Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

The following table presents the notional amounts and gross fair values of all derivative assets and liabilities held by us.

Table 63: Total Gross Derivatives

	September 30, 2018						December 31, 2017
In millions	Notional / Contract Amount		Asset Fair Value (a)		Liability Fair Value (b)		Notional / Contract Amount		Asset Fair Value (a)		Liability Fair Value (b)
Derivatives used for hedging under GAAP
Interest rate contracts (c):
Fair value hedges	$	33,232	$	14			$	34,059	$	114	$	94
Cash flow hedges	17,394						23,875		60		6
Foreign exchange contracts:
Net investment hedges	1,042		36				1,060				11
Total derivatives designated for hedging under GAAP	$	51,668	$	50			$	58,994	$	174	$	111
Derivatives not used for hedging under GAAP
Derivatives used for mortgage banking activities (d):
Interest rate contracts:
Swaps	$	71,254			$	3	$	48,335	$	162	$	42
Futures (e)	44,063						47,494
Mortgage-backed commitments	6,595		$	21	16		8,999		19		9
Other	4,610		5		2		2,530		11		2
Subtotal	126,522		26		21		107,358		192		53
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	216,998		1,039		1,946		194,042		2,079		1,772
Futures (e)	3,550						3,453
Mortgage-backed commitments	3,280		9		2		2,228		2		2
Other	21,581		66		71		17,775		75		36
Subtotal	245,409		1,114		2,019		217,498		2,156		1,810
Foreign exchange contracts and other	28,494		581		552		27,330		349		332
Subtotal	273,903		1,695		2,571		244,828		2,505		2,142
Derivatives used for other risk management activities:
Foreign exchange contracts and other (f)	8,780		18		350		7,445		3		550
Total derivatives not designated for hedging under GAAP	$	409,205	$	1,739	$	2,942	$	359,631	$	2,700	$	2,745
Total gross derivatives	$	460,873	$	1,789	$	2,942	$	418,625	$	2,874	$	2,856
Less: Impact of legally enforceable master netting agreements			710		710				1,054		1,054
Less: Cash collateral received/paid			80		728				636		763
Total derivatives			$	999	$	1,504			$	1,184	$	1,039

(a) Included in Other assets on our Consolidated Balance Sheet.

(b) Included in Other liabilities on our Consolidated Balance Sheet.

(c) Represents primarily swaps.

(d) Includes both residential and commercial mortgage banking activities.

(e) Futures contracts settle in cash daily and, therefore, no derivative asset or derivative liability is recognized on our Consolidated Balance Sheet.

(f) Includes our obligation to fund a portion of certain BlackRock LTIP programs and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Schedule of Fair Value and Cash Flow Hedges

Table 64: Gains (Losses) Recognized on Fair Value and Cash Flow Hedges in the Consolidated Income Statement (a) (b)

	Location and Amount of Gains (Losses) Recognized in Income
	Interest Income					Interest Expense			Noninterest Income
In millions	Loans		Investment Securities			Borrowed Funds			Other
For the three months ended September 30, 2018
Total amounts on the Consolidated Income Statement	$	2,452	$	584		$	421		$	301
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(31	)	$	107
Derivatives			$	30		$	(137	)
Amounts related to interest settlements on derivatives			$	2		$	24
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated OCI	$	6	$	2					$	1
For the three months ended September 30, 2017
Total amounts on the Consolidated Income Statement	$	2,140	$	501		$	280		$	313
Gains (losses) on fair value hedges recognized on:
Hedged items			$	(8	)	$	50
Derivatives			$	9		$	(56	)
Amounts related to interest settlements on derivatives			$	(9	)	$	53
Gains (losses) on cash flow hedges - interest rate contracts (d):
Amount of derivative gains (losses) reclassified from accumulated OCI	$	38	$	5					$	2
For the nine months ended September 30, 2018
Total amounts on the Consolidated Income Statement	$	7,025	$	1,653		$	1,173		$	880
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(145	)	$	577
Derivatives			$	149		$	(632	)
Amounts related to interest settlements on derivatives						$	57
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated OCI	$	43	$	9					$	8
For the nine months ended September 30, 2017
Total amounts on the Consolidated Income Statement	$	6,084	$	1,489		$	793		$	918
Gains (losses) on fair value hedges recognized on:
Hedged items			$	4		$	61
Derivatives			$	(3	)	$	(84	)
Amounts related to interest settlements on derivatives			$	(34	)	$	190
Gains (losses) on cash flow hedges - interest rate contracts (d):
Amount of derivative gains (losses) reclassified from accumulated OCI	$	128	$	16					$	5

