Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2016

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 March 31, 2016 and December 31, 2015, 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



	March 31, 2016								December 31, 2015
	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	$	33,767	$	556		$	78		$	34,417	$	550		$	146
Cash flow hedges	37,535		677			18			30,450		167			61
Total interest rate contracts	71,302		1,233			96			64,867		717			207
Foreign exchange contracts:
Cash flow hedges	5,395		42			154			5,580		239			2
Net investment hedges	2,545		50			0			2,562		87			0
Total foreign exchange contracts	7,940		92			154			8,142		326			2
Total derivatives designated as accounting hedges	79,242		1,325			250			73,009		1,043			209
Derivatives not designated as accounting hedges:
Interest rate contracts covering:
MSRs⁽²⁾	1,180		25			13			1,665		11			7
Customer accommodation	30,811		636			511			28,841		431			290
Other interest rate exposures⁽³⁾	1,873		37			19			1,519		33			10
Total interest rate contracts	33,864		698			543			32,025		475			307
Other contracts	864		0			2			882		0			4
Total derivatives not designated as accounting hedges	34,728		698			545			32,907		475			311
Total derivatives	$	113,970	$	2,023		$	795		$	105,916	$	1,518		$	520
Less: netting adjustment⁽⁴⁾			(334		)	(350		)			(532		)	(143		)
Total derivative assets/liabilities			$	1,689		$	445				$	986		$	377

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⁽¹⁾	Derivative assets and liabilities include interest accruals.


⁽²⁾	Includes interest rate swaps and to-be-announced contracts.


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


⁽⁴⁾	Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See Table 9.2 for further information.

Offsetting Assets

The following table presents as of March 31, 2016 and December 31, 2015 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 March 31, 2016
Derivatives assets⁽¹⁾	$	2,023	$	(200	)	$	(134	)	$	1,689	$	(5	)	$	1,684
As of December 31, 2015
Derivatives assets⁽¹⁾	1,518		(86		)	(446		)	986		(156		)	830

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 March 31, 2016
Derivatives liabilities⁽¹⁾	$	795	$	(200	)	$	(150	)	$	445	$	0		$	445
Repurchase agreements⁽²⁾⁽³⁾	917		0			0			917		(917		)	0
As of December 31, 2015
Derivatives liabilities⁽¹⁾	520		(86		)	(57		)	377		0			377
Repurchase agreements⁽²⁾	969		0			0			969		(969		)	0

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⁽¹⁾	The gross balances include derivative assets and derivative liabilities as of March 31, 2016 totaling $1.1 billion and $364 million, respectively, related to the centrally cleared derivative contracts. The comparable amounts as of December 31, 2015 totaled $429 million and $314 million, respectively. These contracts were not subject to offsetting as of March 31, 2016 and December 31, 2015.


⁽²⁾	As of March 31, 2016 and December 31, 2015, 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 March 31, 2016, we pledged collateral with a fair value of $936 million under these customer repurchase agreements, which were primarily 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 months ended March 31, 2016 and 2015.

Table 9.3: Gains and Losses on Fair Value Hedges and Free-Standing Derivatives



	Three Months Ended March 31,
(Dollars in millions)	2016			2015
Derivatives designated as accounting hedges:⁽¹⁾
Fair value interest rate contracts:
Gains (losses) recognized in earnings on derivatives	$	208		$	153
Gains (losses) recognized in earnings on hedged items	(192		)	(148		)
Net fair value hedge ineffectiveness gains (losses)	16			5
Derivatives not designated as accounting hedges:⁽¹⁾
Interest rate contracts covering:
MSRs	10			6
Customer accommodation	5			4
Other interest rate exposures	15			2
Total interest rate contracts	30			12
Other contracts	0			(2		)
Total gains on derivatives not designated as accounting hedges	30			10
Net derivative gains (losses) recognized in earnings	$	46		$	15

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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 months ended March 31, 2016 and 2015.

Table 9.4: Gains and Losses on Derivatives Designated as Cash Flow Hedges and Net Investment Hedges



	Three Months Ended March 31,
(Dollars in millions)	2016			2015
Gains (losses) recorded in AOCI:
Cash flow hedges:
Interest rate contracts	$	426		$	210
Foreign exchange contracts	0			(5		)
Subtotal	426			205
Net investment hedges:
Foreign exchange contracts	41			75
Net derivatives gains (losses) recognized in AOCI	$	467		$	280
Gains (losses) recorded in earnings:
Cash flow hedges:
Gains (losses) reclassified from AOCI into earnings:
Interest rate contracts⁽¹⁾	$	50		$	47
Foreign exchange contracts⁽²⁾	(1		)	(4		)
Subtotal	49			43
Gains (losses) recognized in earnings due to ineffectiveness:
Interest rate contracts⁽²⁾	3			2
Net derivative gains (losses) recognized in earnings	$	52		$	45

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


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