XML 58 R46.htm IDEA: XBRL DOCUMENT v3.19.2
Derivatives (Tables)
 6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional or Contractual Amounts and Fair Values of Derivatives
Table 15.1 presents the total notional or contractual amounts and fair values for our derivatives. Derivative transactions can be measured in terms of the notional amount, but this amount is not recorded on the balance sheet and is not, when viewed in isolation, a meaningful measure of the risk profile of the instruments. The notional amount is generally not exchanged but is used only as the basis on which interest and other payments are determined.
Table 15.1: Notional or Contractual Amounts and Fair Values of Derivatives
 
June 30, 2019
 
 
December 31, 2018
 
 
Notional or
contractual
amount

 
 
 
Fair value

 
Notional or
contractual
amount

 
 
 
Fair value

(in millions)
 
Derivative
assets

 
Derivative
liabilities

 
 
Derivative
assets

 
Derivative
liabilities

Derivatives designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
186,206

 
2,559

 
1,368

 
177,511

 
2,237

 
636

Foreign exchange contracts (1)
33,439

 
540

 
1,162

 
34,176

 
573

 
1,376

Total derivatives designated as qualifying hedging instruments
 
 
3,099

 
2,530

 
 
 
2,810

 
2,012

Derivatives not designated as hedging instruments
 
 
 
 
 
 
 
 
 
 
 
Economic hedges:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts (2)
255,760

 
692

 
290

 
173,215

 
849

 
369

Equity contracts
17,374

 
1,213

 
658

 
13,920

 
1,362

 
79

Foreign exchange contracts
20,829

 
212

 
85

 
19,521

 
225

 
80

Credit contracts – protection purchased
220

 
38

 
—

 
100

 
27

 
—

Subtotal
 
 
2,155

 
1,033

 
 
 
2,463

 
528

Customer accommodation trading and other derivatives:
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
11,130,569

 
22,302

 
18,979

 
9,162,821

 
15,349

 
15,303

Commodity contracts
72,255

 
1,424

 
1,936

 
66,173

 
1,588

 
2,336

Equity contracts
246,045

 
6,164

 
8,520

 
217,890

 
6,183

 
5,931

Foreign exchange contracts
353,918

 
4,803

 
5,021

 
364,982

 
5,916

 
5,657

Credit contracts – protection sold
10,507

 
15

 
80

 
11,741

 
76

 
182

Credit contracts – protection purchased
20,784

 
88

 
17

 
20,880

 
175

 
98

Subtotal
 
 
34,796

 
34,553

 
 
 
29,287

 
29,507

Total derivatives not designated as hedging instruments
 
 
36,951

 
35,586

 
 
 
31,750

 
30,035

Total derivatives before netting
 
 
40,050

 
38,116

 
 
 
34,560

 
32,047

Netting (3)
 
 
(26,888
)
 
(29,717
)
 
 
 
(23,790
)
 
(23,548
)
Total
 
 
$
13,162

 
8,399

 
 
