US Bank 2007 Annual Report Download - page 51

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The Company enters into derivatives to protect its net
investment in certain foreign operations. The Company uses
forward commitments to sell specified amounts of certain
foreign currencies to hedge fluctuations in foreign currency
exchange rates. The net amount of gains or losses included
U.S. BANCORP 49
Table 18 DERIVATIVE POSITIONS
ASSET AND LIABILITY MANAGEMENT POSITIONS
December 31, 2007 (Dollars in Millions) 2008 2009 2010 2011 2012 Thereafter Total
Fair
Value
Weighted-
Average
Remaining
Maturity
In Years
Maturing
Interest Rate Contracts
Receive fixed/pay floating swaps
Notional amount . . . . . . . . . . . . . . . . . . $ – $ – $– $ – $ – $3,750 $ 3,750 $ 17 40.87
Weighted-average
Receive rate . . . . . . . . . . . . . . . .... –% –% –% –% –% 6.32% 6.32%
Pay rate. . . . . . . . . . . . . . . . . . .... –––––5.41 5.41
Pay fixed/receive floating swaps
Notional amount . . . . . . . . . . . . . . . . . . $ 7,550 $4,000 $– $ – $ – $4,429 $15,979 $(307) 3.00
Weighted-average
Receive rate . . . . . . . . . . . . . . . .... 5.15% 5.11% –% –% –% 5.08% 5.12%
Pay rate. . . . . . . . . . . . . . . . . . .... 5.13 4.49 – – – 5.22 4.99
Futures and forwards
Buy . . . . . . . . . . . . . . . . . . . . . . . . . . . $12,459 $ – $– $ – $ – $ – $12,459 $ (51) .12
Sell . . . . . . . . . . . . . . . . . . . . . . . . . . . 11,427 –––––11,427 (33) .16
Options
Written . . . . . . . . . . . . . . . . . . . . . . . . . $10,689 $ – $– $ – $ – $ – $10,689 $ 10 .12
Foreign Exchange Contracts
Cross-currency swaps
Notional amount . . . . . . . . . . . . . . . . . . $ – $ – $– $ – $ – $1,913 $ 1,913 $ 196 8.80
Weighted-average
Receive rate . . . . . . . . . . . . . . . .... –% –% –% –% –% 4.24% 4.24%
Pay rate. . . . . . . . . . . . . . . . . . .... –––––4.87 4.87
Forwards. . . . . . . . . . . . . . . . . . . . . . .... $ 1,111 $ – $– $ – $ – $ – $ 1,111 $ (15) .03
Equity Contracts ..................... $ – $ 40 $– $33 $ – $ – $ 73 $ (3) 2.33
Credit Default Swaps ................. $ 5 $ 5 $– $25 $21 $ – $ 56 $ 1 3.60
CUSTOMER-RELATED POSITIONS
December 31, 2007 (Dollars in Millions) 2008 2009 2010 2011 2012 Thereafter Total
Fair
Value
Weighted-
Average
Remaining
Maturity
In Years
Maturing
Interest Rate Contracts
Receive fixed/pay floating swaps
Notional amount . . . . . . . . . . . . . . . . . . . $1,647 $2,212 $2,230 $1,349 $1,696 $5,126 $14,260 $ 386 5.10
Pay fixed/receive floating swaps
Notional amount . . . . . . . . . . . . . . . . . . . 1,647 2,204 2,214 1,358 1,695 5,135 14,253 (309) 5.08
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . 572 621 284 201 86 175 1,939 1 2.25
Written . . . . . . . . . . . . . . . . . . . . . . . . . 565 621 284 201 86 175 1,932 1 2.25
Risk participation agreements
Purchased . . . . . . . . . . . . . . . . . . . . . . 3 34 13 17 94 209 370 1 6.23
Written . . . . . . . . . . . . . . . . . . . . . . . . . 25 112 145 51 84 211 628 (1) 4.98
Foreign Exchange Rate Contracts
Forwards, spots and swaps
Buy . . . . . . . . . . . . . . . . . . . . . . . . . . . $3,113 $ 274 $ 78 $ 18 $ 3 $ – $ 3,486 $ 109 .44
Sell . . . . . . . . . . . . . . . . . . . . . . . . . . . 3,058 268 77 20 3 – 3,426 (95) .44
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . 252 8 48 – – – 308 (6) .68
Written . . . . . . . . . . . . . . . . . . . . . . . . . 237 8 48 – – – 293 6 .71