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DERIVATIVE POSITIONS
ASSET AND LIABILITY MANAGEMENT POSITIONS
Weighted-
Average
Maturing Remaining
Fair Maturity
December 31, 2006 (Dollars in Millions) 2007 2008 2009 2010 2011 Thereafter Total Value In Years
INTEREST RATE CONTRACTS
Receive fixed/pay floating swaps
Notional amount ********************* $ 630 $1,000 $ – $ – $1,500 $2,215 $ 5,345 $ 27 22.97
Weighted-average
Receive rate ********************* 5.05% 5.80% –% –% 5.93% 6.34% 5.97%
Pay rate ************************ 5.44 5.35 – – 5.35 5.66 5.49
Pay fixed/receive floating swaps
Notional amount ********************* $8,100 $2,000 $ – $ – $ – $2,229 $12,329 $ – 2.33
Weighted-average
Receive rate ********************* 5.34% 5.31% –% –% –% 5.39% 5.34%
Pay rate ************************ 4.59 5.18 – – – 5.26 4.81
Futures and forwards
Buy ******************************* $8 $– $– $– $– $– $ 8 $– .07
Sell ******************************* 6,816 –––– –6,816 3 .17
Options
Written **************************** $7,544 $ – $ – $ – $ – $ – $ 7,544 $ (1) .13
FOREIGN EXCHANGE CONTRACTS
Cross-currency swaps
Notional amount ********************* $ – $ – $ – $ – $ – $ 386 $ 386 $ 14 8.61
Weighted-average
Receive rate ********************* –% –% –% –% –% 3.80% 3.80%
Pay rate ************************ –––––5.54 5.54
Forwards ****************************** $318 $– $– $– $– $– $318 $1 .02
EQUITY CONTRACTS******************** $ 5 $ – $ 52 $ – $ 29 $ – $ 86 $ 4 2.95
CREDIT DEFAULT SWAPS *************** $ – $ – $ – $ – $ 25 $ – $ 25 $ (1) 4.72
CUSTOMER-RELATED POSITIONS
Weighted-
Average
Maturing Remaining
Fair Maturity
December 31, 2006 (Dollars in Millions) 2007 2008 2009 2010 2011 Thereafter Total Value In Years
INTEREST RATE CONTRACTS
Receive fixed/pay floating swaps ***********
Notional amount ********************* $1,167 $1,519 $1,152 $1,366 $1,074 $4,093 $10,371 $(42) 5.42
Pay fixed/receive floating swaps
Notional amount ********************* 1,145 1,515 1,145 1,357 1,074 4,105 10,341 98 5.42
Options
Purchased ************************** 812 269 469 125 197 27 1,899 5 1.92
Written **************************** 812 269 469 125 197 27 1,899 (3) 1.92
Risk participation agreements
Purchased ************************** 33 3 34 6 18 112 206 – 6.62
Written **************************** 8 25 71 33 11 208 356 – 6.05
FOREIGN EXCHANGE RATE CONTRACTS
Forwards, spots and swaps
Buy ******************************* $1,819 $ 119 $ 88 $ 51 $ 15 $ – $ 2,092 $ 52 .46
Sell ******************************* 1,759 117 91 51 15 – 2,033 (43) .47
Options
Purchased ************************** 408–––– – 408(3).44
Written **************************** 408–––– – 4083.44
related positions’’). To manage its interest rate risk, the acts as a seller and buyer of interest rate contracts and
Company may enter into interest rate swap agreements and foreign exchange rate contracts on behalf of customers. The
interest rate options such as caps and floors. Interest rate Company minimizes its market and liquidity risks by taking
swaps involve the exchange of fixed-rate and variable-rate similar offsetting positions.
payments without the exchange of the underlying notional All interest rate derivatives that qualify for hedge
amount on which the interest payments are calculated. accounting are recorded at fair value as other assets or
Interest rate caps protect against rising interest rates while liabilities on the balance sheet and are designated as either
interest rate floors protect against declining interest rates. In ‘‘fair value’’ or ‘‘cash flow’’ hedges. The Company performs
connection with its mortgage banking operations, the an assessment, both at inception and quarterly thereafter,
Company enters into forward commitments to sell mortgage when required, to determine whether these derivatives are
loans related to fixed-rate mortgage loans held for sale and highly effective in offsetting changes in the value of the
fixed-rate mortgage loan commitments. The Company also hedged items. Hedge ineffectiveness for both cash flow and
46 U.S. BANCORP
Table 18