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Derivative Instruments and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2014
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Values of Derivative Instruments
The following table summarizes the notional and fair values of our derivative instruments reported on our consolidated balance sheets as of September 30, 2014 and December 31, 2013. The fair value amounts are segregated by derivatives that are designated as accounting hedges and those that are not, and are further segregated by type of contract within those two categories.
Table 9.1: Derivative Assets and Liabilities at Fair Value
 
 
September 30, 2014
 
December 31, 2013
 
 
Notional or
Contractual
Amount
 
Derivative
 
Notional or
Contractual
Amount
 
Derivative
(Dollars in millions)
 
Assets    
 
Liabilities    
 
Assets
 
Liabilities    
Derivatives designated as accounting hedges:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Fair value hedges
 
$
23,008

 
$
214

 
$
105

 
$
15,695

 
$
289

 
$
223

Cash flow hedges
 
20,100

 
4

 
65

 
12,825

 
0

 
149

Total interest rate contracts
 
43,108

 
218

 
170

 
28,520

 
289

 
372

Foreign exchange contracts:
 
 
 
 
 
 
 
 
 
 
 
 
Cash flow hedges
 
4,860

 
129

 
0

 
4,806

 
49

 
53

Net investment hedges
 
2,419

 
113

 
0

 
0

 
0

 
0

Total foreign exchange contracts
 
7,279

 
242

 
0

 
4,806

 
49

 
53

Total derivatives designated as accounting hedges
 
50,387

 
460

 
170

 
33,326

 
338

 
425

Derivatives not designated as accounting hedges:
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts covering:
 
 
 
 
 
 
 
 
 
 
 
 
MSRs(1)
 
483

 
2

 
1

 
353

 
0

 
7

Customer accommodation
 
27,208

 
338

 
168

 
25,365

 
405

 
209

Other interest rate exposures(2)
 
2,657

 
31

 
17

 
1,864

 
29

 
17

Total interest rate contracts
 
30,348

 
371

 
186

 
27,582

 
434

 
233

Foreign exchange contracts
 
190

 
5

 
0

 
1,422

 
184

 
37

Other contracts
 
526

 
0

 
13

 
1,094

 
3

 
15

Total derivatives not designated as accounting hedges
 
31,064

 
376

 
199

 
30,098

 
621

 
285

Total derivatives
 
$
81,451

 
$
836

 
$
369

 
$
63,424

 
$
959

 
$
710

__________
(1) 
Includes interest rate swaps and To Be Announced (“TBA”) contracts used to hedge our MSR portfolio.
(2) 
Other interest rate exposures include mortgage related derivatives.
Offsetting Assets
The following table presents as of September 30, 2014 and December 31, 2013, the gross and net fair values of our derivative assets and liabilities and repurchase agreements, as well as the related offsetting amount permitted under the accounting standards for offsetting assets and liabilities. Under the accounting standard, gross positive fair values could be offset against gross negative fair values by counterparty pursuant to legally enforceable master netting agreements, if the netting presentation method is elected. The table also includes cash and non-cash collateral received or pledged associated with such arrangements. The collateral amounts related to derivative assets, derivative liabilities and repurchase agreements are limited to the extent of the related net derivative fair values or outstanding balances, thus instances of overcollateralization are not shown.
Table 9.2: Offsetting of Financial Assets and Financial Liabilities
 
 
Gross
Amounts
 
Offsetting Amounts
 
Net Amounts as Recognized
 
Offsetting Amounts Not Netted
 
 
(Dollars in millions)
 
 
 
 
Financial
Instruments
 
Collateral
Received (1)
 
Net
Exposure(2)
As of September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives assets
 
$
836

 
$
0

 
$
836

 
$
(141
)
 
$
(425
)
 
$
270

As of December 31, 2013
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives assets
 
$
959

 
$
0

 
$
959

 
$
(262
)
 
$
(450
)
 
$
247
Offsetting Liabilities
 
 
Gross
Amounts
 
Offsetting Amounts
 
Net Amounts as Recognized
 
Offsetting Amounts Not Netted
 
 
(Dollars in millions)
 
 
 
 
Financial
Instruments
 
Collateral
Pledged
 
Net
Exposure
As of September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives liabilities
 
$
369

 
$
0

 
$
369

 
$
(141
)
 
$
(170
)
(1) 
$
58

Repurchase agreements
 
940

 
0

 
940

 
0

 
(940
)
 
0

As of December 31, 2013
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives liabilities
 
