Derivative Financial Instruments

6 Months Ended

Jun. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

NOTE 16 - DERIVATIVE FINANCIAL INSTRUMENTS

The Company enters into various derivative financial instruments, both in a dealer capacity to facilitate client transactions and as an end user as a risk management tool. The Company generally manages the risk associated with these derivatives within the established MRM and credit risk management frameworks. Derivatives may be used by the Company to hedge various economic or client-related exposures. In such instances, derivative positions are typically monitored using a VAR methodology, with exposures reviewed daily. Derivatives are also used as a risk management tool to hedge the Company’s balance sheet exposure to changes in identified cash flow and fair value risks, either economically or in accordance with hedge accounting provisions. The Company’s Corporate Treasury function is responsible for employing the various hedge strategies to manage these objectives. The Company enters into IRLCs on residential and commercial mortgage loans that are accounted for as freestanding derivatives. Additionally, certain contracts containing embedded derivatives are measured, in their entirety, at fair value. All derivatives, including both freestanding and any embedded derivatives that the Company bifurcates from the host contracts, are measured at fair value in the Consolidated Balance Sheets in Trading assets and derivative instruments and Trading liabilities and derivative instruments. The associated gains and losses are either recognized in AOCI, net of tax, or within the Consolidated Statements of Income, depending upon the use and designation of the derivatives.

Credit and Market Risk Associated with Derivative Instruments

Derivatives expose the Company to risk that the counterparty to the derivative contract does not perform as expected. The Company manages its exposure to counterparty credit risk associated with derivatives by entering into transactions with counterparties with defined exposure limits based on their credit quality and in accordance with established policies and procedures. All counterparties are reviewed regularly as part of the Company’s credit risk management practices and appropriate action is taken to adjust the exposure limits to certain counterparties as necessary. The Company’s derivative transactions are generally governed by ISDA agreements or other legally enforceable industry standard master netting agreements. In certain cases and depending on the nature of the underlying derivative transactions, bilateral collateral agreements are also utilized. Furthermore, the Company and its subsidiaries are subject to OTC derivative clearing requirements, which require certain derivatives to be cleared through central clearing houses, such as LCH and the CME. These clearing houses require the Company to post initial and variation margin to mitigate the risk of non-payment, the latter of which is received or paid daily based on the net asset or liability position of the contracts. Effective January 3, 2017, the CME amended its rulebook to legally characterize variation margin cash payments for cleared OTC derivatives as settlement rather than as collateral. Consistent with the CME's amended requirements, LCH amended its rulebook effective January 16, 2018, to legally

characterize variation margin cash payments for cleared OTC derivatives as settlement rather than as collateral. As a result, in the first quarter of 2018, the Company began reducing the corresponding derivative asset and liability balances for LCH-cleared OTC derivatives to reflect the settlement of those positions via the exchange of variation margin.

When the Company has more than one outstanding derivative transaction with a single counterparty, and there exists a legal right of offset with that counterparty, the Company considers its exposure to the counterparty to be the net fair value of its derivative positions with that counterparty. If the net fair value is positive, then the corresponding asset value also reflects cash collateral held. At June 30, 2019, the economic exposure of these net derivative asset positions was $1.1 billion, reflecting $1.5 billion of net derivative gains, adjusted for cash and other collateral of $342 million that the Company held in relation to these positions. At December 31, 2018, the economic exposure of net derivative asset positions was $541 million, reflecting $891 million of net derivative gains, adjusted for cash and other collateral held of $350 million.

Derivatives also expose the Company to market risk arising from the adverse effects that changes in market factors, such as interest rates, currency rates, equity prices, commodity prices, or implied volatility, may have on the value of the Company's derivatives. The Company manages this risk by establishing and monitoring limits on the types and degree of risk that may be undertaken. The Company measures its market risk exposure using a VAR methodology for derivatives designated as trading instruments. Other tools and risk measures are also used to actively manage risk associated with derivatives including scenario analysis and stress testing.