(a) For all periods presented, there were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for any of the fair value or cash flow hedge strategies.

(b) All cash flow and fair value hedge derivatives were interest rate contracts for the periods presented.

(c) Includes an insignificant amount of fair value hedge adjustments related to discontinued hedge relationships.

(d) For all periods presented, there were no gains or losses from cash flow hedge derivatives reclassified to income because it became probable that the original forecasted transaction would not occur.

Schedule of Fair Value Hedges

Detail regarding the impact of fair value hedge accounting on the carrying value of the hedged items is presented in the following table.

Table 65: Hedged Items - Fair Value Hedges

	September 30, 2018
In millions	Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)
Investment securities - Available for Sale (b)	$	7,056	$	(230	)
Borrowed funds	$	28,284	$	(686	)

(a) Includes $.6 billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships.

(b) Carrying value shown represents amortized cost.

Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

Table 66: Gains (Losses) on Derivatives Not Designated for Hedging under GAAP

	Three months ended September 30						Nine months ended September 30
In millions	2018			2017			2018			2017
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	(34	)	$	19		$	(166	)	$	92
Derivatives used for customer-related activities:
Interest rate contracts	15			10			96			63
Foreign exchange contracts and other	22			38			79			110
Gains (losses) from customer-related activities (b)	37			48			175			173
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b) (c)	(19		)	(101		)	111			(257		)
Total gains (losses) from derivatives not designated as hedging instruments	$	(16	)	$	(34	)	$	120		$	8

(a) Included in Residential mortgage, Corporate services and Other noninterest income on our Consolidated Income Statement.

(b) Included in Other noninterest income on our Consolidated Income Statement.

(c) Includes BlackRock LTIP funding obligation and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Derivative Assets And Liabilities Offsetting

Table 67: Derivative Assets and Liabilities Offsetting

In millions			Amounts Offset on the Consolidated Balance Sheet							Securities Collateral Held / (Pledged) Under Master Netting Agreements
	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Fair Value					Net Amounts
September 30, 2018
Derivative assets
Interest rate contracts:
Over-the-counter cleared (a)	$	16					$	16				$	16
Over-the-counter	1,138		$	432	$	75	631			$	19	612
Foreign exchange and other contracts	635		278		5		352					352
Total derivative assets	$	1,789	$	710	$	80	$	999	(b)	$	19	$	980
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared (a)	$	11					$	11				$	11
Over-the-counter	2,029		$	563	$	435	1,031					1,031
Foreign exchange and other contracts	902		147		293		462					462
Total derivative liabilities	$	2,942	$	710	$	728	$	1,504	(c)			$	1,504
December 31, 2017
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	827	$	251	$	567	$	9				$	9
Over-the-counter	1,695		668		67		960			$	32	928
Foreign exchange and other contracts	352		135		2		215					215
Total derivative assets	$	2,874	$	1,054	$	636	$	1,184	(b)	$	32	$	1,152
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	260	$	251			$	9				$	9
Over-the-counter	1,703		662		$	669	372					372
Foreign exchange and other contracts	893		141		94		658					658
Total derivative liabilities	$	2,856	$	1,054	$	763	$	1,039	(c)			$	1,039

(a) Reflects our first quarter 2018 change in accounting presentation for variation margin for certain derivative instruments cleared through a central clearing house. The accounting change reduced the asset and liability gross fair values with corresponding reductions to the fair value and cash collateral offsets, resulting in no changes to the net fair value amounts.

(b) Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.

(c) Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.