US Bank 2010 Annual Report Download - page 113

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The following table summarizes the customer-related derivative positions of the Company:
(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
December 31, 2010
Interest rate contracts
Receive fixed/pay floating swaps . . . . . . . . . . . . . . . . . . . . . $15,730 $956 4.64 $ 1,294 $ 21 6.01
Pay fixed/receive floating swaps . . . . . . . . . . . . . . . . . . . . . 1,315 24 6.12 15,769 922 4.68
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2,024 13 1.98 115 12 .36
Written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 472 12 .26 1,667 13 2.35
Foreign exchange rate contracts
Forwards, spots and swaps (a) . . . . . . . . . . . . . . . . . . . . . . 7,772 384 .74 7,694 360 .75
Options
Purchased . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 224 6 .40 – – –
Written . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . – – – 224 6 .40
December 31, 2009
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
(a) Reflects the net of long and short positions.
The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains
(losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax):
Year Ended December 31 (Dollars in Millions) 2010 2009 2010 2009
Gains (Losses) Recognized in Other
Comprehensive Income (Loss)
Gains (Losses) Reclassified from
Other Comprehensive Income (Loss)
into Earnings
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps (a) . . . . . . . . . . . . . . . . . . . . . . . $(235) $114 $(148) $(209)
Net investment hedges
Foreign exchange forward contracts . . . . . . . . . . . . . . . . . . . . . . . . (25) (44) – –
Note: Ineffectiveness on cash flow and net investment hedges was not material for the year ended December 31, 2010.
(a) Gains (Losses) reclassified from other comprehensive income (loss) into interest income (expense) on long-term debt.
U.S. BANCORP 111