Derivative instruments are priced using observable market inputs at a mid-market valuation point and take into consideration appropriate valuation adjustments for collateral, market liquidity, and counterparty credit risk. For purposes of determining fair value adjustments to its OTC derivative positions, the Company takes into consideration the credit profile and likelihood of default by counterparties, the CVA, the Company’s own credit risk, the DVA, as well as the Company's net exposure, which considers legally enforceable master netting agreements and collateral along with remaining maturities. In determining the CVA, the expected loss of each counterparty is estimated using market-based views of counterparty default probabilities observed in the single-name CDS market, when available and of sufficient liquidity. When single-name CDS market data is not available or not of sufficient liquidity, the probability of default is estimated using a combination of the Company’s internal risk rating system and sector/rating based CDS data. For purposes of estimating the Company’s own credit risk on derivative liability positions, the DVA, the Company uses probabilities of default from observable, sector/rating based CDS data. For additional information on the Company’s fair value measurements, see Note 17, “Fair Value Election and Measurement.”

Currently, the industry standard master netting agreements governing the majority of the Company's derivative transactions with counterparties contain bilateral events of default and acceleration provisions related to the creditworthiness of the Bank and the counterparty. Should the Bank or a counterparty default under any of these provisions, the other party would be permitted to close out the transactions on a net basis, at amounts that would approximate the fair values of the derivatives, resulting in a single sum due by one party to the other. The counterparties would have the right to apply any collateral posted by the Bank against any net amount owed by the Bank. Additionally, certain of the Company’s derivative liability positions, totaling $1.2 billion and $589 million in fair value at June 30, 2019 and December 31, 2018, respectively, contain provisions conditioned on downgrades of the Bank’s credit rating. These provisions, if triggered, would either give rise to an ATE that permits the counterparties to close-out net and apply collateral or, where a CSA is present, require the Bank to post additional collateral.

At June 30, 2019, the Bank held senior long-term debt credit ratings of Baal/A-/A- from Moody’s, S&P, and Fitch, respectively. At June 30, 2019, ATEs have been triggered for less than $1 million in fair value liabilities. The maximum additional liability that could be triggered from ATEs was approximately $13 million at June 30, 2019. At June 30, 2019, $1.2 billion in

fair value of derivative liabilities were subject to CSAs, against which the Bank has posted $862 million in collateral, primarily in the form of cash. Pursuant to the terms of the CSA, the Bank would not be required to post any additional collateral against these contracts if the Bank were downgraded to Baa2/BBB+. Further downgrades to Baa3/BBB and Ba1/BBB- would require the Bank to post an additional $2 million and $11 million of collateral, respectively. Any downgrades below Ba2/BB+ do not contain predetermined collateral posting levels.

Notional and Fair Value of Derivative Positions

The following table presents the Company’s derivative positions at June 30, 2019 and December 31, 2018. The notional amounts in the table are presented on a gross basis at June 30, 2019 and December 31, 2018. 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.

	June 30, 2019								December 31, 2018
			Fair Value								Fair Value
(Dollars in millions)	Notional Amounts		Asset Derivatives			Liability Derivatives			Notional Amounts		Asset Derivatives			Liability Derivatives
Derivative instruments designated in hedging relationships
Cash flow hedges: 1
Interest rate contracts hedging floating rate LHFI		$11,625		$1			$—			$10,500		$1			$2
Subtotal	11,625		1			—			10,500		1			2
Fair value hedges: 2
Interest rate contracts hedging fixed rate debt	12,155		1			1			9,550		1			1
Interest rate contracts hedging brokered time deposits	—		—			—			59		—			—
Subtotal	12,155		1			1			9,609		1			1
Derivative instruments not designated as hedging instruments 3
Interest rate contracts hedging:
Residential MSRs 4	31,948		78			14			28,011		54			10
LHFS, IRLCs 5	4,501		4			28			4,891		18			38
LHFI	107		—			—			159		—			—
Trading activity 6	139,532		1,443			653			127,286		771			687
Foreign exchange rate contracts hedging loans and trading activity	9,395		98			100			9,824		129			119
Credit contracts hedging:
LHFI	870		—			26			830		—			14
Trading activity 7	4,831		37			33			4,058		97			95
Equity contracts hedging trading activity 6	33,967		1,743			1,907			34,471		1,447			1,644
Other contracts:
IRLCs and other 8	3,801		32			15			1,393		20			15
Commodity derivatives	2,620		81			80			2,020		93			91
Subtotal	231,572		3,516			2,856			212,943		2,629			2,713
Total derivative instruments		$255,352		$3,518			$2,857			$233,052		$2,631			$2,716
Total gross derivative instruments (before netting)				$3,518			$2,857					$2,631			$2,716
Less: Legally enforceable master netting agreements			(1,733		)	(1,733		)			(1,654		)	(1,654		)
Less: Cash collateral received/paid			(328		)	(918		)			(338		)	(652		)
Total derivative instruments (after netting)				$1,457			$206					$639			$410

