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Derivative Instruments and Hedging Activities (Tables)
6 Months Ended
Jun. 30, 2014
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 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

 

    June 30, 2014     December 31, 2013  
    Notional or
Contractual

Amount
    Derivative     Notional or
Contractual

Amount
    Derivatives  

 (Dollars in millions)

        Assets           Liabilities             Assets           Liabilities    

Derivatives designated as accounting hedges:

           
 Interest rate contracts:            

Fair value hedges

   $ 19,871         $ 271         $ 69         $ 15,695         $ 289         $ 223     

Cash flow hedges

    16,925          49          49          12,825          0          149     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
 Total interest rate contracts     36,796          320          118          28,520          289          372     
 Foreign exchange contracts:            

Cash flow hedges

    5,104          0          147          4,806          49          53     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total derivatives designated as accounting hedges

    41,900          320          265          33,326          338          425     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Derivatives not designated as accounting hedges:

           
 Interest rate contracts covering:            

MSRs(1)

    733          5          1          353          0          7     

Customer accommodation

    26,869          369          190          25,365          405          209     

Other interest rate exposures(2)

    2,967          32          20          1,864          29          17     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
 Total interest rate contracts     30,569          406          211          27,582          434          233     
 Foreign exchange contracts     212          22          0          1,422          184          37     
 Other contracts     522          0          12          1,094          3          15     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total derivatives not designated as accounting hedges

    31,303          428          223          30,098          621          285     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
 Total derivatives    $ 73,203         $ 748         $ 488         $ 63,424         $ 959         $ 710     
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

 

  (1) 

MSRs include interest rate swaps and To Be Announced contracts used to hedge our MSR portfolio.

 

  (2)

Other interest rate exposures include mortgage related derivatives.

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

 

                      Offsetting Amounts Not
Netted
       

 (Dollars in millions)

  Gross
  Amounts  
    Offsetting
  Amounts  
    Net Amounts
  as Recognized  
    Financial
  Instruments  
    Collateral
  Received(1)  
    Net
  Exposure  
 
 As of June 30, 2014            

Derivatives assets

  $     748      $     0      $     748      $     (222)      $     (410)      $     116  (2) 
 As of December 31, 2013            

Derivatives assets

  $ 959      $ 0      $ 959      $ (262)      $ (450)      $ 247  (2) 
                     

 

Offsetting Amounts Not
Netted

       

 (Dollars in millions)

  Gross
  Amounts  
    Offsetting
  Amounts  
    Net Amounts
  as Recognized  
    Financial
  Instruments  
    Collateral
  Pledged  
    Net
  Exposure  
 
 As of June 30, 2014            

Derivatives liabilities

  $ 488      $ 0      $ 488      $ (222   $ (203 ) (1)    $ 63   

Repurchase agreements

    882        0        882        0        (882     0   
 As of December 31, 2013            

Derivatives liabilities

  $ 710      $ 0      $ 710      $ (262   $ (371 ) (1)    $ 77   

Repurchase agreements

    907        0        907        0        (907     0   

 

 

  (1) 

When we receive or pledge collateral, we factor in accrued interest when calculating net positions with counterparties.

 

  (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.

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

 

    Three Months Ended
June 30,
    Six Months Ended
June 30,
 

 (Dollars in millions)

      2014             2013             2014             2013      
 Derivatives designated as accounting hedges(1):        
 Fair value interest rate contracts:        

Gains (losses) recognized in earnings on derivatives

   $     105        $ (317)       $     136        $ (412)   

Gains (losses) recognized in earnings on hedged items

    (92)            300         (115)            390    
 

 

 

   

 

 

   

 

 

   

 

 

 
 Net fair value hedge ineffectiveness gains (losses)     13         (17)        21         (22)   
 

 

 

   

 

 

   

 

 

   

 

 

 
 Derivatives not designated as accounting hedges(1):        
 Interest rate contracts covering:        

MSRs

           (8)        13         (8)   

Customer accommodation

           16                25    

Other interest rate exposures

           (8)               (9)   
 

 

 

   

 

 

   

 

 

   

 

 

 
 Total interest rate contracts     13                24           
 Foreign exchange contracts            (2)               (4)   
 Other contracts                          (7)   
 

 

 

   

 

 

   

 

 

   

 

 

 
 Total gains (losses) on derivatives not designated as accounting hedges     13                26         (3)   
 

 

 

   

 

 

   

 

 

   

 

 

 
 Net derivative gains (losses) recognized in earnings    $ 26        $ (15)       $ 47        $ (25)   
 

 

 

   

 

 

   

 

 

   

 

 

 

 

 

  (1) 

Amounts are recorded on our consolidated statements of income in other non-interest income.

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

 

     Three Months Ended
June 30,
     Six Months Ended
June 30,
 

 (Dollars in millions)

       2014             2013              2014             2013      
 Gains (losses) recorded in AOCI:          
 Cash flow hedges:          

Interest rate contracts

    $     101        $ (146)        $     146        $ (147)   

Foreign exchange contracts

     (6)        (5)         (11)        (10)   
  

 

 

   

 

 

    

 

 

   

 

 

 
 Net derivative gains (losses) recognized in AOCI     $ 95        $ (151)        $ 135        $ (157)   
  

 

 

   

 

 

    

 

 

   

 

 

 
 Gains (losses) recorded in earnings:          
 Cash flow hedges:          

Gains (losses) reclassified from AOCI into earnings:

         

Interest rate contracts(1)

    $ 30        $       14         $ 56        $       26    

Foreign exchange contracts(2)

     (6)        (4)         (11)        (9)   
  

 

 

   

 

 

    

 

 

   

 

 

 

Total

     24         10          45         17    
  

 

 

   

 

 

    

 

 

   

 

 

 
Gains (losses) recognized in earnings due to ineffectiveness:          

Interest rate contracts(2)

            (1)                (1)   
  

 

 

   

 

 

    

 

 

   

 

 

 
 Net derivative gains recognized in earnings     $ 24        $        $ 46        $ 16    
  

 

 

   

 

 

    

 

 

   

 

 

 

 

 

  (1) 

Amounts reclassified are recorded on our consolidated statements of income in interest income or interest expense.

 

  (2) 

Amounts reclassified are recorded on our consolidated statements of income in other non-interest income.