PNC Bank 2008 Annual Report Download - page 75
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Financial Derivatives – 2007
December 31, 2007- dollars in millions
Notional/
Contractual
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%
Liability rate conversion
Interest rate swaps (a)
Receive fixed 9,440 269 4 yrs. 10 mos. 4.12% 5.09%
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 accounting hedges (b) $ 18,424 $ 515
Free-Standing Derivatives
Customer-related
Interest rate
Swaps $ 61,768 $ (39) 5 yrs. 4 mos. 4.46% 4.49%
Caps/floors
Sold 2,837 (5) 6 yrs. 5 mos. NM NM
Purchased 2,356 7 3 yrs. 7 mos. NM NM
Futures 5,564 8 mos. NM NM
Foreign exchange 7,028 8 7 mos. NM NM
Equity 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 (58)
Other risk management and proprietary
Interest rate
Swaps 41,247 6 4 yrs. 5 mos. 4.44% 4.47%
Caps/floors
Sold 6,250 (82) 2 yrs. 1 mo. NM NM
Purchased 7,760 117 1 yr. 11 mos. NM NM
Futures 43,107 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 (c) 442 (201) NM NM NM
Total other risk management and proprietary 178,673 (56)
Total free-standing derivatives $263,740 $ (114)
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of a notional amount, 52% were based on 1-month LIBOR, 43% on 3-month LIBOR
and 5% on Prime Rate.
(b) Fair value amounts include net accrued interest receivable of $130 million.
(c) See (e) on page 70.
NM Not meaningful
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