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Notes to Consolidated Financial Statements, continued
132
December 31, 2013
Asset Derivatives Liability Derivatives
(Dollars in millions) Notional
Amounts Fair
Value Notional
Amounts Fair
Value
Derivatives designated in cash flow hedging relationships 1
Interest rate contracts hedging floating rate loans $17,250 $471 $— $—
Derivatives designated in fair value hedging relationships 2
Interest rate contracts covering fixed rate debt 2,000 52 900 24
Derivatives not designated as hedging instruments 3
Interest rate contracts covering:
Fixed rate debt — — 60 7
MSRs 1,425 27 6,898 79
LHFS, IRLCs 44,561 30 1,317 5
Trading activity 570,615 2,917 65,299 2,742
Foreign exchange rate contracts covering trading activity 2,449 61 2,624 57
Credit contracts covering:
Loans — — 427 5
Trading activity 61,568 37 1,579 34
Equity contracts - Trading activity 519,595 2,504 24,712 2,702
Other contracts:
IRLCs and other 71,114 12 755 4
Commodities 241 14 228 14
Total 101,568 5,602 103,899 5,649
Total derivatives $120,818 $6,125 $104,799 $5,673
Total gross derivatives, before netting $6,125 $5,673
Less: Legally enforceable master netting agreements (4,284) (4,284)
Less: Cash collateral received/paid (457) (864)
Total derivatives, after netting $1,384 $525
1 See “Cash Flow Hedges” in this Note for further discussion.
2 See “Fair Value Hedges” in this Note for further discussion.
3 See “Economic Hedging and Trading Activities” in this Note for further discussion.
4 Amount includes $885 million of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative liability associated with
the one day lag is included in the fair value column of this table.
5 Amounts include $15.2 billion and $157 million of notional related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily, one day in arrears.
The derivative asset associated with the one day lag is included in the fair value column of this table.
6 Asset and liability amounts each include $4 million and $5 million of notional from purchased and written interest rate swap risk participation agreements, respectively, whose notional is
calculated as the notional of the interest rate swap participated adjusted by the relevant RWA conversion factor.
7 Includes a notional amount that is based on the number of Visa Class B shares, 3.2 million, the conversion ratio from Class B shares to Class A shares, and the Class A share price at the
derivative inception date of May 28, 2009. This derivative was established upon the sale of Class B shares in the second quarter of 2009 as discussed in Note 16, “Guarantees.” The fair
value of the derivative liability, which relates to a notional amount of $55 million, is immaterial and is recognized in other liabilities in the Consolidated Balance Sheets.