XML 52 R38.htm IDEA: XBRL DOCUMENT

Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2019

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, 2019
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	1,300	$	–		4.52	$	–	$	–		–
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		1,532		–		6.56		8,520		5		2.26
Net investment hedges
Foreign exchange forward contracts		–		–		–		437		4		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		10,697		44		.06		7,226		28		.06
Sell		1,742		8		.03		18,490		63		.53
Options
Purchased		8,620		106		3.70		–		–		–
Written		2,077		43		.45		2,819		54		1.86
Receive fixed/pay floating swaps		9,398		–		9.81		631		–		4.39
Pay fixed/receive floating swaps		153		–		16.11		5,462		–		6.10
Foreign exchange forward contracts		264		1		.07		654		6		.05
Equity contracts		139		2		.85		–		–		–
Other (a)		825		5		.01		2,448		69		.67
Total	$	36,747	$	209			$	46,687	$	229
December 31, 2018
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps	$	7,422	$	8		3.11	$	4,320	$	–		1.77
Net investment hedges
Foreign exchange forward contracts		209		5		.05		223		1		.05
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		2,839		27		.07		1,140		5		.05
Sell		994		3		.06		13,968		30		.72
Options
Purchased		5,080		88		10.77		–		–		–
Written		584		16		.09		3		–		.09
Receive fixed/pay floating swaps		3,605		–		14.80		4,333		–		6.97
Pay fixed/receive floating swaps		4,333		–		6.97		1,132		–		7.64
Foreign exchange forward contracts		549		7		.03		75		1		.05
Equity contracts		19		1		.82		104		2		.45
Other (a)		1		–		.01		1,458		84		1.50
Total	$	25,635	$	155			$	26,756	$	123

(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 $1.6 billion, $64 million and 1.01 years at June 30, 2019, respectively, compared to $1.5 billion, $84 million and 1.50 years at December 31, 2018, respectively. In addition, includes short-term underwriting purchase and sale commitments with total asset and liability notional values of $825 million at June 30, 2019, and $1 million at December 31, 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
June 30, 2019
Interest rate contracts
Receive fixed/pay floating swaps	$	105,152	$	1,926		5.31	$	21,853	$	47		3.16
Pay fixed/receive floating swaps		22,375		47		2.74		100,241		753		5.24
Other (a)		8,117		2		3.30		5,789		3		3.08
Options
Purchased		48,316		38		1.35		2,745		75		6.48
Written		10,018		77		1.90		38,506		33		1.47
Futures
Buy		92		–		.97		–		–		–
Sell		917		–		1.84		4,363		3		.92
Foreign exchange rate contracts
Forwards, spots and swaps		28,464		552		1.14		27,241		528		1.31
Options
Purchased		1,680		24		.75		–		–		–
Written		–		–		–		1,680		24		.75
Credit contracts		2,527		1		3.15		6,751		5		4.92
Total	$	227,658	$	2,667			$	209,169	$	1,471
December 31, 2018
Interest rate contracts
Receive fixed/pay floating swaps	$	42,054	$	754		6.73	$	60,731	$	456		4.32
Pay fixed/receive floating swaps		60,970		288		3.90		40,499		420		6.57
Other (a)		5,777		2		3.77		6,496		2		2.72
Options
Purchased		41,711		51		1.54		1,940		30		1.98
Written		2,060		32		2.07		39,538		51		1.44
Futures
Buy		460		–		1.58		–		–		–
Sell		–		–		–		6,190		1		.59
Foreign exchange rate contracts
Forwards, spots and swaps		26,210		681		.91		25,571		663		.88
Options
Purchased		2,779		47		.75		–		–		–
Written		–		–		–		2,779		47		.75
Credit contracts		2,318		–		3.50		4,923		2		4.04
Total	$	184,339	$	1,855			$	188,667	$	1,672

(a)	Primarily represents floating rate interest rate swaps that pay based on differentials between specified interest rate indexes.

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)	2019			2018		2019		2018		2019			2018		2019		2018
Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts	$	(101	)	$	25	$	5	$	1	$	(156	)	$	89	$	11	$	(1	)
Net investment hedges
Foreign exchange forward contracts		(4	)		12		–		–		(2	)		28		–		–
Non-derivative debt instruments		(11	)		50		–		–		5			16		–		–

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 Included in Interest Expense on Consolidated Statement of Income

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


	Three Months Ended June 30						Six Months Ended June 30
(Dollars in Millions)	2019			2018			2019			2018
Total amount of interest expense presented in the Consolidated Statement of Income	$	1,146		$	751		$	2,238		$	1,374
Asset and Liability Management Positions
Fair value hedges
Interest rate contract derivatives		(30	)		48			(51	)		5
Hedged items		30			(48	)		51			(5	)
Cash Flow hedges
Interest rate contract derivatives		(6	)		(2	)		(14	)		1

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 six months ended June 30, 2019 and 2018.

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)	June 30, 2019		December 31, 2018		June 30, 2019		December 31, 2018
Line Item in the Consolidated Balance Sheet
Long-term Debt	$	1,348	$	–	$	37	$	(27	)

(a)	The cumulative hedging adjustment related to discontinued hedging relationships at June 30, 2019 and December 31, 2018 was $(13) million and $(27) million, respectively.

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:


	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		2019			2018			2019			2018
Asset and Liability Management Positions
Other economic hedges
Interest rate contracts
Futures and forwards		Mortgage banking revenue	$	(23	)	$	15		$	(40	)	$	73
Purchased and written options		Mortgage banking revenue		126			56			193			98
Swaps		Mortgage banking revenue		187			(46	)		298			(156	)
Foreign exchange forward contracts		Other noninterest income		(9	)		15			(15	)		27
Equity contracts		Compensation expense		(1	)		–			(2	)		(1	)
Other		Other noninterest income		(1	)		1			–			1
Customer-Related Positions
Interest rate contracts
Swaps		Commercial products revenue		15			14			35			17
Purchased and written options		Commercial products revenue		5			2			9			2
Futures		Commercial products revenue		(3	)		3			(4	)		11
Foreign exchange rate contracts
Forwards, spots and swaps		Commercial products revenue		21			22			39			45
Credit contracts		Commercial products revenue		(5	)		2			(8	)		2