Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Positions

The following tables present the Company’s derivative positions at March 31, 2017 and December 31, 2016. The notional amounts in the tables are presented on a gross basis and have been classified within derivative assets or derivative liabilities based on the estimated fair value of the individual contract at March 31, 2017 and December 31, 2016. Gross positive and gross negative fair value amounts associated with respective notional amounts are presented without consideration of any netting agreements, including collateral arrangements. Net fair value derivative amounts are adjusted on an aggregate basis, where applicable, to take into consideration the effects of legally enforceable master netting agreements, including any cash collateral received or paid, and are recognized in trading assets and derivative instruments or trading liabilities and derivative instruments on the Consolidated Balance Sheets. For contracts constituting a combination of options that contain a written option and a purchased option (such as a collar), the notional amount of each option is presented separately, with the purchased notional amount generally being presented as a derivative asset and the written notional amount being presented as a derivative liability. For contracts that contain a combination of options, the fair value is generally presented as a single value with the purchased notional amount if the combined fair value is positive, and with the written notional amount if the combined fair value is negative.

	March 31, 2017
	Asset Derivatives					Liability Derivatives
(Dollars in millions)	Notional Amounts		Fair Value			Notional Amounts		Fair Value
Derivative instruments designated in cash flow hedging relationships 1
Interest rate contracts hedging floating rate loans		$4,850		$4			$10,600		$248
Derivative instruments designated in fair value hedging relationships 2
Interest rate contracts hedging fixed rate debt	1,250		6			3,660		42
Interest rate contracts hedging brokered CDs	30		—			60		—
Total	1,280		6			3,720		42
Derivative instruments not designated as hedging instruments 3
Interest rate contracts hedging:
MSRs 4	9,608		84			20,242		115
LHFS, IRLCs 5	3,718		16			6,649		25
LHFI	110		2			51		1
Trading activity 6	67,926		1,253			68,532		1,165
Foreign exchange rate contracts hedging trading activity	3,598		119			3,632		112
Credit contracts hedging:
Loans	15		—			495		6
Trading activity 7	2,107		28			2,125		24
Equity contracts hedging trading activity 6	22,852		2,290			36,432		2,684
Other contracts:
IRLCs and other 8	2,618		32			239		15
Commodity derivatives	831		53			828		50
Total	113,383		3,877			139,225		4,197
Total derivative instruments		$119,513		$3,887			$153,545		$4,487
Total gross derivative instruments, before netting				$3,887					$4,487
Less: Legally enforceable master netting agreements			(2,747		)			(2,747		)
Less: Cash collateral received/paid			(277		)			(1,379		)
Total derivative instruments, after netting				$863					$361

¹ See “Cash Flow Hedges” in this Note for further discussion.

² See “Fair Value Hedges” in this Note for further discussion.

³ See “Economic Hedging and Trading Activities” in this Note for further discussion.

⁴ Amount includes $7.9 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table.

⁵ Amount includes $913 million of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table.

⁶ Amounts include $11.6 billion of notional amounts related to interest rate futures and $710 million of notional amounts related to equity futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table. Amounts also include notional amounts related to interest rate swaps hedging fixed rate debt.

⁷ Asset and liability amounts include $4 million and $12 million, respectively, of notional amounts from purchased and written credit risk participation agreements, whose notional is calculated as the notional of the derivative participated adjusted by the relevant RWA conversion factor.

⁸ Includes $49 million notional amount that is based on the 3.2 million of VisaClass B shares, the conversion ratio from Class B shares to Class A shares, and the Class A share price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009. See Note 13, “Guarantees” for additional information.

	December 31, 2016
	Asset Derivatives					Liability Derivatives
(Dollars in millions)	Notional Amounts		Fair Value			Notional Amounts		Fair Value
Derivative instruments designated in cash flow hedging relationships 1
Interest rate contracts hedging floating rate loans		$6,400		$34			$11,050		$265
Derivative instruments designated in fair value hedging relationships 2
Interest rate contracts hedging fixed rate debt	600		2			4,510		81
Interest rate contracts hedging brokered CDs	60		—			30		—
Total	660		2			4,540		81
Derivative instruments not designated as hedging instruments 3
Interest rate contracts hedging:
MSRs 4	12,165		413			18,774		335
LHFS, IRLCs 5	11,774		134			8,306		58
LHFI	100		2			36		1
Trading activity 6	70,599		1,536			67,477		1,401
Foreign exchange rate contracts hedging trading activity	3,231		161			3,360		148
Credit contracts hedging:
Loans	15		—			620		8
Trading activity 7	2,128		34			2,271		33
Equity contracts hedging trading activity 6	23,164		2,095			35,312		2,477
Other contracts:
IRLCs and other 8	2,412		28			668		22
Commodity derivatives	747		75			746		73
Total	126,335		4,478			137,570		4,556
Total derivative instruments		$133,395		$4,514			$153,160		$4,902
Total gross derivative instruments, before netting				$4,514					$4,902
Less: Legally enforceable master netting agreements			(3,239		)			(3,239		)
Less: Cash collateral received/paid			(291		)			(1,265		)
Total derivative instruments, after netting				$984					$398

¹ See “Cash Flow Hedges” in this Note for further discussion.