 
10,770

 
8,499

(1)
The notional amount for foreign exchange contracts at June 30, 2019, and December 31, 2018, excludes $10.0 billion and $11.2 billion, respectively, for certain derivatives that are combined for designation as a hedge on a single instrument.
(2)
Includes economic hedge derivatives used to hedge the risk of changes in the fair value of residential MSRs, MLHFS, loans, derivative loan commitments and other interests held.
(3)
Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Table 15.2 for further information.
Gross Fair Values of Derivative Assets and Liabilities
Table 15.2 provides information on the gross fair values of derivative assets and liabilities, the balance sheet netting adjustments and the resulting net fair value amount recorded on our balance sheet, as well as the non-cash collateral associated with such arrangements. We execute substantially all of our derivative transactions under master netting arrangements and reflect all derivative balances and related cash collateral subject to enforceable master netting arrangements on a net basis within the balance sheet. The “Gross amounts recognized” column in the following table includes $35.1 billion and $34.9 billion of gross derivative assets and liabilities, respectively, at June 30, 2019, and $30.9 billion and $28.4 billion, respectively, at December 31, 2018, with counterparties subject to enforceable master netting arrangements that are carried on the balance sheet net of offsetting amounts. The remaining gross derivative assets and liabilities of $5.0 billion and $3.2 billion, respectively, at June 30, 2019, and $3.7 billion and $3.6 billion, respectively, at December 31, 2018, include those with counterparties subject to master netting arrangements for which we have not assessed the enforceability because they are with counterparties where we do not currently have positions to offset, those subject to master netting arrangements where we have not been able to confirm the enforceability and those not subject to master netting arrangements. As such, we do not net derivative balances or collateral within the balance sheet for these counterparties.
We determine the balance sheet netting adjustments based on the terms specified within each master netting arrangement. We disclose the balance sheet netting amounts within the column titled “Gross amounts offset in consolidated balance sheet.” Balance sheet netting adjustments are determined at the counterparty level for which there may be multiple contract types. For disclosure purposes, we allocate these netting adjustments to the contract type for each counterparty proportionally based upon the “Gross amounts recognized” by counterparty. As a result, the net amounts disclosed by contract type may not represent the actual exposure upon settlement of the contracts.
We do not net non-cash collateral that we receive and pledge on the balance sheet. For disclosure purposes, we present the fair value of this non-cash collateral in the column titled “Gross amounts not offset in consolidated balance sheet (Disclosure-only netting)” within the table. We determine and allocate the Disclosure-only netting amounts in the same manner as balance sheet netting amounts.
The “Net amounts” column within Table 15.2 represents the aggregate of our net exposure to each counterparty after considering the balance sheet and Disclosure-only netting adjustments. We manage derivative exposure by monitoring the credit risk associated with each counterparty using counterparty specific credit risk limits, using master netting arrangements and obtaining collateral. Derivative contracts executed in over-the-counter markets include bilateral contractual arrangements that are not cleared through a central clearing organization but are typically subject to master netting arrangements. The percentage of our bilateral derivative transactions outstanding at period end in such markets, based on gross fair value, is provided within the following table. Other derivative contracts executed in over-the-counter or exchange-traded markets are settled through a central clearing organization and are excluded from this percentage. In addition to the netting amounts included in the table, we also have balance sheet netting related to resale and repurchase agreements that are disclosed within Note 13 (Guarantees, Pledged Assets and Collateral, and Other Commitments).
Table 15.2: Gross Fair Values of Derivative Assets and Liabilities
(in millions)
Gross
amounts
recognized

 
Gross amounts
offset in
consolidated
balance
sheet (1)

 
Net amounts in
consolidated
balance
sheet

 
Gross amounts
not offset in
consolidated
balance sheet
(Disclosure-only
netting) (2)

 
Net
amounts

 
Percent
exchanged in
over-the-counter
market (3)

June 30, 2019
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
25,553

 
(16,558
)
 
8,995

 
(313
)
 
8,682

 
95
%
Commodity contracts
1,424

 
(951
)
 
473

 
(1
)
 
472

 
73

Equity contracts
7,377

 
(5,041
)
 
2,336

 
(34
)
 
2,302

 
71

Foreign exchange contracts
5,555

 
(4,250
)
 
1,305

 
(8
)
 
1,297

 
100

Credit contracts – protection sold
15

 
(9
)
 
6

 
—

 
6

 
74

Credit contracts – protection purchased
126

 
(79
)
 
47

 
(1
)
 
46

 
99

Total derivative assets
$
40,050

 
(26,888
)
 
13,162

 
(357
)
 
12,805

 
 
Derivative liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
20,637

 
(18,046
)
 
2,591

 
(848
)
 
1,743

 
95
%
Commodity contracts
1,936

 
(738
)
 
1,198

 
—

 
1,198

 
81

Equity contracts
9,178

 
(5,934
)
 
3,244

 
(214
)
 
3,030

 
84

Foreign exchange contracts
6,268

 
(4,918
)
 
1,350

 
(197
)
 
1,153

 
100

Credit contracts – protection sold
80

 
(75
)
 
5

 
(3
)
 
2

 
99

Credit contracts – protection purchased
17

 
(6
)
 
11

 
—

 
11

 
98

Total derivative liabilities
$
38,116

 
(29,717
)
 
8,399

 
(1,262
)
 
7,137

 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
18,435

 
(12,029
)
 
6,406

 
(80
)
 
6,326

 
90
%
Commodity contracts
1,588

 
(849
)
 
739

 
(4
)
 
735

 
57

Equity contracts
7,545

 
(5,318
)
 
2,227

 
(755
)
 
1,472

 
78

Foreign exchange contracts
6,714

 
(5,355
)
 
1,359

 
(35
)
 
1,324

 
100

Credit contracts – protection sold
76

 
(73
)
 
3

 
—

 
3

 
12

Credit contracts – protection purchased
202

 
(166
)
 
