Capital One 2014 Annual Report Download - page 224

•Free-Standing Derivatives: We use free-standing derivatives to hedge the risk of changes in the fair value of
residential MSRs, mortgage loan origination and purchase commitments and other interests held. We also
categorize our customer accommodation derivatives and the related offsetting contracts as free-standing
derivatives. Changes in the fair value of free-standing derivatives are recorded in earnings as a component of
other non-interest income.
Balance Sheet Presentation
The following table summarizes the notional and fair values of our derivative instruments reported on our
consolidated balance sheets as of December 31, 2014 and 2013. The fair value amounts are segregated by derivatives
that are designated as accounting hedges and those that are not, and are further segregated by type of contract within
those two categories.
Table 10.1: Derivative Assets and Liabilities at Fair Value
December 31, 2014 December 31, 2013
Notional or Derivative Notional or Derivative
Contractual Contractual
(Dollars in millions) Amount Assets Liabilities Amount Assets Liabilities
Derivatives designated as accounting
hedges:
Interest rate contracts:
Fair value hedges . . . . . . . . . . . . . . $ 24,543 $ 289 $ 22 $ 15,695 $ 289 $ 223
Cash flow hedges . . . . . . . . . . . . . . 24,450 95 7 12,825 0 149
Total interest rate contracts . . . . . . . . . . 48,993 384 29 28,520 289 372
Foreign exchange contracts:
Cash flow hedges . . . . . . . . . . . . . . 5,546 221 2 4,806 49 53
Net investment hedges . . . . . . . . . . 2,476 73 0 00 0
Total foreign exchange contracts . . . . . . 8,022 294 2 4,806 49 53
Total derivatives designated as
accounting hedges . . . . . . . . . . . . . 57,015 678 31 33,326 338 425
Derivatives not designated as accounting
hedges:
Interest rate contracts covering:
MSRs(1) . . . . . . . . . . . . . . . . . . . . . . 777 9 2 353 0 7
Customer accommodation . . . . . . . 27,646 376 217 25,365 405 209
Other interest rate exposures(2) . . . . 2,614 33 21 1,864 29 17
Total interest rate contracts . . . . . . . . . . 31,037 418 240 27,582 434 233
Foreign exchange contracts . . . . . . . . . . 00 01,422 184 37
Other contracts . . . . . . . . . . . . . . . . . . . . 593 0 5 1,094 3 15
Total derivatives not designated as
accounting hedges . . . . . . . . . . . . . 31,630 418 245 30,098 621 285
Total derivatives . . . . . . . . . . . . . . . . . . . $ 88,645 $ 1,096 $ 276 $ 63,424 $ 959 $ 710
(1) Includes interest rate swaps and To Be Announced (“TBA”) contracts.
(2) Other interest rate exposures include mortgage related derivatives.
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CAPITAL ONE FINANCIAL CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
Capital One Financial Corporation (COF)