PNC Bank 2010 Annual Report Download - page 93
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Please find page 93 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 following table provides the notional or contractual amounts and estimated net fair value of financial derivatives at
December 31, 2010 and December 31, 2009.
Financial Derivatives December 31, 2010 December 31, 2009
In millions
Notional/
Contractual
Amount
Estimated
Net Fair
Value
Notional/
Contractual
Amount
Estimated
Net Fair
Value
Derivatives designated as hedging instruments under GAAP
Interest rate contracts (a)
Asset rate conversion
Receive fixed swaps $ 14,452 $ 332 $ 13,055 $ (64)
Pay fixed swaps 1,669 12
Liability rate conversion
Receive fixed swaps 9,803 834 13,048 707
Forward purchase commitments 2,350 (8) 350 1
Total interest rate risk management 28,274 1,170 26,453 644
Total derivatives designated as hedging instruments (b) $ 28,274 $1,170 $ 26,453 $ 644
Derivatives not designated as hedging instruments under GAAP
Derivatives used for residential mortgage banking activities:
Interest rate contracts
Swaps $ 83,421 $ 63 $ 38,596 $(152)
Caps/floors – Purchased 5,200 50
Futures 51,699 41,609
Future options 31,250 21 18,580 28
Swaptions 11,040 28 24,145 (22)
Commitments related to residential mortgage assets 16,652 47 9,565 6
Total residential mortgage banking activities $194,062 $ 159 $137,695 $ (90)
Derivatives used for commercial mortgage banking activities:
Interest rate contracts
Swaps (c) $ 1,744 $ (41) $ 1,948 $ (15)
Commitments related to commercial mortgage assets 1,966 5 1,733 8
Credit contracts
Credit default swaps 210 8 460 52
Total commercial mortgage banking activities $ 3,920 $ (28) $ 4,141 $ 45
Derivatives used for customer-related activities:
Interest rate contracts
Swaps (c) $ 92,248 $ (104) $ 91,090 $ (54)
Caps/floors
Sold 3,207 (15) 3,457 (15)
Purchased 2,528 14 2,115 14
Swaptions 2,165 13 1,996 11
Futures 2,793 2,271
Foreign exchange contracts 7,913 (6) 8,002 14
Equity contracts 334 (3) 351
Credit contracts
Risk participation agreements 2,738 3 2,819 1
Total customer-related $113,926 $ (98) $112,101 $ (29)
Derivatives used for other risk management activities:
Interest rate contracts
Swaps $ 3,021 $ 6 $ 4,667 $ 3
Swaptions 100 4 720 (9)
Futures 298 145
Future options
Commitments related to residential mortgage assets 1,100 1 50
Foreign exchange contracts (c) 32 (4) 41 1
Credit contracts
Credit default swaps 551 8 1,128 (2)
Other contracts (d) 209 (396) 211 (486)
Total other risk management $ 5,311 $ (381) $ 6,962 $(493)
Total derivatives not designated as hedging instruments $317,219 $ (348) $260,899 $(567)
Total Gross Derivatives $345,493 $ 822 $287,352 $ 77
(a) The floating rate portion of interest rate contracts is based on money-market indices. As a percent of notional amount, 58% were based on 1-month LIBOR and 42% on 3-month
LIBOR at December 31, 2010 compared with 57% and 43%, respectively, at December 31, 2009.
(b) Fair value amount includes net accrued interest receivable of $132 million at December 31, 2010 and $162 million at December 31, 2009.
(c) The increases in the negative fair values from December 31, 2009 to December 31, 2010 for interest rate contracts, foreign exchange, equity contracts and other contracts were due to
the changes in fair values of the existing contracts along with new contracts entered into during 2010 and contracts terminated.
(d) Includes PNC’s obligation to fund a portion of certain BlackRock LTIP programs.
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