PNC Bank 2002 Annual Report Download - page 60

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58
Financial Derivatives - 2001
Notional Estimated Weighted-Average Interest Rates
December 31, 2001 - dollars in millions Value Fair Value Paid Received
Interest rate risk management
Asset rate conversion
Interest rate swaps (a)
Receive fixed designated to loans $4,335 $132 3.35% 5.23%
Pay fixed designated to loans 107 (5) 5.88 4.66
Basis swaps designated to loans 87 5.49 5.42
Interest rate caps designated to loans (b) 25 NM NM
Interest rate floors designated to loans (c) 7 NM NM
Future contracts designated to loans 398 NM NM
Total asset rate conversion 4,959 127
Liability rate conversion
Interest rate swaps (a)
Receive fixed designated to borrowed funds 2,413 135 5.20 5.94
Total liability rate conversion 2,413 135
Total interest rate risk management 7,372 262
Commercial mortgage banking risk management
Pay fixed interest rate swaps designated to loans held for sale (a) 105 1 5.52 5.82
Pay total rate of return swaps designated to loans held for sale (a) 150 5.89 1.39
Total commercial mortgage banking risk management 255 1
Total financial derivatives designated for risk management $7,627 $263
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional value, 65% were based on 1-month LIBOR, 34% on 3-month LIBOR and
the remainder on other short-term indices.
(b) Interest rate caps with notional values of $15 million require the counterparty to pay the Corporation the excess, if any, of 3-month LIBOR over a weighted-average strike of 6.40%. In
addition, interest rate caps with notional values of $6 million require the counterparty to pay the excess, if any, of 1-month LIBOR over a weighted-average strike of 6.00%. The
remainder is based on other short-term indices. At December 31, 2001, 3-month LIBOR was 1.88% and 1-month LIBOR was 1.87%.
(c) Interest rate floors with notional values of $5 million require the counterparty to pay the excess, if any, of the weighted-average strike of 4.50% over 3-month LIBOR. The remainder is
based on other short-term indices. At December 31, 2001, 3-month LIBOR was 1.88%.
NM- Not meaningful