US Bank 2009 Annual Report Download - page 111

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The following table summarizes the derivative positions of the Company at December 31, 2009:
(Dollars in Millions)
Notional
Value
Fair
Value
Weighted - Average
Remaining
Maturity
In Years
Notional
Value
Fair
Value
Weighted - Average
Remaining
Maturity
In Years
Asset Derivatives Liability Derivatives
Asset and Liability Management Positions
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps . . . . . . . . . . . . . . $ 3,235 $ 70 32.71 $ 1,950 $ 32 20.52
Foreign exchange cross-currency swaps . . . . . . . . . . 1,864 272 6.81 – – –
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps . . . . . . . . . . . . . . – – – 8,363 556 3.58
Net investment hedges
Foreign exchange forward contracts (a) . . . . . . . . . . . 536 15 .08 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,250 6 .07 9,862 190 .05
Sell . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7,533 91 .11 1,260 3 .06
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . 5,250 – .06 – – –
Written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,546 9 .08 594 2 .09
Foreign exchange forward contracts . . . . . . . . . . . . . 113 1 .08 293 2 .08
Equity contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 2 1.58 29 1 .29
Credit contracts . . . . . . . . . . . . . . . . . . . . . . . . . . . 863 2 3.68 1,261 1 3.05
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps . . . . . . . . . . . . . . . . 18,700 854 4.46 1,083 19 7.00
Pay fixed/receive floating swaps . . . . . . . . . . . . . . . . 1,299 24 7.36 18,490 821 4.45
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1,841 20 1.68 231 12 .85
Written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 477 12 .56 1,596 20 1.90
Foreign exchange rate contracts
Forwards, spots and swaps (a) . . . . . . . . . . . . . . . . . 5,607 193 .46 5,563 184 .45
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 311 11 .64 – – –
Written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – – – 311 11 .64
Total fair value of derivative positions . . . . . . . . . . . . . . 1,582 1,854
Netting (b) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . (421) (995)
Total. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $1,161 $ 859
(a) Reflects the net of long and short positions.
(b) Represents netting of derivative asset and liability balances, and related cash collateral, with the same counterparty subject to master netting agreements. Authoritative
accounting guidance permits the netting of derivative receivables and payables when a legally enforceable master netting agreement exists between the Company and a
derivative counterparty. A master netting agreement is an agreement between two counterparties who have multiple derivative contracts with each other that provide for the
net settlement of contracts through a single payment, in a single currency, in the event of default on or termination of any one contract. At December 31, 2009, the amount of
cash collateral posted by counterparties that was netted against derivative assets was $116 million and the amount of cash collateral posted by the Company that was netted
against derivative liabilities was $691 million.
Note: The fair values of asset and liability derivatives are included in Other assets and Other liabilities on the Consolidated Balance Sheet, respectively.
U.S. BANCORP 109