Derivative Instruments and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2015

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 on a gross basis as of September 30, 2015 and December 31, 2014, which 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. The total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated cash collateral received or paid.

Table 9.1: Derivative Assets and Liabilities at Fair Value



	September 30, 2015								December 31, 2014
	Notional or Contractual Amount		Derivative⁽¹⁾						Notional or Contractual Amount		Derivative⁽¹⁾
(Dollars in millions)	Notional or Contractual Amount		Assets			Liabilities			Notional or Contractual Amount		Assets			Liabilities
Derivatives designated as accounting hedges:
Interest rate contracts:
Fair value hedges	$	31,876	$	706		$	40		$	24,543	$	480		$	39
Cash flow hedges	23,150		352			11			24,450		222			18
Total interest rate contracts	55,026		1,058			51			48,993		702			57
Foreign exchange contracts:
Cash flow hedges	5,244		219			9			5,546		221			2
Net investment hedges	2,543		58			0			2,476		73			0
Total foreign exchange contracts	7,787		277			9			8,022		294			2
Total derivatives designated as accounting hedges	62,813		1,335			60			57,015		996			59
Derivatives not designated as accounting hedges:
Interest rate contracts covering:
MSRs⁽²⁾	1,074		15			9			777		10			3
Customer accommodation	27,939		525			381			27,646		413			251
Other interest rate exposures⁽³⁾	1,526		36			17			2,614		33			21
Total interest rate contracts	30,539		576			407			31,037		456			275
Other contracts	614		0			5			593		0			5
Total derivatives not designated as accounting hedges	31,153		576			412			31,630		456			280
Total derivatives	$	93,966	$	1,911		$	472		$	88,645	$	1,452		$	339
Less: netting adjustment⁽⁴⁾			(483		)	(181		)			(624		)	(164		)
Total derivative assets/liabilities			$	1,428		$	291				$	828		$	175

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⁽¹⁾	Derivative assets and liabilities include interest accruals.


⁽²⁾	Includes interest rate swaps and To Be Announced (“TBA”) contracts.


⁽³⁾	Other interest rate exposures include mortgage-related derivatives.


⁽⁴⁾	Represents balance sheet netting of derivative assets and liabilities, and related receivables, payables and cash collateral. See Table 9.2 for further information.

Offsetting Assets

The following table presents as of September 30, 2015 and December 31, 2014 the gross and net fair values of our derivative assets and liabilities and repurchase agreements, as well as the related offsetting amounts permitted under U.S. GAAP. The table also includes cash and non-cash collateral received or pledged associated with such arrangements. The collateral amounts shown are limited to the extent of the related net derivative fair values or outstanding balances, thus instances of over-collateralization are not shown.

Table 9.2: Offsetting of Financial Assets and Financial Liabilities



	Gross Amounts		Gross Amounts Offset in the Balance Sheet						Net Amounts as Recognized		Securities Collateral Held Under Master Netting Agreements
(Dollars in millions)	Gross Amounts		Financial Instruments			Cash Collateral Received			Net Amounts as Recognized		Securities Collateral Held Under Master Netting Agreements			Net Exposure
As of September 30, 2015
Derivatives assets⁽¹⁾	$	1,911	$	(84	)	$	(399	)	$	1,428	$	(220	)	$	1,208
As of December 31, 2014
Derivatives assets⁽¹⁾	$	1,452	$	(101	)	$	(523	)	$	828	$	(80	)	$	748

Offsetting Liabilities



	Gross Amounts		Gross Amounts Offset in the Balance Sheet						Net Amounts as Recognized		Securities Collateral Pledged Under Master Netting Agreements
(Dollars in millions)	Gross Amounts		Financial Instruments			Cash Collateral Pledged			Net Amounts as Recognized					Net Exposure
As of September 30, 2015
Derivatives liabilities⁽¹⁾	$	472	$	(84	)	$	(97	)	$	291	$	0		$	291
Repurchase agreements⁽²⁾⁽³⁾	1,012		0			0			1,012		(1,012		)	0
As of December 31, 2014
Derivatives liabilities⁽¹⁾	$	339	$	(101	)	$	(63	)	$	175	$	0		$	175
Repurchase agreements⁽²⁾	869		0			0			869		(869		)	0

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⁽¹⁾

The gross balances include derivative assets and derivative liabilities as of September 30, 2015 totaling $699 million and $242 million, respectively, related to the centrally cleared derivative contracts. The comparable amounts as of December 31, 2014 totaled $360 million and $127 million, respectively. These contracts were not subject to offsetting as of September 30, 2015 and December 31, 2014.


⁽²⁾	As of September 30, 2015 and December 31, 2014, the Company only had repurchase obligations outstanding and did not have any reverse repurchase receivables.


⁽³⁾	Represents customer repurchase agreements that mature the next business day. As of September 30, 2015, we pledged collateral with a fair value of $1.0 billion under these customer repurchase agreements, all of which were agency RMBS securities.

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, 2015 and 2014.

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)	2015			2014			2015			2014
Derivatives designated as accounting hedges:⁽¹⁾
Fair value interest rate contracts:
Gains (losses) recognized in earnings on derivatives	$	365		$	(94	)	$	295		$	42
(Losses) gains recognized in earnings on hedged items	(367		)	110			(304		)	(5		)
Net fair value hedge ineffectiveness (losses) gains	(2		)	16			(9		)	37
Derivatives not designated as accounting hedges:⁽¹⁾
Interest rate contracts covering:
MSRs	8			1			5			14
Customer accommodation	5			7			14			15
Other interest rate exposures	13			5			31			8
Total interest rate contracts	26			13			50			37
Foreign exchange contracts	0			0			0			1
Other contracts	(1		)	(2		)	(3		)	(1		)
Total gains on derivatives not designated as accounting hedges	25			11			47			37
Net derivative gains recognized in earnings	$	23		$	27		$	38		$	74

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⁽¹⁾	Amounts are recorded in 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, 2015 and 2014.

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)	2015			2014			2015			2014
Gains (losses) recorded in AOCI:
Cash flow hedges:
Interest rate contracts	$	270		$	(34	)	$	447		$	112
Foreign exchange contracts	(3		)	(5		)	(14		)	(16		)
Subtotal	267			(39		)	433			96
Net investment hedges:
Foreign exchange contracts	62			71			40			71
Net derivatives gains recognized in AOCI	$	329		$	32		$	473		$	167
Gains (losses) recorded in earnings:
Cash flow hedges:
Gains (losses) reclassified from AOCI into earnings:
Interest rate contracts⁽¹⁾	$	39		$	34		$	136		$	90
Foreign exchange contracts⁽²⁾	(2		)	(5		)	(14		)	(16		)
Subtotal	37			29			122			74
Gains (losses) recognized in earnings due to ineffectiveness:
Interest rate contracts⁽²⁾	2			(1		)	4			0
Net derivative gains recognized in earnings	$	39		$	28		$	126		$	74

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⁽¹⁾	Amounts reclassified are recorded in our consolidated statements of income in interest income or interest expense.


⁽²⁾	Amounts reclassified are recorded in our consolidated statements of income in other non-interest income.