Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 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 December 31, 2016 and 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 10.1: Derivative Assets and Liabilities at Fair Value



	December 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	$	40,480	$	295		$	569		$	34,417	$	550		$	146
Cash flow hedges	50,400		151			287			30,450		167			61
Total interest rate contracts	90,880		446			856			64,867		717			207
Foreign exchange contracts:
Cash flow hedges	5,620		108			9			5,580		239			2
Net investment hedges	2,396		163			0			2,562		87			0
Total foreign exchange contracts	8,016		271			9			8,142		326			2
Total derivatives designated as accounting hedges	98,896		717			865			73,009		1,043			209
Derivatives not designated as accounting hedges:
Interest rate contracts covering:
MSRs⁽²⁾	1,696		17			21			1,665		11			7
Customer accommodation	39,474		670			530			28,841		431			290
Other interest rate exposures⁽³⁾	1,105		33			8			1,519		33			10
Total interest rate contracts	42,275		720			559			32,025		475			307
Other contracts	1,767		57			14			882		0			4
Total derivatives not designated as accounting hedges	44,042		777			573			32,907		475			311
Total derivatives	$	142,938	$	1,494		$	1,438		$	105,916	$	1,518		$	520
Less: netting adjustment⁽⁴⁾			(539		)	(336		)			(532		)	(143		)
Total derivative assets/liabilities			$	955		$	1,102				$	986		$	377

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⁽¹⁾	Derivative assets and liabilities include interest accruals and exclude valuation adjustments related to non-performance risk.


⁽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 10.2 for further information.

Offsetting Assets

The following table presents as of December 31, 2016 and 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 10.2: 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 December 31, 2016
Derivatives assets⁽¹⁾⁽²⁾	$	1,494	$	(152	)	$	(387	)	$	955	$	(11	)	$	944
As of December 31, 2015
Derivatives assets⁽¹⁾⁽²⁾	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 December 31, 2016
Derivatives liabilities⁽¹⁾⁽²⁾	$	1,438	$	(152	)	$	(184	)	$	1,102	$	0		$	1,102
Repurchase agreements⁽³⁾⁽⁴⁾	992		0			0			992		(992		)	0
As of December 31, 2015
Derivatives liabilities⁽¹⁾⁽²⁾	520		(86		)	(57		)	377		0			377
Repurchase agreements⁽³⁾	969		0			0			969		(969		)	0

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⁽¹⁾	The gross balances include derivative assets and derivative liabilities as of December 31, 2016 that totaled $491 million and $908 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 December 31, 2016 and 2015.

⁽²⁾

We received cash collateral from derivative counterparties totaling $448 million and $544 million as of December 31, 2016 and 2015, respectively. We also received securities from derivative counterparties with a fair value of $16 million and $172 million as of December 31, 2016 and 2015, respectively, which we have the ability to re-pledge. We posted $1.5 billion and $304 million of cash collateral as of December 31, 2016 and 2015, respectively.


⁽³⁾	As of December 31, 2016 and 2015, we only had repurchase obligations outstanding and did not have any reverse repurchase receivables.


⁽⁴⁾	Represents customer repurchase agreements that mature the next business day. As of December 31, 2016, we pledged collateral with a fair value of $1.0 billion under these customer repurchase agreements, which were primarily agency RMBS securities.

Fair Value Hedging and Free-Standing Derivatives

Derivative Instruments, Gain (Loss) [Line Items]

Derivative Instruments, Gain (Loss)

The net gains (losses) recognized in earnings related to derivatives in fair value hedging relationships and free-standing derivatives are presented below for the years ended December 31, 2016, 2015 and 2014.

Table 10.3: Gains and Losses on Fair Value Hedges and Free-Standing Derivatives



	Year Ended December 31,
(Dollars in millions)	2016			2015			2014
Derivatives designated as accounting hedges:⁽¹⁾
Fair value interest rate contracts:
Gains (losses) recognized in earnings on derivatives	$	(613	)	$	(66	)	$	200
Gains (losses) recognized in earnings on hedged items	603			75			(157		)
Net fair value hedge ineffectiveness gains (losses)	(10		)	9			43
Derivatives not designated as accounting hedges:⁽¹⁾
Interest rate contracts covering:
MSRs	(1		)	3			23
Customer accommodation	37			21			18
Other interest rate exposures	68			44			11
Total interest rate contracts	104			68			52
Foreign exchange contracts	0			0			1
Other contracts	(9		)	(2		)	(1		)
Total gains on derivatives not designated as accounting hedges	95			66			52
Net derivative gains recognized in earnings	$	85		$	75		$	95

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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]

Derivative Instruments, Gain (Loss)

The table below shows the net gains (losses) related to derivatives designated as cash flow hedges and net investment hedges for the years ended December 31, 2016, 2015 and 2014.

Table 10.4: Gains and Losses on Derivatives Designated as Cash Flow Hedges and Net Investment Hedges



	Year Ended December 31,
(Dollars in millions)	2016			2015			2014
Gains (losses) recorded in AOCI:
Cash flow hedges:
Interest rate contracts	$	(6	)	$	301		$	251
Foreign exchange contracts	3			(17		)	(23		)
Subtotal	(3		)	284			228
Net investment hedges:
Foreign exchange contracts	280			83			132
Net derivatives gains (losses) recognized in AOCI	$	277		$	367		$	360
Gains (losses) recorded in earnings:
Cash flow hedges:
Gains (losses) reclassified from AOCI into earnings:
Interest rate contracts⁽¹⁾	$	192		$	190		$	131
Foreign exchange contracts⁽²⁾	3			(16		)	(23		)
Subtotal	195			174			108
Gains (losses) recognized in earnings due to ineffectiveness:
Interest rate contracts⁽²⁾	(4		)	2			1
Net derivative gains (losses) recognized in earnings	$	191		$	176		$	109

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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.