Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional and Fair Values of Derivative Instruments

The following table summarizes the notional and fair values of our derivative instruments on a gross basis as of December 31, 2015 and 2014, which are segregated by derivatives that are designated as accounting hedges and those that are not, and are further segregated by type of contract within those two categories. The total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated cash collateral received or paid.

Table 11.1: Derivative Assets and Liabilities at Fair Value



	December 31, 2015								December 31, 2014
	Notional or Contractual Amount		Derivative⁽¹⁾						Notional or Contractual Amount		Derivative⁽¹⁾
(Dollars in millions)	Notional or Contractual Amount		Assets			Liabilities			Notional or Contractual Amount		Assets			Liabilities
Derivatives designated as accounting hedges:
Interest rate contracts:
Fair value hedges	$	34,417	$	550		$	146		$	24,543	$	480		$	39
Cash flow hedges	30,450		167			61			24,450		222			18
Total interest rate contracts	64,867		717			207			48,993		702			57
Foreign exchange contracts:
Cash flow hedges	5,580		239			2			5,546		221			2
Net investment hedges	2,562		87			0			2,476		73			0
Total foreign exchange contracts	8,142		326			2			8,022		294			2
Total derivatives designated as accounting hedges	73,009		1,043			209			57,015		996			59
Derivatives not designated as accounting hedges:
Interest rate contracts covering:
MSRs⁽²⁾	1,665		11			7			777		10			3
Customer accommodation	28,841		431			290			27,646		413			251
Other interest rate exposures⁽³⁾	1,519		33			10			2,614		33			21
Total interest rate contracts	32,025		475			307			31,037		456			275
Other contracts	882		0			4			593		0			5
Total derivatives not designated as accounting hedges	32,907		475			311			31,630		456			280
Total derivatives	$	105,916	$	1,518		$	520		$	88,645	$	1,452		$	339
Less: netting adjustment⁽⁴⁾			(532		)	(143		)			(624		)	(164		)
Total derivative assets/liabilities			$	986		$	377				$	828		$	175

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⁽¹⁾	Derivative assets and liabilities include interest accruals.


⁽²⁾	Includes interest rate swaps and To Be Announced (“TBA”) contracts.


⁽³⁾	Other interest rate exposures include mortgage-related derivatives.


⁽⁴⁾	Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See Table 11.2 for further information.

Offsetting Assets

The following table presents as of December 31, 2015 and 2014 the gross and net fair values of our derivative assets and liabilities and repurchase agreements, as well as the related offsetting amounts permitted under U.S. GAAP. The table also includes cash and non-cash collateral received or pledged associated with such arrangements. The collateral amounts shown are limited to the extent of the related net derivative fair values or outstanding balances, thus instances of over-collateralization are not shown.

Table 11.2: Offsetting of Financial Assets and Financial Liabilities



	Gross Amounts		Gross Amounts Offset in the Balance Sheet						Net Amounts as Recognized		Securities Collateral Held Under Master Netting Agreements
(Dollars in millions)	Gross Amounts		Financial Instruments			Cash Collateral Received			Net Amounts as Recognized		Securities Collateral Held Under Master Netting Agreements			Net Exposure
As of December 31, 2015
Derivatives assets⁽¹⁾	$	1,518	$	(86	)	$	(446	)	$	986	$	(156	)	$	830
As of December 31, 2014
Derivatives assets⁽¹⁾	1,452		(101		)	(523		)	828		(80		)	748

Offsetting Liabilities



	Gross Amounts		Gross Amounts Offset in the Balance Sheet						Net Amounts as Recognized		Securities Collateral Pledged Under Master Netting Agreements
(Dollars in millions)	Gross Amounts		Financial Instruments			Cash Collateral Pledged			Net Amounts as Recognized					Net Exposure
As of December 31, 2015
Derivatives liabilities⁽¹⁾	$	520	$	(86	)	$	(57	)	$	377	$	0		$	377
Repurchase agreements⁽²⁾⁽³⁾	969		0			0			969		(969		)	0
As of December 31, 2014
Derivatives liabilities⁽¹⁾	339		(101		)	(63		)	175		0			175
Repurchase agreements⁽²⁾	869		0			0			869		(869		)	0

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⁽¹⁾	The gross balances include derivative assets and derivative liabilities as of December 31, 2015 totaling $429 million and $314 million, respectively, related to the centrally cleared derivative contracts. The comparable amounts as of December 31, 2014 totaled $360 million and $127 million, respectively. These contracts were not subject to offsetting as of December 31, 2015 and 2014.


