Derivatives (Tables)

6 Months Ended

Jun. 30, 2011

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at June 30, 2011 (in thousands):

	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts	$	8,258,239	$	114,945	$	8,096,551	$	113,534	$	91,439		$	90,028
Energy contracts		1,917,521		158,922		2,094,878		157,998		51,820			50,896
Agricultural contracts		125,644		6,025		132,573		5,961		1,847			1,783
Foreign exchange contracts		78,471		78,471		78,572		78,572		78,471			78,572
CD options		181,964		18,112		181,964		18,112		18,112			18,112
Total customer derivative before cash collateral		10,561,839		376,475		10,584,538		374,177		241,689			239,391
Less: cash collateral		–		–		–		–		(14,014	)		(65,474	)
Total customer derivatives		10,561,839		376,475		10,584,538		374,177		227,675			173,917

Interest rate risk management programs		44,000		2,212		–		–		2,212			–
Total derivative contracts	$	10,605,839	$	378,687	$	10,584,538	$	374,177	$	229,887		$	173,917

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

Derivative contracts are recorded on a net basis in the balance sheet in recognition of master netting agreements that enable the Company to settle all derivative positions with a given counterparty in total and to offset the net derivative position with the related cash collateral.

When bilateral netting agreements exist between the Company and its counterparties that create a single legal claim or obligation to pay or receive the net amount in settlement of the individual derivative contracts, the Company reports derivative assets and liabilities on a net by counterparty basis.

The following table summarizes the fair values of derivative contracts recorded as “derivative contracts” assets and liabilities in the balance sheet at December 31, 2010 (in thousands):

	Gross Basis								Net Basis²
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts	$	11,664,409	$	235,961	$	11,524,077	$	233,421	$	141,279		$	138,739
Energy contracts		1,914,519		188,655		2,103,923		191,075		76,746			79,166
Agricultural contracts		183,250		10,616		186,709		10,534		4,226			4,144
Foreign exchange contracts		45,014		45,014		45,014		45,014		45,014			45,014
CD options		160,535		16,247		160,535		16,247		16,247			16,247
Total customer derivative before cash collateral		13,967,727		496,493		14,020,258		496,291		283,512			283,310
Less: cash collateral		–		–		–		–		(15,017	)		(68,987	)
Total customer derivatives		13,967,727		496,493		14,020,258		496,291		268,495			214,323

Interest rate risk management programs		124,000		1,950		17,977		1,097		1,950			1,097
Total derivative contracts	$	14,091,727	$	498,443	$	14,038,235	$	497,388	$	270,445		$	215,420

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 June 30, 2010 (in thousands):

	Gross Basis								Net Basis2
	Assets				Liabilities				Assets			Liabilities
	Notional¹		Fair Value		Notional¹		Fair Value		Fair Value			Fair Value
Customer risk management programs:
Interest rate contracts	$	9,128,247	$	199,965	$	8,975,646	$	198,807	$	153,044		$	151,858
Energy contracts		2,667,481		327,577		3,007,643		332,804		119,537			124,764
Agricultural contracts		236,113		6,882		242,192		6,607		936			657
Foreign exchange contracts		54,241		54,241		54,241		54,241		54,241			54,241
CD options		107,740		6,854		107,740		6,854		6,854			6,854
Total customer derivative before cash collateral		12,193,822		595,519		12,387,462		599,313		334,612			338,374
Less: cash collateral		–		–		–		–		(7,873	)		(38,619	)
Total customer derivatives		12,193,822		595,519		12,387,462		599,313		326,739			299,755

Interest rate risk management programs		168,000		7,837		28,357		96		7,837			96
Total derivative contracts	$	12,361,822	$	603,356	$	12,415,819	$	599,409	$	334,576		$	299,851

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 Financial Performance

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 June 30, 2011				Three Months Ended June 30, 2010
	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	$	24	$	–	$	(800	)	$	–
Energy contracts		912		–		2,549			–
Agricultural contracts		92		–		203			–
Foreign exchange contracts		75		–		84			–
CD options		–		–		–			–
Total Customer Derivatives		1,103		–		2,036			–

Interest Rate Risk Management Programs		–		1,225		–			7,552
Total Derivative Contracts	$	1,103	$	1,225	$	2,036		$	7,552

	Six Months Ended June 30, 2011						Six Months Ended June 30, 2010
	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	$	(2,512	)	$	–		$	763	$	–
Energy contracts		4,399			–			3,997		–
Agricultural contracts		160			–			396		–
Foreign exchange contracts		183			–			174		–
CD options		–			–			–		–
Total Customer Derivatives		2,230			–			5,330		–

Interest Rate Risk Management Programs		–			(1,348	)		–		6,676
Total Derivative Contracts	$	2,230		$	(1,348	)	$	5,330	$	6,676

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

+ References+ Details

- Definition

Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

+ References+ Details