SunTrust 2007 Annual Report Download - page 64

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Derivative hedging instrument activities are as follows:
Derivatives Hedging
Notional Values1
(Dollars in millions) Asset Hedges Liability Hedges Total
Balance, January 1, 2006 $5,800 $12,532 $18,332
Additions 1,500 5,850 7,350
Maturities (300) (2,200) (2,500)
Terminations - (1,700) (1,700)
Dedesignations - (8,394) (8,394)
Balance, December 31, 2006 $7,000 $6,088 $13,088
Additions 11,600 7,400 19,000
Maturities (4,900) (5,400) (10,300)
Terminations (3,500) (400) (3,900)
Dedesignations - (3,823) (3,823)
Balance, December 31, 2007 $10,200 $3,865 $14,065
1Includes only derivative financial instruments which have been designated as qualifying hedges under SFAS No. 133. Certain other derivatives that are
effective for risk mananagement purposes, but which are not in designated hedging relationships under SFAS No. 133, are not incorporated in this table.
The hedging activity for our mortgage loans held for sale is excluded from this table. With the 2007 adoption of SFAS No. 157 and SFAS No. 159, we no
longer have unrealized gains and losses on fair value hedges. SFAS No. 133 hedging program was terminated for mortgage derivative contracts during
2007. As of December 31, 2006, the notional amount of mortgage derivative contracts totaled $6.8 billion.
The following table presents the expected maturities of derivative financial instruments:
As of December 31, 20071
(Dollars in millions)
1 Year
or Less
1-2
Years
2-5
Years
5-10
Years
After
10 Years Total
CASH FLOW ASSET HEDGES
Notional amount - swaps $600 $2,100 $4,500 $3,000 $- $10,200
Net unrealized gain (loss) (1) 39 167 41 - 246
Weighted average receive rate23.95% 5.13% 5.08% 4.64% -% 4.89%
Weighted average pay rate25.23 5.23 5.23 5.09 - 5.18
CASH FLOW LIABILITY HEDGES
Notional amount - swaps $1,115 $2,750 $- $- $- $3,865
Net unrealized gain (loss) 3 (47) - - - (44)
Weighted average receive rate25.04% 4.87% -% -% -% 4.92%
Weighted average pay rate23.85 5.05 - - - 4.70
1Includes only derivative financial instruments which are currently qualifying hedges under SFAS No. 133. Certain other derivatives that are effective for
risk mananagement purposes, but which are not in designated hedging relationships under SFAS No. 133, are not incorporated in this table.
2All interest rate swaps have variable pay or receive rates with resets of six months or less, and are the pay or receive rates in effect at December 31, 2007.
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