SunTrust 2011 Annual Report Download - page 176
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Please find page 176 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)
160
(Dollars in millions)
Derivatives designated in cash flow hedging relationships 1
Equity contracts hedging:
Securities AFS
Interest rate contracts hedging:
Floating rate loans
Total
Derivatives not designated as hedging instruments 2
Interest rate contracts covering:
Fixed rate debt
Corporate bonds and loans
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, 2010
Asset Derivatives
Balance Sheet
Classification
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
15,350
16,897
1,273
—
20,474
7,269
132,286
1,083
2,691
15
1,094
5,010
2,169
111
173,475
$190,372
3
4
5
4
Fair
Value
$—
947
947
41
—
152
92
4,211
17
92
—
39
583
18
11
5,256
$6,203
Liability Derivatives
Balance Sheet
Classification
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
500
2,047
60
5
6,480
2,383
105,926
495
2,818
227
1,039
8,012
2,196
111
129,752
$131,799
5
6
Fair
Value
$145
10
155
4
—
73
20
3,884
128
91
2
34
730
42
11
5,019
$5,174
6
1 See “Cash Flow Hedges” in this Note for further discussion.
2 See “Economic Hedging and Trading Activities” in this Note for further discussion.
3 Amount includes $1.4 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.
4 Amounts include $25.0 billion and $0.5 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.
5 Asset and liability amounts include $1 million and $8 million, respectively, of notional from purchased and written interest rate swap risk participation agreements,
respectively, which notional is calculated as the notional of the interest rate swap participated adjusted by the relevant RWA conversion factor.
6 Includes a $23 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.”