US Bank 2011 Annual Report Download - page 114

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The following table provides information on the fair value of the Company’s derivative positions as of December 31:
2011 2010
(Dollars in Millions)
Asset
Derivatives
Liability
Derivatives
Asset
Derivatives
Liability
Derivatives
Total fair value of derivative positions .................................... $1,913 $ 2,554 $1,799 $ 2,174
Netting (a) ................................................................. (294) (1,889) (280) (1,163)
Total ................................................................... $1,619 $ 665 $1,519 $ 1,011
Note: The fair value of asset and liability derivatives are included in Other assets and Other liabilities on the Consolidated Balance Sheet, respectively.
(a) Represents netting of derivative asset and liability balances, and related collateral, with the same counterparty subject to master netting agreements. Authoritative accounting guidance permits
the netting of derivative receivables and payables when a legally enforceable master netting agreement exists between the Company and a derivative counterparty. A master netting agreement
is an agreement between two counterparties who have multiple derivative contracts with each other that provide for the net settlement of contracts through a single payment, in a single
currency, in the event of default on or termination of any one contract. At December 31, 2011, the amount of cash and money market investments collateral posted by counterparties that was
netted against derivative assets was $88 million and the amount of cash collateral posted by the Company that was netted against derivative liabilities was $1.7 billion. At December 31, 2010,
the amount of cash and money market investments collateral posted by counterparties that was netted against derivative assets was $55 million and the amount of cash collateral posted by
the Company that was netted against derivative liabilities was $936 million.
The following table summarizes the asset and liability management derivative positions of the Company:
Asset Derivatives Liability Derivatives
(Dollars in Millions)
Notional
Value
Fair
Value
Weighted-Average
Remaining
Maturity
In Years
Notional
Value
Fair
Value
Weighted-Average
Remaining
Maturity
In Years
December 31, 2011
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ...... $ 500 $ 27 4.09 $ – $ – –
Foreign exchange cross-currency
swaps .................................. 688 17 5.17 432 23 5.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps....... – – – 4,788 803 4.03
Receive fixed/pay floating swaps ...... 750 – 2.75 6,250 6 2.86
Net investment hedges
Foreign exchange forward contracts ..... 708 4 .08 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy.................................. 14,270 150 .07 29 – .12
Sell .................................. 231 1 .15 14,415 134 .11
Options
Purchased .......................... 1,250 – .07 – – –
Written .............................. 4,421 80 .10 11 1 .13
Receive fixed/pay floating swaps ...... 2,625 9 10.21 – – –
Foreign exchange forward contracts ..... 261 1 .08 567 5 .09
Equity contracts .......................... 54 1 1.05 10 – .64
Credit contracts .......................... 800 7 3.71 1,600 8 3.59
December 31, 2010
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ...... 1,800 72 55.75 – – –
Foreign exchange cross-currency
swaps .................................. 891 70 6.17 445 – 6.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps....... – – – 4,788 688 5.03
Net investment hedges
Foreign exchange forward contracts ..... 512 3 .08 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy.................................. 2,879 20 .10 6,312 79 .05
Sell .................................. 9,082 207 .07 6,002 51 .09
Options
Purchased .......................... 1,600 – .06 – – –
Written .............................. 6,321 23 .07 1,348 9 .07
Receive fixed/pay floating swaps ...... 2,250 3 10.22 – – –
Foreign exchange forward contracts ..... 158 1 .09 694 6 .09
Equity contracts .......................... 61 3 1.60 – – –
Credit contracts .......................... 650 2 3.22 1,183 7 2.71
112 U.S. BANCORP