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Notes to Consolidated Financial Statements, continued
126
December 31, 2014
Asset Derivatives Liability Derivatives
(Dollars in millions)
Notional
Amounts
Fair
Value
Notional
Amounts
Fair
Value
Derivative instruments designated in cash flow hedging relationships 1
Interest rate contracts hedging floating rate loans $18,150 $208 $2,850 $8
Derivative instruments designated in fair value hedging relationships 2
Interest rate contracts hedging fixed rate debt 2,700 30 2,600 1
Interest rate contracts hedging brokered CDs 30 — — —
Total 2,730 30 2,600 1
Derivative instruments not designated as hedging instruments 3
Interest rate contracts hedging:
MSRs 5,172 163 8,807 30
LHFS, IRLCs 41,840 4 4,923 23
Trading activity 561,049 2,405 61,065 2,225
Foreign exchange rate contracts hedging trading activity 2,429 104 2,414 100
Credit contracts hedging:
Loans — — 392 5
Trading activity 62,282 20 2,452 20
Equity contracts hedging trading activity 521,875 2,809 28,128 3,090
Other contracts:
IRLCs and other 72,231 25 139 5
Commodities 381 71 374 70
Total 97,259 5,601 108,694 5,568
Total derivative instruments $118,139 $5,839 $114,144 $5,577
Total gross derivative instruments, before netting $5,839 $5,577
Less: Legally enforceable master netting agreements (4,083) (4,083)
Less: Cash collateral received/paid (449) (1,032)
Total derivative instruments, after netting $1,307 $462
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 $791 million of notional amounts related to interest rate futures. These futures contracts settle in cash daily, one day in arrears. The derivative asset or liability
associated with the one day lag is included in the fair value column of this table.
5 Amounts include $10.3 billion and $563 million of notional amounts related to interest rate futures and equity futures, respectively. These futures contracts settle in cash daily,
one day in arrears. The derivative asset or liability associated with the one day lag is included in the fair value column of this table. Amounts also include notional amounts
related to interest rate swaps hedging fixed rate debt.
6 Asset and liability amounts both include $4 million of notional amounts 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 $49 million 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. See Note
16, “Guarantees” for additional information.