BB&T 2010 Annual Report Download - page 161
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NOTE 20. Derivative Financial Instruments
The following tables set forth certain information concerning BB&T’s derivative financial instruments and
related hedged items as of the periods indicated:
Derivative Classifications and Hedging Relationships
December 31, 2010 December 31, 2009
Hedged Item or
Transaction Notional
Amount
Fair Value Notional
Amount
Fair Value
Gain (1) Loss (1) Gain (1) Loss (1)
(Dollars in millions)
Cash Flow Hedges (2):
Interest rate contracts:
Receive fixed swaps 1 month Commercial loans $ — $— $ — $ 1,000 $ 28 $ —
Pay fixed swaps 3 month LIBOR funding 5,950 6 (181) 4,300 38 (26)
Caps 3 month LIBOR funding 200 — — 200 — —
Total 6,150 6 (181) 5,500 66 (26)
Net Investment Hedges:
Foreign exchange contracts 73 — (2) 73 — (1)
Total 73 — (2) 73 — (1)
Fair Value Hedges:
Interest rate contracts:
Receive fixed swaps and option trades Long-term debt 1,160 25 — 3,429 192 (43)
Receive fixed swaps Long-term CD’s — — — 328 2 —
Pay fixed swaps Commercial loans 54 — — — — —
Pay fixed swaps Municipal securities 355 — (75) 354 — (50)
Total 1,569 25 (75) 4,111 194 (93)
Not Designated as Hedges:
Client-related and other risk management
Interest rate contracts:
Receive fixed swaps 9,872 496 (10) 10,004 392 (32)
Pay fixed swaps 9,514 12 (530) 10,401 32 (369)
Other swaps 3,328 2 (3) 7,014 3 (3)
Option trades 901 29 (30) 1,583 28 (29)
Futures contracts 1,747 1 — 611 — —
Foreign exchange contracts 436 7 (4) 373 7 (6)
Total 25,798 547 (577) 29,986 462 (439)
Mortgage Banking
Interest rate contracts:
Receive fixed swaps 11 — — — — —
Pay fixed swaps 35 — — — — —
Interest rate lock commitments 3,922 12 (37) 3,028 5 (19)
When issued securities, forward rate
agreements and forward commitments 7,717 106 (27) 4,719 48 (5)
Option trades 400 11 — 540 12 (5)
Futures contracts 13 1 — 50 — (1)
Total 12,098 130 (64) 8,337 65 (30)
Mortgage Servicing Rights
Interest rate contracts:
Receive fixed swaps 3,225 13 (61) 1,968 — (69)
Pay fixed swaps 2,536 15 (7) 654 4 —
Option trades 6,095 192 (11) 5,575 191 (2)
Futures contracts 4,260 — (10) 4,631 1 (3)
When issued securities, forward rate
agreements and forward commitments 3,582 5 (14) 5,425 — (37)
Total 19,698 225 (103) 18,253 196 (111)
Total nonhedging derivatives 57,594 902 (744) 56,576 723 (580)
Total Derivatives $65,386 $933 $(1,002) $66,260 $983 $(700)
(1) Derivatives in a gain position are recorded as Other assets and derivatives in a loss position are recorded as Other liabilities on the
Consolidated Balance Sheet.
(2) Cash flow hedges are hedging the first unhedged forecasted settlements associated with the listed hedged item descriptions.
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