XML 60 R47.htm IDEA: XBRL DOCUMENT v3.8.0.1
Derivative Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments
The following table presents the fair value of derivative contracts by major product type on a gross basis. Gross fair values exclude the effects of both counterparty netting as well as collateral, and therefore are not representative of our exposure. The table below presents the amounts of counterparty netting and cash collateral that have been offset in the consolidated balance sheet, as well as cash and securities collateral posted and received under enforceable master netting agreements that do not meet the criteria for netting. Derivative assets and liabilities which are not subject to an enforceable master netting agreement, or are subject to a netting agreement where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, have not been netted in the table below. Where we have received or posted collateral under netting agreements where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, the related collateral also has not been netted in the table below.
 
December 31, 2017
 
December 31, 2016
 
Derivative Assets
 
Derivative Liabilities
 
Derivative Assets
 
Derivative Liabilities
 
(in millions)
Derivatives accounted for as fair value hedges(1)
 
 
 
 
 
 
 
OTC-cleared(2)
$
84

 
$
390

 
$
142

 
$
341

Bilateral OTC(2)
—

 
134

 
—

 
196

Interest rate contracts
84

 
524

 
142

 
537

Derivatives accounted for as cash flow hedges(1)
 
 
 
 
 
 
 
Foreign exchange contracts - bilateral OTC(2)
10

 
—

 
12

 
—

OTC-cleared(2)
4

 
86

 
6

 
57

Bilateral OTC(2)
—

 
22

 
—

 
94

Interest rate contracts
4

 
108

 
6

 
151

Total derivatives accounted for as hedges
98

 
632

 
160

 
688

Trading derivatives not accounted for as hedges(3)
 
 
 
 
 
 
 
Exchange-traded(2)
6

 
59

 
35

 
84

OTC-cleared(2)
11,905

 
10,526

 
15,248

 
14,189

Bilateral OTC(2)
11,549

 
12,997

 
16,045

 
17,480

Interest rate contracts
23,460

 
23,582

 
31,328

 
31,753

Exchange-traded(2)
4

 
—

 
24

 
6

Bilateral OTC(2)
15,746

 
14,666

 
24,020

 
22,645

Foreign exchange contracts
15,750

 
14,666

 
24,044

 
22,651

Equity contracts - bilateral OTC(2)
2,820

 
2,806

 
1,658

 
1,653

Exchange-traded(2)
52

 
108

 
81

 
13

Bilateral OTC(2)
502

 
613

 
1,038

 
867

Precious metals contracts
554

 
721

 
1,119

 
880

OTC-cleared(2)
67

 
75

 
227

 
289

Bilateral OTC(2)
589

 
485

 
1,291

 
1,076

Credit contracts
656

 
560

 
1,518

 
1,365

Other non-qualifying derivatives not accounted for as hedges(1)
 
 
 
 
 
 
 
OTC-cleared(2)
519

 
60

 
287

 
41

Bilateral OTC(2)
170

 
164

 
437

 
170

Interest rate contracts
689

 
224

 
724

 
211

Foreign exchange contracts - bilateral OTC(2)
—

 
—

 
—

 
31

Equity contracts - bilateral OTC(2)
1,264

 
145

 
672

 
222

Precious metals contracts - bilateral OTC(2)
—

 
1

 
—

 
—

Credit contracts - bilateral OTC(2)
—

 
24

 
32

 
4

Other contracts - bilateral OTC(2)(4)
6

 
52

 
5

 
14

Total derivatives
45,297

 
43,413

 
61,260

 
59,472

Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(5)(7)
36,394

 
36,394

 
51,111

 
51,111

Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(6)(7)
4,480

 
3,823

 
5,145

 
3,826

Net amounts of derivative assets / liabilities presented in the balance sheet
4,423

