Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2016

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
September 30, 2016
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	3,800	$	133		3.89	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		500		–		1.33		6,625		176		4.78
Net investment hedges
Foreign exchange forward contracts		1,222		8		.05		152		–		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		6,723		52		.07		156		1		.12
Sell		1,071		12		.15		8,048		43		.09
Options
Purchased		2,200		–		.06		–		–		–
Written		3,277		67		.10		20		1		.09
Receive fixed/pay floating swaps		6,952		355		9.59		2,475		10		10.22
Pay fixed/receive floating swaps		47		–		7.95		4,333		341		9.22
Foreign exchange forward contracts		372		4		.04		3,426		25		.01
Equity contracts		64		1		.72		35		–		.26
Credit contracts		1,413		1		3.05		3,302		3		3.06
Other (a)		285		2		.01		997		100		2.68
Total	$	27,926	$	635			$	29,569	$	700
December 31, 2015
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	3,050	$	73		4.43	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		1,772		7		9.22		5,009		146		1.13
Net investment hedges
Foreign exchange forward contracts		1,140		4		.04		–		–		–
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		3,812		17		.07		452		1		.06
Sell		3,201		12		.09		2,559		7		.12
Options
Purchased		2,935		–		.06		–		–		–
Written		3,199		29		.10		5		1		.08
Receive fixed/pay floating swaps		3,733		42		9.98		4,748		18		10.18
Pay fixed/receive floating swaps		287		2		9.82		4,158		35		9.97
Foreign exchange forward contracts		3,023		13		.01		2,380		10		.03
Equity contracts		62		–		.47		24		1		.82
Credit contracts		1,192		2		2.58		2,821		3		2.99
Other (a)		36		–		.04		662		64		2.60
Total	$	27,442	$	201			$	22,818	$	286

(a)

Includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $285 million and $36 million at September 30, 2016 and December 31, 2015, 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 $712 million, $98 million and 3.75 years at September 30, 2016, respectively, compared to $626 million, $64 million and 2.75 years at December 31, 2015, 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
September 30, 2016
Interest rate contracts
Receive fixed/pay floating swaps	$	56,962	$	2,249		5.04	$	14,464	$	29		3.17
Pay fixed/receive floating swaps		11,835		29		2.81		59,866		2,385		5.01
Options
Purchased		10,127		7		2.11		356		26		.89
Written		449		27		5.47		8,987		3		1.67
Futures
Buy		3,540		1		1.41		4,701		–		.82
Foreign exchange rate contracts
Forwards, spots and swaps		24,249		690		.52		18,252		663		.65
Options
Purchased		1,771		47		1.23		–		–		–
Written		–		–		–		1,771		47		1.23
Total	$	108,933	$	3,050			$	108,397	$	3,153
December 31, 2015
Interest rate contracts
Receive fixed/pay floating swaps	$	32,647	$	1,097		5.69	$	14,068	$	54		4.71
Pay fixed/receive floating swaps		10,685		43		4.55		35,045		1,160		5.74
Options
Purchased		8,705		10		2.61		146		1		2.23
Written		146		2		2.23		8,482		9		2.57
Futures
Buy		–		–		–		2,859		2		.84
Sell		45		–		.97		–		–		–
Foreign exchange rate contracts
Forwards, spots and swaps		18,399		851		.59		17,959		830		.58
Options
Purchased		1,485		43		1.19		–		–		–
Written		–		–		–		1,485		43		1.19
Total	$	72,112	$	2,046			$	80,044	$	2,099

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 September 30,											Nine Months Ended September 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)	2016		2015			2016			2015			2016			2015			2016			2015
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts (a)	$	20	$	(24	)	$	(17	)	$	(30	)	$	(93	)	$	(38	)	$	(64	)	$	(91	)
Net investment hedges
Foreign exchange forward contracts		–		(1	)		–			–			(15	)		79			–			–

Note:

Ineffectiveness on cash flow and net investment hedges was not material for the three and nine months ended September 30, 2016 and 2015.

(a)

Gains (Losses) reclassified from other comprehensive income (loss) into interest expense.

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:


(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings		Three Months Ended September 30,						Nine Months Ended September 30,
(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings		2016			2015			2016			2015
Asset and Liability Management Positions
Fair value hedges (a)
Interest rate contracts		Other noninterest income	$	(31	)	$	52		$	63		$	44
Other economic hedges
Interest rate contracts
Futures and forwards		Mortgage banking revenue		21			(55	)		(34	)		133
Purchased and written options		Mortgage banking revenue		102			99			315			181
Receive fixed/pay floating swaps		Mortgage banking revenue		(134	)		173			268			152
Pay fixed/receive floating swaps		Mortgage banking revenue		113			(4	)		111			(3	)
Foreign exchange forward contracts		Commercial products revenue		9			17			(46	)		103
Equity contracts		Compensation expense		1			(1	)		–			(2	)
Credit contracts		Other noninterest income		1			–			–			1
Other		Other noninterest income		–			–			(38	)		–
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps		Other noninterest income		(397	)		540			1,326			640
Pay fixed/receive floating swaps		Other noninterest income		417			(534	)		(1,289	)		(615	)
Purchased and written options		Other noninterest income		(4	)		1			(3	)		2
Futures		Other noninterest income		(4	)		2			3			3
Foreign exchange rate contracts
Forwards, spots and swaps		Commercial products revenue		21			19			61			56
Purchased and written options		Commercial products revenue		1			–			3			1

(a)

Gains (Losses) on items hedged by interest rate contracts included in noninterest income (expense), were $31 million and $(50) million for the three months ended September 30, 2016 and 2015, respectively, and $(61) million and $(43) million for the nine months ended September 30, 2016 and 2015, respectively. The ineffective portion was immaterial for the three and nine months ended September 30, 2016 and 2015.