PNC Bank 2012 Annual Report Download - page 227
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Table 133: Derivatives Total Notional or Contractual Amounts and Fair Values
December 31, 2012 December 31, 2011
In millions
Notional/
Contract
Amount
Asset
Fair
Value (a)
Liability
Fair
Value (b)
Notional/
Contract
Amount
Asset
Fair
Value (a)
Liability
Fair
Value (b)
Derivatives designated as hedging instruments under GAAP
Interest rate contracts:
Cash flow hedges:
Receive fixed swaps (c) $ 13,428 $ 504 $ 13,902 $ 529
Forward purchase commitments 250 1 2,733 43
Subtotal $ 13,678 $ 505 $ 16,635 $ 572
Fair value hedges:
Receive fixed swaps (c) $ 12,394 $1,365 $ 10,476 $1,316
Pay fixed swaps (c) (d) 2,319 2 $ 144 1,797 $ 116
Subtotal $ 14,713 $1,367 $ 144 $ 12,273 $1,316 $ 116
Foreign exchange contracts:
Net investment hedge 879 8 326
Total derivatives designated as hedging instruments $ 29,270 $1,872 $ 152 $ 29,234 $1,888 $ 116
Derivatives not designated as hedging instruments under GAAP
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
Interest rate contracts:
Swaps $ 59,607 $2,204 $1,790 $ 98,406 $3,127 $2,673
Swaptions 5,890 209 119 10,312 216 167
Futures (e) 49,816 63,616
Future options 34,350 5 2 8,000
Mortgage-backed securities commitments 3,429 3 1 5,287 47 14
Subtotal $153,092 $2,421 $1,912 $185,621 $3,390 $2,854
Loan sales
Interest rate contracts:
Futures (e) $ 702 $ 634
Bond options 900 $ 3 1,250 $ 3
Mortgage-backed securities commitments 8,033 5 $ 14 5,840 16 $ 39
Residential mortgage loan commitments 4,092 85 3,646 49
Subtotal $ 13,727 $ 93 $ 14 $ 11,370 $ 68 $ 39
Subtotal $166,819 $2,514 $1,926 $196,991 $3,458 $2,893
Derivatives used for commercial mortgage banking activities
Interest rate contracts:
Swaps $ 1,222 $ 56 $ 84 $ 1,180 $ 43 $ 77
Swaptions 450 3
Futures (e) 2,030
Commercial mortgage loan commitments 1,259 12 9 995 8 3
Subtotal $ 4,511 $ 68 $ 93 $ 2,625 $ 54 $ 80
Credit contracts:
Credit default swaps 95 2 95 5
Subtotal $ 4,606 $ 70 $ 93 $ 2,720 $ 59 $ 80
208 The PNC Financial Services Group, Inc. – Form 10-K