,501,876

 
123,485

 
(84,482
)
 
39,003

 
(10,130
)
 
28,873

Agricultural contracts
 
23,660

 
2,696

 
(64
)
 
2,632

 
—

 
2,632

Foreign exchange contracts
 
224,741

 
223,329

 
—

 
223,329

 
—

 
223,329

Equity option contracts
 
86,944

 
3,140

 
—

 
3,140

 
(930
)
 
2,210

Total customer risk management programs
 
15,222,594

 
480,979

 
(126,825
)
 
354,154

 
(11,653
)
 
342,501

Internal risk management programs
 
25,928,716

 
132,974

 
(116,252
)
 
16,722

 
—

 
16,722

Total derivative contracts
 
$
41,151,310

 
$
613,953

 
$
(243,077
)
 
$
370,876

 
$
(11,653
)
 
$
359,223

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
 
$
11,140,756

 
$
89,929

 
$
(33,983
)
 
$
55,946

 
$
(55,879
)
 
$
67

Interest rate swaps
 
2,047,117

 
36,644

 
(8,296
)
 
28,348

 
(14,345
)
 
14,003

Energy contracts
 
1,433,137

 
119,097

 
(84,482
)
 
34,615

 
(4,608
)
 
30,007

Agricultural contracts
 
23,636

 
2,662

 
(64
)
 
2,598

 
—

 
2,598

Foreign exchange contracts
 
219,893

 
218,400

 
—

 
218,400

 
(414
)
 
217,986

Equity option contracts
 
86,944

 
3,140

 
—

 
3,140

 
—

 
3,140

Total customer risk management programs
 
14,951,483

 
469,872

 
(126,825
)
 
343,047

 
(75,246
)
 
267,801

Internal risk management programs
 
27,041,772

 
151,686

 
(116,252
)
 
35,434

 
(3,537
)
 
31,897

Total derivative contracts
 
$
41,993,255

 
$
621,558

 
$
(243,077
)
 
$
378,481

 
$
(78,783
)
 
$
299,698

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, 2018 (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
 
$
10,671,151

 
$
92,231

 
$
(26,787
)
 
$
65,444

 
$
—

 
$
65,444

Interest rate swaps
 
1,924,131

 
36,112

 
(6,688
)
 
29,424

 
(7,934
)
 
21,490

Energy contracts
 
1,472,209

 
206,418

 
(60,983
)
 
145,435

 
(106,752
)
 
38,683

Agricultural contracts
 
21,210

 
842

 
(201
)
 
641

 
—

 
641

Foreign exchange contracts
 
184,990

 
183,759

 
—

 
183,759

 
—

 
183,759

Equity option contracts
 
89,085

 
2,021

 
—

 
2,021

 
(648
)
 
1,373

Total customer risk management programs
 
14,362,776

 
521,383

 
(94,659
)
 
426,724

 
(115,334
)
 
311,390

Internal risk management programs
 
15,909,988

 
50,410

 
(40,871
)
 
9,539

 
—

 
9,539

Total derivative contracts
 
$
30,272,764

 
$
571,793

 
$
(135,530
)
 
$
436,263

 
$
(115,334
)
 
$
320,929

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
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
 
$
10,558,151

 
$
90,388

 
$
(26,787
)
 
$
63,601

 
$
(63,596
)
 
$
5

Interest rate swaps
 
1,924,131

 
36,288

 
(6,688
)
 
29,600

 
(4,110
)
 
25,490

Energy contracts
 
1,434,247

 
202,494

 
(60,983
)
 
141,511

 
(1,490
)
 
140,021

Agricultural contracts
 
21,214

 
812

 
(201
)
 
611

 
—

 
611

Foreign exchange contracts
 
177,423

 
175,922

 
—

 
175,922

 
—

 
175,922

Equity option contracts
 
89,085

 
2,021

 
—

 
2,021

 
—

 
2,021

Total customer risk management programs
 
14,204,251

 
507,925

 
(94,659
)
 
413,266

 
(69,196
)
 
344,070

Internal risk management programs
 
19,634,642

 
66,422

 
(40,871
)
 
25,551

 
(7,315
)
 
18,236

Total derivative contracts
 
$
33,838,893

 
$
574,347

 
$
(135,530
)
 
$
438,817

 
$
(76,511
)
 
$
362,306

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
 
 
March 31, 2019
 
March 31, 2018
 
 
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
 
$
5,700

 
$
—

 
$
6,819

 
$
—

Interest rate swaps
 
593

 
—

 
756

 
—

Energy contracts
 
226

 
—

 
3,140

 
—

Agricultural contracts
 
4

 
—

 
15

 
—

Foreign exchange contracts
 
154

 
—

 
176

 
—

Equity option contracts
 
—

 
—

 
—

 
—

Total customer risk management programs
 
6,677

 
—

 
10,906

 
—

Internal risk management programs
 
(7,295
)
 
4,667

 
(1,883
)
 
(5,685
)
Total derivative contracts
 
$
(618
)
 
$
4,667

 
$
9,023

 
$
(5,685
)