Wells Fargo 2013 Annual Report Download - page 211

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(in millions)
Gross
amounts
recognized
Gross amounts
offset in
consolidated
balance
sheet (1)
Net amounts in
consolidated
balance
sheet (2)
Gross amounts
not offset in
consolidated
balance sheet
(Disclosure-only
netting) (3)
Net
amounts
Percent
exchanged in
over-the-counter
market (4)
December 31, 2013
Derivative assets
Interest rate contracts 55,846 (48,271) 7,575 (1,101) 6,474 65
Commodity contracts 2,673 (659) 2,014 (72) 1,942 52
Equity contracts 7,824 (3,254) 4,570 (239) 4,331 81
Foreign exchange contracts 4,843 (3,567) 1,276 (9) 1,267 100
Credit contracts-protection sold 354 (302) 52 52 92
Credit contracts-protection purchased 1,147 (841) 306 (33) 273 100
Other contracts 13 13 13 100
Total derivative assets 72,700 (56,894) 15,806 (1,454) 14,352
Derivative liabilities
Interest rate contracts 56,538 (53,902) 2,636 (482) 2,154 66
Commodity contracts 2,603 (952) 1,651 (11) 1,640 73
Equity contracts 7,794 (3,502) 4,292 (124) 4,168 94
Foreign exchange contracts 4,508 (3,652) 856 856 100
Credit contracts-protection sold 1,532 (1,432) 100 100 100
Credit contracts-protection purchased 368 (299) 69 69 89
Other contracts 16 16 16 100
Total derivative liabilities 73,359 (63,739) 9,620 (617) 9,003
December 31, 2012
Derivative assets
Interest rate contracts 71,351 (53,708) 17,643 (2,692) 14,951 94
Commodity contracts 3,456 (1,080) 2,376 (27) 2,349 48
Equity contracts 3,783 (2,428) 1,355 1,355 89
Foreign exchange contracts 5,524 (3,449) 2,075 (105) 1,970 100
Credit contracts-protection sold 315 (296) 19 (4) 15 100
Credit contracts-protection purchased 1,495 (1,147) 348 (56) 292 100
Total derivative assets 85,924 (62,108) 23,816 (2,884) 20,932
Derivative liabilities
Interest rate contracts 68,695 (62,559) 6,136 (287) 5,849 92
Commodity contracts 3,590 (1,394) 2,196 2,196 79
Equity contracts 4,164 (2,618) 1,546 1,546 95
Foreign exchange contracts 3,579 (1,804) 1,775 (55) 1,720 100
Credit contracts-protection sold 2,623 (2,450) 173 173 100
Credit contracts-protection purchased 329 (291) 38 38 100
Other contracts 78 78 78 100
Total derivative liabilities 83,058 (71,116) 11,942 (342) 11,600
(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 $236 million and $352 million related to derivative assets and
$67 million and $68 million related to derivative liabilities as of December 31, 2013 and 2012, respectively. Cash collateral totaled $4.3 billion and $11.3 billion, netted
against derivative assets and liabilities, respectively, at December 31, 2013, and $5.0 billion and $14.5 billion, respectively, at December 31, 2012.
(2) Net derivative assets of $14.4 billion and $18.3 billion are classified in Trading assets as of December 31, 2013 and 2012, respectively. $1.4 billion and $5.5 billion are
classified in Other assets in the consolidated balance sheet as of December 31, 2013 and 2012, respectively. Net derivative liabilities are classified in Accrued expenses and
other liabilities in the consolidated balance sheet.
(3) Represents 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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