Comerica 2010 Annual Report Download - page 113

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Comerica Incorporated and Subsidiaries
The following table summarizes the expected weighted average remaining maturity of the notional
amount of risk management interest rate swaps and the weighted average interest rates associated with amounts
expected to be received or paid on interest rate swap agreements as of December 31, 2010 and 2009.
Weighted Average
(dollar amounts in millions)
Notional
Amount
Remaining
Maturity
(in years) Receive Rate Pay Rate (a)
December 31, 2010
Swaps - cash flow - receive fixed/pay floating rate
Variable rate loan designation $ 800 0.1 4.75 % 3.25 %
Swaps - fair value - receive fixed/pay floating rate
Medium- and long-term debt designation 1,600 7.1 5.73 0.85
Total risk management interest rate swaps $ 2,400
December 31, 2009
Swaps - cash flow - receive fixed/pay floating rate
Variable rate loan designation $ 1,700 0.9 5.22 % 3.25 %
Swaps - fair value - receive fixed/pay floating rate
Medium- and long-term debt designation 1,600 8.1 5.73 1.01
Total risk management interest rate swaps $ 3,300
(a) Variable rates paid on receive fixed swaps are based on prime and six-month LIBOR rates in effect at
December 31, 2010 and 2009.
Management believes these hedging strategies achieve the desired relationship between the rate maturities
of assets and funding sources which, in turn, reduce the overall exposure of net interest income to interest rate
risk, although there can be no assurance that such strategies will be successful.
Customer-Initiated and Other
Fee income is earned from entering into various transactions at the request of customers (customer-
initiated contracts), principally foreign exchange contracts, interest rate contracts and energy derivative contracts.
For customer-initiated foreign exchange contracts, the Corporation mitigates most of the inherent market risk by
taking offsetting positions and manages the remainder through individual foreign currency position limits and
aggregate value-at-risk limits. These limits are established annually and reviewed quarterly.
For those customer-initiated derivative contracts which were not offset or where the Corporation holds a
speculative position within the limits described above, the Corporation recognized in “other noninterest income”
in the consolidated statements of income net gains of $1 million, $1 million and $2 million for the years ended
December 31, 2010, 2009 and 2008, respectively.
Fair values of customer-initiated and other derivative instruments represent the net unrealized gains or
losses on such contracts and are recorded in the consolidated balance sheets. Changes in fair value are recognized
in the consolidated statements of income. The net gains recognized in income on customer-initiated derivative
instruments, net of the impact of offsetting positions, were as follows.
(in millions)
Years Ended December 31 Location of Gain 2010 2009
Interest rate contracts Other noninterest income $7 $8
Energy derivative contracts Other noninterest income 11
Foreign exchange contracts Foreign exchange income 36 34
Total $44 $43
111