36

 
(1
)
 
35

 
78

Total derivative assets
$
34,560

 
(23,790
)
 
10,770

 
(875
)
 
9,895

 
 
Derivative liabilities
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
$
16,308

 
(13,152
)
 
3,156

 
(567
)
 
2,589

 
92
%
Commodity contracts
2,336

 
(727
)
 
1,609

 
(8
)
 
1,601

 
85

Equity contracts
6,010

 
(3,877
)
 
2,133

 
(110
)
 
2,023

 
75

Foreign exchange contracts
7,113

 
(5,522
)
 
1,591

 
(188
)
 
1,403

 
100

Credit contracts – protection sold
182

 
(180
)
 
2

 
(2
)
 
—

 
67

Credit contracts – protection purchased
98

 
(90
)
 
8

 
—

 
8

 
11

Total derivative liabilities
$
32,047

 
(23,548
)
 
8,499

 
(875
)
 
7,624

 
 
(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 $301 million and $353 million related to derivative assets and $92 million and $152 million related to derivative liabilities at June 30, 2019, and December 31, 2018, respectively. Cash collateral totaled $3.6 billion and $6.6 billion, netted against derivative assets and liabilities, respectively, at June 30, 2019, and $3.7 billion and $3.6 billion, respectively, at December 31, 2018.
(2)
Represents the fair value of 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.
(3)
Over-the-counter percentages are calculated based on gross amounts recognized as of the respective balance sheet date.
Derivatives in Fair Value and Cash Flow Hedging Relationships
Table 15.3 shows the net gains (losses) related to derivatives in fair value and cash flow hedging relationships.
Table 15.3: Gains (Losses) Recognized in Consolidated Statement of Income on Fair Value and Cash Flow Hedging Relationships
 
Net interest income
 
 
Noninterest income

 
(in millions)
Debt securities

Loans

Mortgage loans held for sale

Deposits

Long-term debt

 
Other

Total

Quarter ended June 30, 2019
 
 
 
 
 
 
 
 
Total amounts presented in the consolidated statement of income
$
3,781

11,316

195

(2,213
)
(1,900
)
 
744

11,923

 
 
 
 
 
 
 
 
 
Gains (losses) on fair value hedging relationships
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)
14

—

—

(7
)
7

 
—

14

Recognized on derivatives
(1,089
)
—

(25
)
351

2,947

 
—

2,184

Recognized on hedged items
1,096

—

24

(343
)
(2,890
)
 
—

(2,113
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)(2)
10

—

—

—

(128
)
 
—

(118
)
Recognized on derivatives (3)
(5
)
—

—

—

205

 
326

526

Recognized on hedged items
4

—

—

—

(186
)
 
(315
)
(497
)
Net income (expense) recognized on fair value hedges
30

—

(1
)
1

(45
)
 
11

(4
)
 
 
 
 
 
 
 
 
 
Gains (losses) on cash flow hedging relationships
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

(77
)
—

—

1

 
—

(76
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
$
—

—

—

—

(3
)
 
—

(3
)
Net income (expense) recognized on cash flow hedges
$
—

(77
)
—

—

(2
)
 
—

(79
)
Six months ended June 30, 2019
 
 
 
 
 
 
 
 
Total amounts presented in the consolidated statement of income
$
7,722

22,670

347

(4,239
)
(3,827
)
 
1,318

23,991

 
 
 
 
 
 
 
 
 
Gains (losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)
30

—

—

(30
)
—

 
—

—

Recognized on derivatives
(1,903
)
—

(33
)
558

4,933

 
—

3,555

Recognized on hedged items
1,913

—

31

(533
)
(4,837
)
 
—

(3,426
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)(2)
20

—

—

—

(270
)
 
—

(250
)
Recognized on derivatives (3)
(9
)
—

—

—

497

 
(76
)
412

Recognized on hedged items
9

—

—

—

(452
)
 
76

(367
)
Net income (expense) recognized on fair value hedges
60

—

(2
)
(5
)
(129
)
 
—

(76
)
 
 
 
 
 
 
 
 
 
Gains (losses) on cash flow hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

(155
)
—

—

1

 
—

(154
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

—

—

—

(4
)
 
—

(4
)
Net income (expense) recognized on cash flow hedges
$
—

(155
)
—

—

(3
)

—

(158
)

(continued on following page)
(continued from previous page)
 
 
 
 
 
 
 
 
 
