XML 215 R67.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Value Amounts of Client-related and Trading Derivative Financial Instruments
The following table shows the notional and fair values of all derivative financial instruments as of December 31, 2019 and 2018.

TABLE 134: NOTIONAL AND FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS
 
DECEMBER 31, 2019
DECEMBER 31, 2018
 
 
FAIR VALUE
 
FAIR VALUE
(In Millions)
NOTIONAL
VALUE

ASSET(1)

LIABILITY(2)

NOTIONAL
VALUE

ASSET(1)

LIABILITY(2)

Derivatives Designated as Hedging under GAAP
 
 
 
 
 
 
Interest Rate Contracts
 
 
 
 
 
 
Fair Value Hedges
$
4,538.2

$
20.3

$
20.9

$
4,590.4

$
29.8

$
23.3

Cash Flow Hedges
200.0

0.2

0.2

600.0

0.2

1.2

Foreign Exchange Contracts
 
 
 
 
 
 
Cash Flow Hedges
1,661.5

8.5

11.5

2,648.2

13.8

57.8

Net Investment Hedges
2,873.8

73.7

11.9

3,475.1

292.4

14.5

Total Derivatives Designated as Hedging under GAAP
$
9,273.5

$
102.7

$
44.5

$
11,313.7

$
336.2

$
96.8

 
 
 
 
 
 
 
Derivatives Not Designated as Hedging under GAAP
 
 
 
 
 
 
Non-Designated Risk Management Derivatives
 
 
 
 
 
 
Foreign Exchange Contracts
$
176.5

$
0.9

$
0.7

$
122.2

$
0.5

$
0.2

Other Financial Derivatives(3)
640.3

—

33.4

483.4

1.3

32.8

Total Non-Designated Risk Management Derivatives
$
816.8

$
0.9

$
34.1

$
605.6

$
1.8

$
33.0

 
 
 
 
 
 
 
Client-Related and Trading Derivatives












Foreign Exchange Contracts
$
291,533.6

$
3,151.7

$
3,158.1

$
281,864.4

$
2,159.4

$
2,190.0

Interest Rate Contracts
8,976.8

132.4

76.3

7,711.2

66.1

68.6

Total Client-Related and Trading Derivatives
$
300,510.4

$
3,284.1

$
3,234.4

$
289,575.6

$
2,225.5

$
2,258.6

 
 
 
 
 
 
 
Total Derivatives Not Designated as Hedging under GAAP
$
301,327.2

$
3,285.0

$
3,268.5

$
290,181.2

$
2,227.3

$
2,291.6

 
 
 
 
 
 
 
Total Gross Derivatives
$
310,600.7

$
3,387.7

$
3,313.0

$
301,494.9

$
2,563.5

$
2,388.4

Less: Netting(4)
 
2,338.0

1,618.4

 
1,357.1

1,796.3

Total Derivative Financial Instruments
 
$
1,049.7

$
1,694.6

 
$
1,206.4

$
592.1


(1) Derivative assets are reported in Other Assets on the consolidated balance sheets.
(2) Derivative liabilities are reported in Other Liabilities on the consolidated balance sheets.
(3) This line includes swaps related to sales of certain Visa Class B common shares and total return swap contracts.
(4) See further detail in Note 28, "Offsetting of Assets and Liabilities."
Gains/Losses of Derivative Financial Instruments
The following table provides fair value and cash flow hedge derivative gains and losses recognized in income during the years ended December 31, 2019, 2018 and 2017.

TABLE 135: LOCATION AND AMOUNT OF FAIR VALUE AND CASH FLOW HEDGE DERIVATIVE GAINS AND LOSSES RECORDED IN INCOME
(in Millions)
 
INTEREST INCOME
 
INTEREST EXPENSE
 
OTHER OPERATING INCOME
 
OTHER OPERATING EXPENSE
For the Year Ended December 31,
 
2019

2018

2017

 
2019

2018

2017

 
2019

2018

2017

 
2019

2018

2017

Total amounts on the consolidated statements of income
 
$
2,499.9

$
2,321.4

$
1,769.4

 
$
822.0

$
698.7

$
340.2

 
$
145.5

$
127.5

$
157.5

 
$
329.8

$
330.6

$
331.6

Gains (Losses) on fair value hedges recognized on
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Interest Rate Contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Recognized on derivatives
 
(95.9
)
13.9

8.8

 
99.4

(9.5
)
(24.3
)
 