$
710

 
$
0

 
$
710

 
(262
)
 
$
(371
)
(1) 
$
77

Repurchase agreements
 
907

 
0

 
907

 
0

 
(907
)
 
0

__________
(1) 
When we receive or pledge collateral, we factor in accrued interest when calculating net positions with counterparties.
(2) 
The majority of the net position relates to customer-accommodation derivatives. Customer-accommodation derivatives are cross-collateralized by the associated commercial loans and we do not require additional collateral on these transactions.
Fair Value Hedging and Free-Standing Derivatives
  
Derivative Instruments, Gain (Loss) [Line Items]  
Gains and Losses on Derivatives
The net gains (losses) recognized in earnings related to derivatives in fair value hedging relationships and free-standing derivatives are presented below for the three and nine months ended September 30, 2014 and 2013:
Table 9.3: Gains and Losses on Fair Value Hedges and Free-Standing Derivatives
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
(Dollars in millions)
 
2014
 
2013
 
2014
 
2013
Derivatives designated as accounting hedges(1):
 
 
 
 
 
 
 
 
Fair value interest rate contracts:
 
 
 
 
 
 
 
 
(Losses) gains recognized in earnings on derivatives
 
$
(94
)
 
$
3

 
$
42

 
$
(409
)
Gains (losses) recognized in earnings on hedged items
 
110

 
(10
)
 
(5
)
 
380

Net fair value hedge ineffectiveness gains (losses)
 
16

 
(7
)
 
37

 
(29
)
Derivatives not designated as accounting hedges(1):
 
 
 
 
 
 
 
 
Interest rate contracts covering:
 
 
 
 
 
 
 
 
MSRs
 
1

 
0

 
14

 
(8
)
Customer accommodation
 
7

 
6

 
15

 
31

Other interest rate exposures
 
5

 
4

 
8

 
(5
)
Total interest rate contracts
 
13

 
10

 
37

 
18

Foreign exchange contracts
 
0

 
0

 
1

 
(4
)
Other contracts
 
(2
)
 
(18
)
 
(1
)
 
(25
)
Total gains (losses) on derivatives not designated as accounting hedges
 
11

 
(8
)
 
37

 
(11
)
Net derivative gains (losses) recognized in earnings
 
$
27

 
$
(15
)
 
$
74

 
$
(40
)
__________
(1) 
Amounts are recorded on our consolidated statements of income in other non-interest income.
Cash Flow Hedging and Net Investment Hedging
  
Derivative Instruments, Gain (Loss) [Line Items]  
Gains and Losses on Derivatives
The table below shows the net gains (losses) related to derivatives designated as cash flow hedges and net investment hedges for the three and nine months ended September 30, 2014 and 2013:
Table 9.4: Gains and Losses on Derivatives Designated as Cash Flow Hedges and Net Investment Hedges
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
(Dollars in millions)
 
2014
 
2013
 
2014
 
2013
Gains (losses) recorded in AOCI:
 
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
 
Interest rate contracts
 
$
(34
)
 
$
65

 
$
112

 
$
(82
)
Foreign exchange contracts
 
(5
)
 
(6
)
 
(16
)
 
(16
)
Subtotal
 
(39
)
 
59

 
96

 
(98
)
Net investment hedges:
 
 
 
 
 
 
 
 
Foreign exchange contracts
 
71

 
0

 
71

 
0

Net derivatives gains (losses) recognized in AOCI
 
$
32

 
$
59

 
$
167

 
$
(98
)
Gains (losses) recorded in earnings:
 
 
 
 
 
 
 
 
Cash flow hedges:
 
 
 
 
 
 
 
 
Gains (losses) reclassified from AOCI into earnings:
 
 
 
 
 
 
 
 
Interest rate contracts(1)
 
$
34

 
$
14

 
$
90

 
$
40

Foreign exchange contracts(2)
 
(5
)
 
(8
)
 
(16
)
 
(17
)
Subtotal
 
29

 
6

 
74

 
23

Gains (losses) recognized in earnings due to ineffectiveness:
 
 
 
 
 
 
 
 
Interest rate contracts(2)
 
(1
)
 
1

 
0

 
0

Net derivative gains recognized in earnings
 
$
28

 
$
7

 
$
74

 
$
23

__________
(1) 
Amounts reclassified are recorded on our consolidated statements of income in interest income or interest expense.
(2) 
Amounts reclassified are recorded on our consolidated statements of income in other non-interest income.