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

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

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

⁴  Notional amounts include $1.1 billion and $921 million related to interest rate futures at June 30, 2019 and December 31, 2018, respectively. 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  Notional amounts include $32 million and $116 million related to interest rate futures at June 30, 2019 and December 31, 2018, respectively. 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  Notional amounts include $2.0 billion and $1.2 billion related to interest rate futures at June 30, 2019 and December 31, 2018, and $191 million and $136 million related to equity futures at June 30, 2019 and December 31, 2018, respectively. 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. Notional amounts also include amounts related to interest rate swaps hedging fixed rate debt.

⁷  Notional amounts include $7 million and $6 million from purchased credit risk participation agreements at June 30, 2019 and December 31, 2018, and $41 million and $33 million from written credit risk participation agreements at June 30, 2019 and December 31, 2018, respectively. These notional amounts are calculated as the notional of the derivative participated adjusted by the relevant RWA conversion factor.

⁸  Notional amounts include $41 million related to the Visa derivative liability at both June 30, 2019 and December 31, 2018. See Note 15, "Guarantees" for additional information.

Netting of Derivative Instruments

The Company has various financial assets and financial liabilities that are subject to enforceable master netting agreements or similar agreements. The Company's securities borrowed or purchased under agreements to resell, and securities sold under agreements to repurchase, that are subject to enforceable master netting agreements or similar agreements, are discussed in Note 3, “Federal Funds Sold and Securities Financing Activities.” The Company enters into ISDA or other legally enforceable industry standard master netting agreements with derivative counterparties. Under the terms of the master netting agreements, all transactions between the Company and the counterparty constitute a single business relationship such that in the event of default, the nondefaulting party is entitled to set off claims and apply property held by that party in respect of any transaction against obligations owed.

The following tables present total gross derivative instrument assets and liabilities at June 30, 2019 and December 31, 2018, 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
June 30, 2019
Derivative instrument assets:
Derivatives subject to master netting arrangement or similar arrangement		$3,007		$1,944		$1,063			$13		$1,050
Derivatives not subject to master netting arrangement or similar arrangement	112		—		112			1		111
Exchange traded derivatives	399		117		282			—		282
Total derivative instrument assets		$3,518		$2,061		$1,457	1		$14		$1,443
Derivative instrument liabilities:
Derivatives subject to master netting arrangement or similar arrangement		$2,638		$2,534		$104			$15		$89
Derivatives not subject to master netting arrangement or similar arrangement	102		—		102			11		91
Exchange traded derivatives	117		117		—			—		—
Total derivative instrument liabilities		$2,857		$2,651		$206	2		$26		$180
December 31, 2018
Derivative instrument assets:
Derivatives subject to master netting arrangement or similar arrangement		$2,425		$1,873		$552			$12		$540
Derivatives not subject to master netting arrangement or similar arrangement	20		—		20			—		20
Exchange traded derivatives	186		119		67			—		67
Total derivative instrument assets		$2,631		$1,992		$639	1		$12		$627
Derivative instrument liabilities:
Derivatives subject to master netting arrangement or similar arrangement		$2,521		$2,187		$334			$14		$320
Derivatives not subject to master netting arrangement or similar arrangement	76		—		76			—		76
Exchange traded derivatives	119		119		—			—		—
Total derivative instrument liabilities		$2,716		$2,306		$410	2		$14		$396

¹ At June 30, 2019, $1.5 billion, net of $328 million offsetting cash collateral, is recognized in Trading assets and derivative instruments within the Company's Consolidated Balance Sheets. At December 31, 2018, $639 million, net of $338 million offsetting cash collateral, is recognized in Trading assets and derivative instruments within the Company's Consolidated Balance Sheets.

