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Free Standing Derivatives
<br />Free standing derivative instruments include derivative transactions entered into for purposes for
<br />which hedge accounting does not apply. These derivatives include interest rate swaps, interest rate collars,
<br />market linked equity swaps and options and forward commitments to fund and sell residential mortgage
<br />loans. The Bank acts as a seller and buyer of interest rate derivatives and foreign exchange contracts to
<br />accommodate customers. To mitigate the market and liquidity risk associated with these derivatives, the
<br />Bank enters into similar offsetting positions.
<br />The following table is a summary of notional amounts and fair values of derivative instruments at:
<br />(dollars in thousands)
<br />Derivatives designated as hedging
<br />instruments:
<br />Fair value hedges:
<br />Interest rate swaps
<br />Cash flow hedges:
<br />Interest rate swaps
<br />Subtotal
<br />Free standing derivatives:
<br />Interest rate swaps
<br />Interest rate collars
<br />Credit guarantee derivative)
<br />Market linked swaps
<br />Purchased market linked options
<br />Written market linked optione
<br />Purchased interest rate options
<br />Written interest rate options
<br />Commitments to purchase and sell
<br />foreign currencies
<br />Purchased foreign exchange options
<br />Written foreign exchange options
<br />Subtotal
<br />Free standing derivatives from
<br />mortgage sale activity:
<br />Forward contracts
<br />Written interest rate options
<br />Subtotal
<br />Total free standing derivatives
<br />Total derivatives
<br />December 31, 2011
<br />Fair Value
<br />Notional Asset Liability
<br />Amount derivatives1» derivatives"'
<br />Notional
<br />Amount
<br />December 31, 2010
<br />Fair Value
<br />Asset Liability
<br />derivatives'" derivatives"
<br />$ 2,756,698 $ 2,345 $ 898 $ 2,045 $ - $ 51
<br />100,000 179 400,000 9,529
<br />2,856,698 2,524 898 402,045 9,580
<br />9,214,482 429,080 397,892 8,917,090 345,261 298,507
<br />- - 400,000 600 20
<br />460,811 23,883 796,601 150,729 -
<br />9,001 464 10,632 305
<br />435,629 29,309 - 31,631 3,083 -
<br />444,630 - 30,228 42,263 - 4,055
<br />149,139 257 134,706 550 -
<br />149,139 - 257 134,706 - 550
<br />742,236 11,973 10,700 558,986 11,033 6,778
<br />29,802 1,077 9,629 253 -
<br />29,802 - 1,077 9,629 - 253
<br />11,664,671 496,043 440,154 11,045,873 511,509 310,468
<br />238,053 26
<br />231,430 4,989
<br />469,483 5,015
<br />12,134,154 501,058
<br />$14,990,852 $503,582
<br />1,302 301,981 3,100 381
<br />286,990 975 1,411
<br />1,302 588,971 4,075 1,792
<br />441,456 11,634,844 515,584 312,260
<br />5442,354 $12,036,889 $515,584 $321,840
<br />(1) The positive fair values of derivative assets are included in other assets.
<br />(2) The negative fair values of derivative liabilities are included in other liabilities.
<br />(3) This relates to the Guarantee as described in Note 7.
<br />(4) Includes bifurcated derivatives embedded in market linked instruments.
<br />-39-
<br />2011 Bank of the West Annual Report
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