Comerica 2014 Annual Report Download - page 118

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Comerica Incorporated and Subsidiaries
F-81
The following table presents the composition of the Corporation’s derivative instruments held or issued for risk
management purposes or in connection with customer-initiated and other activities at December 31, 2014 and 2013. The table
excludes commitments, warrants accounted for as derivatives and a derivative related to the Corporation’s 2008 sale of its remaining
ownership of Visa shares.
December 31, 2014 December 31, 2013
Fair Value Fair Value
(in millions)
Notional/
Contract
Amount (a)
Gross
Derivative
Assets
Gross
Derivative
Liabilities
Notional/
Contract
Amount (a)
Gross
Derivative
Assets
Gross
Derivative
Liabilities
Risk management purposes
Derivatives designated as hedging instruments
Interest rate contracts:
Swaps - fair value - receive fixed/
pay floating $ 1,800 $ 175 $ — $ 1,450 $ 198 $ —
Derivatives used as economic hedges
Foreign exchange contracts:
Spot, forwards and swaps 508 4 — 253 1 —
Total risk management purposes 2,308 179 — 1,703 199 —
Customer-initiated and other activities
Interest rate contracts:
Caps and floors written 274 — — 277 — 1
Caps and floors purchased 274 — — 277 1 —
Swaps 11,780 153 102 11,143 181 132
Total interest rate contracts 12,328 153 102 11,697 182 133
Energy contracts:
Caps and floors written 1,218 — 173 1,325 1 48
Caps and floors purchased 1,218 173 — 1,325 48 1
Swaps 2,496 354 352 2,724 56 53
Total energy contracts 4,932 527 525 5,374 105 102
Foreign exchange contracts:
Spot, forwards, options and swaps 1,994 35 34 1,764 14 14
Total customer-initiated and other activities 19,254 715 661 18,835 301 249
Total gross derivatives $ 21,562 894 661 $ 20,538 500 249
Amounts offset in the consolidated balance
sheets:
Netting adjustment - Offsetting derivative
assets/liabilities (133)(133)(187)(187)
Netting adjustment - Cash collateral
received/posted (262) — (2)(10)
Net derivatives included in the consolidated
balance sheets (b) 499 528 311 52
Amounts not offset in the consolidated balance
sheets:
Marketable securities pledged under
bilateral collateral agreements (239)(2)(138)(10)
Net derivatives after deducting amounts not
offset in the consolidated balance sheets $ 260 $ 526 $ 173 $ 42
(a) Notional or contractual amounts, which represent the extent of involvement in the derivatives market, are used to determine the contractual
cash flows required in accordance with the terms of the agreement. These amounts are typically not exchanged, significantly exceed amounts
subject to credit or market risk and are not reflected in the consolidated balance sheets.
(b) Net derivative assets are included in “accrued income and other assets” and net derivative liabilities are included in “accrued expenses
and other liabilities” on the consolidated balance sheets. Included in the fair value of net derivative assets and net derivative liabilities are
credit valuation adjustments reflecting counterparty credit risk and credit risk of the Corporation. The fair value of net derivative assets
included credit valuation adjustments for counterparty credit risk of $2 million at both December 31, 2014 and 2013.
Risk Management
As an end-user, the Corporation employs a variety of financial instruments for risk management purposes, including cash
instruments, such as investment securities, as well as derivative instruments. Activity related to these instruments is centered
predominantly in the interest rate markets and mainly involves interest rate swaps. Various other types of instruments also may