Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps	$	5,492	$	14		4.81	$	6,450	$	4		.99
Net investment hedges
Foreign exchange forward contracts		209		3		.05		208		1		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		752		3		.18		1,996		11		.05
Sell		16,373		24		.85		1,820		3		.03
Options
Purchased		6,195		93		9.20		–		–		–
Written		941		20		.09		8		–		.08
Receive fixed/pay floating swaps		51		–		29.78		7,755		–		10.05
Pay fixed/receive floating swaps		5,010		–		7.15		42		–		15.24
Foreign exchange forward contracts		52		–		.05		573		4		.03
Equity contracts		86		1		.70		57		1		.46
Credit contracts		2,190		–		3.29		4,958		1		4.13
Other (a)		103		–		.01		1,455		89		1.63
Total	$	37,454	$	158			$	25,322	$	114
December 31, 2017
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	1,000	$	28		6.70	$	3,600	$	16		1.55
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		3,772		5		6.73		–		–		–
Net investment hedges
Foreign exchange forward contracts		–		–		–		373		8		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		1,632		7		.10		1,326		2		.04
Sell		15,291		10		.89		4,511		10		.03
Options
Purchased		4,985		65		7.57		–		–		–
Written		1,285		21		.10		5		–		.05
Receive fixed/pay floating swaps		2,019		5		16.49		5,469		–		8.43
Pay fixed/receive floating swaps		4,844		21		7.69		46		1		6.70
Foreign exchange forward contracts		147		1		.02		669		8		.04
Equity contracts		45		–		1.10		88		1		.58
Credit contracts		1,559		–		3.41		3,779		1		3.16
Other (a)		–		–		–		1,164		125		2.50
Total	$	36,579	$	163			$	21,030	$	172

(a)

Includes 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 $1.4 billion, $89 million and 1.75 years at September 30, 2018, respectively, compared to $1.2 billion, $125 million and 2.50 years at December 31, 2017, respectively. In addition, includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $103 million at September 30, 2018.

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, 2018
Interest rate contracts
Receive fixed/pay floating swaps	$	16,380	$	394		6.36	$	84,602	$	861		4.88
Pay fixed/receive floating swaps		86,194		534		4.72		18,496		309		5.06
Options
Purchased		38,022		75		1.58		799		1		4.39
Written		799		1		4.39		34,682		71		1.43
Futures
Sell		8,626		11		.74		–		–		–
Foreign exchange rate contracts
Forwards, spots and swaps		25,311		637		.89		24,532		618		.86
Options
Purchased		3,263		64		.86		–		–		–
Written		–		–		–		3,263		64		.86
Total	$	178,595	$	1,716			$	166,374	$	1,924
December 31, 2017
Interest rate contracts
Receive fixed/pay floating swaps	$	28,681	$	679		5.71	$	59,990	$	840		4.27
Pay fixed/receive floating swaps		63,038		860		4.20		25,093		602		5.76
Options
Purchased		29,091		22		1.61		880		14		4.24
Written		880		15		4.24		27,056		20		1.50
Futures
Sell		7,007		4		1.21		–		–		–
Foreign exchange rate contracts
Forwards, spots and swaps		24,099		656		.81		23,440		636		.83
Options
Purchased		4,026		83		1.20		–		–		–
Written		–		–		–		4,026		83		1.20
Total	$	156,822	$	2,319			$	140,485	$	2,195

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)	2018		2017			2018		2017			2018		2017			2018		2017
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts	$	29	$	(1	)	$	1	$	(2	)	$	118	$	(20	)	$	–	$	(17	)
Net investment hedges
Foreign exchange forward contracts		–		(7	)		–		–			28		(55	)		–		–
Non-derivative debt instruments		6		(24	)		–		–			22		(35	)		–		–

Note:

The Company does not exclude components from effectiveness testing for cash flow and net investment hedges.

Effect of Fair Value and Cash Flow Hedge Accounting on Consolidated Statement of Income

The table below shows the effect of fair value and cash flow hedge accounting on the Consolidated Statement of Income:


	Three Months Ended September 30										Nine Months Ended September 30
	Other Noninterest Income					Interest Expense					Other Noninterest Income					Interest Expense
(Dollars in Millions)	2018		2017			2018			2017		2018		2017			2018			2017
Total amount of income and expense line items presented in the Consolidated Statement of Income in which the effects of fair value or cash flow hedges are recorded	$	226	$	194		$	872		$	528	$	600	$	569		$	2,246		$	1,411

Asset and Liability Management Positions
Fair value hedges
Interest rate contract derivatives		–		(6	)		–			–		–		(2	)		5			–
Hedged items		–		6			–			–		–		2			(5	)		–
Cash Flow hedges
Interest rate contract derivatives		–		–			(2	)		4		–		–			(1	)		28

Note:

The Company does not exclude components from effectiveness testing for fair value and cash flow hedges. The Company did not reclassify gains or losses into earnings as a result of the discontinuance of cash flow hedges during the three and nine months ended September 30, 2018 and 2017.

Summary of Cumulative Hedging Adjustments and the Carrying Amount of Assets (Liabilities) Designated in Fair Value Hedges

The table below shows cumulative hedging adjustments and the carrying amount of assets (liabilities) designated in fair value hedges:


	Carrying Amount of the Hedged Assets (Liabilities)				Cumulative Hedging Adjustment (a)
(Dollars in Millions)	September 30, 2018		December 31, 2017		September 30, 2018			December 31, 2017
Line Item in the Consolidated Balance Sheet
Long-term Debt	$	–	$	4,584	$	(36	)	$	(8	)

(a)

The cumulative hedging adjustment at September 30, 2018 relates to discontinued hedging relationships. The Company did not have any hedging adjustments for discontinued fair value hedges at December 31, 2017.

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

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


		Three Months Ended September 30						Nine Months Ended September 30
(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings	2018			2017			2018			2017
Asset and Liability Management Positions
Other economic hedges
Interest rate contracts
Futures and forwards	Mortgage banking revenue	$	23		$	(16	)	$	96		$	(11	)
Purchased and written options	Mortgage banking revenue		46			82			144			199
Receive fixed/pay floating swaps	Mortgage banking revenue		(80	)		28			(220	)		176
Pay fixed/receive floating swaps	Mortgage banking revenue		12			(19	)		(4	)		(130	)
Foreign exchange forward contracts	Other noninterest income		(9	)		(13	)		18			(50	)
Equity contracts	Compensation expense		–			–			(1	)		–
Credit contracts	Other noninterest income		1			–			3			1
Other	Other noninterest income		–			–			1			(1	)
Customer-Related Positions
Interest rate contracts
Receive fixed/pay floating swaps	Commercial products revenue		(429	)		221			(1,944	)		(352	)
Pay fixed/receive floating swaps	Commercial products revenue		445			(190	)		1,977			412
Purchased and written options	Commercial products revenue		(1	)		(18	)		1			(26	)
Futures	Commercial products revenue		3			1			14			(1	)
Foreign exchange rate contracts
Forwards, spots and swaps	Commercial products revenue		20			23			65			69
Purchased and written options	Commercial products revenue		–			1			–			2