PNC Bank 2010 Annual Report Download - page 170
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Please find page 170 of the 2010 PNC Bank annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.The aggregate fair value of all derivative instruments with
credit-risk-related contingent features that were in a net
liability position on December 31, 2010 was $868 million for
which PNC had posted collateral of $680 million in the
normal course of business. The maximum amount of collateral
PNC would have been required to post if the credit-risk-
related contingent features underlying these agreements had
been triggered on December 31, 2010, would be an additional
$188 million.
Derivatives Total Notional or Contractual Amounts and Estimated Net Fair Values
Asset Derivatives Liability Derivatives
December 31, 2010 December 31, 2009 December 31, 2010 December 31, 2009
In millions
Notional/
Contract
Amount
Fair
Value (a)
Notional/
Contract
Amount
Fair
Value (a)
Notional/
Contract
Amount
Fair
Value (b)
Notional/
Contract
Amount
Fair
Value (b)
Derivatives designated as hedging instruments
under GAAP
Interest rate contracts:
Cash flow hedges $ 13,635 $ 377 $ 6,394 $ 32 $ 3,167 $ 53 $ 7,011 $ 95
Fair value hedges 9,878 878 13,048 707 1,594 32
Total derivatives designated as hedging instruments $ 23,513 $1,255 $ 19,442 $ 739 $ 4,761 $ 85 $ 7,011 $ 95
Derivatives not designated as hedging instruments
under GAAP
Derivatives used for residential mortgage banking
activities:
Residential mortgage servicing
Interest rate contracts $112,236 $1,490 $ 88,593 $ 651 $ 66,476 $1,419 $ 42,874 $ 766
Loan sales
Interest rate contracts 11,765 119 4,251 39 3,585 31 1,977 14
Subtotal $124,001 $1,609 $ 92,844 $ 690 $ 70,061 $1,450 $ 44,851 $ 780
Derivatives used for commercial mortgage banking
activities:
Interest rate contracts $ 1,544 $ 78 $ 2,128 $ 67 $ 2,166 $ 114 $ 1,553 $ 74
Credit contracts:
Credit default swaps 210 8 410 59 50 7
Subtotal $ 1,754 $ 86 $ 2,538 $ 126 $ 2,166 $ 114 $ 1,603 $ 81
Derivatives used for customer- related activities:
Interest rate contracts $ 53,675 $2,608 $ 51,270 $2,193 $ 49,266 $2,700 $ 49,659 $2,237
Foreign exchange contracts 3,659 149 4,168 122 4,254 155 3,834 108
Equity contracts 195 16 195 16 139 19 156 16
Credit contracts:
Risk participation agreements 1,371 5 1,091 3 1,367 2 1,728 2
Subtotal $ 58,900 $2,778 $ 56,724 $2,334 $ 55,026 $2,876 $ 55,377 $2,363
Derivatives used for other risk management activities:
Interest rate contracts $ 3,420 $ 20 $ 3,222 $ 13 $ 1,099 $ 9 $ 2,360 $ 19
Foreign exchange contracts 39 1 32 4 2
Credit contracts:
Credit default swaps 376 9 516 13 175 1 612 15
Other contracts (c) 209 396 211 486
Subtotal $ 3,796 $ 29 $ 3,777 $ 27 $ 1,515 $ 410 $ 3,185 $ 520
Total derivatives not designated as hedging
instruments $188,451 $4,502 $155,883 $3,177 $128,768 $4,850 $105,016 $3,744
Total Gross Derivatives $211,964 $5,757 $175,325 $3,916 $133,529 $4,935 $112,027 $3,839
Less: Legally enforceable master netting agreements 3,203 1,600 3,203 1,600
Less: Cash collateral 659 269 674 506
Total Net Derivatives $1,895 $2,047 $1,058 $1,733
(a) Included in Other Assets on our Consolidated Balance Sheet.
(b) Included in Other Liabilities on our Consolidated Balance Sheet.
(c) Includes PNC’s obligation to fund a portion of certain BlackRock LTIP programs.
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