—

—

—

 
—

—

—

Recognized on hedged items
 
95.9

(13.9
)
(8.8
)
 
(99.4
)
9.5

24.3

 
—

—

—

 
—

—

—

Amounts related to interest settlements on derivatives
 
21.2

17.8

(9.6
)
 
5.2

7.9

27.7

 
—

—

—

 
—

—

—

Total gains (losses) recognized on fair value hedges
 
$
21.2

$
17.8

$
(9.6
)

$
5.2

$
7.9

$
27.7


$
—

$
—

$
—


$
—

$
—

$
—

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Gains (Losses) on cash flow hedges recognized on
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign Exchange Contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains (losses) reclassified from AOCI to net income
 
26.4

67.4

19.3

 
—

—

—

 
0.8

3.9

5.0

 
—

—

(0.1
)
Interest Rate Contracts
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net gains (losses) reclassified from AOCI to net income
 
(0.5
)
(0.2
)
0.3

 
—

—

—

 
—

—

—

 
—

—

—

Total gains (losses) reclassified from AOCI to net income on cash flow hedges
 
$
25.9

$
67.2

$
19.6


$
—

$
—

$
—


$
0.8

$
3.9

$
5.0


$
—

$
—

$
(0.1
)


The following table provides the impact of fair value hedge accounting on the carrying value of the designated hedged items as of December 31, 2019 and 2018.

TABLE 136: HEDGED ITEMS IN FAIR VALUE HEDGES
 
DECEMBER 31, 2019
DECEMBER 31, 2018
(In Millions)
CARRYING VALUE OF THE HEDGED ITEMS

 
CUMULATIVE HEDGE ACCOUNTING BASIS ADJUSTMENT(1)

CARRYING VALUE OF THE HEDGED ITEMS

 
CUMULATIVE HEDGE ACCOUNTING BASIS ADJUSTMENT(2)

Available for Sale Debt Securities(3)
$
2,981.0

 
$
3.3

$
3,831.6

 
$
99.4

Senior Notes and Long-Term Subordinated Debt
1,748.5

 
126.9

1,248.8

 
29.3

 
 
 
 
 
 
 
Total
$
4,729.5

 
$
130.2

$
5,080.4

 
$
128.7

(1) The cumulative hedge accounting basis adjustment includes $1.5 million related to discontinued hedging relationships of available for sale debt securities as of December 31, 2019. There are no amounts related to discontinued hedging relationships in the cumulative hedge accounting basis adjustment of senior notes and long-term debt as of December 31, 2019.
(2) There are no amounts related to discontinued hedging relationships as of December 31, 2018.
(3) Carrying value represents amortized cost.
Gains/Losses of Derivative Financial Instruments Not Designated as Hedging The following table provides the location and amount of gains and losses recorded in the consolidated statements of income for the years ended December 31, 2019, 2018, and 2017 for derivative instruments not designated as hedges under GAAP.

TABLE 137: LOCATION AND AMOUNT OF GAINS AND LOSSES RECORDED IN INCOME FOR DERIVATIVES NOT DESIGNATED AS HEDGING UNDER GAAP
(In Millions)
DERIVATIVE GAINS (LOSSES) LOCATION RECOGNIZED IN INCOME
AMOUNT OF DERIVATIVE GAINS (LOSSES) RECOGNIZED IN INCOME
2019
2018
2017
Non-designated risk management derivatives
 
 
 
 
Foreign Exchange Contracts
Other Operating Income
$
(1.6
)
$
(4.1
)
$
8.2

Other Financial Derivatives(1)
Other Operating Income
(20.0
)
(19.2
)
(13.3
)
Gains (Losses) from non-designated risk management derivatives
 
$
(21.6
)
$
(23.3
)
$
(5.1
)
 
 
 
 
 
Client-related and trading derivatives
 
 
 
 
Foreign Exchange Contracts
Foreign Exchange Trading Income
250.9

307.2

209.9

Interest Rate Contracts
Security Commissions and Trading Income
12.9

7.7

10.7

Gains (Losses) from client-related and trading derivatives
 
$
263.8

$
314.9

$
220.6

 
 
 
 
 
Total gains (losses) from derivatives not designated as hedging under GAAP
 
$
242.2

$
291.6

$
215.5

(1) This line includes swaps related to the sale of certain Visa Class B common shares and total return swap contracts.