Net interest income
 
 
Noninterest income

 
(in millions)
Debt securities

Loans

Mortgage loans held for sale

Deposits

Long-term debt

 
Other

Total

Quarter ended June 30, 2018
 
 
 
 
 
 
 
 
Total amounts presented in the consolidated statement of income
$
3,594

10,912

198

(1,268
)
(1,658
)
 
485

12,263

 
 
 
 
 
 
 
 
 
Gains (losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)
(42
)
—

(1
)
(20
)
81

 
—

18

Recognized on derivatives
356

—

5

(41
)
(819
)
 
—

(499
)
Recognized on hedged items
(352
)
—

(7
)
31

780

 
—

452

Foreign exchange contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)(2)
10

—

—

—

(102
)
 
—

(92
)
Recognized on derivatives (3)
2

—

—

—

97

 
(1,410
)
(1,311
)
Recognized on hedged items
1

—

—

—

(82
)
 
1,308

1,227

         Net income (expense) recognized on fair value hedges
(25
)
—

(3
)
(30
)
(45
)
 
(102
)
(205
)
 
 
 
 
 
 
 
 
 
Gains (losses) on cash flow hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

(77
)
—

—

—

 
—

(77
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

—

—

—

—

 
—

—

Net income (expense) recognized on cash flow hedges
$
—

(77
)
—

—

—

 
—

(77
)
Six months ended June 30, 2018
 
 
 
 
 
 
 
 
Total amounts presented in the consolidated statement of income
$
7,008

21,491

377

(2,358
)
(3,234
)
 
1,087

24,371

 
 
 
 
 
 
 
 
 
Gains (losses) on fair value hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)
(124
)
—

(2
)
(25
)
252

 
—

101

Recognized on derivatives
1,306

1

11

(190
)
(3,212
)
 
—

(2,084
)
Recognized on hedged items
(1,320
)
(1
)
(15
)
172

3,114

 
—

1,950

Foreign exchange contracts
 
 
 
 
 
 
 
 
Amounts related to interest settlements on derivatives (1)(2)
15

—

—

—

(182
)
 
—

(167
)
Recognized on derivatives (3)
6

—

—

—

(74
)
 
(750
)
(818
)
Recognized on hedged items
(2
)
—

—

—

27

 
681

706

         Net income (expense) recognized on fair value hedges
(119
)
—

(6
)
(43
)
(75
)
 
(69
)
(312
)
 
 
 
 
 
 
 
 
 
Gains (losses) on cash flow hedging relationships:
 
 
 
 
 
 
 
 
Interest contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

(137
)
—

—

—

 
—

(137
)
Foreign exchange contracts
 
 
 
 
 
 
 
 
Realized gains (losses) (pre-tax) reclassified from cumulative OCI into net income (4)
—

—

—

—

—

 
—

—

Net income (expense) recognized on cash flow hedges
$
—

(137
)
—

—

—

 
—

(137
)
(1)
Includes changes in fair value due to the passage of time associated with the non-zero fair value amount at hedge inception.
(2)
The second quarter and first half of 2019 included $7 million and $14 million, respectively, and the second quarter and first half of 2018 both included $2 million of the time value component recognized as net interest income (expense) on forward derivatives hedging foreign currency debt securities and long-term debt that were excluded from the assessment of hedge effectiveness.
(3)
For certain fair value hedges of foreign currency risk, changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income. See Note 21 (Other Comprehensive Income) for the amounts recognized in other comprehensive income.
(4)
See Note 21 (Other Comprehensive Income) for details of amounts reclassified to net income.
Hedged Items in Fair Value Hedging Relationships
Table 15.4 shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships.



Table 15.4: Hedged Items in Fair Value Hedging Relationship
 
Hedged Items Currently Designated
 
 
Hedged Items No Longer Designated (1)
 
(in millions)
Carrying Amount of Assets/(Liabilities) (2)(4)

Hedge Accounting Basis Adjustment
Assets/(Liabilities) (3)

 
Carrying Amount of Assets/(Liabilities) (4)

Hedge Accounting Basis Adjustment
Assets/(Liabilities)

June 30, 2019
 
 
 
 
 
Available-for-sale debt securities (5)
$
39,478

1,226

 
5,704

110

Mortgage loans held for sale
852

16

 
388

4

Deposits
(56,584
)
(425
)
 
—

—

Long-term debt
(115,922
)
(5,999
)
 
(25,638
)
270

December 31, 2018
 
 
 
 
 
