Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Interest Rate Derivatives

The table below summarizes the maturities and the paid fixed interest rates for the hedged senior and subordinated notes:

September 30, 2017	Maturity	Paid Fixed Interest Rate
Senior Notes
	2020	2.55%
	2021	4.38
	2021	1.95
	2022	2.65
	2023	3.70
	2024	3.30
	2025	3.55
	2026	2.65
Subordinated Notes
	2023	3.10

Schedule of Outstanding Hedges: (Notional Amount)

The following table presents the aggregate contractual, or notional, amounts of derivative financial instruments entered into in connection with our trading and asset-and-liability management activities as of the dates indicated:

(In millions)	September 30, 2017		December 31, 2016
Derivatives not designated as hedging instruments:
Interest-rate contracts:
Futures	$	14,262	$	13,455
Foreign exchange contracts:
Forward, swap and spot	1,618,670		1,414,765
Options purchased	455		337
Options written	262		202
Futures	—		—
Other:
Stable value contracts	25,351		27,182
Deferred value awards(1)(2)	531		409
Derivatives designated as hedging instruments:
Interest-rate contracts:
Swap agreements	10,616		10,169
Foreign exchange contracts:
Forward and swap	27,429		8,564

⁽¹⁾ Represents grants of deferred value awards to employees; refer to discussion in this note under "Derivatives Not Designated as Hedging Instruments."

⁽²⁾ Amount as of December 31, 2016 reflects $249 million related to the acceleration of expense associated with certain cash settled deferred incentive compensation awards.

Notional Amount of Interest Rate Swap Agreements Designated as Fair Value and Cash Flow Hedges

The following tables present the aggregate notional amounts of these interest rate contracts and the related assets or liabilities being hedged as of the dates indicated:

	September 30, 2017
(In millions)	Fair Value Hedges		Cash Flow Hedges		Total
Investment securities available-for-sale	$	1,323	$	—	$	1,323
Long-term debt(1)	8,493		—		8,493
Floating-rate loans	—		800		800
Total	$	9,816	$	800	$	10,616

	December 31, 2016(2)
(In millions)	Fair Value Hedges
Investment securities available-for-sale	$	1,444
Long-term debt(1)	8,725
Total	$	10,169

⁽¹⁾ As of September 30, 2017, these fair value hedges decreased the carrying value of LTD presented in our consolidated statement of condition by $1 million. As of December 31, 2016, these fair value hedges decreased the carrying value of long-term debt presented in our consolidated statement of condition by $15 million.

⁽²⁾

Contractual and Weighted-Average Interest Rates, Which Include the Effects of Hedges Related to Financial Instruments

The following table presents the contractual and weighted-average interest rates for long-term debt, which include the effects of the fair value hedges presented in the table above, for the periods indicated:

	Three Months Ended September 30,
	2017				2016
	Contractual Rates		Rate  Including Impact of Hedges		Contractual Rates		Rate  Including Impact of Hedges
Long-term debt	3.30	%	2.67	%	3.37	%	2.27	%
	Nine Months Ended September 30,
	2017				2016
	Contractual Rates		Rate  Including Impact of Hedges		Contractual Rates		Rate  Including Impact of Hedges
Long-term debt	3.35	%	2.61	%	3.41	%	2.24	%

Schedule of the Fair Values of Derivative Financial Instruments

The following tables present the fair value of derivative financial instruments, excluding the impact of master netting agreements, recorded in our consolidated statement of condition as of the dates indicated. The impact of master netting agreements is provided in Note 8 to the consolidated financial statements in this Form 10-Q.

	Derivative Assets(1)
	Fair Value
(In millions)	September 30, 2017		December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	11,667	$	15,982
Total	$	11,667	$	15,982
Derivatives designated as hedging instruments:
Foreign exchange contracts	$	70	$	502
Interest-rate contracts	3		68
Total	$	73	$	570

⁽¹⁾ Derivative assets are included within other assets in our consolidated statement of condition.

