PNC Bank 2006 Annual Report Download - page 69
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Financial Derivatives - 2005
December 31, 2005 - dollars in millions
Notional/
Contract
Amount
Net
Fair Value
Weighted
Average
Maturity
Weighted-Average
Interest Rates
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. 11mos. 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 a notional amount, 67% were based on 1-month LIBOR,
33% on 3-month LIBOR.
(b) Fair value amounts include accrued interest receivable of $81 million.
NM Not meaningful
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