Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Asset and Liability Management Derivative Positions of Company

The following table summarizes the asset and liability management derivative positions of the Company:


	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years
June 30, 2015
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	3,050	$	58		4.94	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		272		6		7.27		5,543		239		1.50
Net investment hedges
Foreign exchange forward contracts		987		4		.04		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		4,024		30		.10		1,577		16		.05
Sell		5,812		79		.10		4,112		33		.13
Options
Purchased		2,050		–		.07		–		–		–
Written		2,954		44		.07		10		1		.11
Receive fixed/pay floating swaps		3,795		25		10.22		–		–		–
Pay fixed/receive floating swaps		250		1		10.22		48		–		9.21
Foreign exchange forward contracts		3,529		10		.02		5,367		4		.01
Equity contracts		–		–		–		93		1		.78
Credit contracts		1,199		2		3.12		2,498		4		2.66
Other (a)		45		–		.01		461		50		2.94
Total	$	27,967	$	259			$	19,709	$	348
December 31, 2014
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	2,750	$	65		5.69	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		272		6		7.76		5,748		315		1.94
Receive fixed/pay floating swaps		250		–		.16		–		–		–
Net investment hedges
Foreign exchange forward contracts		1,047		31		.04		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		4,839		45		.07		60		–		.08
Sell		448		10		.13		6,713		62		.09
Options
Purchased		2,500		–		.06		–		–		–
Written		2,643		31		.08		4		–		.11
Receive fixed/pay floating swaps		3,552		14		10.22		250		1		10.22
Pay fixed/receive floating swaps		15		–		10.22		–		–		–
Foreign exchange forward contracts		510		3		.03		6,176		41		.02
Equity contracts		86		3		.60		–		–		–
Credit contracts		1,247		3		3.29		2,282		5		2.85
Other (a)		58		4		.03		390		48		3.20
Total	$	20,217	$	215			$	21,623	$	472

(a)

Includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $45 million and $58 million at June 30, 2015 and December 31, 2014, respectively, and derivative liability swap agreements related to the sale of a portion of the Company’s Class B common shares of Visa Inc. The Visa swap agreements had a total notional value, fair value and weighted average remaining maturity of $416 million, $50 million and 3.26 years at June 30, 2015, respectively, compared to $332 million, $44 million and 3.75 years at December 31, 2014, respectively.

The following table summarizes the customer-related derivative positions of the Company:


	Asset Derivatives						Liability Derivatives
(Dollars in Millions)	Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years		Notional Value		Fair Value		Weighted- Average Remaining Maturity In Years
June 30, 2015
Interest rate contracts
Receive fixed/pay floating swaps	$	28,676	$	895		4.77	$	7,701	$	93		7.92
Pay fixed/receive floating swaps		7,214		79		6.86		27,938		915		5.06
Options
Purchased		7,989		16		3.22		23		–		1.92
Written		23		–		1.92		7,756		14		3.17
Futures
Buy		4,079		1		.93		–		–		–
Foreign exchange rate contracts
Forwards, spots and swaps		18,466		983		.64		18,290		894		.62
Options
Purchased		1,516		66		1.11		–		–		–
Written		–		–		–		1,516		66		1.11
Total	$	67,963	$	2,040			$	63,224	$	1,982
December 31, 2014
Interest rate contracts
Receive fixed/pay floating swaps	$	21,724	$	888		6.09	$	5,880	$	24		3.79
Pay fixed/receive floating swaps		4,622		26		3.27		21,821		892		6.08
Options
Purchased		4,409		10		3.79		24		–		2.42
Written		24		–		2.42		4,375		10		3.79
Futures
Buy		1,811		–		.22		226		–		.45
Sell		152		–		1.08		46		–		1.73
Foreign exchange rate contracts
Forwards, spots and swaps		17,062		890		.52		14,645		752		.59
Options
Purchased		976		39		.44		–		–		–
Written		–		–		–		976		39		.44
Total	$	50,780	$	1,853			$	47,993	$	1,717

Summary of Effective Portion of Gains (Losses) Recognized in Other Comprehensive Income (Loss) and Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings

The table below shows the effective portion of the gains (losses) recognized in other comprehensive income (loss) and the gains (losses) reclassified from other comprehensive income (loss) into earnings (net-of-tax):


	Three Months Ended June 30,												Six Months Ended June 30,
	Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings						Gains (Losses) Recognized in Other Comprehensive Income (Loss)						Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings
(Dollars in Millions)	2015			2014			2015			2014			2015			2014			2015			2014
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a)	$	3		$	(15	)	$	(30	)	$	(28	)	$	(14	)	$	(22	)	$	(61	)	$	(58	)
Net investment hedges
Foreign exchange forward contracts		(35	)		9			–			–			80			9			–			–

Note:

Ineffectiveness on cash flow and net investment hedges was not material for the three and six months ended June 30, 2015 and 2014.

(a)

Gains (Losses) reclassified from other comprehensive income (loss) into interest income on loans and interest expense on long-term debt.

Summary of Gains (Losses) Recognized in Earnings for Fair Value Hedges, Other Economic Hedges and Customer-Related Positions

The table below shows the gains (losses) recognized in earnings for fair value hedges, other economic hedges and the customer-related positions:


	Location of Gains (Losses) Recognized in Earnings	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings	2015			2014			2015			2014
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts	Other noninterest income	$	(42	)	$	8		$	(8	)	$	6
Other economic hedges
Interest rate contracts
Futures and forwards	Mortgage banking revenue		147			(26	)		188			(75	)
Purchased and written options	Mortgage banking revenue		23			80			82			146
Receive fixed/pay floating swaps	Mortgage banking revenue		(136	)		112			(21	)		221
Pay fixed/receive floating swaps	Mortgage banking revenue		1			–			1			–
Foreign exchange forward contracts	Commercial products revenue		66			(12	)		86			(17	)
Equity contracts	Compensation expense		(1	)		1			(1	)		1
Credit contracts	Other noninterest income		1			–			1			–
Other	Other noninterest income		–			(43	)		–			(43	)
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps	Other noninterest income		(258	)		215			100			349
Pay fixed/receive floating swaps	Other noninterest income		269			(206	)		(81	)		(335	)
Purchased and written options	Other noninterest income		1			–			1			–
Futures	Other noninterest income		1			–			1			–
Foreign exchange rate contracts
Forwards, spots and swaps	Commercial products revenue		17			16			37			32
Purchased and written options	Commercial products revenue		–			–			1			–

(a)

Gains (Losses) on items hedged by interest rate contracts included in noninterest income (expense), were $40 million and $(8) million for the three months ended June 30, 2015 and 2014, respectively, and $7 million and $(6) million for the six months ended June 30, 2015 and 2014, respectively. The ineffective portion was immaterial for the three and six months ended June 30, 2015 and 2014.