SunTrust 2012 Annual Report Download - page 174

Notes to Consolidated Financial Statements (Continued)
158
As of December 31, 20111
Asset Derivatives Liability Derivatives
(Dollars in millions)
Balance Sheet
Classification
Notional
Amounts
Fair
Value
Balance Sheet
Classification
Notional
Amounts
Fair
Value
Derivatives designated in cash flow hedging relationships 2
Equity contracts hedging:
Securities AFS Trading assets $1,547 $— Trading liabilities $1,547 $189
Interest rate contracts hedging:
Floating rate loans Trading assets 14,850 1,057 Trading liabilities — —
Total 16,397 1,057 1,547 189
Derivatives designated in fair value hedging relationships 3
Interest rate contracts covering:
Securities AFS Trading assets — — Trading liabilities 450 1
Fixed rate debt Trading assets 1,000 56 Trading liabilities — —
Total 1,000 56 450 1
Derivatives not designated as hedging instruments 4
Interest rate contracts covering:
Fixed rate debt Trading assets 437 13 Trading liabilities 60 9
MSRs Other assets 28,800 472 Other liabilities 2,920 29
LHFS, IRLCs, LHFI-FV 5Other assets 2,657 19 Other liabilities 6,228 54
Trading activity 6Trading assets 113,420 6,226 Trading liabilities 101,042 5,847
Foreign exchange rate contracts covering:
Foreign-denominated debt and
commercial loans Trading assets 33 1 Trading liabilities 460 129
Trading activity Trading assets 2,532 127 Trading liabilities 2,739 125
Credit contracts covering:
Loans Trading assets 45 1 Trading liabilities 308 3
Trading activity 7Trading assets 1,841 28 Trading liabilities 1,809 23
Equity contracts - Trading activity 6Trading assets 10,168 1,013 Trading liabilities 10,445 1,045
Other contracts:
IRLCs and other 8Other assets 4,909 84 Other liabilities 139 22
Trading activity Trading assets 207 23 Trading liabilities 203 23
Total 165,049 8,007 126,353 7,309
Total derivatives $182,446 $9,120 $128,350 $7,499
1 The Company offsets cash collateral paid to and received from derivative counterparties when the derivative contracts are subject to ISDA master netting
arrangements and meet the derivative offsetting requirements. The effects of offsetting on the Company's Consolidated Balance Sheets as of December 31,
2011, are presented in Note 18, "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, one day in arrears. The derivative
liability associated with the one day lag is included in the fair value column of this table unless immaterial.
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, one day in arrears. The derivative asset associated with the one day lag is included in the fair value column of this table unless immaterial.
7 Asset and liability amounts include $2 million and $6 million, respectively, of notional from purchased and written interest rate swap risk participation
agreements, respectively, whose notional is calculated as the notional of the interest rate swap 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 17, “Reinsurance Arrangements and Guarantees.”