² At June 30, 2019, $206 million, net of $918 million offsetting cash collateral, is recognized in Trading liabilities and derivative instruments within the Company's Consolidated Balance Sheets. At December 31, 2018, $410 million, net of $652 million offsetting cash collateral, is recognized in Trading liabilities and derivative instruments within the Company's Consolidated Balance Sheets.

Fair Value and Cash Flow Hedging Instruments

Fair Value Hedging

The Company enters into interest rate swap agreements as part of its risk management objectives for hedging exposure to changes in fair value due to changes in interest rates. These hedging arrangements convert certain fixed rate long-term debt and CDs to floating rates. For all designated fair value hedge relationships, changes in the fair value of the hedging instrument attributable to the hedged risk are recognized in the same income statement line as the earnings impact from the hedged item. There were no components of derivative gains or losses excluded in the Company’s assessment of hedge effectiveness related to the fair value hedges.

Cash Flow Hedging

The Company utilizes a comprehensive risk management strategy to monitor sensitivity of earnings to movements in interest rates. Specific types of funding and principal amounts hedged are determined based on prevailing market conditions and the shape of the yield curve. In conjunction with this strategy, the Company may employ various interest rate derivatives as risk management tools to hedge interest rate risk from recognized assets and liabilities or from forecasted transactions. The terms and notional amounts of derivatives are determined based on management’s assessment of future interest rates, as well as other factors.

The Company enters into interest rate swaps designated as cash flow hedging instruments to hedge its exposure to contractually specified interest rate risk associated with floating rate loans. For the three and six months ended June 30, 2019, the amount of pre-tax gain recognized in OCI on derivative instruments was $143 million and $204 million, respectively. For the three and six months ended June 30, 2018, the amount of pre-tax loss recognized in OCI on derivative instruments was $61 million and $225 million, respectively. At June 30, 2019, the maturities for hedges of floating rate loans ranged from less than one year to seven years, with the weighted average being 2.8 years. At December 31, 2018, the maturities for hedges of floating rate loans ranged from less than one year to five years, with the weighted average being 2.5 years. These hedges have been highly effective in offsetting the designated risks. At June 30, 2019, $186 million of deferred net pre-tax losses on derivative instruments designated as cash flow hedges on floating rate loans recognized in AOCI are expected to be reclassified into net interest income during the next twelve months. The amount to be reclassified into income incorporates the impact from both active and terminated cash flow hedges, including the net interest income earned on the active hedges, assuming no changes in LIBOR. The Company may choose to terminate or de-designate a hedging relationship due to a change in the risk management objective for that specific hedge item, which may arise in conjunction with an overall balance sheet management strategy.

The following table presents gains and losses on derivatives in fair value and cash flow hedging relationships by contract type and by income statement line item. The table does not disclose the financial impact of the activities that these derivative instruments are intended to hedge.

