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Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 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

December 31, 2019
Fair value hedges
Interest rate contracts
Receive fixed/pay floating swaps	$	18,300	$	–		3.89	$	4,900	$	–		3.49
Cash flow hedges
Interest rate contracts
Pay fixed/receive floating swaps		1,532		–		6.06		7,150		10		2.11
Net investment hedges
Foreign exchange forward contracts		–		–		–		287		3		.04
Other economic hedges
Interest rate contracts
Futures and forwards
Buy		5,409		17		.08		5,477		11		.07
Sell		16,333		13		.81		8,113		25		.03
Options
Purchased		10,180		79		2.97		–		–		–
Written		1,270		30		.08		4,238		81		2.07
Receive fixed/pay floating swaps		4,408		–		5.99		5,316		–		13.04
Pay fixed/receive floating swaps		1,259		–		5.67		4,497		–		6.03
Foreign exchange forward contracts		113		1		.05		467		6		.04
Equity contracts		128		2		.45		20		–		1.06
Other (a)		34		–		.01		1,823		165		2.45
Total	$	58,966	$	142			$	42,288	$	301

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

and preferred

shares of Visa Inc. The Visa swap agreements had a total notional value, fair value and weighted-average remaining maturity of $

1.8

billion, $

165

million and

2.50

years at December 31, 2019, respectively, compared to $

1.5

billion, $

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 $

million at December 31, 2019, and $

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

December 31, 2019
Interest rate contracts
Receive fixed/pay floating swaps	$	108,560	$	1,865		4.83	$	31,544	$	88		3.83
Pay fixed/receive floating swaps		28,150		30		3.83		101,078		753		4.55
Other (a)		6,895		1		3.45		6,218		2		2.98
Options
Purchased		46,406		43		2.06		12,804		47		1.25
Written		6,901		49		1.93		49,741		41		1.82
Futures
Buy		894		–		.21		–		–		–
Sell		3,874		1		1.18		1,995		–		1.04
Foreign exchange rate contracts
Forwards, spots and swaps		36,350		748		.97		36,671		729		1.07
Options
Purchased		1,354		17		.54		–		–		–
Written		–		–		–		1,354		17		.54
Credit contracts		2,879		1		3.28		7,488		5		4.33
Total	$	242,263	$	2,755			$	248,893	$	1,682

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)

for the years ended December 31:


	Gains (Losses) Recognized in Other Comprehensive Income (Loss)								Gains (Losses) Reclassified from Other Comprehensive Income (Loss) into Earnings
(Dollars in Millions)	2019			2018		2017			2019			2018		2017

Asset and Liability Management Positions
Cash flow hedges
Interest rate contracts	$	(171	)	$	29	$	(3	)	$	(8	)	$	3	$	(19	)
Net investment hedges
Foreign exchange forward contracts		3			39		(56	)		–			–		–
Non-derivative debt instruments		13			32		(46	)		–			–		–

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 on the Consolidated Statement of Income for the years ended December 31:


	Other Noninterest Income							Interest Expense
(Dollars in Millions)	2019		2018		2017			2019			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	$	926	$	910	$	774		$	4,442		$	3,254		$	1,966

Asset and Liability Management Positions
Fair value hedges
Interest rate contract derivatives		–		–		(28	)		(44	)		5			–
Hedged items		–		–		28			44			(5	)		–
Cash Flow hedges
Interest rate contract derivatives		–		–		–			11			(5	)		30

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 years ended December 31, 2019, 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)
At December 31 (Dollars in Millions)	2019		2018		2019		2018

Line Item in the Consolidated Balance Sheet
Long-term Debt	$	23,195	$	–	$	35	$	(27	)

(a)	The cumulative hedging adjustment related to discontinued hedging relationships at December 31, 2019 and 2018 was $(7) 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 for the years ended December 31:


(Dollars in Millions)	Location of Gains (Losses) Recognized in Earnings		2019			2018			2017

Asset and Liability Management Positions
Other economic hedges
Interest rate contracts
Futures and forwards		Mortgage banking revenue	$	34		$	110		$	24
Purchased and written options		Mortgage banking revenue		432			188			237
Swaps		Mortgage banking revenue		316			(111	)		35
Foreign exchange forward contracts		Other noninterest income		(24	)		39			(69	)
Equity contracts		Compensation expense		–			(4	)		1
Other		Other noninterest income		(140	)		2			(1	)

Customer-Related Positions
Interest rate contracts
Swaps		Commercial products revenue		82			47			67
Purchased and written options		Commercial products revenue		10			2			(24	)
Futures		Commercial products revenue		(5	)		9			(3	)
Foreign exchange rate contracts
Forwards, spots and swaps		Commercial products revenue		82			84			92
Purchased and written options		Commercial products revenue		1			–			2
Credit contracts		Commercial products revenue		(18	)		2			3