Wells Fargo 2015 Annual Report Download - page 212

Note 16: Derivatives (continued)
monitoring the credit risk associated with each counterparty
using counterparty specific credit risk limits, using master
netting arrangements and obtaining collateral. Derivative
contracts executed in over-the-counter markets include bilateral
contractual arrangements that are not cleared through a central
clearing organization but are typically subject to master netting
arrangements. The percentage of our bilateral derivative
transactions outstanding at period end in such markets, based
on gross fair value, is provided within the following table. Other
Table 16.2: Gross Fair Value of Derivative Assets and Liabilities
derivative contracts executed in over-the-counter or exchange-
traded markets are settled through a central clearing
organization and are excluded from this percentage. In addition
to the netting amounts included in the table, we also have
balance sheet netting related to resale and repurchase
agreements that are disclosed within Note 14 (Guarantees,
Pledged Assets and Collateral).
Gross Gross amounts
amounts not offset in
offset in consolidated Percent
Gross consolidated Net amounts in balance sheet exchanged in
amounts balance consolidated (Disclosure-only Net over-the-counter
(in millions) recognized sheet (1) balance sheet (2) netting) (3) amounts market (4)
December 31, 2015
Derivative assets
Interest rate contracts $ 62,725 (56,612) 6,113 (749) 5,364 39%
Commodity contracts 4,659 (998) 3,661 (76) 3,585 35
Equity contracts 7,599 (2,625) 4,974 (471) 4,503 51
Foreign exchange contracts 8,947 (6,141) 2,806 (34) 2,772 98
Credit contracts-protection sold 83 (79) 4 — 4 76
Credit contracts-protection purchased 567 (469) 98 (2) 96 100
Total derivative assets $ 84,580 (66,924) 17,656 (1,332) 16,324
Derivative liabilities
Interest rate contracts $ 57,977 (53,259) 4,718 (3,543) 1,175 35%
Commodity contracts 5,519 (1,052) 4,467 (40) 4,427 84
Equity contracts 4,808 (2,241) 2,567 (154) 2,413 85
Foreign exchange contracts 10,933 (8,968) 1,965 (634) 1,331 100
Credit contracts-protection sold 541 (434) 107 (107) — 100
Credit contracts-protection purchased 88 (50) 38 (6) 32 70
Other contracts 58 — 58 — 58 100
Total derivative liabilities $ 79,924 (66,004) 13,920 (4,484) 9,436
December 31, 2014
Derivative assets
Interest rate contracts $ 63,698 (56,051) 7,647 (769) 6,878 45 %
Commodity contracts 7,461 (1,233) 6,228 (72) 6,156 27
Equity contracts 9,005 (2,842) 6,163 (405) 5,758 54
Foreign exchange contracts 7,404 (4,923) 2,481 (85) 2,396 98
Credit contracts-protection sold 151 (131) 20 — 20 90
Credit contracts-protection purchased 755 (689) 66 (1) 65 100
Total derivative assets $ 88,474 (65,869) 22,605 (1,332) 21,273
Derivative liabilities
Interest rate contracts $ 60,059 (54,394) 5,665 (4,244) 1,421 44 %
Commodity contracts 7,702 (1,459) 6,243 (33) 6,210 81
Equity contracts 7,038 (2,845) 4,193 (484) 3,709 82
Foreign exchange contracts 7,827 (5,511) 2,316 (270) 2,046 100
Credit contracts-protection sold 943 (713) 230 (199) 31 100
Credit contracts-protection purchased 168 (121) 47 (18) 29 86
Other contracts 44 — 44 — 44 100
Total derivative liabilities $ 83,781 (65,043) 18,738 (5,248) 13,490
(1) Represents amounts with counterparties subject to enforceable master netting arrangements that have been offset in the consolidated balance sheet, including related cash
collateral and portfolio level counterparty valuation adjustments. Counterparty valuation adjustments were $375 million and $266 million related to derivative assets and
$81 million and $56 million related to derivative liabilities as of December 31, 2015 and 2014, respectively. Cash collateral totaled $5.3 billion and $4.7 billion, netted
against derivative assets and liabilities, respectively, at December 31, 2015, and $5.2 billion and $4.6 billion, respectively, at December 31, 2014.
(2) Net derivative assets of $12.4 billion and $16.9 billion are classified in Trading assets as of December 31, 2015 and 2014, respectively. $5.3 billion and $5.7 billion are
classified in Other assets in the consolidated balance sheet as of December 31, 2015 and 2014, respectively. Net derivative liabilities are classified in Accrued expenses and
other liabilities in the consolidated balance sheet.
(3) Represents the fair value of non-cash collateral pledged and received against derivative assets and liabilities with the same counterparty that are subject to enforceable
master netting arrangements. U.S. GAAP does not permit netting of such non-cash collateral balances in the consolidated balance sheet but requires disclosure of these
amounts.
(4) Represents derivatives executed in over-the-counter markets not settled through a central clearing organization. Over-the-counter percentages are calculated based on
Gross amounts recognized as of the respective balance sheet date. The remaining percentage represents derivatives settled through a central clearing organization, which
are executed in either over-the-counter or exchange-traded markets.
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