Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

Table 76: Total Gross Derivatives (a)

	June 30, 2020						December 31, 2019
In millions	Notional / Contract Amount		Asset Fair Value (b)		Liability Fair Value (c)		Notional / Contract Amount		Asset Fair Value (b)		Liability Fair Value (c)
Derivatives used for hedging
Interest rate contracts (d):
Fair value hedges	$	27,874					$	30,663
Cash flow hedges	16,342		$	7			23,642		$	6
Foreign exchange contracts:
Net investment hedges	1,194		75				1,102				$	6
Total derivatives designated for hedging	$	45,410	$	82			$	55,407	$	6	$	6
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	55,678					$	52,007	$	1
Futures (f)	2,359						3,487
Mortgage-backed commitments	16,569		$	175	$	105	7,738		60		$	44
Other	6,083		35		39		3,134		32		23
Total interest rate contracts	80,689		210		144		66,366		93		67
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	278,337		6,584		1,854		249,075		2,769		1,187
Futures (f)	1,375						703
Mortgage-backed commitments	3,745		19		16		3,721		2		6
Other	23,328		292		104		21,379		113		33
Total interest rate contracts	306,785		6,895		1,974		274,878		2,884		1,226
Commodity contracts:
Swaps	5,313		531		509		5,204		234		229
Other	3,651		126		126		4,203		72		72
Total commodity contracts	8,964		657		635		9,407		306		301
Foreign exchange contracts and other	24,774		282		274		27,120		204		162
Total derivatives for customer-related activities	340,523		7,834		2,883		311,405		3,394		1,689
Derivatives used for other risk management activities:
Foreign exchange contracts and other	9,653		53		202		10,201		9		257
Total derivatives not designated for hedging	$	430,865	$	8,097	$	3,229	$	387,972	$	3,496	$	2,013
Total gross derivatives	$	476,275	$	8,179	$	3,229	$	443,379	$	3,502	$	2,019
Less: Impact of legally enforceable master netting agreements			1,196		1,196				690		690
Less: Cash collateral received/paid			1,825		1,229				616		790
Total derivatives			$	5,158	$	804			$	2,196	$	539

(a) Centrally cleared derivatives are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.

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

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

(d) Represents primarily swaps.

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

(f)

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 77: 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 June 30, 2020
Total amounts on the Consolidated Income Statement	$	2,257		$	527		$	187		$	271
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	3		$	(80	)
Derivatives				$	(2	)	$	47
Amounts related to interest settlements on derivatives				$	(2	)	$	133
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	102		$	1
For the three months ended June 30, 2019
Total amounts on the Consolidated Income Statement	$	2,672		$	629		$	484		$	367
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	116		$	(523	)
Derivatives				$	(113	)	$	485
Amounts related to interest settlements on derivatives				$	5		$	9
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	(12	)	$	1					$	3
For the six months ended June 30, 2020
Total amounts on the Consolidated Income Statement	$	4,737		$	1,109		$	501		$	614
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	237		$	(1,441	)
Derivatives				$	(233	)	$	1,386
Amounts related to interest settlements on derivatives				$	(4	)	$	192
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	144		$	3					$	1
For the six months ended June 30, 2019
Total amounts on the Consolidated Income Statement	$	5,274		$	1,249		$	965		$	675
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	174		$	(797	)
Derivatives				$	(168	)	$	713
Amounts related to interest settlements on derivatives				$	10		$	20
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	(20	)	$	2					$	18

(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

Table 78: Hedged Items - Fair Value Hedges

 

	June 30, 2020				December 31, 2019
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)	$	3,476	$	124	$	5,666	$	59
Borrowed funds	$	29,156	$	1,991	$	28,616	$	548

(a) Includes $(.2) billion and $(.3) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships for June 30, 2020 and December 31, 2019, respectively.

(b)

Carrying value shown represents amortized cost.

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

Table 79: Gains (Losses) on Derivatives Not Designated for Hedging

	Three months ended June 30						Six months ended June 30
In millions	2020			2019			2020		2019
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	125		$	218		$	779	$	346
Derivatives used for customer-related activities:
Interest rate contracts	38			41			40		39
Foreign exchange contracts and other (b)	29			30			40		53
Gains (losses) from customer-related activities (c)	67			71			80		92
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c)	(102		)	(10		)	105		(64		)
Total gains (losses) from derivatives not designated as hedging instruments	$	90		$	279		$	964	$	374

(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 80: 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
June 30, 2020
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	66					$	66				$	66
Over-the-counter	7,046		$	515	$	1,757	4,774			$	674	4,100
Commodity contracts	657		443		61		153					153
Foreign exchange and other contracts	410		238		7		165			1		164
Total derivative assets	$	8,179	$	1,196	$	1,825	$	5,158	(a)	$	675	$	4,483
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	48					$	48				$	48
Over-the-counter	2,070		$	815	$	1,111	144					144
Commodity contracts	635		267		25		343					343
Foreign exchange and other contracts	476		114		93		269					269
Total derivative liabilities	$	3,229	$	1,196	$	1,229	$	804	(b)			$	804
December 31, 2019
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	14					$	14				$	14
Over-the-counter	2,969		$	365	$	593	2,011			$	215	1,796
Commodity contracts	306		198		18		90					90
Foreign exchange and other contracts	213		127		5		81					81
Total derivative assets	$	3,502	$	690	$	616	$	2,196	(a)	$	215	$	1,981
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	14					$	14				$	14
Over-the-counter	1,279		$	475	$	692	112					112
Commodity contracts	301		152		17		132					132
Foreign exchange and other contracts	425		63		81		281					281
Total derivative liabilities	$	2,019	$	690	$	790	$	539	(b)			$	539

(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.