Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016, 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, 2017								December 31, 2016
	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	$	48,009	$	246		$	637		$	40,480	$	295		$	569
Cash flow hedges	52,200		60			369			50,400		151			287
Total interest rate contracts	100,209		306			1,006			90,880		446			856
Foreign exchange contracts:
Cash flow hedges	5,307		27			34			5,620		108			9
Net investment hedges	2,535		62			24			2,396		163			0
Total foreign exchange contracts	7,842		89			58			8,016		271			9
Total derivatives designated as accounting hedges	108,051		395			1,064			98,896		717			865
Derivatives not designated as accounting hedges:
Interest rate contracts covering:
MSRs⁽²⁾	1,551		20			13			1,696		17			21
Customer accommodation	41,220		571			435			39,474		670			530
Other interest rate exposures⁽³⁾	2,509		32			12			1,105		33			8
Total interest rate contracts	45,280		623			460			42,275		720			559
Other contracts	1,752		51			7			1,767		57			14
Total derivatives not designated as accounting hedges	47,032		674			467			44,042		777			573
Total derivatives	$	155,083	$	1,069		$	1,531		$	142,938	$	1,494		$	1,438
Less: netting adjustment⁽⁴⁾			(375		)	(246		)			(539		)	(336		)
Total derivative assets/liabilities			$	694		$	1,285				$	955		$	1,102

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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⁾	Includes 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, 2017 and December 31, 2016 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, 2017
Derivatives assets⁽¹⁾⁽²⁾	$	1,069	$	(194	)	$	(181	)	$	694	$	0		$	694
As of December 31, 2016
Derivatives assets⁽¹⁾⁽²⁾	1,494		(152		)	(387		)	955		(11		)	944

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, 2017
Derivatives liabilities⁽¹⁾⁽²⁾	$	1,531	$	(194	)	$	(52	)	$	1,285	$	0		$	1,285
Repurchase agreements⁽³⁾⁽⁴⁾	1,046		0			0			1,046		(1,046		)	0
As of December 31, 2016
Derivatives liabilities⁽¹⁾⁽²⁾	1,438		(152		)	(184		)	1,102		0			1,102
Repurchase agreements⁽³⁾	992		0			0			992		(992		)	0

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⁽¹⁾	The gross balances include derivative assets and derivative liabilities as of March 31, 2017 that totaled $400 million and $1.0 billion, respectively, related to the centrally cleared derivative contracts. The comparable amounts as of December 31, 2016 totaled $491 million and $908 million, respectively. These contracts were not subject to offsetting as of March 31, 2017 and December 31, 2016.

⁽²⁾

We received cash collateral from derivative counterparties totaling $208 million and $448 million as of March 31, 2017 and December 31, 2016, respectively. We also received securities from derivative counterparties with a fair value of $1 million and $16 million as of March 31, 2017 and December 31, 2016, respectively, which we have the ability to re-pledge. We posted $1.4 billion and $1.5 billion of cash collateral as of March 31, 2017 and December 31, 2016, respectively.


⁽³⁾	As of March 31, 2017 and December 31, 2016, 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 March 31, 2017, we pledged collateral with a fair value of $1.1 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 three months ended March 31, 2017 and 2016.

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



	Three Months Ended March 31,
(Dollars in millions)	2017			2016
Derivatives designated as accounting hedges:⁽¹⁾
Fair value interest rate contracts:
Gains (losses) recognized in earnings on derivatives	$	(45	)	$	208
Gains (losses) recognized in earnings on hedged items	39			(192		)
Net fair value hedge ineffectiveness gains (losses)	(6		)	16
Derivatives not designated as accounting hedges:⁽¹⁾
Interest rate contracts covering:
MSRs	0			10
Customer accommodation	10			5
Other interest rate exposures	7			15
Total interest rate contracts	17			30
Foreign exchange contracts	0			0
Other contracts	0			0
Total gains on derivatives not designated as accounting hedges	17			30
Net derivative gains recognized in earnings	$	11		$	46

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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 three months ended March 31, 2017 and 2016.

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)	2017			2016
Gains (losses) recorded in AOCI:
Cash flow hedges:
Interest rate contracts	$	(30	)	$	426
Foreign exchange contracts	4			0
Subtotal	(26		)	426
Net investment hedges:
Foreign exchange contracts	(22		)	41
Net derivatives gains (losses) recognized in AOCI	$	(48	)	$	467
Gains (losses) recorded in earnings:
Cash flow hedges:
Gains (losses) reclassified from AOCI into earnings:
Interest rate contracts⁽¹⁾	$	37		$	50
Foreign exchange contracts⁽²⁾	3			(1		)
Subtotal	40			49
Gains (losses) recognized in earnings due to ineffectiveness:
Interest rate contracts⁽²⁾	(1		)	3
Net derivative gains (losses) recognized in earnings	$	39		$	52

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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.