Wells Fargo 2015 Annual Report Download - page 211

Table 16.1: Notional or Contractual Amounts and Fair Values of Derivatives
December 31, 2015 December 31, 2014
Notional or Fair value Notional or Fair value
contractual Asset Liability contractual Asset Liability
(in millions) amount derivatives derivatives amount derivatives derivatives
Derivatives designated as hedging instruments
Interest rate contracts (1) $ 191,684 7,477 2,253 148,967 6,536 2,435
Foreign exchange contracts (1) 25,115 378 2,494 26,778 752 1,347
Total derivatives designated as
qualifying hedging instruments 7,855 4,747 7,288 3,782
Derivatives not designated as hedging instruments
Economic hedges:
Interest rate contracts (2) 211,375 195 315 221,527 697 487
Equity contracts 7,427 531 47 5,219 367 96
Foreign exchange contracts 16,407 321 100 14,405 275 28
Subtotal (3) 1,047 462 1,339 611
Customer accommodation, trading and
other derivatives:
Interest rate contracts 4,685,898 55,053 55,409 4,378,767 56,465 57,137
Commodity contracts 47,571 4,659 5,519 88,640 7,461 7,702
Equity contracts 139,956 7,068 4,761 138,422 8,638 6,942
Foreign exchange contracts 295,962 8,248 8,339 253,742 6,377 6,452
Credit contracts - protection sold 10,544 83 541 12,304 151 943
Credit contracts - protection purchased 18,018 567 88 16,659 755 168
Other contracts 1,041 — 58 1,994 — 44
Subtotal 75,678 74,715 79,847 79,388
Total derivatives not designated as hedging instruments 76,725 75,177 81,186 79,999
Total derivatives before netting 84,580 79,924 88,474 83,781
Netting (3) (66,924) (66,004) (65,869) (65,043)
Total $ 17,656 13,920 22,605 18,738
(1) Notional amounts presented exclude $1.9 billion of interest rate contracts at both December 31, 2015 and 2014, for certain derivatives that are combined for designation
as a hedge on a single instrument. The notional amount for foreign exchange contracts at December 31, 2015 and 2014, excludes $7.8 billion and $2.7 billion, respectively
for certain derivatives that are combined for designation as a hedge on a single instrument.
(2) Includes economic hedge derivatives used to hedge the risk of changes in the fair value of residential MSRs, MHFS, loans, derivative loan commitments and other interests
held.
(3) Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See the next table
in this Note for further information.
Table 16.2 provides information on the gross fair values of
derivative assets and liabilities, the balance sheet netting
adjustments and the resulting net fair value amount recorded on
our balance sheet, as well as the non-cash collateral associated
with such arrangements. We execute substantially all of our
derivative transactions under master netting arrangements. We
reflect all derivative balances and related cash collateral subject
to enforceable master netting arrangements on a net basis within
the balance sheet. The “Gross amounts recognized” column in
the following table include $69.9 billion and $74.0 billion of
gross derivative assets and liabilities, respectively, at
December 31, 2015, and $69.6 billion and $75.0 billion,
respectively, at December 31, 2014, with counterparties subject
to enforceable master netting arrangements that are carried on
the balance sheet net of offsetting amounts. The remaining gross
derivative assets and liabilities of $14.6 billion and $5.9 billion,
respectively, at December 31, 2015 and $18.9 billion and
$8.8 billion, respectively, at December 31, 2014, include those
with counterparties subject to master netting arrangements for
which we have not assessed the enforceability because they are
with counterparties where we do not currently have positions to
offset, those subject to master netting arrangements where we
have not been able to confirm the enforceability and those not
subject to master netting arrangements. As such, we do not net
derivative balances or collateral within the balance sheet for
these counterparties.
We determine the balance sheet netting adjustments based
on the terms specified within each master netting arrangement.
We disclose the balance sheet netting amounts within the
column titled “Gross amounts offset in consolidated balance
sheet.” Balance sheet netting adjustments are determined at the
counterparty level for which there may be multiple contract
types. For disclosure purposes, we allocate these adjustments to
the contract type for each counterparty proportionally based
upon the “Gross amounts recognized” by counterparty. As a
result, the net amounts disclosed by contract type may not
represent the actual exposure upon settlement of the contracts.
Balance sheet netting does not include non-cash collateral
that we receive and pledge. For disclosure purposes, we present
the fair value of this non-cash collateral in the column titled
“Gross amounts not offset in consolidated balance sheet
(Disclosure-only netting)” within the table. We determine and
allocate the Disclosure-only netting amounts in the same
manner as balance sheet netting amounts.
The “Net amounts” column within the following table
represents the aggregate of our net exposure to each
counterparty after considering the balance sheet and Disclosure-
only netting adjustments. We manage derivative exposure by
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