Discover 2015 Annual Report Download - page 164
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-148-
The following table summarizes the fair value (including accrued interest) and outstanding notional amounts of
derivative instruments and related collateral balances (dollars in millions):
December 31, 2015 December 31, 2014
Notional
Amount
Number of
Outstanding
Derivative
Contracts Derivative
Assets Derivative
Liabilities Notional
Amount Derivative
Assets Derivative
Liabilities
Derivatives designated as hedges
Interest rate swaps—cash flow hedge ......... $ 4,100 8 $ — $ 35 $ 4,100 $ 4 $ 18
Interest rate swaps—fair value hedge ......... $ 4,110 118 22 3 $ 5,507 31 2
Foreign exchange forward contract - net
investment hedge(1) .................................. $ — — — — $ 7 — —
Derivatives not designated as hedges
Foreign exchange forward contracts(2)......... $ 32 6 — — $ 53 — —
Interest rate swap(3) ................................... $ 217 1 — — $ 359 — —
Forward delivery contracts......................... $ — — — — $ 761 1 3
Interest rate lock commitments(3) ................. $ — — — — $ 406 7 —
Total gross derivative assets/liabilities(4) .......... 22 38 43 23
Less: Collateral held/posted(5) .................... (8) (33) (20)(23)
Total net derivative assets/liabilities................ $ 14 $ 5 $ 23 $ —
(1) The foreign exchange forward contract had a notional amount of EUR 6 million as of December 31, 2014.
(2) The foreign exchange forward contracts have notional amounts of EUR 19 million, GBP 7 million and SGD 1 million as of December 31, 2015 and EUR 27 million
and GBP 8 million, SGD 1 million and CHF 8 million as of December 31, 2014.
(3) Interest rate swaps not designated as hedges and interest rate lock commitments do not have associated master netting arrangements.
(4) In addition to the derivatives disclosed in the table, the Company enters into forward contracts to purchase when-issued mortgage-backed securities as part of its
community reinvestment initiatives. At December 31, 2015, the Company had one outstanding contract with a notional amount of $52 million and immaterial fair
value. At December 31, 2014, the Company one outstanding contract with a notional amount of $33 million and immaterial fair value.
(5) Collateral amounts, which consist of both cash and investment securities, are limited to the related derivative asset/liability balance and do not include excess
collateral received/pledged.