Fifth Third Bank 2004 Annual Report Download - page 52

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
50 Fifth Third Bancorp
2004 2003 2002
($ in millions) Amount Rate Amount Rate Amount Rate
As of December 31:
Federal funds purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $4,714 2.00% $6,928 .91% $4,748 1.21%
Short-term bank notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 775 2.30 500 1.05 — —
Other short-term borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,537 1.71 5,742 .74 4,075 1.27
Average for the years ending December 31:
Federal funds purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,896 1.30% $7,001 1.14% $3,262 1.66%
Short-term bank notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,003 1.46 22 1.06 2 3.40
Other short-term borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6,640 1.17 5,350 1.03 3,927 1.71
Maximum month-end balance:
Federal funds purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $8,037 $7,768 $5,976
Short-term bank notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,275 500 34
Other short-term borrowings . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,233 6,907 4,399
10. SHORT-TERM BORROWINGS
Borrowings with original maturities of one year or less are classifi ed
as short-term. Federal funds purchased are excess balances in reserve
accounts held at Federal Reserve Banks that the Bancorp purchased
from other member banks on an overnight basis. Bank notes are
promissory notes issued by the Bancorp’s subsidiary banks. Other
short-term borrowings includes securities sold under repurchase
agreements, Federal Home Loan Bank advances and other borrow-
ings with original maturities of one year or less. A summary of
short-term borrowings and weighted-average rates follows:
As of December 31, 2004, the Bancorp had issued $28 million
in commercial paper, with unused lines of credit of $72 million
available to support commercial paper transactions and other
corporate requirements.
The following table summarizes the Bancorp’s derivative position (excluding $13.6 billion in notional amount related to customer accom-
modation activity) as of December 31, 2004:
($ in millions)
Notional
Amount
Weighted-Average
Remaining Maturity
(in months)
Average Receive
Rate
Average Pay
Rate
Interest rate swaps related to debt:
Receive fi xed/pay fl oating . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $2,832 82 4.99% 2.83%
Receive fl oating/pay fi xed . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72 4 2.29 3.99
Forward contracts related to mortgage loans held for sale . . . . . . . . . . . . . 386 1
Mortgage servicing rights portfolio:
Principal only swaps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130 19 2.57
Receive fi xed/pay fl oating interest rate swaps . . . . . . . . . . . . . . . . . . . . 475 93 4.21 2.32
Receive fl oating/pay fi xed interest rate swaps . . . . . . . . . . . . . . . . . . . . 101 77 2.50 4.08
Purchased swaptions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,195 2 4.49
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $5,191
($ in millions) 2004 2003 2002
Foreign exchange contracts for customers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 45 35 25
Interest rate lock commitments and forward contracts related to interest rate lock commitments . . . . . . . . . . . . 1(1) (2)
Derivative instruments related to MSR portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (10) 15 100
Derivative instruments related to interest rate risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76—
The following table refl ects all free-standing derivatives included in the Consolidated Balance Sheets as of December 31:
($ in millions) 2004 2003
Included in other assets:
Foreign exchange contracts for customers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $168 167
Interest rate contracts for customers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 67
Interest rate lock commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1—
Forward contracts related to interest rate lock commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —(1)
Derivative instruments related to MSR portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 78
Derivative instruments related to interest rate risk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . —7
Total included in other assets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $222 248
Included in other liabilities:
Foreign exchange contracts for customers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $137 131
Interest rate contracts for customers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46 67
Interest rate lock commitments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1—
Derivative instruments related to MSR portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3—
Total included in other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $187 198