PNC Bank 2001 Annual Report Download - page 57

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55
The following table sets forth the notional value and the estimated fair value of financial derivatives used for risk management at
December 31, 2000. Weighted-average interest rates presented are based on the implied forward yield curve at December 31, 2000.
Financial Derivatives - 2000
Notional Estimated Weighted-Average Interest Rates
December 31, 2000 - dollars in millions Value Fair Value Paid Received
Interest rate risk management
Asset rate conversion
Interest rate swaps (a)
Receive fixed designated to loans $3,250 $27 5.96% 5.56%
Basis swaps designated to other earning assets 226 3 5.63 5.85
Interest rate caps designated to loans (b) 308 4 NM NM
Interest rate floors designated to loans (c) 3,238 (1) NM NM
Total asset rate conversion 7,022 33
Liability rate conversion
Interest rate swaps (a)
Receive fixed designated to:
Interest-bearing deposits 125 4 5.85 6.73
Borrowed funds 1,381 57 5.96 6.60
Pay fixed designated to borrowed funds 1 5.88 5.78
Basis swaps designated to borrowed funds 2,004 10 5.76 5.79
Total liability rate conversion 3,511 71
Total interest rate risk management 10,533 104
Commercial mortgage banking risk management
Pay fixed interest rate swaps designated to securities held for sale (a) 135 (8) 6.94 6.04
Pay fixed interest rate swaps designated to loans held for sale (a) 176 3 5.76 5.99
Pay total rate of return swaps designated to loans held for sale (a) 75 (5) 5.76 6.15
Total commercial mortgage banking risk management 386 (10)
Student lending activities – Forward contracts (d) 347 NM NM
Credit-related activities – Credit default swaps (d) 4,391 (2) NM NM
Total financial derivatives designated for risk management $15,657 $92
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional value, 62% were based on 1-month LIBOR, 36% on 3-month
LIBOR and the remainder on other short-term indices.
(b) Interest rate caps with notional values of $61 million, $95 million and $150 million require the counterparty to pay the Corporation the excess, if any, of 3-month LIBOR over a
weighted-average strike of 6.00%, 1-month LIBOR over a weighted-average strike of 5.68% and Prime over a weighted-average strike of 8.76%, respectively. At December 31,
2000, 3-month LIBOR was 6.40%, 1-month LIBOR was 6.56% and Prime was 9.50%.
(c) Interest rate floors with notional values of $3.0 billion require the counterparty to pay the excess, if any, of the weighted-average strike of 4.63% over 3-month LIBOR. At
December 31, 2000, 3-month LIBOR was 6.40%.
(d) Due to the structure of these contracts, they are no longer considered financial derivatives under SFAS No. 133.
NM- Not meaningful