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Fair Value (Tables)
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12 Months Ended |
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Dec. 31, 2011
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| Fair Value [Abstract] |
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| 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.
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Recurring Fair Value Measurements |
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At December 31, 2011 |
(in thousands) |
Level 1 |
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Level 2 |
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Level 3 |
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Total |
Assets |
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Available-for-sale securities |
$ |
— |
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$ |
6,238,136 |
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$ |
11,116 |
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$ |
6,249,252 |
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Trading securities |
1,003,301 |
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|
— |
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— |
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1,003,301 |
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Mortgage loans held-for-sale |
— |
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— |
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|
5,782 |
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|
5,782 |
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Derivative assets |
2,664 |
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|
249,192 |
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— |
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|
251,856 |
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Total assets |
$ |
1,005,965 |
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$ |
6,487,328 |
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$ |
16,898 |
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$ |
7,510,191 |
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Liabilities |
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Derivative liabilities |
$ |
5,652 |
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$ |
43,428 |
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$ |
— |
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$ |
49,080 |
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Total liabilities |
$ |
5,652 |
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$ |
43,428 |
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$ |
— |
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$ |
49,080 |
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Recurring Fair Value Measurements |
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At December 31, 2010 |
(in thousands) |
Level 1 |
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Level 2 |
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Level 3 |
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Total |
Assets |
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Available-for-sale securities |
$ |
— |
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$ |
1,345,805 |
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$ |
8,600 |
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$ |
1,354,405 |
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Trading securities |
199,523 |
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— |
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— |
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199,523 |
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Derivative assets |
— |
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38,109 |
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— |
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38,109 |
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Total assets |
$ |
199,523 |
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$ |
1,383,914 |
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$ |
8,600 |
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$ |
1,592,037 |
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Liabilities |
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Derivative liabilities |
$ |
— |
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$ |
158 |
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$ |
— |
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$ |
158 |
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Total liabilities |
$ |
— |
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$ |
158 |
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$ |
— |
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$ |
158 |
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| 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.
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Level 3 Recurring Fair Value Measurements |
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Year Ended December 31, 2011 |
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Total Net Gains/(Losses) Included in Net Income |
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(in thousands) |
Beginning of Period Level 3 Fair Value |
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Realized Gains (Losses) |
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Unrealized Gains (Losses) |
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Other Comprehensive Income |
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Purchases, Sales and Settlements, net (2) |
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Gross Transfers Into Level 3 (3) |
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Gross Transfers Out of Level 3 |
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End of Period Level 3 Fair Value |
Assets |
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Available-for-sale securities |
$ |
8,600 |
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$ |
(24 |
) |
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$ |
— |
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$ |
(46 |
) |
(1) |
$ |
1,816 |
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$ |
770 |
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$ |
— |
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$ |
11,116 |
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Mortgage loans held-for-sale |
— |
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— |
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— |
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— |
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5,782 |
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— |
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— |
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5,782 |
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Derivative assets |
— |
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— |
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— |
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— |
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— |
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— |
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— |
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— |
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Total assets |
$ |
8,600 |
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$ |
(24 |
) |
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$ |
— |
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$ |
(46 |
) |
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$ |
7,598 |
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$ |
770 |
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$ |
— |
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$ |
16,898 |
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____________________
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(1) |
Change in unrealized gains (losses) on AFS securities is recorded in equity as accumulated other comprehensive (loss) income. |
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(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.
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(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.
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Level 3 Recurring Fair Value Measurements |
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Year Ended December 31, 2010 |
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Total Net Gains/(Losses) Included in Net Income |
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(in thousands) |
Beginning of Period Level 3 Fair Value |
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Realized Gains (Losses) |
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Unrealized Gains (Losses) |
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Other Comprehensive Income |
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Purchases, Sales and Settlements, net (2) |
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Gross Transfers Into Level 3 (3) |
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Gross Transfers Out of Level 3 |
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End of Period Level 3 Fair Value |
Assets |
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Available-for-sale securities |
$ |
2,126 |
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$ |
(673 |
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$ |
— |
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$ |
125 |
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(1) |
$ |
— |
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14,124 |
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$ |
(7,102 |
) |
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8,600 |
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Derivative assets |
— |
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(7 |
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(17 |
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— |
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1,667 |
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— |
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(1,643 |
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— |
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Total assets |
$ |
2,126 |
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$ |
(680 |
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$ |
(17 |
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$ |
125 |
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$ |
1,667 |
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14,124 |
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$ |
(8,745 |
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$ |
8,600 |
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____________________
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(1) |
Change in unrealized gains (losses) on AFS securities is recorded in equity as accumulated other comprehensive (loss) income. |
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(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.
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(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
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| 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.
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Changes included in the Consolidated Statements of Operations and Comprehensive Income (Loss) |
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Year Ended December 31, 2011 |
(in thousands) |
Interest income (expense) (1)
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Gain on mortgage loans, net |
Other revenue, net |
Total included in net income |
Change in fair value due to credit risk |
Assets |
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Mortgage loans held-for-sale |
$ |
2 |
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$ |
— |
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$ |
— |
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$ |
2 |
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$ |
— |
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Total assets |
$ |
2 |
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$ |
— |
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$ |
— |
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$ |
2 |
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$ |
— |
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____________________
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(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.
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December 31, 2011 |
(in thousands) |
Unpaid principal balance |
Fair value (1)
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Mortgage loans held-for-sale |
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Total loans |
$ |
5,655 |
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$ |
5,782 |
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Nonaccrual loans |
$ |
— |
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$ |
— |
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Loans 90+ days past due |
$ |
— |
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$ |
— |
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____________________
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(1) |
Excludes accrued interest receivabl |
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