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The following table summarizes information related to our financial derivatives in cash flow hedge
relationships, hedging variable-rate assets and liabilities and the forecasted issuances of liabilities (dollars in
thousands):
Notional
Amount of
Derivatives
Fair Value of Derivatives
Weighted-Average
Pay
Rate
Receive
Rate
Strike
Rate
Remaining
Life (Years)Asset Liability Net
December 31, 2006:
Pay-fixed interest rate swaps:
Repurchase agreements $ 3,435,000 $ 7,683 $(21,823) $(14,140) 5.36% 5.36% N/A 5.90
FHLB advances 730,000 3,671 (3,301) 370 5.16% 5.37% N/A 8.56
Purchased interest rate
options(1):
Caps 4,690,000 62,710 — 62,710 N/A N/A 5.05% 3.36
Floors 1,900,000 643 — 643 N/A N/A 4.05% 2.09
Total cash flow hedges $10,755,000 $74,707 $(25,124) $ 49,583 5.33% 5.36% 4.76% 4.30
December 31, 2005:
Pay-fixed interest rate swaps:
Repurchase agreements $ 1,100,000 $ 6,959 $ (2,223) $ 4,736 4.87% 4.38% N/A 9.15
Purchased interest rate
forward-starting swaps:
Repurchase agreements 2,675,000 1,219 (19,872) (18,653) 5.04% N/A N/A 9.50
FHLB advances 750,000 — (4,040) (4,040) 5.02% N/A N/A 9.46
Purchased interest rate
options(1):
Caps 2,925,000 64,301 — 64,301 N/A N/A 4.76% 4.59
Floors 1,900,000 2,527 — 2,527 N/A N/A 5.50% 3.54
Total cash flow hedges $ 9,350,000 $75,006 $(26,135) $ 48,871 5.00% 4.38% 5.05% 6.71
(1) Caps are used to hedge repurchase agreements and FHLB advances. Floors are used to hedge HELOC.
Under SFAS No. 133, as amended, we are required to record the fair value of gains and losses on
derivatives designated as cash flow hedges in accumulated other comprehensive income in the consolidated
balance sheet. In addition, during the normal course of business, the Company terminates certain interest rate
swaps and options.
106