PNC Bank 2007 Annual Report Download - page 61

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The following tables provide the notional or contractual amounts and estimated net fair value of financial derivatives used for risk
management and designated as accounting hedges as well as free-standing derivatives at December 31, 2007 and 2006. Weighted-
average interest rates presented are based on contractual terms, if fixed, or the implied forward yield curve at each respective date,
if floating.
Financial Derivatives - 2007
December 31, 2007 - dollars in millions
Notional/
Contract
Amount
Estimated
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 $7,856 $325 4 yrs. 2 mos. 4.28% 5.34%
Total asset rate conversion 7,856 325
Liability rate conversion
Interest rate swaps (a)
Receive fixed 9,440 269 4 yrs. 10 mos. 4.12 5.09
Total liability rate conversion 9,440 269
Total interest rate risk management 17,296 594
Commercial mortgage banking risk management
Pay fixed interest rate swaps (a) 1,128 (79) 8 yrs. 8 mos. 5.45 4.52
Total commercial mortgage banking risk management 1,128 (79)
Total accounting hedges (b) $18,424 $515
Free-Standing Derivatives
Customer-related
Interest rate
Swaps (c) $61,768 $(39) 5 yrs. 4 mos. 4.46% 4.49%
Caps/floors
Sold (c) 2,837 (5) 6 yrs. 5 mos. NM NM
Purchased 2,356 7 3 yrs. 7 mos. NM NM
Futures (c) 5,564 (6) 8 mos. NM NM
Foreign exchange 7,028 8 7 mos. NM NM
Equity (c) 1,824 (69) 1 yr. 5 mos. NM NM
Swaptions 3,490 40 13 yrs. 10 mos. NM NM
Other 200 10 yrs. 6 mos. NM NM
Total customer-related 85,067 (64)
Other risk management and proprietary
Interest rate
Swaps 41,247 6 4 yrs. 5 mos. 4.44% 4.47%
Caps/floors
Sold (c) 6,250 (82) 2 yrs. 1 mo. NM NM
Purchased 7,760 117 1 yr. 11 mos. NM NM
Futures (c) 43,107 (15) 1 yr. 7 mos. NM NM
Foreign exchange 8,713 5 6 yrs. 8 mos. NM NM
Credit derivatives 5,823 42 12 yrs. 1 mo. NM NM
Risk participation agreements 1,183 4 yrs. 6 mos. NM NM
Commitments related to mortgage-related assets 3,190 10 4 mos. NM NM
Options
Futures 39,158 (2) 8 mos. NM NM
Swaptions 21,800 49 8 yrs. 1 mo. NM NM
Other (d) 442 (201) NM NM NM
Total other risk management and proprietary 178,673 (71)
Total free-standing derivatives $263,740 (135)
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional amount, 52% were based on 1-month LIBOR,
43% on 3-month LIBOR and 5% on Prime Rate.
(b) Fair value amount includes net accrued interest receivable of $130 million.
(c) The increases in the negative fair values from December 31, 2006 to December 31, 2007 for equity and interest rate contracts were due to the changes in fair
values of the existing contracts along with new contracts entered into during 2007.
(d) Relates to PNC’s obligation to help fund certain BlackRock LTIP programs. Additional information regarding the BlackRock/MLIM transaction and our
BlackRock LTIP shares obligation is included in Note 2 Acquisitions and Divestitures included in the Notes to Consolidated Financial Statements in Item 8 of
this Report.
NM Not meaningful
56