Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Asset and Liability Management Derivative Positions of Company

The following table summarizes the asset and liability management derivative positions of the Company:


	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years
September 30, 2017
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	3,350	$	42		3.42	$	1,550	$	8		1.33
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		3,772		3		6.88		578		4		.98
Net investment hedges
Foreign exchange forward contracts		347		6		.05		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		2,545		11		.07		2,075		10		.05
Sell		5,605		12		.03		4,396		12		.04
Options
Purchased		4,005		59		7.05		–		–		–
Written		1,536		28		.10		21		1		.09
Receive fixed/pay floating swaps		3,673		–		8.22		4,328		94		12.55
Pay fixed/receive floating swaps		2,414		15		3.23		4,233		45		8.22
Foreign exchange forward contracts		622		9		.05		44		–		.07
Equity contracts		98		2		.99		27		–		.07
Credit contracts		1,490		–		3.59		3,625		2		3.02
Other (a)		239		1		.01		1,325		124		2.25
Total	$	29,696	$	188			$	22,202	$	300
December 31, 2016
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	2,550	$	49		4.28	$	1,250	$	12		2.32
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		3,272		108		8.63		2,787		35		.83
Net investment hedges
Foreign exchange forward contracts		1,347		15		.04		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		1,748		13		.09		1,722		18		.05
Sell		2,278		129		.08		4,214		43		.09
Options
Purchased		1,565		43		8.60		–		–		–
Written		1,073		25		.07		12		1		.06
Receive fixed/pay floating swaps		6,452		26		11.48		1,561		16		6.54
Pay fixed/receive floating swaps		4,705		13		6.51		2,320		9		7.80
Foreign exchange forward contracts		849		6		.02		867		6		.02
Equity contracts		11		–		.40		102		1		.57
Credit contracts		1,397		–		3.38		3,674		2		3.57
Other (a)		19		–		.03		830		106		3.42
Total	$	27,266	$	427			$	19,339	$	249

(a)

Includes short-term underwriting purchase and sale commitments with total asset notional values of $239 million and $19 million at September 30, 2017 and December 31, 2016, respectively, and liability notional values of $241 million and $19 million at September 30, 2017 and December 31, 2016, respectively. In addition, includes derivative liability swap agreements related to the sale of a portion of the Company’s Class B common shares of Visa Inc. The Visa swap agreements had a total notional value, fair value and weighted average remaining maturity of $1.1 billion, $123 million and 2.75 years at September 30, 2017, respectively, compared to $811 million, $106 million and 3.50 years at December 31, 2016, respectively.

The following table summarizes the customer-related derivative positions of the Company:


	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years
September 30, 2017
Interest rate contracts
Receive fixed/pay floating swaps	$	37,701	$	794		5.27	$	56,518	$	561		3.81
Pay fixed/receive floating swaps		59,030		582		3.63		34,153		694		5.63
Options
Purchased		29,624		18		1.63		505		10		4.47
Written		505		11		4.47		27,283		16		1.53
Futures
Sell		4,273		1		1.45		–		–		–
Foreign exchange rate contracts
Forwards, spots and swaps		24,501		732		.79		22,874		687		.82
Options
Purchased		3,288		81		1.47		–		–		–
Written		–		–		–		3,288		81		1.47
Total	$	158,922	$	2,219			$	144,621	$	2,049
December 31, 2016
Interest rate contracts
Receive fixed/pay floating swaps	$	38,501	$	930		4.07	$	39,403	$	632		4.89
Pay fixed/receive floating swaps		36,671		612		4.99		40,324		996		4.07
Options
Purchased		14,545		51		1.85		125		2		1.37
Written		125		3		1.37		13,518		50		1.70
Futures
Buy		306		–		1.96		7,111		7		.90
Foreign exchange rate contracts
Forwards, spots and swaps		20,664		849		.58		19,640		825		.60
Options
Purchased		2,376		98		1.67		–		–		–
Written		–		–		–		2,376		98		1.67
Total	$	113,188	$	2,543			$	122,497	$	2,610

Summary of Effective Portion of Gains (Losses) Recognized in Other Comprehensive Income (Loss) and Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings

The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax):


	Three Months Ended September 30,											Nine Months Ended September 30,
	Gains (Losses) Recognized in Other Comprehensive Income (Loss)					Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings						Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings
(Dollars in Millions)	2017			2016		2017			2016			2017			2016			2017			2016
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a)	$	(1	)	$	20	$	(2	)	$	(17	)	$	(20	)	$	(93	)	$	(17	)	$	(64	)
Net investment hedges
Foreign exchange forward contracts		(7	)		–		–			–			(55	)		(15	)		–			–
Non-derivative debt instruments		(24	)		–		–			–			(35	)		–			–			–

Note:

Ineffectiveness on cash flow and net investment hedges was not material for the three and nine months ended September 30, 2017 and 2016.

(a)

Gains (Losses) reclassified from other comprehensive income (loss) into interest expense.

Summary of Gains (Losses) Recognized in Earnings for Fair Value Hedges, Other Economic Hedges and Customer-Related Positions

The table below shows the gains (losses) recognized in earnings for fair value hedges, other economic hedges and the customer-related positions:


	Location of Gains (Losses) Recognized in Earnings	Three Months Ended September 30,						Nine Months Ended September 30,
(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings	2017			2016			2017			2016
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts	Other noninterest income	$	(6	)	$	(31	)	$	(2	)	$	63
Other economic hedges
Interest rate contracts
Futures and forwards	Mortgage banking revenue		(16	)		21			(11	)		(34	)
Purchased and written options	Mortgage banking revenue		82			102			199			315
Receive fixed/pay floating swaps	Mortgage banking revenue		28			(134	)		176			268
Pay fixed/receive floating swaps	Mortgage banking revenue		(19	)		113			(130	)		111
Foreign exchange forward contracts	Commercial products revenue		(13	)		9			(50	)		(46	)
Equity contracts	Compensation expense		–			1			–			–
Credit contracts	Other noninterest income		–			1			1			–
Other	Other noninterest income		–			–			(1	)		(38	)
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps	Other noninterest income		221			(397	)		(352	)		1,326
Pay fixed/receive floating swaps	Other noninterest income		(190	)		417			412			(1,289	)
Purchased and written options	Other noninterest income		(18	)		(4	)		(26	)		(3	)
Futures	Other noninterest income		1			(4	)		(1	)		3
Foreign exchange rate contracts
Forwards, spots and swaps	Commercial products revenue		23			21			69			61
Purchased and written options	Commercial products revenue		1			1			2			3

(a)

Gains (Losses) on items hedged by interest rate contracts included in noninterest income (expense), were $6 million and $31 million for the three months ended September 30, 2017 and 2016, respectively, and $2 million and $(61) million for the nine months ended September 30, 2017 and 2016, respectively. The ineffective portion was immaterial for the three and nine months ended September 30, 2017 and 2016.