	Derivative Liabilities(1)
	Fair Value
(In millions)	September 30, 2017		December 31, 2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts	$	11,506	$	15,881
Other derivative contracts	319		380
Total	$	11,825	$	16,261
Derivatives designated as hedging instruments:
Foreign exchange contracts	$	77	$	75
Interest-rate contracts	107		348
Total	$	184	$	423

⁽¹⁾ Derivative liabilities are included within other liabilities in our consolidated statement of condition.

Impact of Derivatives on Consolidated Statement of Income

The following tables present the impact of our use of derivative financial instruments on our consolidated statement of income for the periods indicated:

	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
		Three Months Ended September 30,						Nine Months Ended September 30,
(In millions)		2017			2016			2017			2016
Derivatives not designated as hedging instruments:
Foreign exchange contracts	Trading services revenue	$	152		$	161		$	485		$	477
Interest-rate contracts	Processing fees and other revenue	—			—			—			1
Foreign exchange contracts	Processing fees and other revenue	(9		)	(3		)	(11		)	(13		)
Interest-rate contracts	Trading services revenue	(2		)	(1		)	7			(6		)
Credit derivative contracts	Trading services revenue	—			—			—			(1		)
Other derivative contracts	Trading services revenue	—			1			—			(2		)
Other derivative contracts	Compensation and employee benefits	(25		)	41			(120		)	168
Total		$	116		$	199		$	361		$	624

	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income						Hedged Item in Fair Value Hedging Relationship	Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income	Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income
		Three Months Ended September 30,								Three Months Ended September 30,
(In millions)		2017			2016					2017			2016
Derivatives designated as fair value hedges:
Foreign exchange contracts	Processing fees and other revenue	$	19		$	24		Investment securities	Processing fees and other revenue	$	(19	)	$	(24	)
Foreign exchange contracts	Processing fees and other revenue	200			1			FX deposit	Processing fees and other revenue	(200		)	(1		)
Interest-rate contracts	Processing fees and other revenue	9			22			Available-for-sale securities	Processing fees and other revenue(1)	(9		)	(22		)
Interest-rate contracts	Processing fees and other revenue	(8		)	(79		)	Long-term debt	Processing fees and other revenue	5			78
Total		$	220		$	(32	)			$	(223	)	$	31
	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income						Hedged Item in Fair Value Hedging Relationship	Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income	Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income
		Nine Months Ended September 30,								Nine Months Ended September 30,
		2017			2016					2017			2016
Derivatives designated as fair value hedges:
Foreign exchange contracts	Processing fees and other revenue	$	21		$	43		Investment securities	Processing fees and other revenue	$	(21	)	$	(43	)
Foreign exchange contracts	Processing fees and other revenue	1,282			247			FX deposit	Processing fees and other revenue	(1,282		)	(247		)
Interest-rate contracts	Processing fees and other revenue	23			(15		)	Available-for-sale securities	Processing fees and other revenue(2)	(21		)	15
Interest-rate contracts	Processing fees and other revenue	37			297			Long-term debt	Processing fees and other revenue	(39		)	(282		)
Total		$	1,363		$	572				$	(1,363	)	$	(557	)

Schedule of Differences Between the Gains (Losses) on the Derivative and the Gains (Losses) on the Hedged Item

