Derivative Instruments and Hedging Activities (Tables)
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6 Months Ended |
Jun. 30, 2014
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Derivative Instruments And Hedging Activities Disclosure [Abstract] |
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Notional and Fair Values of Derivative Instruments |
The following table summarizes the notional and
fair values of our derivative instruments reported on our
consolidated balance sheets as of June 30, 2014 and
December 31, 2013. The fair value amounts 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.
Table 9.1: Derivative Assets and Liabilities at Fair
Value
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June 30,
2014 |
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December 31,
2013 |
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Notional or
Contractual
Amount |
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Derivative |
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Notional or
Contractual
Amount |
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Derivatives |
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(Dollars in millions)
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Assets |
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Liabilities |
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Assets |
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Liabilities |
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Derivatives designated as accounting hedges:
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Interest rate contracts: |
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Fair value hedges
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$ |
19,871 |
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$ |
271 |
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$ |
69 |
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$ |
15,695 |
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$ |
289 |
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$ |
223 |
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Cash flow hedges
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16,925 |
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49 |
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49 |
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12,825 |
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0 |
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149 |
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Total interest rate contracts |
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36,796 |
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320 |
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118 |
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28,520 |
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289 |
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372 |
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Foreign exchange contracts: |
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Cash flow hedges
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5,104 |
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0 |
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147 |
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4,806 |
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49 |
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53 |
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Total derivatives designated as accounting hedges
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41,900 |
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320 |
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265 |
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33,326 |
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338 |
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425 |
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Derivatives not designated as accounting hedges:
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Interest rate contracts covering: |
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MSRs(1)
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733 |
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5 |
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1 |
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353 |
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0 |
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7 |
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Customer accommodation
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26,869 |
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369 |
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190 |
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25,365 |
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405 |
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209 |
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Other interest rate exposures(2)
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2,967 |
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32 |
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20 |
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1,864 |
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29 |
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17 |
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Total interest rate contracts |
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30,569 |
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406 |
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211 |
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27,582 |
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434 |
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233 |
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Foreign exchange contracts |
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212 |
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22 |
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0 |
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1,422 |
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184 |
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37 |
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Other contracts |
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522 |
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0 |
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12 |
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1,094 |
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3 |
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15 |
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Total derivatives not designated as accounting hedges
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31,303 |
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428 |
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223 |
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30,098 |
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621 |
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285 |
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Total derivatives |
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$ |
73,203 |
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$ |
748 |
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$ |
488 |
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$ |
63,424 |
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$ |
959 |
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$ |
710 |
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(1) |
MSRs include interest rate swaps and To Be Announced
contracts used to hedge our MSR portfolio.
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(2) |
Other interest rate exposures include mortgage related
derivatives.
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Summary of Derivative Transactions and Repurchase Agreements Subject to Legally Enforceable Master Netting Agreements |
The following table presents as of June 30,
2014 and December 31, 2013, the gross and net fair values of
our derivative assets and liabilities and repurchase agreements, as
well as the related offsetting amount permitted under the
accounting standards for offsetting assets and liabilities. Under
the accounting standard, gross positive fair values could be offset
against gross negative fair values by counterparty pursuant to
legally enforceable master netting agreements, if the netting
presentation method is elected. The table also includes cash and
non-cash collateral received or pledged associated with such
arrangements. The collateral amount related to repurchase
agreements is limited to the outstanding balance, thus instance of
overcollateralization is not shown.
Table 9.2: Offsetting of Financial Assets and Financial
Liabilities
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Offsetting Amounts Not
Netted |
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(Dollars in millions)
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Gross
Amounts |
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Offsetting
Amounts |
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Net Amounts
as Recognized |
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Financial
Instruments |
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Collateral
Received(1) |
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Net
Exposure |
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As of June 30, 2014 |
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Derivatives assets
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$ |
748 |
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$ |
0 |
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$ |
748 |
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$ |
(222) |
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$ |
(410) |
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$ |
116 |
(2) |
As of December 31, 2013 |
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Derivatives assets
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$ |
959 |
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$ |
0 |
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$ |
959 |
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$ |
(262) |
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$ |
(450) |
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$ |
247 |
(2) |
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Offsetting Amounts Not
Netted
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(Dollars in millions)
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Gross
Amounts |
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Offsetting
Amounts |
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Net Amounts
as Recognized |
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Financial
Instruments |
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Collateral
Pledged |
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Net
Exposure |
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As of June 30, 2014 |
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Derivatives liabilities
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$ |
488 |
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$ |
0 |
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$ |
488 |
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$ |
(222 |
) |
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$ |
(203 |
) (1) |
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$ |
63 |
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Repurchase agreements
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882 |
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0 |
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882 |
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0 |
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(882 |
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0 |
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As of December 31, 2013 |
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Derivatives liabilities
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$ |
710 |
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$ |
0 |
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$ |
710 |
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$ |
(262 |
) |
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$ |
(371 |
) (1) |
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$ |
77 |
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Repurchase agreements
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907 |
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0 |
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907 |
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0 |
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(907 |
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0 |
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(1) |
When we receive or pledge collateral, we factor in
accrued interest when calculating net positions with
counterparties.
