SunTrust 2008 Annual Report Download - page 70

As of December 31, 2007 1
(Dollars in millions)
Notional
Amount
Gross
Unrealized
Gains 4
Gross
Unrealized
Losses 4
Accumulated Other
Comprehensive
Income 6
Average
Maturity in
Years
Asset Hedges
Cash flow hedges
Interest rate swaps 2$10,200 $246 ($1) $152 3.07
Total asset hedges $10,200 $246 ($1) $152 3.07
Liability Hedges
Cash flow hedges
Interest rate swaps 3$3,865 $3 ($47) ($27) 1.45
Total liability hedges $3,865 $3 ($47) ($27) 1.45
Terminated/Dedesignated Liability Hedges
Cash flow hedges
Interest rate swaps and options 5$5,737 $- $- $34 1.88
Total terminated/dedesignated hedges $5,737 $- $- $34 1.88
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.
2Represents interest rate swaps designated as cash flow hedges of commercial loans.
3Represents interest rate swaps designated as cash flow hedges of floating rate certificates of deposit and FHLB advances.
4Represents the change in fair value of derivative financial instruments from inception to December 31, 2007 less accrued interest receivable or payable.
5Represents interest rate swaps and options that have been terminated and/or dedesignated as derivatives that qualify for hedge accounting. The derivatives were designated as cash
flow hedges of floating rate debt, certificates of deposit, commercial loans, and tax exempt bonds. The $33.7 million of net gains, net of tax, recorded in accumulated other
comprehensive income will be reclassified into earnings as interest income or expense over the life of the respective hedged items.
6At December 31, 2007, the net unrealized gain on derivatives included in accumulated other comprehensive income, which is a component of shareholders’ equity, was $158.6
million, net of tax. Of this net of tax amount, a $124.9 million gain represents the effective portion of the net gains on derivatives that currently qualify as cash flow hedges, and a
$33.7 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, 2007, $45.3
million of net gains, net of tax, recorded in accumulated other comprehensive income are expected to be reclassified into interest income or interest expense during the next twelve
months.
Derivative hedging instrument activities are as follows:
Derivatives Hedging
Notional Values1
(Dollars in millions) Asset Hedges Liability Hedges Total
Balance, January 1, 2007 $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
Additions 4,047 - 4,047
Maturities (600) (1,115) (1,715)
Terminations (1,000) (500) (1,500)
Balance, December 31, 2008 $12,647 $2,250 $14,897
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. The hedging
activity for our mortgage loans held for sale is excluded from this table. The SFAS No. 133 hedging program was terminated for mortgage loans during
2007.
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