	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income						Hedged Item in Fair Value Hedging Relationship	Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income	Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income
		Three Months Ended September 30,								Three Months Ended September 30,
(In millions)		2017			2016					2017			2016
Derivatives designated as fair value hedges:
Foreign exchange contracts	Processing fees and other revenue	$	19		$	24		Investment securities	Processing fees and other revenue	$	(19	)	$	(24	)
Foreign exchange contracts	Processing fees and other revenue	200			1			FX deposit	Processing fees and other revenue	(200		)	(1		)
Interest-rate contracts	Processing fees and other revenue	9			22			Available-for-sale securities	Processing fees and other revenue(1)	(9		)	(22		)
Interest-rate contracts	Processing fees and other revenue	(8		)	(79		)	Long-term debt	Processing fees and other revenue	5			78
Total		$	220		$	(32	)			$	(223	)	$	31
	Location of Gain (Loss) on Derivative in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income						Hedged Item in Fair Value Hedging Relationship	Location of Gain (Loss) on Hedged Item in Consolidated Statement of Income	Amount of Gain (Loss) on Hedged Item Recognized in Consolidated Statement of Income
		Nine Months Ended September 30,								Nine Months Ended September 30,
		2017			2016					2017			2016
Derivatives designated as fair value hedges:
Foreign exchange contracts	Processing fees and other revenue	$	21		$	43		Investment securities	Processing fees and other revenue	$	(21	)	$	(43	)
Foreign exchange contracts	Processing fees and other revenue	1,282			247			FX deposit	Processing fees and other revenue	(1,282		)	(247		)
Interest-rate contracts	Processing fees and other revenue	23			(15		)	Available-for-sale securities	Processing fees and other revenue(2)	(21		)	15
Interest-rate contracts	Processing fees and other revenue	37			297			Long-term debt	Processing fees and other revenue	(39		)	(282		)
Total		$	1,363		$	572				$	(1,363	)	$	(557	)

⁽¹⁾ In the three months ended September 30, 2017 and 2016, $4 million and $13 million, respectively, of net unrealized (losses) gains on AFS investment securities designated in fair value hedges were recognized in OCI.

⁽²⁾ In the nine months ended September 30, 2017 and 2016, $13 million and $(9) million, respectively, of net unrealized (losses) gains on AFS investment securities designated in fair value hedges were recognized in OCI.

Differences between the gains (losses) on the derivative and the gains (losses) on the hedged item, excluding any amounts recorded in NII, represent hedge ineffectiveness.

	Amount of Gain (Loss) on Derivative Recognized in Other Comprehensive Income						Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income	Amount of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income				Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
	Three Months Ended September 30,							Three Months Ended September 30,					Three Months Ended September 30,
(In millions)	2017			2016				2017		2016			2017		2016
Derivatives designated as cash flow hedges:
Interest-rate contracts	$	(1	)	$	—		Net interest income	$	—	$	—	Net interest income	$	—	$	—
Foreign exchange contracts	(1		)	(65		)	Net interest income	—		—		Net interest income	5		6
Total	$	(2	)	$	(65	)		$	—	$	—		$	5	$	6
Derivatives designated as net investment hedges:
Foreign exchange contracts	$	(47	)	$	4		Gains (Losses) related to investment securities, net	$	—	$	—	Gains (Losses) related to investment securities, net	$	—	$	—
Total	$	(47	)	$	4			$	—	$	—		$	—	$	—
	Amount of Gain (Loss) on Derivative Recognized in Other Comprehensive Income						Location of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income	Amount of Gain (Loss) Reclassified from OCI to Consolidated Statement of Income				Location of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income	Amount of Gain (Loss) on Derivative Recognized in Consolidated Statement of Income
	Nine Months Ended September 30,							Nine Months Ended September 30,					Nine Months Ended September 30,
(In millions)	2017			2016				2017		2016			2017		2016
Derivatives designated as cash flow hedges:
Interest-rate contracts	$	(2	)	$	—		Net interest income	$	—	$	—	Net interest income	$	—	$	—
Foreign exchange contracts	(93		)	(293		)	Net interest income	—		—		Net interest income	18		17
Total	$	(95	)	$	(293	)		$	—	$	—		$	18	$	17
Derivatives designated as net investment hedges:
Foreign exchange contracts	$	(148	)	$	55		Gains (Losses) related to investment securities, net	$	—	$	—	Gains (Losses) related to investment securities, net	$	—	$	—
Total	$	(148	)	$	55			$	—	$	—		$	—	$	—