US Bank 2014 Annual Report Download - page 130

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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, 2014
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ........................ $ 2,750 $ 65 5.69 $ – $ – –
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps ........................ 272 6 7.76 5,748 315 1.94
Receive fixed/pay floating swaps ........................ 250 – .16 – – –
Net investment hedges
Foreign exchange forward contracts ....................... 1,047 31 .04 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy ................................................... 4,839 45 .07 60 – .08
Sell ................................................... 448 10 .13 6,713 62 .09
Options
Purchased ............................................ 2,500 – .06 – – –
Written ............................................... 2,643 31 .08 4 – .11
Receive fixed/pay floating swaps ........................ 3,552 14 10.22 250 1 10.22
Pay fixed/receive floating swaps ........................ 15 – 10.22 – – –
Foreign exchange forward contracts ....................... 510 3 .03 6,176 41 .02
Equity contracts ........................................... 86 3 .60 – – –
Credit contracts ........................................... 1,247 3 3.29 2,282 5 2.85
Other(a) ....................................................... 58 4 .03 390 48 3.20
Total.................................................. $20,217 $215 $21,623 $472
December 31, 2013
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ........................ $ 500 $ 22 2.09 $ – $ – –
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps ........................ 772 26 6.25 4,288 498 2.46
Receive fixed/pay floating swaps ........................ 7,000 26 .84 – – –
Net investment hedges
Foreign exchange forward contracts ....................... – – – 1,056 4 .04
Other economic hedges
Interest rate contracts
Futures and forwards
Buy ................................................... 2,310 9 .07 1,025 7 .06
Sell ................................................... 5,234 58 .08 346 4 .17
Options
Purchased ............................................ 2,300 – .07 – – –
Written ............................................... 1,902 17 .07 2 – .08
Receive fixed/pay floating swaps ........................ – – – 3,540 56 10.22
Foreign exchange forward contracts ....................... 6,813 24 .02 2,121 4 .02
Equity contracts ........................................... 79 3 1.62 – – –
Credit contracts ........................................... 1,209 4 4.04 2,352 7 3.08
Total.................................................. $28,119 $189 $14,730 $580
(a) Includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $58 million at December 31, 2014, and derivative liability swap agreements
related to the sale of a portion of the Company’s Class B common shares of Visa Inc. The Visa swap agreements had a total notional value, fair value and weighted average remaining maturity of
$332 million, $44 million and 3.75 years at December 31, 2014, respectively.
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