PNC Bank 2007 Annual Report Download - page 101
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The total notional or contractual amounts, estimated net fair value and credit risk for derivatives were as follows:
December 31, 2007 December 31, 2006
In millions
Notional/
Contract
amount
Estimated net
fair value Credit risk
Notional/
Contract
amount
Estimated net
fair value Credit risk
Accounting hedges
Fair value hedges $ 10,568 $ 190 $ 283 $ 4,996 $ (1) $ 51
Cash flow hedges 7,856 325 325 7,815 62 72
Total $ 18,424 $ 515 $ 608 $ 12,811 $ 61 $ 123
Free-standing derivatives
Interest rate contracts $170,889 $ (17) $1,259 $101,749 $ 21 $ 533
Equity contracts 1,824 (69) 144 2,393 (63) 134
Foreign exchange contracts 15,741 13 153 7,203 61
Credit derivatives 5,823 42 96 3,626 (11) 5
Options 64,448 87 496 97,669 68 306
Risk participation agreements 1,183 786
Commitments related to mortgage-related assets 3,190 10 15 2,723 10 15
Other (a) 642 (201) 616 (12)
Total $263,740 $(135) $2,163 $216,765 $ 13 $1,054
(a) Relates to PNC’s obligation to help fund certain BlackRock LTIP programs and to certain customer-related derivatives. Additional information regarding the BlackRock/MLIM
transaction and our BlackRock LTIP shares obligation is included in Note 2 Acquisitions and Divestitures.
N
OTE
16 F
AIR
V
ALUE OF
F
INANCIAL
I
NSTRUMENTS
2007 2006
December 31 - in millions
Carrying
Amount
Fair
Value
Carrying
Amount
Fair
Value
Assets
Cash and short-term assets $11,012 $11,012 $ 9,016 $ 9,016
Securities 30,225 30,225 23,191 23,191
Loans held for sale 3,927 3,966 2,366 2,366
Net loans (excludes leases) 64,976 65,808 46,757 46,878
Other assets 1,328 1,328 892 892
Mortgage and other loan servicing rights 701 780 477 552
Financial derivatives
Fair value hedges 283 283 51 51
Cash flow hedges 325 325 72 72
Free-standing derivatives 2,163 2,163 1,054 1,054
Liabilities
Demand, savings and money market deposits 56,294 56,294 47,277 47,277
Time deposits 26,402 26,416 19,024 18,959
Borrowed funds 31,254 31,608 15,310 15,496
Financial derivatives
Fair value hedges 93 93 52 52
Cash flow hedges 10 10
Free-standing derivatives 2,298 2,298 1,041 1,041
Unfunded loan commitments and letters of credit 129 129 101 122
The aggregate fair values in the table above do not represent
the underlying market value of PNC as the table excludes the
following:
• real and personal property,
• lease financing,
• loan customer relationships,
• deposit customer intangibles,
• retail branch networks,
• fee-based businesses, such as asset management and
brokerage, and
• trademarks and brand names.
Fair value is defined as the estimated amount at which a
financial instrument could be exchanged in a current
transaction between willing parties, or other than in a forced
or liquidation sale. However, it is not our intention to
immediately dispose of a significant portion of such financial
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