US Bank 2015 Annual Report Download - page 132
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The following table summarizes the customer-related 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
Interest rate contracts
Receive fixed/pay floating swaps .................... $32,647 $1,097 5.69 $14,068 $ 54 4.71
Pay fixed/receive floating swaps ..................... 10,685 43 4.55 35,045 1,160 5.74
Options
Purchased .................................... 8,705 10 2.61 146 1 2.23
Written ....................................... 146 2 2.23 8,482 9 2.57
Futures
Buy .......................................... – – – 2,859 2 .84
Sell .......................................... 45 – .97 – – –
Foreign exchange rate contracts
Forwards, spots and swaps ........................ 18,399 851 .59 17,959 830 .58
Options
Purchased .................................... 1,485 43 1.19 – – –
Written ....................................... – – – 1,485 43 1.19
Total ....................................... $72,112 $2,046 $80,044 $2,099
December 31, 2014
Interest rate contracts
Receive fixed/pay floating swaps .................... $21,724 $ 888 6.09 $ 5,880 $ 24 3.79
Pay fixed/receive floating swaps ..................... 4,622 26 3.27 21,821 892 6.08
Options
Purchased .................................... 4,409 10 3.79 24 – 2.42
Written ....................................... 24 – 2.42 4,375 10 3.79
Futures
Buy .......................................... 1,811 – .22 226 – .45
Sell .......................................... 152 – 1.08 46 – 1.73
Foreign exchange rate contracts
Forwards, spots and swaps ........................ 17,062 890 .52 14,645 752 .59
Options
Purchased .................................... 976 39 .44 – – –
Written ....................................... – – – 976 39 .44
Total ....................................... $50,780 $1,853 $47,993 $1,717
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