US Bank 2013 Annual Report Download - page 125
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The following table summarizes the customer-related 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, 2013
Interest rate contracts
Receive fixed/pay floating swaps ....... $11,717 $ 600 5.11 $ 7,291 $ 106 5.57
Pay fixed/receive floating swaps ....... 6,746 114 6.03 12,361 560 4.90
Options
Purchased ........................... 3,489 33 4.53 – – –
Written ............................... – – – 3,489 33 4.53
Foreign exchange rate contracts
Forwards, spots and swaps ............ 10,970 457 .59 9,975 427 .62
Options
Purchased ........................... 364 11 .53 – – –
Written ............................... – – – 364 11 .53
Total ............................ $33,286 $1,215 $33,480 $1,137
December 31, 2012
Interest rate contracts
Receive fixed/pay floating swaps ....... $16,671 $1,085 4.78 $ 1,090 $ 15 9.30
Pay fixed/receive floating swaps ....... 928 14 11.12 16,923 1,042 4.74
Options
Purchased ........................... 3,046 16 5.24 28 – 4.42
Written ............................... 286 – .75 2,788 16 5.68
Foreign exchange rate contracts
Forwards, spots and swaps ............ 12,186 322 .43 11,861 286 .44
Options
Purchased ........................... 323 6 .55 – – –
Written ............................... – – – 323 6 .55
Total ............................ $33,440 $1,443 $33,013 $1,365
The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the
gains (losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax) for the years ended
December 31:
Gains (Losses) Recognized in Other
Comprehensive Income (Loss)
Gains (Losses) Reclassified from
Other Comprehensive Income (Loss)
into Earnings
(Dollars in Millions) 2013 2012 2011 2013 2012 2011
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a) ..................................... $ 25 $(46) $(213) $(118) $(131) $(138)
Net investment hedges
Foreign exchange forward contracts .......................... (45) (19) 34 – – –
Non-derivative debt instruments .............................. –20– –––
Note: Ineffectiveness on cash flow and net investment hedges was not material for the years ended December 31, 2013, 2012 and 2011.
(a) Gains (Losses) reclassified from other comprehensive income (loss) into interest income on loans and interest expense on long-term debt.
U.S. BANCORP 123