US Bank 2015 Annual Report Download - page 131

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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, 2015
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps ..................... $ 3,050 $ 73 4.43 $ – $ – –
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps ...................... 1,772 7 9.22 5,009 146 1.13
Net investment hedges
Foreign exchange forward contracts .................... 1,140 4 .04 – – –
Other economic hedges
Interest rate contracts
Futures and forwards
Buy ........................................... 3,812 17 .07 452 1 .06
Sell ........................................... 3,201 12 .09 2,559 7 .12
Options
Purchased ..................................... 2,935 – .06 – – –
Written ........................................ 3,199 29 .10 5 1 .08
Receive fixed/pay floating swaps ..................... 3,733 42 9.98 4,748 18 10.18
Pay fixed/receive floating swaps ...................... 287 2 9.82 4,158 35 9.97
Foreign exchange forward contracts .................... 3,023 13 .01 2,380 10 .03
Equity contracts ..................................... 62 – .47 24 1 .82
Credit contracts ..................................... 1,192 2 2.58 2,821 3 2.99
Other(a) .............................................. 36 – .04 662 64 2.60
Total .......................................... $27,442 $201 $22,818 $286
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
(a) Includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $36 million and $58 million at December 31, 2015 and 2014, respectively, 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 $626 million, $64 million and 2.75 years at December 31, 2015, respectively, compared to $332 million, $44 million and 3.75 years at December 31,
2014, respectively.
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