PNC Bank 2010 Annual Report Download - page 172
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Derivatives Not Designated as Hedging Instruments under GAAP
Year ended
December 31
In millions 2010 2009
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
Interest rate contracts $440 $27
Loan sales
Interest rate contracts (81) (80)
Gains (losses) from residential mortgage banking activities (a) $359 $ (53)
Derivatives used for commercial mortgage banking activities:
Interest rate contracts $ (63) $88
Credit contracts (22) (35)
Gains (losses) from commercial mortgage banking activities (b) $ (85) $53
Derivatives used for customer-related activities:
Interest rate contracts $16 $29
Foreign exchange contracts 44 81
Equity contracts (2) 2
Credit contracts (1)
Gains (losses) from customer-related activities (b) $58 $ 111
Derivatives used for other risk management activities:
Interest rate contracts $ (9) $35
Foreign exchange contracts (6) (10)
Credit contracts 4(23)
Other contracts (c) 86 (178)
Gains (losses) from other risk management activities (b) $75 $(176)
Total gains (losses) from derivatives not designated as hedging instruments $407 $ (65)
(a) Included in residential mortgage noninterest income.
(b) Included in other noninterest income.
(c) Relates to BlackRock LTIP.
C
REDIT
D
ERIVATIVES
The credit derivative underlying is based on the credit risk of a specific entity, entities, or an index. We enter into credit
derivatives, specifically credit default swaps and risk participation agreements, as part of our commercial mortgage banking
hedging activities and for customer and other risk management purposes. Details regarding credit default swaps and risk
participations sold follows:
Credit Default Swaps
December 31, 2010 December 31, 2009
Dollars in millions
Notional
Amount
Estimated
Net Fair
Value
Weighted-Average
Remaining
Maturity In Years
Notional
Amount
Estimated
Net Fair
Value
Weighted-Average
Remaining
Maturity In Years
Credit Default Swaps – Sold
Single name $ 45 $ 4 2.8 $ 85 $ (4) 3.2
Index traded 189 2 2.0 457 6.1
Total $234 $ 6 2.2 $ 542 $ (4) 5.7
Credit Default Swaps – Purchased
Single name $317 $ 2 2.6 $ 586 $ 1 3.7
Index traded 210 8 38.8 460 53 35.9
Total $527 $10 17.0 $1,046 $54 17.9
Total $761 $16 12.5 $1,588 $50 13.7
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