US Bank 2001 Annual Report Download - page 39

Derivative Positions
Asset and Liability Management Positions
Weighted-
Average
Maturing Remaining
December 31, 2001 Fair Maturity
(Dollars in Millions) 2002 2003 2004 2005 2006 Thereafter Total Value in Years
Receive Ñxed/pay Öoating swaps
Notional amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $3,295 $1,625 $3,223 $1,861 $875 $5,240 $16,119 $329.6 6.30
Weighted-average
Receive rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4.57% 6.04% 5.06% 6.05% 5.73% 6.68% 5.74%
Pay rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2.00 1.97 2.10 2.14 2.11 2.07 2.06
Pay Ñxed/receive Öoating swaps
Notional amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 500 $ 962 $ 500 $ Ì $ Ì $ Ì $ 1,962 $ (2.1) 1.74
Weighted-average
Receive rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1.79% 1.90% 1.87% Ì% Ì% Ì% 1.86%
Pay rate ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 2.08 4.24 3.98 Ì Ì Ì 3.62
Basis swaps ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $1,000 $ Ì $ Ì $ Ì $ Ì $ Ì $ 1,000 $ .2 0.69
Future and forwards ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 4,087ÌÌÌÌ Ì4,087 71.7 Ì
Options ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ ÌÌÌÌ45 Ì45Ì4.9
Customer Intermediated Positions
Weighted-
Average
Maturing Remaining
December 31, 2001 Fair Maturity
(Dollars in Millions) 2002 2003 2004 2005 2006 Thereafter Total Value In Years
Receive Ñxed/pay Öoating swaps
Notional amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ $ 218 $ 408 $ 386 $ 276 $424 $ 425 $ 2,137 $ 63.5 3.83
Pay Ñxed/receive Öoating swaps
Notional amount ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 217 409 386 276 424 425 2,137 (53.4) 3.83
Basis swaps ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ Ì Ì 2 Ì Ì Ì 2 Ì 2.67
Options ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 514 615 78 Ì Ì 4 1,211 Ì 1.29
Foreign exchange contracts
Purchase ÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1,810 26ÌÌÌ Ì1,836 60.0 .25
SellÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏÏ 1,801 26ÌÌÌ Ì1,827 (58.0) .25
from industry estimates of prepayment speeds. Because the in a 200 basis point parallel rate shock to 15 percent of the
results of these simulations can be signiÑcantly inÖuenced base case. Given the low level of rates currently the down
by assumptions utilized, management evaluates the 200 basis point scenario cannot be computed. ALPC
sensitivity of the simulation's results to changes in key reviews other down rate scenarios to evaluate the impact of
assumptions. falling rates.
The results from the simulation are reviewed by ALPC The valuation analysis is dependent upon certain key
monthly and are used to guide hedging strategies. ALPC assumptions about the nature of indeterminate maturity of
policy guidelines limit the estimated change in net interest assets and liabilities. Management estimates the average life
income to 5.0 percent of forecasted net interest income and rate characteristics of asset and liability accounts based
over the succeeding 12 months. In simulations as of upon historical analysis and management's expectation of
December 31, 2001, the interest rate risk position of the rate behavior. The results of the valuation analysis as of
Company was relatively neutral as the impact of a December 31, 2001, were well within policy guidelines.
downward movement in rates or an upward movement in
Repricing Mismatch Analysis The Company also evaluates
rates of 300 basis points over a twelve month period its interest rate sensitivity position to maintain a balance
resulted in less than 1.0 percent change in net interest between the amounts of interest-bearing assets and
income. At December 31, 2001, the Company was well interest-bearing liabilities which are expected to mature or
within policy guidelines. reprice at any point in time. While a traditional repricing
Market Value of Equity Modeling The Company also mismatch analysis (""gap analysis'') provides a snapshot of
utilizes the market value of equity as a measurement tool in interest rate risk, it does not take into consideration that
managing interest rate sensitivity. The market value of assets and liabilities with similar repricing characteristics
equity measures the degree to which the market values of may not reprice at the same time or to the same degree.
the Company's assets and liabilities and oÅ-balance sheet Also, it does not necessarily predict the impact of changes
instruments will change given a change in interest rates. in general levels of interest rates on net interest income.
ALPC guidelines limit the change in market value of equity
U.S. Bancorp
Table 17
37