SunTrust 2011 Annual Report Download - page 175
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Please find page 175 of the 2011 SunTrust annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.Notes to Consolidated Financial Statements (Continued)
159
(Dollars in millions)
Derivatives designated in cash flow hedging relationships 2
Equity contracts hedging:
Securities AFS
Interest rate contracts hedging:
Floating rate loans
Total
Derivatives designated in fair value hedging relationships 3
Interest rate contracts covering:
Securities AFS
Fixed rate debt
Total
Derivatives not designated as hedging instruments 4
Interest rate contracts covering:
Fixed rate debt
MSRs
LHFS, IRLCs, LHFI-FV
Trading activity
Foreign exchange rate contracts covering:
Foreign-denominated debt and
commercial loans
Trading activity
Credit contracts covering:
Loans
Trading activity
Equity contracts - Trading activity
Other contracts:
IRLCs and other
Trading activity
Total
Total derivatives
As of December 31, 20111
Asset Derivatives
Balance Sheet
Classification
Trading assets
Trading assets
Trading assets
Trading assets
Trading assets
Other assets
Other assets
Trading assets
Trading assets
Trading assets
Trading assets
Trading assets
Trading assets
Other assets
Trading assets
Notional
Amounts
$1,547
14,850
16,397
—
1,000
1,000
437
28,800
2,657
113,420
33
2,532
45
1,841
10,168
4,909
207
165,049
$182,446
6
7
6
Fair
Value
$—
1,057
1,057
—
56
56
13
472
19
6,226
1
127
1
28
1,013
84
23
8,007
$9,120
Liability Derivatives
Balance Sheet
Classification
Trading liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Other liabilities
Other liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Trading liabilities
Other liabilities
Trading liabilities
Notional
Amounts
$1,547
—
1,547
450
—
450
60
2,920
6,228
101,042
460
2,739
308
1,809
10,445
139
203
126,353
$128,350
5
7
8
Fair
Value
$189
—
189
1
—
1
9
29
54
5,847
129
125
3
23
1,045
22
23
7,309
$7,499
8
1 During 2011, the Company began offsetting cash collateral paid to and received from derivative counterparties when the derivative contracts are subject to ISDA
master netting arrangements and meet the derivatives accounting requirements. The effects of offsetting on the Company's Consolidated Balance Sheets as of
December 31, 2011 are presented in Note 19, "Fair Value Election and Measurement."
2 See “Cash Flow Hedges” in this Note for further discussion.
3 See “Fair Value Hedges” in this Note for further discussion.
4 See “Economic Hedging and Trading Activities” in this Note for further discussion.
5 Amount includes $1.2 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily and therefore, no derivative asset or
liability is recognized.
6 Amounts include $16.7 billion and $0.6 billion of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash
daily and therefore, no derivative asset or liability is recognized.
7 Asset and liability amounts include $2 million and $6 million, respectively, of notional from purchased and written credit risk participation agreements, respectively,
which notional is calculated as the notional of the derivative participated adjusted by the relevant RWA conversion factor.
8 Includes a $22 million derivative liability recognized in other liabilities in the Consolidated Balance Sheets, related to a notional amount of $134 million. The
notional amount is based on the number of Visa Class B shares, 3.2 million, the conversion ratio from Class B shares to Class A shares, and the Class A share
price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009 as discussed
in Note 18, “Reinsurance Arrangements and Guarantees.”