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(2) |
The majority of the net position relates to
customer-accommodation derivatives. Customer-accommodation
derivatives are cross-collateralized by the associated commercial
loans and we do not require additional collateral on these
transactions.
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Net Gains (Losses) Recognized in Earnings Related to Derivatives in Fair Value Hedging Relationships and Free-Standing 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 three and six
months ended June 30, 2014 and 2013:
Table 9.3: Gains and Losses on Fair Value Hedges and
Free-Standing Derivatives
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Three Months Ended
June 30, |
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Six Months Ended
June 30, |
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(Dollars in millions)
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2014 |
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2013 |
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2014 |
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2013 |
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Derivatives designated as accounting
hedges(1): |
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Fair value interest rate contracts: |
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Gains (losses) recognized in earnings on derivatives
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$ |
105 |
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$ |
(317) |
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$ |
136 |
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$ |
(412) |
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Gains (losses) recognized in earnings on hedged items
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(92) |
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300 |
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(115) |
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390 |
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Net fair value hedge ineffectiveness gains
(losses) |
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13 |
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(17) |
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21 |
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(22) |
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Derivatives not designated as accounting
hedges(1): |
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Interest rate contracts covering: |
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MSRs
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6 |
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(8) |
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13 |
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(8) |
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Customer accommodation
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4 |
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16 |
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8 |
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25 |
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Other interest rate exposures
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3 |
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(8) |
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3 |
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(9) |
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Total interest rate contracts |
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13 |
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0 |
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24 |
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8 |
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Foreign exchange contracts |
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0 |
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(2) |
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1 |
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(4) |
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Other contracts |
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0 |
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4 |
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1 |
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(7) |
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Total gains (losses) on derivatives not
designated as accounting hedges |
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13 |
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2 |
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26 |
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(3) |
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Net derivative gains (losses) recognized in
earnings |
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$ |
26 |
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$ |
(15) |
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$ |
47 |
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$ |
(25) |
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(1) |
Amounts are recorded on our consolidated statements of
income in other non-interest income.
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Net Gains (Losses) Related to Derivatives Designated as Cash Flow Hedges and Net Investment Hedges |
The table below shows the net gains (losses)
related to derivatives designated as cash flow hedges for the three
and six months ended June 30, 2014 and 2013:
Table 9.4: Gains and Losses on Derivatives Designated as Cash
Flow Hedges
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Three Months Ended
June 30, |
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Six Months Ended
June 30, |
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(Dollars in millions)
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2014 |
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2013 |
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2014 |
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2013 |
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Gains (losses) recorded in AOCI: |
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Cash flow hedges: |
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Interest rate contracts
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$ |
101 |
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$ |
(146) |
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$ |
146 |
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$ |
(147) |
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Foreign exchange contracts
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(6) |
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(5) |
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(11) |
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(10) |
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Net derivative gains (losses) recognized in
AOCI |
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$ |
95 |
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$ |
(151) |
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$ |
135 |
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$ |
(157) |
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Gains (losses) recorded in
earnings: |
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Cash flow hedges: |
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Gains (losses) reclassified from AOCI into earnings:
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Interest rate contracts(1)
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$ |
30 |
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$ |
14 |
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$ |
56 |
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$ |
26 |
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Foreign exchange contracts(2)
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(6) |
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(4) |
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(11) |
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(9) |
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Total
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24 |
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|
10 |
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|
45 |
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17 |
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Gains (losses) recognized in earnings due to
ineffectiveness: |
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Interest rate contracts(2)
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0 |
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(1) |
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1 |
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(1) |
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Net derivative gains recognized in
earnings |
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$ |
24 |
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$ |
9 |
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$ |
46 |
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$ |
16 |
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(1) |
Amounts reclassified are recorded on our consolidated
statements of income in interest income or interest expense.
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(2) |
Amounts reclassified are recorded on our consolidated
statements of income in other non-interest income.
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