PNC Bank 2013 Annual Report Download - page 212

Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:
Table 133: Gains (Losses) on Derivatives Not Designated As Hedging Instruments under GAAP
Year ended December 31
In millions 2013 2012 2011
Derivatives used for residential mortgage banking activities:
Residential mortgage servicing
Interest rate contracts $(223) $ 269 $571
Loan sales
Interest rate contracts 286 127 54
Gains (losses) included in residential mortgage banking activities (a) $ 63 $ 396 $625
Derivatives used for commercial mortgage banking activities:
Interest rate contracts (b) (c) $12 $35 $ 5
Credit contracts (c) (2) (3) 6
Gains (losses) from commercial mortgage banking activities $ 10 $ 32 $ 11
Derivatives used for customer-related activities:
Interest rate contracts $ 149 $ 106 $ 78
Foreign exchange contracts 7 83 104
Equity contracts (3) (4) (3)
Credit contracts (1) (3) 2
Gains (losses) from customer-related activities (c) $ 152 $ 182 $181
Derivatives used for other risk management activities:
Interest rate contracts $ 3 $ (11) $ (43)
Foreign exchange contracts 2 (2) (2)
Credit contracts (1) (1)
Other contracts (d) (168) (94) 11
Gains (losses) from other risk management activities (c) $(163) $(108) $ (35)
Total gains (losses) from derivatives not designated as hedging instruments $ 62 $ 502 $782
(a) Included in Residential mortgage noninterest income.
(b) Included in Corporate services noninterest income.
(c) Included in Other noninterest income.
(d) Includes BlackRock LTIP funding obligation, a forward purchase commitment for certain loans upon conversion from a variable rate to a fixed rate, and the swaps entered into in
connection with sales of a portion of Visa Class B common shares.
C
REDIT D ERIVATIVES
The credit derivative underlying is based on the credit risk of a specific entity, entities, or an index. As discussed above, 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. Detail regarding credit default swaps and risk
participations sold follows.
Table 134: Credit Default Swaps (a)
December 31, 2013 December 31, 2012
Dollars in millions
Notional
Amount
Fair
Value (b)
Weighted-
Average
Remaining
Maturity
In Years
Notional
Amount
Fair
Value
Weighted-
Average
Remaining
Maturity
In Years
Credit Default Swaps – Purchased
Single name $35 7.3 $ 50 5.8
Index traded 60 35.2 60 $2 36.1
Total $95 24.9 $110 $2 22.4
(a) There were no credit default swaps sold as of December 31, 2013 and December 31, 2012.
(b) The fair value of credit default swaps purchased is less than $1 million as of December 31, 2013.
194 The PNC Financial Services Group, Inc. – Form 10-K