 
3,196

 
5,004

 
4,535

Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet
742

 
370

 
787

 
1,050

Net amounts of derivative assets / liabilities
$
3,681

 
$
2,826

 
$
4,217

 
$
3,485

 
(1) 
Derivative assets / liabilities related to cash flow hedges, fair value hedges and derivative instruments held for purposes other than for trading are recorded in other assets / interest, taxes and other liabilities on the consolidated balance sheet.
(2) 
Over-the-counter (OTC) derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. The credit risk associated with bilateral OTC derivatives is managed through master netting agreements and obtaining collateral. OTC-cleared derivatives are executed bilaterally in the OTC market but then novated to a central clearing counterparty, whereby the central clearing counterparty becomes the counterparty to both of the original counterparties. Exchange traded derivatives are executed directly on an organized exchange that provides pre-trade price transparency. Credit risk is minimized for OTC-cleared derivatives and exchange traded derivatives through daily margining required by central clearing counterparties. During the first quarter of 2017, a central clearing counterparty amended its rules for OTC-cleared interest rate derivatives to legally re-characterize daily variation margin payments to be settlement payments as opposed to cash collateral posted. The impact of reflecting the rule change for this central clearing counterparty as of December 31, 2016 would have been a reduction in gross derivative assets and liabilities of approximately $5.2 billion and $5.2 billion, respectively, with corresponding decreases in the related counterparty and cash collateral netting.
(3) 
Trading related derivative assets / liabilities are recorded in trading assets / trading liabilities on the consolidated balance sheet.
(4) 
Consists of swap agreements entered into in conjunction with the sales of certain Visa Inc. ("Visa") Class B common shares ("Class B Shares").
(5) 
Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.
(6) 
Represents the netting of cash collateral posted and received by counterparty under enforceable netting agreements.
(7) 
Netting is performed at a counterparty level in cases where enforceable master netting agreements are in place, regardless of the type of derivative instrument. Therefore, we have not attempted to allocate netting to the different types of derivative instruments shown in the table above.
Schedule of Gains and Losses on Fair Value Hedging Instruments
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in fair value hedges and the hedged items in fair value hedges and their locations on the consolidated statement of income (loss):
 
Gain (Loss) on Derivative
 
Gain (Loss) on Hedged Items
 
Net Ineffective Gain (Loss) Recognized
  
Interest Income
(Expense)
 
Other Income (Loss)
 
Interest Income
(Expense)
 
Other Income (Loss)
 
Other Income (Loss)
 
(in millions)
Year Ended December 31, 2017
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(121
)
 
$
33

 
$
367

 
$
(35
)
 
$
(2
)
Interest rate contracts/long-term debt
12

 
(24
)
 
(257
)
 
29

 
5

Total
$
(109
)
 
$
9

 
$
110

 
$
(6
)
 
$
3

 
 
 
 
 
 
 
 
 
 
Year Ended December 31, 2016
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(178
)
 
$
59

 
$
374

 
$
(74
)
 
$
(15
)
Interest rate contracts/long-term debt
32

 
(82
)
 
(155
)
 
80

 
(2
)
Total
$
(146
)
 
$
(23
)
 
$
219

 
$
6

 
$
(17
)
 
 
 
 
 
 
 
 
 
 
Year Ended December 31, 2015
 
 
 
 
 
 
 
 
 
Interest rate contracts/AFS Securities
$
(202
)
 
$
(82
)
 
$
363

 
$
66

 
$
(16
)
Interest rate contracts/long-term debt
10

 
(18
)
 
(83
)
 
20

 
2

Total
$
(192
)
 
$
(100
)
 
$
280

 
$
86

 
$
(14
)
Schedule of Gains and Losses on Cash Flow Hedging Instruments
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from all terminated cash flow hedges) and their locations on the consolidated statement of income (loss):
 
Gain (Loss) Recognized
in AOCI on Derivative
(Effective Portion)
 
Location of 
Gain (Loss) 
Reclassified
from AOCI into Income 
(Effective Portion)
 
Gain (Loss)
Reclassed From
AOCI into Income
(Effective Portion)
 
Location of Gain (Loss) Recognized
in Income on the 
Derivative (Ineffective Portion 
and Amount Excluded from Effectiveness Testing)
 
Gain (Loss)
Recognized in Income on the
Derivative (Ineffective Portion)
 
2017
 
2016
 
2015
 
 
2017
 
2016
 
2015
 
 
2017
 
2016
 
2015
 
(in millions)
Year Ended December 31,
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Foreign exchange contracts
$
1

 
$
(1
)
 
$
(2
)
 
