Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

Table 60: Total Gross Derivatives

	September 30, 2019						December 31, 2018
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	$	31,474					$	30,919	$	7
Cash flow hedges	23,427		$	8	$	4	17,337		1
Foreign exchange contracts:
Net investment hedges	1,097		40				1,012				$	10
Total derivatives designated for hedging under GAAP	$	55,998	$	48	$	4	$	49,268	$	8	$	10
Derivatives not used for hedging under GAAP
Derivatives used for mortgage banking activities (d):
Interest rate contracts:
Swaps	$	50,776	$	9	$	3	$	43,084			$	3
Futures (e)	3,697						10,658
Mortgage-backed commitments	12,046		97		85		5,771		$	47	39
Other	6,867		54		40		6,509		10		3
Subtotal	73,386		160		128		66,022		57		45
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	243,626		3,553		1,329		218,496		1,352		1,432
Futures (e)	704						914
Mortgage-backed commitments	5,615		6		6		2,246		7		10
Other	22,062		167		43		20,109		77		33
Subtotal	272,007		3,726		1,378		241,765		1,436		1,475
Commodity contracts:
Swaps	4,619		242		239		4,813		244		238
Other	4,080		139		138		1,418		67		67
Subtotal	8,699		381		377		6,231		311		305
Foreign exchange contracts and other	25,491		270		253		23,253		194		192
Subtotal	306,197		4,377		2,008		271,249		1,941		1,972
Derivatives used for other risk management activities:
Foreign exchange contracts and other	11,372		53		192		7,908		75		263
Total derivatives not designated for hedging under GAAP	$	390,955	$	4,590	$	2,328	$	345,179	$	2,073	$	2,280
Total gross derivatives	$	446,953	$	4,638	$	2,332	$	394,447	$	2,081	$	2,290
Less: Impact of legally enforceable master netting agreements			890		890				688		688
Less: Cash collateral received/paid			914		770				341		539
Total derivatives			$	2,834	$	672			$	1,052	$	1,063

(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.

Schedule of Fair Value and Cash Flow Hedges

Table 61: 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, 2019
Total amounts on the Consolidated Income Statement	$	2,678		$	617		$	468		$	342
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	76		$	(271	)
Derivatives				$	(73	)	$	235
Amounts related to interest settlements on derivatives				$	4		$	16
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	2		$	3
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 AOCI	$	6		$	2					$	1
For the nine months ended September 30, 2019
Total amounts on the Consolidated Income Statement	$	7,952		$	1,866		$	1,433		$	1,017
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	250		$	(1,068	)
Derivatives				$	(241	)	$	948
Amounts related to interest settlements on derivatives				$	14		$	36
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	(18	)	$	5					$	18
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 AOCI	$	43		$	9					$	8

(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 primarily related to discontinued borrowed funds 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

Table 62: Hedged Items - Fair Value Hedges

 

	September 30, 2019				December 31, 2018
In millions	Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)		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)	$	6,787	$	132	$	6,216	$	(103	)
Borrowed funds	$	26,873	$	807	$	27,121	$	(260	)

(a) Includes $(.3) billion and $(.5) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships for September 30, 2019 and December 31, 2018, respectively.

(b)

Carrying value shown represents amortized cost.

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

Table 63: Gains (Losses) on Derivatives Not Designated for Hedging under GAAP

	Three months ended September 30					Nine months ended September 30
In millions	2019		2018			2019		2018
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	184	$	(34	)	$	530	$	(166	)
Derivatives used for customer-related activities:
Interest rate contracts	45		15			84		96
Foreign exchange contracts and other (b)	11		22			64		79
Gains (losses) from customer-related activities (c)	56		37			148		175
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c)	103		(19		)	39		111
Total gains (losses) from derivatives not designated as hedging instruments	$	343	$	(16	)	$	717	$	120

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

(b) Includes an insignificant amount of gains (losses) on commodity contracts for all periods presented.

(c)

Included in Other noninterest income on our Consolidated Income Statement.

Derivative Assets And Liabilities Offsetting

Table 64: 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, 2019
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	24					$	24				$	24
Over-the-counter	3,870		$	399	$	848	2,623			$	297	2,326
Commodity contracts	381		244		58		79					79
Foreign exchange and other contracts	363		247		8		108			1		107
Total derivative assets	$	4,638	$	890	$	914	$	2,834	(a)	$	298	$	2,536
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	26					$	26				$	26
Over-the-counter	1,484		$	648	$	722	114					114
Commodity contracts	377		163		2		212					212
Foreign exchange and other contracts	445		79		46		320					320
Total derivative liabilities	$	2,332	$	890	$	770	$	672	(b)			$	672
December 31, 2018
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	29					$	29				$	29
Over-the-counter	1,472		$	450	$	117	905			$	25	880
Commodity contracts	311		76		210		25					25
Foreign exchange and other contracts	269		162		14		93					93
Total derivative assets	$	2,081	$	688	$	341	$	1,052	(a)	$	25	$	1,027
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	24					$	24				$	24
Over-the-counter	1,496		$	557	$	489	450			$	11	439
Commodity contracts	305		56		17		232					232
Foreign exchange and other contracts	465		75		33		357					357
Total derivative liabilities	$	2,290	$	688	$	539	$	1,063	(b)	$	11	$	1,052

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

(b)

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