⁽²⁾	As of December 31, 2015 and 2014, the Company only had repurchase obligations outstanding and did not have any reverse repurchase receivables.


⁽³⁾	Represents customer repurchase agreements that mature the next business day. As of December 31, 2015, we pledged collateral with a fair value of $989 million under these customer repurchase agreements, all of which were agency RMBS securities.

Fair Value Hedging and Free-Standing Derivatives

Derivative Instruments, Gain (Loss) [Line Items]

Gains and Losses on Derivatives

The net gains (losses) recognized in earnings related to derivatives in fair value hedging relationships and free-standing derivatives are presented below for the years ended December 31, 2015, 2014 and 2013.

Table 11.3: Gains and Losses on Fair Value Hedges and Free-Standing Derivatives



	Year Ended December 31,
(Dollars in millions)	2015			2014			2013
Derivatives designated as accounting hedges:⁽¹⁾
Fair value interest rate contracts:
(Losses) gains recognized in earnings on derivatives	$	(66	)	$	200		$	(550	)
Gains (losses) recognized in earnings on hedged items	75			(157		)	507
Net fair value hedge ineffectiveness gains (losses)	9			43			(43		)
Derivatives not designated as accounting hedges:⁽¹⁾
Interest rate contracts covering:
MSRs	3			23			(12		)
Customer accommodation	21			18			49
Other interest rate exposures	44			11			(9		)
Total interest rate contracts	68			52			28
Foreign exchange contracts	0			1			(5		)
Other contracts	(2		)	(1		)	(20		)
Total gains on derivatives not designated as accounting hedges	66			52			3
Net derivative gains (losses) recognized in earnings	$	75		$	95		$	(40	)

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⁽¹⁾	Amounts are recorded in our consolidated statements of income in other non-interest income.

Cash Flow Hedging and Net Investment Hedging

Derivative Instruments, Gain (Loss) [Line Items]

Gains and Losses on Derivatives

The table below shows the net gains (losses) related to derivatives designated as cash flow hedges and net investment hedges for the years ended December 31, 2015, 2014 and 2013.

Table 11.4: Gains and Losses on Derivatives Designated as Cash Flow Hedges and Net Investment Hedges



	Year Ended December 31,
(Dollars in millions)	2015			2014			2013
Gains (losses) recorded in AOCI:
Cash flow hedges:
Interest rate contracts	$	301		$	251		$	(103	)
Foreign exchange contracts	(17		)	(23		)	(21		)
Subtotal	284			228			(124		)
Net investment hedges:
Foreign exchange contracts	83			132			0
Net derivatives gains (losses) recognized in AOCI	$	367		$	360		$	(124	)
Gains (losses) recorded in earnings:
Cash flow hedges:
Gains (losses) reclassified from AOCI into earnings:
Interest rate contracts⁽¹⁾	$	190		$	131		$	53
Foreign exchange contracts⁽²⁾	(16		)	(23		)	(22		)
Subtotal	174			108			31
Gains (losses) recognized in earnings due to ineffectiveness:
Interest rate contracts⁽²⁾	2			1			(1		)
Net derivative gains recognized in earnings	$	176		$	109		$	30

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⁽¹⁾	Amounts reclassified are recorded in our consolidated statements of income in interest income or interest expense.


⁽²⁾	Amounts are recorded in our consolidated statements of income in contra-revenue and other non-interest income.