Capital One 2012 Annual Report Download - page 232

CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
December 31,
2012 2011
Notional or
Contractual
Amount
Derivatives at Fair Value Notional or
Contractual
Amount
Derivatives at Fair Value
(Dollars in millions) Assets Liabilities Assets Liabilities
Derivatives designated as
accounting hedges:
Interest rate contracts:
Fair value interest rate
contracts ............. $15,902 $1,020 $ 0 $14,425 $1,019 $ 1
Cash flow interest rate
contracts ............. 13,025 116 14 6,325 71 130
Total interest rate
contracts ............. 28,927 1,136 14 20,750 1,090 131
Foreign exchange contracts:
Cash flow foreign exchange
contracts ............. 5,212 18 40 4,577 93 16
Total foreign exchange
contracts ............. 5,212 18 40 4,577 93 16
Total derivatives designated as
accounting hedges .......... 34,139 1,154 54 25,327 1,183 147
Derivatives not designated as
accounting hedges:
Interest rate contracts covering:
MSRs ................. 147 12 2 383 18 12
Customer
accommodation ........ 18,900 479 273 16,147 453 395
Other interest rate
exposures ............ 2,553 45 22 29,027 85 362
Total interest rate
contracts ............. 21,600 536 297 45,557 556 769
Foreign exchange contracts .... 1,372 158 46 1,348 193 65
Other contracts .............. 701 0 3 932 4 6
Total derivatives not designated
as accounting hedges ....... 23,673 694 346 47,837 753 840
Total derivatives ............. $57,812 $1,848 $400 $73,164 $1,936 $987
Upon the completion of the ING Direct acquisition in February 2012, we terminated the portfolio of interest-rate
swaps we entered into in anticipation of the acquisition. These interest-rate swaps consisted of an initial notional
amount of $23.8 billion and an additional notional amount of $1.0 billion resulting from subsequent rebalancing
actions. The total cash payment at termination was $355 million. We recognized mark-to-market losses of $78
million and $277 million in 2012 and 2011, respectively, related to these swaps.
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