Interest income (expense)
 
$
—

 
$
—

 
$
—

 
Other income (loss)
 
$
—

 
$
—

 
$
—

Interest rate contracts
(30
)
 
6

 
(21
)
 
Interest income (expense)
 
(17
)
 
(17
)
 
(11
)
 
Other income (loss)
 
1

 
—

 
—

Total
$
(29
)
 
$
5

 
$
(23
)
 
 
 
$
(17
)
 
$
(17
)
 
$
(11
)
 
 
 
$
1

 
$
—

 
$
—
Schedule of Gains and Losses on Derivative Instruments Included in Trading Activities
The following table presents information on gains and losses on derivative instruments held for trading purposes and their locations on the consolidated statement of income (loss):
 
Location of Gain (Loss)
Recognized in Income on Derivatives
Amount of Gain (Loss) Recognized in Income on Derivatives
Year Ended December 31,
2017
 
2016
 
2015
 
 
(in millions)
 
 
Interest rate contracts
Trading revenue
$
(209
)
 
$
(283
)
 
$
899

Interest rate contracts
Residential mortgage banking revenue (expense)
—

 
36

 
26

Foreign exchange contracts
Trading revenue
192

 
386

 
(472
)
Equity contracts
Trading revenue
2

 
6

 
4

Precious metals contracts
Trading revenue
220

 
(20
)
 
52

Credit contracts
Trading revenue
(110
)
 
(71
)
 
(23
)
Total
 
$
95

 
$
54

 
$
486
Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities
The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their locations on the consolidated statement of income (loss):
 
Location of Gain (Loss)
Recognized in Income on Derivatives
Amount of Gain (Loss) Recognized in Income on Derivatives
Year Ended December 31,
2017
 
2016
 
2015
 
 
(in millions)
 
 
Interest rate contracts
Gain (loss) on instruments designated at fair value and related derivatives
$
62

 
$
(12
)
 
$
89

Interest rate contracts
Residential mortgage banking revenue (expense)
—

 
—

 
1

Foreign exchange contracts
Gain (loss) on instruments designated at fair value and related derivatives
6

 
30

 
(10
)
Equity contracts
Gain (loss) on instruments designated at fair value and related derivatives
1,121

 
466

 
(110
)
Credit contracts
Gain (loss) on instruments designated at fair value and related derivatives
—

 
—

 
(3
)
Credit contracts
Other income (loss)
(43
)
 
(70
)
 
42

Other contracts(1)
Other income (loss)
(10
)
 
—

 
—

Total
 
$
1,136

 
$
414

 
$
9

 

(1) 
Consists of swap agreements entered into in conjunction with the sales of certain Visa Class B Shares.
Credit-Risk Related Contingent Features
The following table presents the amount of additional collateral that we would be required to post (from the current collateral level) related to derivative instruments with credit-risk related contingent features if our long term ratings were downgraded by one or two notches. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another rating agency will generally not result in additional collateral.
 
One-notch downgrade
 
Two-notch downgrade
 
(in millions)
Amount of additional collateral to be posted upon downgrade
$
30

 
$
31
Notional Value of Derivative Contracts
The following table summarizes the notional values of derivative contracts:
At December 31,
2017
 
2016
 
(in millions)
Interest rate:
 
 
 
Futures and forwards
$
735,757

 
$
501,635

Swaps
2,687,273

 
2,142,183

Options written
77,144

 
74,741

Options purchased
93,042

 
87,020

 
3,593,216

 
2,805,579

Foreign exchange:
 
 
 
Swaps, futures and forwards
924,163

 
965,301

Options written
25,911

 
52,845

Options purchased
26,617

 
53,260

Spot
19,401

 
34,565

 
996,092

 
1,105,971

Commodities, equities and precious metals:
 
 
 
Swaps, futures and forwards
38,709

 
49,555

Options written
31,631

 
19,495

Options purchased
43,202

 
30,632

 
113,542

 
99,682

Credit derivatives
90,290

 
123,714

Other contracts(1)
644

 
184

Total
$
4,793,784

 
$
4,135,130

 
(1) 
Consists of swap agreements entered into in conjunction with the sales of certain Visa Class B Shares.