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40 SunTrust Banks, Inc. Annual Report 2003
MANAGEMENT’S DISCUSSION continued
Derivative hedging instrument activities are as follows:
Notional Values1
(Dollars in millions) Asset Hedges Liability Hedges Total
Balance, January 1, 2002 $ 81 $ 4,220 $ 4,301
Additions — 1,775 1,775
Maturities — (1,125) (1,125)
Balance, December 31, 2002 81 4,870 4,951
Additions — 7,464 7,464
Maturities (56) (2,860) (2,916)
Balance, December 31, 2003 $ 25 $ 9,474 $ 9,499
1Excludes hedges of mortgage lending activities. At December 31, 2003 and 2002, mortgage notional amounts totaled $3,938 and $6,286 million respectively.
The following table presents the expected maturities of risk management derivative financial instruments:
As of December 31, 2003
1 Year 1–2 2–5 5–10 After 10
(Dollars in millions) or Less Years Years Years Years Total
Cash Flow Asset Hedges
Notional amount – swaps $— $— $— $— $— $—
Notional amount – other ——————
Weighted-average receive rate 1——————
Weighted-average pay rate 1——————
Unrealized gain (loss) ——————
Fair Value Asset Hedges
Notional amount – swaps 25 — — — — 25
Notional amount – forwards 3,938 — — — — 3,938
Weighted-average receive rate 11.92% — — — — 1.92%
Weighted-average pay rate 14.97% — — — — 4.97%
Unrealized loss (44) — — — — (44)
Cash Flow Liability Hedges
Notional amount – swaps 1,101 2,389 22 45 — 3,557
Notional amount – other ——————
Weighted-average receive rate 11.15% 1.17% 1.17% 1.16% — 1.16%
Weighted-average pay rate 14.89% 2.02% 4.38% 4.51% — 2.95%
Unrealized loss (15) (6) (2) (4) — (27)
Fair Value Liability Hedges
Notional amount – swaps ——1,317 3,650 950 5,917
Notional amount – other ——————
Weighted-average receive rate 1——4.84% 3.91% 6.23% 4.49%
Weighted-average pay rate 1——1.18% 1.16% 1.42% 1.21%
Unrealized gain (loss) ——65 (34) 44 75
1All interest rate swaps have variable pay or receive rates with resets of three months or less, and are the pay or receive rates in effect at December 31, 2003.