PNC Bank 2005 Annual Report Download - page 56

56
Financial Derivatives - 2004
Notional
Weighted
Average
Weighted-Average
Interest Rates
December 31, 2004 - dollars in millions
Amount
Fair Value
Maturity
Paid
Received
Accounting Hedges
Interest rate risk management
Asset rate conversion
Interest rate swaps (a)
Receive fixed $360 $(1) 5 yrs. 1 mo. 3.97% 3.72%
Pay fixed 12 3 yrs. 1 mo. 3.68 3.69
Interest rate caps (b) 4 5 yrs. 3 mos. NM NM
Futures contracts 124 2 yrs. NM NM
Total asset rate conversion 500 (1)
Liability rate conversion
Interest rate swaps (a)
Receive fixed 3,745 215 7 yrs. 5 mos. 4.12 5.64
Total interest rate risk management 4,245 214
Commercial mortgage banking risk management
Pay fixed interest rate swaps (a) 195 (4) 10 yrs. 4 mos. 4.79 4.66
Pay total return swaps designated to
loans held for sale (a) 75 (1) NM 1.98
Total commercial mortgage banking risk
management 270 (5)
Total accounting hedges (c) $4,515 $209
Free-Standing Derivatives
Customer-related
Interest rate
Swaps $32,339 $18 3 yrs. 9 mos. 3.91% 3.90%
Caps/floors
Sold 698 (8) 3 yrs. 8 mos. NM NM
Purchased 452 7 2 yrs. 5 mos. NM NM
Futures 3,014 1 1 yr. NM NM
Foreign exchange 7,245 10 6 mos. NM NM
Equity 2,186 (29) 2 yrs. 4 mos. NM NM
Swaptions 644 17 yrs. 11mos. NM NM
Other 330 1 10 yrs. 9 mos. NM NM
Total customer-related 46,908
Other risk management and proprietary
Interest rate
Swaps 4,347 (2) 7 yrs. 10 mos. 4.29 4.30
Basis swaps 1,064 2 1 yr. 1 mo. 3.04 3.15
Pay fixed swaps 1,204 (10) 10 yrs. 7 mos. 4.37 4.41
Futures 9,329 2 yrs. 4 mos. NM NM
Credit derivatives 359 (4) 4 yrs. 5 mos. NM NM
Risk participation agreements 230 6 yrs. 8 mos. NM NM
Commitments related to mortgage-related assets 782 1 2 mos. NM NM
Options
Eurodollar 27,750 2 4 mos. NM NM
Treasury notes/bonds 890 (2) 2 mos. NM NM
Swaptions 9,589 (1) 5 yrs. 10 mos. NM NM
Other 45 4 mos. NM NM
Total other risk management and proprietary 55,589 (14)
Total free-standing derivatives $102,497 $(14)
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of a notional amount, 38% were based on 1-
month LIBOR, 62% on 3-month LIBOR.
(b) Interest rate caps with a notional amount of $4 million require the counterparty to pay the Corporation the excess, if any, of the Prime Rate over
a weighted-average strike of 5.03%. At December 31, 2004, the Prime Rate was 5.25%.
(c) Fair value amounts include accrued interest of $45 million.
NM Not meaningful