² See “Fair Value Hedges” in this Note for further discussion.

³ See “Economic Hedging and Trading Activities” in this Note for further discussion.

⁴ Amount includes $6.7 billion of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table.

⁵ Amount includes $720 million of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table.

⁶ Amounts include $12.3 billion of notional amounts related to interest rate futures and $629 million of notional amounts related to equity futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table. Amounts also include notional amounts related to interest rate swaps hedging fixed rate debt.

⁷ Asset and liability amounts include $5 million and $13 million, respectively, of notional amounts from purchased and written credit risk participation agreements, whose notional is calculated as the notional of the derivative participated adjusted by the relevant RWA conversion factor.

⁸ Includes $49 million notional amount that is based on the 3.2 million of VisaClass B shares, the conversion ratio from Class B shares to Class A shares, and the Class A share price at the derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009. See Note 13, “Guarantees” for additional information.

^[1]

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

The impacts of derivative instruments on the Consolidated Statements of Income and the Consolidated Statements of Shareholders’ Equity for the three months ended March 31 are presented in the following tables. The impacts are segregated between derivatives that are designated in hedge accounting relationships and those that are used for economic hedging or trading purposes, with further identification of the underlying risks in the derivatives and the hedged items, where appropriate. The tables do not disclose the financial impact of the activities that these derivative instruments are intended to hedge.

	Three Months Ended March 31, 2017
(Dollars in millions)	Amount of  Pre-tax Loss Recognized in OCI on Derivatives (Effective Portion)			Amount of Pre-tax Gain Reclassified from AOCI into Income (Effective Portion)		Classification of Pre-tax Gain/(Loss) Reclassified from AOCI into Income (Effective Portion)
Derivative instruments in cash flow hedging relationships:
Interest rate contracts hedging floating rate loans 1		($25	)		$23	Interest and fees on loans

¹ During the three months endedMarch 31, 2017, the Company also reclassified $18 million of pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been terminated or de-designated and are reclassified into earnings consistent with the pattern of net cash flows expected to be recognized.

	Three Months Ended March 31, 2017
(Dollars in millions)	Amount of Loss on Derivatives Recognized in Income			Amount of Gain on Related Hedged Items Recognized in Income		Amount of Gain Recognized in Income on Hedges (Ineffective Portion)
Derivative instruments in fair value hedging relationships:
Interest rate contracts hedging fixed rate debt 1		($11	)		$13		$2
Interest rate contracts hedging brokered CDs 1	—			—		—
Total		($11	)		$13		$2

¹ Amounts are recognized in trading income in the Consolidated Statements of Income.

(Dollars in millions)	Classification of (Loss)/Gain Recognized in Income on Derivatives	Amount of (Loss)/Gain Recognized in Income on Derivatives During the Three Months Ended March 31, 2017
Derivative instruments not designated as hedging instruments:
Interest rate contracts hedging:
MSRs	Mortgage servicing related income		($18	)
LHFS, IRLCs	Mortgage production related income	(15		)
Trading activity	Trading income	11
Foreign exchange rate contracts hedging trading activity	Trading income	(6		)
Credit contracts hedging:
Loans	Other noninterest income	(1		)
Trading activity	Trading income	5
Other contracts:
IRLCs and other	Mortgage production related income, Commercial real estate related income	48
Commodity derivatives	Trading income	1
Total			$25

	Three Months Ended March 31, 2016
(Dollars in millions)	Amount of  Pre-tax Gain Recognized in OCI on Derivatives (Effective Portion)		Amount of Pre-tax Gain Reclassified from AOCI into Income (Effective Portion)		Classification of Pre-tax Gain Reclassified from AOCI into Income (Effective Portion)
Derivative instruments in cash flow hedging relationships:
Interest rate contracts hedging floating rate loans 1		$306		$38	Interest and fees on loans

¹ During the three months endedMarch 31, 2016, the Company also reclassified $29 million of pre-tax gains from AOCI into net interest income. These gains related to hedging relationships that have been terminated or de-designated and are reclassified into earnings consistent with the pattern of net cash flows expected to be recognized.

