Comerica 2008 Annual Report Download - page 57
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TABLE 11: REMAINING EXPECTED MATURITY OF RISK MANAGEMENT INTEREST
RATE SWAPS
Dec. 31, Dec. 31,
2008 2007
(dollar amounts in millions) 2009 2010 2011 2012 2013 2014–2026 Total Total
Variable rate asset designation:
Generic receive fixed swaps ......... $ — $ 900 $ 800 $ — $ — $ — $1,700 $3,200
Weighted average: (1)
Receive rate .................. —% 5.64% 4.75% —% —% —% 5.22% 7.02%
Pay rate .................... — 3.43 3.70 — — — 3.56 7.37
Fixed rate asset designation:
Pay fixed swaps
Amortizing .................. $— $— $— $— $— $ — $ — $2
Weighted average:
Receive rate .................. —% —% —% —% —% —% —% 4.74%
Pay rate .................... ————— — — 3.52
Medium- and long-term debt designation:
Generic receive fixed swaps ......... $ 100 $ — $ — $ — $ — $1,600 $1,700 $2,200
Weighted average: (1)
Receive rate .................. 6.06% —% —% —% —% 5.73% 5.75% 5.90%
Pay rate .................... 3.88 ———— 3.31 3.34 5.14
Total notional amount .............. $ 100 $ 900 $ 800 $ — $ — $1,600 $3,400 $5,402
(1) Variable rates paid on receive fixed swaps are based on prime (with various maturities) rates in effect at December 31,
2008.
Customer-Initiated and Other Derivative Instruments
Interest Energy Foreign
Rate Derivative Exchange
Customer-Initiated and Other Notional Activity Contracts Contracts Contracts Totals
(in millions)
Balance at January 1, 2007 ........................ $ 5,567 $1,105 $ 2,893 $ 9,565
Additions .................................... 4,277 765 102,903 107,945
Maturities/amortizations .......................... (810) (389) (103,081) (104,280)
Terminations .................................. (526) — — (526)
Balance at December 31, 2007 ..................... $ 8,508 $1,481 $ 2,715 $ 12,704
Additions .................................... 5,454 1,670 108,886 116,010
Maturities/amortizations .......................... (1,140) (918) (108,878) (110,936)
Terminations .................................. (480) (88) — (568)
Balance at December 31, 2008 ..................... $12,342 $2,145 $ 2,723 $ 17,210
The Corporation writes and purchases interest rate caps and enters into foreign exchange contracts, interest
rate swaps and energy derivative contracts to accommodate the needs of customers requesting such services.
Customer-initiated and other notional activity represented 81 percent of total interest rate, energy and foreign
exchange contracts at December 31, 2008, compared to 68 percent at December 31, 2007. Refer to Notes 1 and
20 to the consolidated financial statements for further information regarding customer-initiated and other
derivative instruments.
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