Available-for-sale debt securities (5)
37,857

(157
)
 
4,938

238

Mortgage loans held for sale
448

7

 
—

—

Deposits
(56,535
)
115

 
—

—

Long-term debt
(104,341
)
(742
)
 
(25,539
)
366

(1)
Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.
(2)
Does not include the carrying amount of hedged items where only foreign currency risk is the designated hedged risk. The carrying amount excluded $1.5 billion for debt securities and $(5.7) billion for long-term debt as of June 30, 2019, and $1.6 billion for debt securities and $(6.3) billion for long-term debt as of December 31, 2018.
(3)
The balance includes $828 million and $99 million of debt securities and long-term debt cumulative basis adjustments, respectively, as of June 30, 2019, and $1.4 billion and $66 million of debt securities and long-term debt cumulative basis adjustments,respectively, as of December 31, 2018, on terminated hedges whereby the hedged items have subsequently been re-designated into existing hedges.
(4)
Represents the full carrying amount of the hedged asset or liability item as of the balance sheet date, except for circumstances in which only a portion of the asset or liability was designated as the hedged item in which case only the portion designated is presented.
(5)
Carrying amount represents the amortized cost.
Derivatives Not Designated as Hedging Instruments Table 15.5 shows the net gains (losses) recognized by income statement lines, related to derivatives not designated as hedging instruments. 
Table 15.5: Gains (Losses) on Derivatives Not Designated as Hedging Instruments
 
Noninterest income
 
(in millions)
Mortgage banking

Net gains (losses) from equity securities

Net gains (losses) from trading activities

Other

Total

Quarter ended June 30, 2019
 
 
 
 
 
Net gains (losses) recognized on economic hedges derivatives:
 
 
 
 
 
Interest contracts (1)
$
872

—

—

2

874

Equity contracts
—

(658
)
—

(7
)
(665
)
Foreign exchange contracts
—

—

—

164

164

Credit contracts
—

—

—

(5
)
(5
)
Subtotal (2)
872

(658
)
—

154

368

Net gains (losses) recognized on customer accommodation trading and other derivatives:
 
 
 
 
 
Interest contracts (3)
179

—

(222
)
—

(43
)
Commodity contracts
—

—

27

—

27

Equity contracts
—

—

(1,110
)
(133
)
(1,243
)
Foreign exchange contracts
—

—

(83
)
—

(83
)
Credit contracts
—

—

(16
)
—

(16
)
Subtotal
179

—

(1,404
)
(133
)
(1,358
)
Net gains (losses) recognized related to derivatives not designated as hedging instruments
$
1,051

(658
)
(1,404
)
21

(990
)
Six months ended June 30, 2019
 
 
 
 
 
Net gains (losses) recognized on economic hedges derivatives:
 
 
 
 
 
Interest contracts (1)
$
1,683

—

—

7

1,690

Equity contracts
—

(1,543
)
—

—

(1,543
)
Foreign exchange contracts
—

—

—

140

140

Credit contracts
—

—

—

10

10

Subtotal (2)
1,683

(1,543
)
—

157

297

Net gains (losses) recognized on customer accommodation trading and other derivatives:
 
 
 
 
 
Interest contracts (3)
297

—

(506
)
—

(209
)
Commodity contracts
—

—

78

—

78

Equity contracts
—

—

(3,259
)
(406
)
(3,665
)
Foreign exchange contracts
—

—

(69
)
—

(69
)
Credit contracts
—

—

(60
)
—

(60
)
Subtotal
297

—

(3,816
)
(406
)
(3,925
)
Net gains (losses) recognized related to derivatives not designated as hedging instruments
$
1,980

(1,543
)
(3,816
)
(249
)
(3,628
)

(continued on following page)
(continued from previous page)
 
 
Noninterest income
 
(in millions)
Mortgage banking

Net gains (losses) from equity securities

Net gains (losses) from trading activities

Other

Total

Quarter ended June 30, 2018
 
 
 
 
 
Net gains (losses) recognized on economic hedges derivatives:
 
 
 
 
 
Interest contracts (1)
$
(185
)
—

—

(3
)
(188
)
Equity contracts
—

(540
)
—

5

(535
)
Foreign exchange contracts
—

—

—

486

486

Credit contracts
—

—

—

(10
)
(10
)
Subtotal (2)
(185
)
(540
)
—

478

(247
)
Net gains (losses) recognized on customer accommodation trading and other derivatives:
 
 
 
 
 
