PNC Bank 2007 Annual Report Download - page 62

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Financial Derivatives - 2006
December 31, 2006 - 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 $7,815 $62 3 yrs. 9 mos. 5.30% 5.43%
Interest rate floors (b) 6 4 yrs. 3 mos. NM NM
Total asset rate conversion 7,821 62
Liability rate conversion
Interest rate swaps (a)
Receive fixed 4,245 6 6 yrs. 11 mos. 5.15 5.43
Total liability rate conversion 4,245 6
Total interest rate risk management 12,066 68
Commercial mortgage banking risk management
Pay fixed interest rate swaps (a) 745 (7) 9 yrs. 11 mos. 5.25 5.09
Total commercial mortgage banking risk management 745 (7)
Total accounting hedges (c) $12,811 $61
Free-Standing Derivatives
Customer-related
Interest rate
Swaps (d) $48,816 $9 4 yrs. 11 mos. 5.00% 5.01%
Caps/floors
Sold (d) 1,967 (3) 7 yrs. 4 mos. NM NM
Purchased 897 3 7 yrs. 2 mos. NM NM
Futures (d) 2,973 2 9 mos. NM NM
Foreign exchange 5,245 6 mos. NM NM
Equity (d) 2,393 (63) 1 yr. 6 mos. NM NM
Swaptions 8,685 16 6 yrs. 10 mos. NM NM
Other 20 10 yrs. 6 mos. NM NM
Total customer-related 70,996 (36)
Other risk management and proprietary
Interest rate
Swaps 19,631 4 7 yrs. 8 mos. 4.81% 4.97%
Caps/floors
Sold (d) 6,500 (50) 2 yrs. 11 mos. NM NM
Purchased 7,010 59 3 yrs. NM NM
Futures (d) 13,955 (3) 1 yr. 4 mos. NM NM
Foreign exchange 1,958 5 yrs. 2 mos. NM NM
Credit derivatives 3,626 (11) 7 yrs. NM NM
Risk participation agreements 786 5 yrs. 5 mos. NM NM
Commitments related to mortgage-related assets 2,723 10 2 mos. NM NM
Options
Futures 63,033 (2) 8 mos. NM NM
Swaptions 25,951 54 6 yrs. 10 mos. NM NM
Other (e) 596 (12) NM NM NM
Total other risk management and proprietary 145,769 49
Total free-standing derivatives $216,765 $13
(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,
27% on 3-month LIBOR and 6% on Prime Rate.
(b) Interest rate floors have a weighted-average strike of 3.21%.
(c) Fair value amounts include net accrued interest receivable of $94 million.
(d) See (c) on page 57.
(e) See (d) on page 57.
NM Not meaningful
57