SunTrust 2007 Annual Report Download - page 63

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As of December 31, 20061
(Dollars in millions)
Notional
Amount
Gross
Unrealized
Gains6
Gross
Unrealized
Losses6
Accumulated
Other
Comprehensive
Income9
Average
Maturity
in Years
Asset Hedges
Cash flow hedges
Interest rate swaps2$7,000 $- ($15) ($10) 1.34
Fair value hedges
Forward contracts36,787 9 (6) - 0.07
Total asset hedges $13,787 $9 ($21) ($10) 0.72
Liability Hedges
Cash flow hedges
Interest rate swaps and options4$2,265 $42 $- $26 1.95
Fair value hedges
Interest rate swaps53,823 - (166) - 4.41
Total liability hedges $6,088 $42 ($166) $26 3.50
Terminated/Dedesignated Liability Hedges
Cash flow hedges
Interest rate swaps and options7$8,615 $- $- $3 0.86
Fair value hedges
Interest rate swaps83,694 15 (91) - 7.19
Total terminated/dedesignated hedges $12,309 $15 ($91) $3 2.76
1Includes only derivative financial instruments which are currently, or previously designated as, and for which the Company continues to recognize the
impacts of, qualifying hedges under SFAS No. 133. Certain other derivatives which are effective for risk management purposes, but which are not in
designated hedging relationships under SFAS No. 133, are not incorporated in this table. All interest rate swaps have resets of six months or less and are
the pay and receive rates in effect as of December 31, 2006.
2Represents interest rate swaps designated as cash flow hedges of commercial loans.
3Forward contracts are designated as fair value hedges of closed mortgage loans which are held for sale.
4Represents interest rate swaps and options designated as cash flow hedges of floating rate certificates of deposit, Global Bank Notes, FHLB Advances and
other variable rate debt.
5Represents interest rate swaps designated as fair value hedges of subordinated notes, FHLB Advances, certificate and time deposits and other fixed rate
debt.
6Represents the fair value of derivative financial instruments less accrued interest receivable or payable.
7Represents interest rate swaps and options that have been terminated and/or dedesignated as derivatives that qualified for hedge accounting. The interest
rate swaps and options were designated as cash flow hedges of floating rate debt and tax exempt bonds. The $2.5 million of net gains, net of taxes,
recorded in accumulated other comprehensive income will be reclassified into earnings as interest expense over the life of the respective hedged items.
8Represents interest rate swaps that have been terminated and/or dedesignated as derivatives that qualified for hedge accounting. The interest rate swaps
were designated as fair value hedges of fixed rate debt. The $76.0 million of pre-tax net losses recorded in a valuation account in long-term debt will be
reclassified into earnings as a yield adjustment of the hedged item in the same period that the hedged cash flows impact earnings.
9At December 31, 2006, the net unrealized gain on derivatives included in accumulated other comprehensive income, which is a component of
shareholders’ equity, was $18.9 million, net of income taxes. Of this net-of-tax amount, a $16.4 million gain represents the effective portion of the net
gains on derivatives that currently qualify as cash flow hedges, and a $2.5 million gain relates to previous qualifying cash flow hedging relationships that
have been terminated or dedesignated. Gains or losses on hedges of interest rate risk will be classified into interest income or expense as a yield
adjustment of the hedged item in the same period that the hedged cash flows impact earnings. As of December 31, 2006, $14.2 million of net gains, net of
taxes, recorded in accumulated other comprehensive income are expected to be reclassified into interest income or interest expense during the next twelve
months.
51