SunTrust 2014 Annual Report Download - page 154

Notes to Consolidated Financial Statements, continued
131
December 31, 2014
Asset Derivatives Liability Derivatives
(Dollars in millions) Notional
Amounts Fair Value Notional Amounts Fair Value
Derivatives designated in cash flow hedging relationships 1
Interest rate contracts hedging floating rate loans $18,150 $208 $2,850 $8
Derivatives designated in fair value hedging relationships 2
Interest rate contracts covering fixed rate debt 2,700 30 2,600 1
Interest rate contracts covering brokered CDs 30 — — —
Total 2,730 30 2,600 1
Derivatives not designated as hedging instruments 3
Interest rate contracts covering:
Fixed rate debt — — 60 6
MSRs 5,172 163 8,807 30
LHFS, IRLCs 41,840 4 4,923 23
Trading activity 561,049 2,405 61,005 2,219
Foreign exchange rate contracts covering trading activity 2,429 104 2,414 100
Credit contracts covering:
Loans — — 392 5
Trading activity 62,282 20 2,452 20
Equity contracts - Trading activity 521,875 2,809 28,128 3,090
Other contracts:
IRLCs and other 72,231 25 139 5
Commodities 381 71 374 70
Total 97,259 5,601 108,694 5,568
Total derivatives $118,139 $5,839 $114,144 $5,577
Total gross derivatives, before netting $5,839 $5,577
Less: Legally enforceable master netting agreements (4,083) (4,083)
Less: Cash collateral received/paid (449) (1,032)
Total derivatives, after netting $1,307 $462
1 See “Cash Flow Hedges” in this Note for further discussion.
2 See “Fair Value Hedges” in this Note for further discussion.
3 See “Economic Hedging and Trading Activities” in this Note for further discussion.
4 Amount includes $791 million of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated
with the one day lag is included in the fair value column of this table.
5 Amounts include $10.3 billion and $563 million of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily, one day in arrears.
The derivative assets/liabilities associated with the one day lag are included in the fair value column of this table.
6 Asset and liability amounts each include $4 million of notional from purchased and written credit risk participation agreements, respectively, whose notional is calculated as the notional
of the derivative participated adjusted by the relevant RWA conversion factor.
7 Includes a notional amount that 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 16, “Guarantees.” The fair
value of the derivative liability, which relates to a notional amount of $49 million, is immaterial and is recognized in trading assets and derivatives in the Consolidated Balance Sheets.