US Bank 2005 Annual Report Download - page 48

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value hedges are primarily interest rate swaps that hedge the
By their nature, derivative instruments are subject to change in fair value related to interest rate changes of
market risk. The Company does not utilize derivative underlying fixed-rate debt and subordinated obligations.
instruments for speculative purposes. Of the Company’s In addition, the Company uses forward commitments
$30.2 billion of total notional amount of asset and liability to sell residential mortgage loans to hedge its interest rate
management derivative positions at December 31, 2005, risk related to residential mortgage loans held for sale. The
$27.4 billion was designated as either fair value or cash flow Company commits to sell the loans at specified prices in a
hedges, or net investment hedges of foreign operations. The future period, typically within 90 days. The Company is
cash flow hedge derivative positions are interest rate swaps exposed to interest rate risk during the period between
that hedge the forecasted cash flows from the underlying issuing a loan commitment and the sale of the loan into the
variable-rate LIBOR loans and floating-rate debt. The fair secondary market. Related to its mortgage banking
Derivative Positions
Asset and Liability Management Positions
Weighted-
Average
Maturing Remaining
December 31, 2005 Fair Maturity
(Dollars in Millions) 2006 2007 2008 2009 2010 Thereafter Total Value In Years
Interest rate contracts
Receive fixed/pay floating swaps
Notional amount ******************** $ 800 $3,970 $3,750 $1,750 $500 $5,600 $16,370 $ (82) 7.79
Weighted-average
Receive rate ******************** 3.82% 4.22% 3.98% 4.62% 4.56% 6.15% 4.86%
Pay rate************************ 4.36 4.34 4.32 4.41 4.46 4.77 4.49
Pay fixed/receive floating swaps
Notional amount ******************** $4,450 $3,600 $1,000 $ — $ — $ 113 $ 9,163 $139 1.33
Weighted-average
Receive rate ******************** 4.32% 4.29% 4.37% —% —% 4.46% 4.32%
Pay rate************************ 2.95 3.42 3.75 — — 4.91 3.24
Futures and forwards *******************
Buy**************************** $ 104 $ — $ — $ — $ — $ — $ 104 $ — .07
Sell **************************** 2,669 ———— —2,669 (15) .09
Options
Written *************************** $1,086 $ — $ — $ — $ — $ — $ 1,086 $ 3 .08
Foreign exchange contracts
Cross-currency swaps
Notional amount ******************** $ — $ — $ — $ — $ — $ 387 $ 387 $ 11 9.61
Weighted average
Receive rate ******************** —% —% —% —% —% 3.80% 3.80%
Pay rate************************ ————— 4.46 4.46
Forwards ***************************** $ 404 $ — $ — $ — $ — $ — $ 404 $ 7 .05
Equity contracts *********************** $ — $ — $ — $ 42 $ — $ — $ 42 $ 3 3.29
Customer-related Positions
Weighted-
Average
Maturing Remaining
December 31, 2005 Fair Maturity
(Dollars in Millions) 2006 2007 2008 2009 2010 Thereafter Total Value In Years
Interest rate contracts
Receive fixed/pay floating swaps
Notional amount*********************** $1,060 $1,184 $1,653 $959 $1,410 $3,487 $9,753 $(69) 5.25
Pay fixed/receive floating swaps
Notional amount*********************** 1,055 1,163 1,633 960 1,403 3,493 9,707 121 5.25
Options
Purchased**************************** 239 642 191 165 179 37 1,453 6 2.26
Written ******************************* 239 642 191 165 179 37 1,453 (5) 2.26
Risk participation agreements
Purchased**************************** 5 35 3 21 6 73 143 — 8.02
Written ******************************* 22 3 25 17 43 59 169 — 4.64
Foreign exchange rate contracts
Forwards, spots and swaps
Buy********************************** $1,810 $ 111 $ 45 $ 39 $ 37 $ — $2,042 $ 77 .43
Sell ********************************** 1,778 118 46 39 37 — 2,018 (73) .46
Options
Purchased**************************** 56———— —56 1.24
Written ******************************* 56———— —56 (1).24
46 U.S. BANCORP
Table 18