	Net Interest Income
(Dollars in millions)	Interest and fees on LHFI				Interest on Long-term Debt				Total
Three Months Ended June 30, 2019
Interest income/(expense), including the effects of fair value and cash flow hedges		$1,721				($150	)			$1,571
(Loss)/gain on fair value hedging relationships:
Interest rate contracts:
Amounts related to interest settlements on derivatives		$—				($5	)			($5	)
Recognized on derivatives	—				159				159
Recognized on hedged items	—				(165		)	1	(165		)
Net expense recognized on fair value hedges		$—				($11	)			($11	)
Loss on cash flow hedging relationships:
Interest rate contracts:
Amount of pre-tax loss reclassified from AOCI into income		($44	)	2		$—				($44	)
Net expense recognized on cash flow hedges		($44	)			$—				($44	)
Six Months Ended June 30, 2019
Interest income/(expense), including the effects of fair value and cash flow hedges		$3,418				($275	)			$3,143
(Loss)/gain on fair value hedging relationships:
Interest rate contracts:
Amounts related to interest settlements on derivatives		$—				($9	)			($9	)
Recognized on derivatives	—				225				225
Recognized on hedged items	—				(236		)	1	(236		)
Net expense recognized on fair value hedges		$—				($20	)			($20	)
Loss on cash flow hedging relationships:
Interest rate contracts:
Amount of pre-tax loss reclassified from AOCI into income		($83	)	2		$—				($83	)
Net expense recognized on cash flow hedges		($83	)			$—				($83	)
Three Months Ended June 30, 2018
Interest income/(expense), including the effects of fair value and cash flow hedges		$1,476				($83	)			$1,393
(Loss)/gain on fair value hedging relationships:
Interest rate contracts:
Amounts related to interest settlements on derivatives		$—				($1	)			($1	)
Recognized on derivatives	—				(26		)		(26		)
Recognized on hedged items	—				24			1	24
Net expense recognized on fair value hedges		$—				($3	)			($3	)
Loss on cash flow hedging relationships:
Interest rate contracts:
Amount of pre-tax loss reclassified from AOCI into income		($16	)	2		$—				($16	)
Net expense recognized on cash flow hedges		($16	)			$—				($16	)
Six Months Ended June 30, 2018
Interest income/(expense), including the effects of fair value and cash flow hedges		$2,874				($157	)			$2,717
Gain/(loss) on fair value hedging relationships:
Interest rate contracts:
Amounts related to interest settlements on derivatives		$—				$1				$1
Recognized on derivatives	—				(98		)		(98		)
Recognized on hedged items	—				93			1	93
Net expense recognized on fair value hedges		$—				($4	)			($4	)
Loss on cash flow hedging relationships:
Interest rate contracts:
Amount of pre-tax loss reclassified from AOCI into income		($17	)	2		$—				($17	)
Net expense recognized on cash flow hedges		($17	)			$—				($17	)

¹ Includes amortization from de-designated fair value hedging relationships.

² These amounts include pre-tax gains/(losses) related to cash flow hedging relationships that have been terminated and were reclassified into earnings consistent with the pattern of net cash flows expected to be recognized.

The following table presents the carrying amount of hedged liabilities on the Consolidated Balance Sheets in fair value hedging relationships and the associated cumulative basis adjustment related to the application of hedge accounting:

			Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of Hedged Liabilities
(Dollars in millions)	Carrying Amount of Hedged Liabilities		Hedged Items Currently Designated			Hedged Items No Longer Designated
June 30, 2019
Long-term debt		$11,248		$213			($108	)
December 31, 2018
Long-term debt		$8,411		($10	)		($120	)
Brokered time deposits	29		—			—

Economic Hedging Instruments and Trading Activities

In addition to designated hedge accounting relationships, the Company also enters into derivatives as an end user to economically hedge risks associated with certain non-derivative and derivative instruments, along with entering into derivatives in a trading capacity with its clients.

The primary risks that the Company economically hedges are interest rate risk, foreign exchange risk, and credit risk. The Company mitigates these risks by entering into offsetting derivatives either on an individual basis or collectively on a macro basis.

The Company utilizes interest rate derivatives as economic hedges related to:

• Residential MSRs. The Company hedges these instruments with a combination of interest rate derivatives, including forward and option contracts, futures, and forward rate agreements.

• Residential mortgage IRLCs and LHFS. The Company hedges these instruments using forward and option contracts, futures, and forward rate agreements.

The Company is exposed to volatility and changes in foreign exchange rates associated with certain commercial loans. To hedge against this foreign exchange rate risk, the Company enters into foreign exchange rate contracts that provide for the future receipt and delivery of foreign currency at previously agreed-upon terms.

The Company enters into CDS to hedge credit risk associated with certain loans held within its Wholesale segment. The Company accounts for these contracts as derivatives, and accordingly, recognizes these contracts at fair value, with changes in fair value recognized in Other noninterest income in the Consolidated Statements of Income.

