PNC Bank 2005 Annual Report Download - page 55

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The following tables provide the notional amount and fair value of financial derivatives used for risk management and designated as
accounting hedges as well as free-standing derivatives at December 31, 2005 and 2004. Weighted-average interest rates presented
are based on contractual terms, if fixed, or the implied forward yield curve at each respective date, if floating. The credit risk
amounts of these derivatives as of December 31, 2005 and 2004 are presented in Note 16 Financial Derivatives in the Notes To
Consolidated Financial Statements in Item 8 of this Report.
Financial Derivatives - 2005
Notional
Weighted
Average
Weighted-Average
Interest Rates
Decemb er 31, 2005 - dollars in millions
Amount
Fair Value
Maturity
Paid
Received
Accounting Hedges
Interest rate risk management
Asset rate conversion
Interest rate swaps (a)
Receive fixed $2,926 $(9) 2 yrs. 10 mos. 4.75% 4.42%
Pay fixed 12 2 yrs. 1 mo. 3.68 4.77
Futures contracts 42 1 yr. 1 mo. NM NM
Total asset rate conversion 2,980 (9)
Liability rate conversion
Interest rate swaps (a)
Receive fixed 5,345 84 6 yrs. 5 mos. 4.87 5.37
Total liability rate conversion 5,345 84
Total interest rate risk management 8,325 75
Commercial mortgage banking risk management
Pay fixed interest rate swaps (a) 251 (4) 10 yrs. 9 mos. 5.05 4.88
Pay total return swaps designated to loans held for sale (a) 250 (2) 1 mo. NM 4.37
Total commercial mortgage banking risk management 501 (6)
Total accounting hedges (b) $8,826 $69
Free-Standing Derivatives
Customer-related
Interest rate
Swaps $43,868 $34 4 yrs. 2 mos. 4.69% 4.69%
Caps/floors
Sold 1,710 (4) 1 yr. 11 mos. NM NM
Purchased 1,446 3 11 mos. NM NM
Futures 2,570 10 mos. NM NM
Foreign exchange 4,687 4 5 mos. NM NM
Equity 2,744 (79) 1 yr. 6 mos. NM NM
Swaptions 2,559 (1) 8 yrs. 11 mos. NM NM
Other 230 1 10 yrs. 8 mos. NM NM
Total customer-related 59,814 (42)
Other risk management and proprietary
Interest rate
Swaps 2,369 1 4 yrs. 11 mos. 4.56 % 4.65%
Basis swaps 756 1 6 yrs. 10 mos. 4.14 4.85
Pay fixed swaps 2,474 (2) 7 yrs. 7 mos. 4.37 4.57
Caps/floors
Sold 2,000 (10) 2 yrs. 7 mos. NM NM
Purchased 2,310 14 2 yrs. 10 mos. NM NM
Futures 10,901 2 1 yr. 2 mos. NM NM
Credit derivatives 1,353 4 yrs. 7 mos. NM NM
Risk participation agreements 461 3 yrs. 11 mos. NM NM
Commitments related to mortgage-related assets 1,695 1 2 mos. NM NM
Options
Futures 33,384 3 5 mos. NM NM
Swaptions 15,440 30 7 yrs. 7 mos. NM NM
Other 24 4 4 mos. NM NM
Total other risk management and proprietary 73,167 44
Total free-standing derivatives $132,981 $2
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional amount, 67% were based on 1-month
LIBOR, 33% on 3-month LIBOR.
(b) Fair value amounts include accrued interest of $81 million.
NM Not meaningful