Interest contracts (3)
(46
)
—

182

—

136

Commodity contracts
—

—

35

—

35

Equity contracts
—

—

655

(71
)
584

Foreign exchange contracts
—

—

91

—

91

Credit contracts
—

—

(4
)
—

(4
)
Subtotal
(46
)
—

959

(71
)
842

Net gains (losses) recognized related to derivatives not designated as hedging instruments
$
(231
)
(540
)
959

407

595

Six months ended June 30, 2018
 
 
 
 
 
Net gains (losses) recognized on economic hedges derivatives:
 
 
 
 
 
Interest contracts (1)
$
(780
)
—

—

6

(774
)
Equity contracts
—

(598
)
—

5

(593
)
Foreign exchange contracts
—

—

—

327

327

Credit contracts
—

—

—

(6
)
(6
)
Subtotal (2)
(780
)
(598
)
—

332

(1,046
)
Net gains (losses) recognized on customer accommodation trading and other derivatives:
 
 
 
 
 
Interest contracts (3)
(305
)
—

567

—

262

Commodity contracts
—

—

74

—

74

Equity contracts
—

—

1,114

(266
)
848

Foreign exchange contracts
—

—

401

—

401

Credit contracts
—

—

6

—

6

Subtotal
(305
)
—

2,162

(266
)
1,591

Net gains (losses) recognized related to derivatives not designated as hedging instruments
$
(1,085
)
(598
)
2,162

66

545

(1)
Mortgage banking amounts for the second quarter and first half of 2019 are comprised of gains (losses) of $1.2 billion and $2.1 billion, respectively, related to derivatives used as economic hedges of MSRs measured at fair value offset by gains (losses) of $(283) million and $(434) million related to derivatives used as economic hedges of mortgage loans held for sale and derivative loan commitments. The corresponding amounts for the second quarter and first half of 2018 are comprised of gains (losses) of $(319) million and $(1.5) billion offset by gains (losses) of $134 million and $759 million, respectively.
(2)
Includes hedging gains (losses) of $(18) million and $(36) million for the second quarter and first half of 2019, respectively, and $8 million and $36 million for the second quarter and first half of 2018, respectively, which partially offset hedge accounting ineffectiveness.
(3)
Amounts presented in mortgage banking noninterest income are gains (losses) on derivative loan commitments.
Sold and Purchased Credit Derivatives
Table 15.6 provides details of sold and purchased credit derivatives.
Table 15.6: Sold and Purchased Credit Derivatives
 
 
 
Notional amount
 
 
 
(in millions)
Fair value
liability

 
Protection
sold (A)

 
Protection
sold –
non-
investment
grade

 
Protection
purchased
with
identical
underlyings (B)

 
Net
protection
sold
(A) - (B)

 
Other
protection
purchased

 
Range of
maturities
June 30, 2019
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
1

 
1,995

 
472

 
1,362

 
633

 
2,021

 
2019 - 2029
Structured products
31

 
138

 
133

 
109

 
29

 
113

 
2022 - 2047
Credit protection on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Default swap index
—

 
1,897

 
194

 
163

 
1,734

 
3,923

 
2019 - 2029
Commercial mortgage-backed securities index
38

 
342

 
87

 
316

 
26

 
51

 
2047 - 2058
Asset-backed securities index
8

 
41

 
41

 
41

 
—

 
1

 
2045 - 2046
Other
2

 
6,094

 
5,796

 
—

 
6,094

 
12,904

 
2019 - 2048
Total credit derivatives
$
80

 
10,507

 
6,723

 
1,991

 
8,516

 
19,013

 
 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
Credit default swaps on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate bonds
$
59

 
2,037

 
441

 
1,374

 
663

 
1,460

 
2019 - 2027
Structured products
62

 
133

 
128

 
121

 
12

 
113

 
2022 - 2047
Credit protection on:
 
 
 
 
 
 
 
 
 
 
 
 
 
Default swap index
1

 
3,618

 
582

 
1,998

 
1,620

 
2,896

 
2019 - 2028
Commercial mortgage-backed securities index
49

 
389

 
109

 
363

 
26

 
51

 
2047 - 2058
Asset-backed securities index
9

 
42

 
42

 
42

 
—

 
1

 
2045 - 2046
Other
2

 
5,522

 
5,327

 
—

 
5,522

 
12,561

 
2018 - 2048
Total credit derivatives
$
182

 
11,741

 
6,629

 
3,898

 
7,843

 
17,082