Trading activity primarily includes interest rate swaps, equity derivatives, CDS, futures, options, foreign exchange rate contracts, and commodity derivatives. These derivatives are entered into in a dealer capacity to facilitate client transactions, or are utilized as a risk management tool by the Company as an end user (predominantly in certain macro-hedging strategies).

The impacts of derivative instruments used for economic hedging or trading purposes on the Consolidated Statements of Income are presented in the following table:

	Classification of Gain/(Loss) Recognized in Income on Derivatives	Amount of Gain/(Loss) Recognized in Income on Derivatives During the Three Months Ended June 30						Amount of Gain/(Loss) Recognized in Income on Derivatives During the Six Months Ended June 30
(Dollars in millions)		2019			2018			2019			2018
Derivative instruments not designated as hedging instruments:
Interest rate contracts hedging:
Residential MSRs	Mortgage-related income		$156			($37	)		$270			($157	)
LHFS, IRLCs	Mortgage-related income	(26		)	1			(45		)	48
LHFI	Other noninterest income	(2		)	1			(3		)	3
Trading activity	Trading income	20			21			34			30
Foreign exchange rate contracts hedging loans and trading activity	Trading income	(4		)	42			(6		)	40
Credit contracts hedging:
LHFI	Other noninterest income	(5		)	(1		)	(15		)	(1		)
Trading activity	Trading income	7			5			13			11
Equity contracts hedging trading activity	Trading income	10			1			28			2
Other contracts:
IRLCs and other	Mortgage-related income; Commercial real estate-related income	53			26			86			20
Commodity derivatives	Trading income	1			—			1			—
Total			$210			$59			$363			($4	)

Credit Derivative Instruments

As part of the Company's trading businesses, the Company enters into contracts that are, in form or substance, written guarantees; specifically, CDS, risk participations, and TRS. The Company accounts for these contracts as derivatives, and accordingly, records these contracts at fair value, with changes in fair value recognized in Trading income in the Consolidated Statements of Income.

The Company has also entered into TRS contracts on loans. The Company’s TRS business consists of matched trades, such that when the Company pays depreciation on one TRS, it receives the same amount on the matched TRS. To mitigate its credit risk, the Company typically receives initial cash collateral from the counterparty upon entering into the TRS and is entitled to additional collateral if the fair value of the underlying reference assets deteriorates. The following table presents information related to the Company's outstanding TRS contracts.

(Dollars in millions)	June 30, 2019		December 31, 2018
Outstanding TRS notional balances		$2,392		$2,009
TRS assets at fair value	37		97
TRS liabilities at fair value	33		94
Cash collateral held for TRS contracts	643		601

For additional information on the Company’s TRS contracts, see Note 11, “Certain Transfers of Financial Assets and Variable Interest Entities,” to the Consolidated Financial Statements in this Form 10-Q, as well as Note 20, “Fair Value Election and

Measurement,” to the Company’s 2018 Annual Report on Form 10-K.

The Company writes risk participations, which are credit derivatives, whereby the Company has guaranteed payment to a dealer counterparty in the event the counterparty experiences a loss on a derivative, such as an interest rate swap, due to a failure to pay by the counterparty’s customer (the “obligor”) on that derivative. The Company manages its payment risk on its risk participations by monitoring the creditworthiness of the obligors, which are all corporations or partnerships, through the normal credit review process that the Company would have performed had it entered into a derivative directly with the obligors. To date, no material losses have been incurred related to the Company’s written risk participations. At June 30, 2019, the remaining terms on these risk participations generally ranged from less than one year to 11 years, with a weighted average term on the maximum estimated exposure of 6.1 years. At December 31, 2018, the remaining terms on these risk participations generally ranged from less than one year to 10 years, with a weighted average term on the maximum estimated exposure of 5.9 years. The Company’s maximum estimated exposure to written risk participations, as measured by projecting a maximum value of the guaranteed derivative instruments based on interest rate curve simulations and assuming 100% default by all obligors on the maximum values, was approximately $273 million and $217 million at June 30, 2019 and December 31, 2018, respectively. The fair values of the written risk participations were immaterial at both June 30, 2019 and December 31, 2018.