BB&T 2015 Annual Report Download - page 154

TableofContents
The following table presents information about BB&T's cash flow and fair value hedges:
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Cash flow hedges:
Net unrecognized after-tax loss on active hedges recorded in AOCI $ (134) $ (181)
Net unrecognized after-tax gain on terminated hedges recorded in AOCI
(to be recognized in earnings through 2022) 50 127
Estimated portion of net after-tax loss on active and terminated hedges
to be reclassified from AOCI into earnings during the next 12 months (7) (51)
Maximum time period over which BB&T has hedged a portion of the variability
in future cash flows for forecasted transactions excluding those transactions relating to the payment of
variable interest on existing instruments 7 yrs 8 yrs
Fair value hedges:
Unrecognized pre-tax net gain on terminated hedges (to be recognized
as interest primarily through 2019) $ 138 $ 227
Portion of pre-tax net gain on terminated hedges to be recognized as a change
in interest during the next 12 months 57 88
Derivatives Credit Risk – Dealer Counterparties
Credit risk related to derivatives arises when amounts receivable from a counterparty exceed those payable to the same counterparty. The risk of loss is
addressed by subjecting dealer counterparties to credit reviews and approvals similar to those used in making loans or other extensions of credit and by
requiring collateral. Dealer counterparties operate under agreements to provide cash and/or liquid collateral when unsecured loss positions exceed negotiated
limits.
Derivative contracts with dealer counterparties settle on a monthly, quarterly or semiannual basis, with daily movement of collateral between counterparties
required within established netting agreements. BB&T only transacts with dealer counterparties with strong credit standings.
Derivatives Credit Risk – Central Clearing Parties
Certain derivatives are cleared through central clearing parties that require initial margin collateral, as well as collateral for trades in a net loss position. Initial
margin collateral requirements are established by central clearing parties on varying bases, with such amounts generally designed to offset the risk of non-
payment. Initial margin is generally calculated by applying the maximum loss experienced in value over a specified time horizon to the portfolio of existing
trades. The central clearing party used for TBA transactions does not post variation margin to the bank.
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Dealer Counterparties:
Cash collateral received from dealer counterparties $ 283 $ 191
Derivatives in a net gain position secured by that collateral 301 201
Unsecured positions in a net gain with dealer counterparties after collateral postings 18 10
Cash collateral posted to dealer counterparties 156 227
Derivatives in a net loss position secured by that collateral 161 231
Additional collateral that would have been posted had BB&T's credit ratings
dropped below investment grade 6 3
Central Clearing Parties:
Cash collateral, including initial margin, posted to central clearing parties 223 114
Derivatives in a net loss position secured by that collateral 227 129
Securities pledged to central clearing parties 207 116
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Source: BB&T CORP, 10-K, February 25, 2016 Powered by Morningstar® Document Research℠
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