	Three Months Ended March 31, 2016
(Dollars in millions)	Amount of Loss on Derivatives Recognized in Income			Amount of Gain on Related Hedged Items Recognized in Income		Amount of Gain Recognized in Income on Hedges (Ineffective Portion)
Derivative instruments in fair value hedging relationships:
Interest rate contracts hedging fixed rate debt 1		($2	)		$3		$1
Interest rate contracts hedging brokered CDs 1	—			—		—
Total		($2	)		$3		$1

¹ Amounts are recognized in trading income in the Consolidated Statements of Income.

(Dollars in millions)	Classification of Gain/(Loss) Recognized in Income on Derivatives	Amount of Gain/(Loss) Recognized in Income on Derivatives During the Three Months Ended March 31, 2016
Derivative instruments not designated as hedging instruments:
Interest rate contracts hedging:
MSRs	Mortgage servicing related income		$169
LHFS, IRLCs	Mortgage production related income	(62		)
LHFI	Other noninterest income	(2		)
Trading activity	Trading income	15
Foreign exchange rate contracts hedging trading activity	Trading income	(18		)
Credit contracts hedging:
Loans	Other noninterest income	(1		)
Trading activity	Trading income	5
Equity contracts hedging trading activity	Trading income	2
Other contracts:
IRLCs	Mortgage production related income	45
Commodity derivatives	Trading income	1
Total			$154

Netting of financial instruments - derivatives [Table Text Block]

The following tables present total gross derivative instrument assets and liabilities at March 31, 2017 and December 31, 2016, which are adjusted to reflect the effects of legally enforceable master netting agreements and cash collateral received or paid when calculating the net amount reported in the Consolidated Balance Sheets. Also included in the tables are financial instrument collateral related to legally enforceable master netting agreements that represents securities collateral received or pledged and customer cash collateral held at third party custodians. These amounts are not offset on the Consolidated Balance Sheets but are shown as a reduction to total derivative instrument assets and liabilities to derive net derivative assets and liabilities. These amounts are limited to the derivative asset/liability balance, and accordingly, do not include excess collateral received/pledged.

(Dollars in millions)	Gross Amount		Amount Offset		Net Amount Presented in Consolidated Balance Sheets			Held/Pledged Financial Instruments		Net Amount
March 31, 2017
Derivative instrument assets:
Derivatives subject to master netting arrangement or similar arrangement		$3,570		$2,899		$671			$47		$624
Derivatives not subject to master netting arrangement or similar arrangement	32		—		32			—		32
Exchange traded derivatives	285		125		160			—		160
Total derivative instrument assets		$3,887		$3,024		$863	1		$47		$816
Derivative instrument liabilities:
Derivatives subject to master netting arrangement or similar arrangement		$4,262		$4,001		$261			$41		$220
Derivatives not subject to master netting arrangement or similar arrangement	98		—		98			—		98
Exchange traded derivatives	127		125		2			—		2
Total derivative instrument liabilities		$4,487		$4,126		$361	2		$41		$320
December 31, 2016
Derivative instrument assets:
Derivatives subject to master netting arrangement or similar arrangement		$4,193		$3,384		$809			$48		$761
Derivatives not subject to master netting arrangement or similar arrangement	27		—		27			—		27
Exchange traded derivatives	294		146		148			—		148
Total derivative instrument assets		$4,514		$3,530		$984	1		$48		$936
Derivative instrument liabilities:
Derivatives subject to master netting arrangement or similar arrangement		$4,649		$4,358		$291			$33		$258
Derivatives not subject to master netting arrangement or similar arrangement	105		—		105			—		105
Exchange traded derivatives	148		146		2			—		2
Total derivative instrument liabilities		$4,902		$4,504		$398	2		$33		$365

¹ At March 31, 2017, $863 million, net of $277 million offsetting cash collateral, is recognized in trading assets and derivative instruments within the Company's Consolidated Balance Sheets. At December 31, 2016, $984 million, net of $291 million offsetting cash collateral, is recognized in trading assets and derivative instruments within the Company's Consolidated Balance Sheets.

² At March 31, 2017, $361 million, net of $1.4 billion offsetting cash collateral, is recognized in trading liabilities and derivative instruments within the Company's Consolidated Balance Sheets. At December 31, 2016, $398 million, net of $1.3 billion offsetting cash collateral, is recognized in trading liabilities and derivative instruments within the Company's Consolidated Balance Sheets.

[1] Amounts are recognized in trading income in the Consolidated Statements of Income.