US Bank 2012 Annual Report Download - page 125

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The following table summarizes the asset and liability management derivative positions of the Company:
Asset Derivatives Liability Derivatives
(Dollars in Millions)
Notional
Value
Fair
Value
Weighted-Average
Remaining
Maturity
In Years
Notional
Value
Fair
Value
Weighted-Average
Remaining
Maturity
In Years
December 31, 2012
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ............. $ 500 $ 30 3.09 $ – $ – –
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps ............. 32 – 9.88 4,528 718 3.79
Receive fixed/pay floating swaps ............. 7,000 45 1.84 – – –
Net investment hedges
Foreign exchange forward contracts ............ 758 1 .07 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy......................................... 11,164 138 .07 2,921 13 .04
Sell ......................................... 6,299 18 .11 12,223 57 .09
Options
Purchased ................................. 2,435 – .07 – – –
Written ..................................... 4,991 123 .12 4 – .06
Receive fixed/pay floating swaps ............. 350 1 10.21 3,775 14 10.21
Foreign exchange forward contracts ............ 618 4 .03 1,383 6 .01
Equity contracts ................................. 31 – 2.80 27 – 2.46
Credit contracts ................................. 1,056 3 4.56 1,947 10 3.11
December 31, 2011
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ............. 500 27 4.09 – – –
Foreign exchange cross-currency swaps ....... 688 17 5.17 432 23 5.17
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps ............. – – – 4,788 803 4.03
Receive fixed/pay floating swaps ............. 750 – 2.75 6,250 6 2.86
Net investment hedges
Foreign exchange forward contracts ............ 708 4 .08 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy......................................... 14,270 150 .07 29 – .12
Sell ......................................... 231 1 .15 14,415 134 .11
Options
Purchased ................................. 1,250 – .07 – – –
Written ..................................... 4,421 80 .10 11 1 .13
Receive fixed/pay floating swaps ............. 2,625 9 10.21 – – –
Foreign exchange forward contracts ............ 307 1 .08 1,414 11 .08
Equity contracts ................................. 54 1 1.05 10 – .64
Credit contracts ................................. 800 7 3.71 1,600 8 3.59
U.S. BANCORP 121