Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2019

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
March 31, 2019
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	1,300	$	–		4.77	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		3,892		10		5.48		6,450		3		1.29
Net investment hedges
Foreign exchange forward contracts		447		2		.05		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		5,062		34		.30		2,357		5		.04
Sell		2,936		21		.04		15,268		62		.47
Options
Purchased		9,945		97		3.26		300		–		5.00
Written		1,105		30		.09		1,006		20		1.98
Receive fixed/pay floating swaps		7,101		–		10.61		2,226		–		11.27
Pay fixed/receive floating swaps		1,801		–		12.22		4,844		–		6.25
Foreign exchange forward contracts		324		1		.04		362		2		.04
Equity contracts		66		–		.21		70		–		.30
Credit contracts		2,377		1		3.25		5,257		3		4.00
Other (a)		210		3		.02		1,749		77		1.10
Total	$	36,566	$	199			$	39,889	$	172
December 31, 2018
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps	$	7,422	$	8		3.11	$	4,320	$	–		1.77
Net investment hedges
Foreign exchange forward contracts		209		5		.05		223		1		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		2,839		27		.07		1,140		5		.05
Sell		994		3		.06		13,968		30		.72
Options
Purchased		5,080		88		10.77		–		–		–
Written		584		16		.09		3		–		.09
Receive fixed/pay floating swaps		3,605		–		14.80		4,333		–		6.97
Pay fixed/receive floating swaps		4,333		–		6.97		1,132		–		7.64
Foreign exchange forward contracts		549		7		.03		75		1		.05
Equity contracts		19		1		.82		104		2		.45
Credit contracts		2,318		–		3.50		4,923		2		4.04
Other (a)		1		–		.01		1,458		84		1.50
Total	$	27,953	$	155			$	31,679	$	125

(a)

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 $1.5 billion, $74 million and 1.25 years at March 31, 2019, respectively, compared to $1.5 billion, $84 million and 1.50 years at December 31, 2018, respectively. In addition, includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $210 million at March 31, 2019, and $1 million at December 31, 2018.

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
March 31, 2019
Interest rate contracts
Receive fixed/pay floating swaps	$	60,918	$	1,140		6.53	$	50,227	$	220		3.76
Pay fixed/receive floating swaps		48,506		172		3.65		58,611		519		6.41
Other (a)		6,056		1		3.59		6,601		2		3.06
Options
Purchased		44,629		34		1.36		1,296		42		9.33
Written		1,396		43		8.92		41,960		33		1.25
Futures
Buy		1,085		1		1.28		–		–		–
Sell		–		–		–		3,634		3		.40
Foreign exchange rate contracts
Forwards, spots and swaps		26,279		597		1.08		26,515		585		1.25
Options
Purchased		1,763		30		.86		–		–		–
Written		–		–		–		1,763		30		.86
Credit contracts		30		–		5.23		756		1		5.23
Total	$	190,662	$	2,018			$	191,363	$	1,435
December 31, 2018
Interest rate contracts
Receive fixed/pay floating swaps	$	42,054	$	754		6.73	$	60,731	$	456		4.32
Pay fixed/receive floating swaps		60,970		288		3.90		40,499		420		6.57
Other (a)		5,777		2		3.77		6.496		2		2.72
Options
Purchased		41,711		51		1.54		1,940		30		1.98
Written		2,060		32		2.07		39,538		51		1.44
Futures
Buy		460		–		1.58		–		–		–
Sell		–		–		–		6,190		1		.59
Foreign exchange rate contracts
Forwards, spots and swaps		26,210		681		.91		25,571		663		.88
Options
Purchased		2,779		47		.75		–		–		–
Written		–		–		–		2,779		47		.75
Total	$	182,021	$	1,855			$	183,744	$	1,670

(a)

Primarily represents floating rate interest rate swaps that pay based on differentials between specified interest rate indexes.

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) for the three months ended March 31:


	Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings
(Dollars in Millions)	2019			2018			2019		2018
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts	$	(55	)	$	64		$	6	$	(2	)
Net investment hedges
Foreign exchange forward contracts		2			16			–		–
Non-derivative debt instruments		16			(34	)		–		–

Note:

The Company does not exclude components from effectiveness testing for cash flow and net investment hedges.

Effect of Fair Value and Cash Flow Hedge Accounting Included in Interest Expense on Consolidated Statement of Income

The table below shows the effect of fair value and cash flow hedge accounting included in interest expense on the Consolidated Statement of Income for the three months ended March 31:


(Dollars in Millions)	2019			2018
Total amount of interest expense presented in the Consolidated Statement of Income	$	1,092		$	623

Asset and Liability Management Positions
Fair value hedges
Interest rate contract derivatives		(21	)		(43	)
Hedged items		21			43
Cash Flow hedges
Interest rate contract derivatives		(8	)		3

Note:

The Company does not exclude components from effectiveness testing for fair value and cash flow hedges. The Company did not reclassify gains or losses into earnings as a result of the discontinuance of cash flow hedges during the three months ended March 31, 2019 and 2018.

Summary of Cumulative Hedging Adjustments and the Carrying Amount of Assets (Liabilities) Designated in Fair Value Hedges

The table below shows cumulative hedging adjustments and the carrying amount of assets (liabilities) designated in fair value hedges:


	Carrying Amount of the Hedged Assets (Liabilities)				Cumulative Hedging Adjustment (a)
(Dollars in Millions)	March 31, 2019		December 31, 2018		March 31, 2019		December 31, 2018
Line Item in the Consolidated Balance Sheet
Long-term Debt	$	1,318	$	–	$	3	$	(27	)

(a)

The cumulative hedging adjustment related to discontinued hedging relationships at March 31, 2019 and December 31, 2018 was $(17) million and $(27) million, respectively.

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

The table below shows the gains (losses) recognized in earnings for other economic hedges and the customer-related positions for the three months ended March 31:


(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings	2019			2018
Asset and Liability Management Positions
Other economic hedges
Interest rate contracts
Futures and forwards	Mortgage banking revenue	$	(17	)	$	58
Purchased and written options	Mortgage banking revenue		67			42
Swaps	Mortgage banking revenue		111			(110	)
Foreign exchange forward contracts	Other noninterest income		(6	)		(12	)
Equity contracts	Compensation expense		(1	)		(1	)
Other	Other noninterest income		1			–
Customer-Related Positions
Interest rate contracts
Swaps	Commercial products revenue		20			3
Purchased and written options	Commercial products revenue		4			–
Futures	Commercial products revenue		(1	)		8
Foreign exchange rate contracts
Forwards, spots and swaps	Commercial products revenue		18			23
Credit contracts	Commercial products revenue		(3	)		–