Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 2019

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 77: Total Gross Derivatives (a)

	December 31, 2019						December 31, 2018
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	$	30,663					$	30,919	$	7
Cash flow hedges	23,642		$	6			17,337		1
Foreign exchange contracts:
Net investment hedges	1,102				$	6	1,012				$	10
Total derivatives designated for hedging	$	55,407	$	6	$	6	$	49,268	$	8	$	10
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	52,007	$	1			$	43,084			$	3
Futures (f)	3,487						10,658
Mortgage-backed commitments	7,738		60		$	44	5,771		$	47	39
Other	3,134		32		23		6,509		10		3
Total interest rate contracts	66,366		93		67		66,022		57		45
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	249,075		2,769		1,187		218,496		1,352		1,432
Futures (f)	703						914
Mortgage-backed commitments	3,721		2		6		2,246		7		10
Other	21,379		113		33		20,109		77		33
Total interest rate contracts	274,878		2,884		1,226		241,765		1,436		1,475
Commodity contracts:
Swaps	5,204		234		229		4,813		244		238
Other	4,203		72		72		1,418		67		67
Total commodity contracts	9,407		306		301		6,231		311		305
Foreign exchange contracts and other	27,120		204		162		23,253		194		192
Total foreign exchange contracts and other	311,405		3,394		1,689		271,249		1,941		1,972
Derivatives used for other risk management activities:
Foreign exchange contracts and other	10,201		9		257		7,908		75		263
Total derivatives not designated for hedging	$	387,972	$	3,496	$	2,013	$	345,179	$	2,073	$	2,280
Total gross derivatives	$	443,379	$	3,502	$	2,019	$	394,447	$	2,081	$	2,290
Less: Impact of legally enforceable master netting agreements			690		690				688		688
Less: Cash collateral received/paid			616		790				341		539
Total derivatives			$	2,196	$	539			$	1,052	$	1,063

(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 Gains (losses) Recognized on Fair Value and Cash Flow Hedges in Consolidated Income Statement

Further detail regarding gains (losses) related to our fair value and cash flow hedge derivatives is presented in the following table:

Table 78: 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
Year ended December 31, 2019
Total amounts on the Consolidated Income Statement	$	10,525	$	2,426		$	1,811		$	1,473
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	187		$	(808	)
Derivatives			$	(178	)	$	659
Amounts related to interest settlements on derivatives			$	13		$	79
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	9	$	9					$	19
Year ended December 31, 2018
Total amounts on the Consolidated Income Statement	$	9,580	$	2,261		$	1,632		$	1,205
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(53	)	$	151
Derivatives			$	60		$	(262	)
Amounts related to interest settlements on derivatives			$	3		$	80
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	41	$	11					$	8
Year ended December 31, 2017
Total amounts on the Consolidated Income Statement	$	8,238	$	1,998		$	1,083		$	1,077
Gains (losses) on fair value hedges recognized on (e):
Hedged items (c)			$	(50	)	$	268
Derivatives			$	48		$	(284	)
Amounts related to interest settlements on derivatives			$	(41	)	$	234
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	159	$	21					$	17

(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.

(e)

The difference between the gains (losses) recognized in income on derivatives and their related hedged items represents the ineffective portion of the change in value of our fair value hedged derivatives.

Schedule of Hedged Items - Fair Value Hedges

Further detail regarding gains (losses) on derivatives and related cash flows is presented in the following table:

Table 79: Hedged Items - Fair Value Hedges

	December 31, 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)	$	5,666	$	59	$	6,216	$	(103	)
Borrowed funds	$	28,616	$	548	$	27,121	$	(260	)

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

(b)

Carrying value shown represents amortized cost.

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

Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:

Table 80: Gains (Losses) on Derivatives Not Designated for Hedging

	Year ended December 31
In millions	2019			2018			2017
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	405		$	(56	)	$	75
Derivatives used for customer-related activities:
Interest rate contracts	125			99			95
Foreign exchange contracts and other (b)	114			104			146
Gains (losses) from customer-related activities (c)	239			203			241
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c)	(137		)	268			(525		)
Total gains (losses) from derivatives not designated as hedging instruments	$	507		$	415		$	(209	)

(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 81: Derivative Assets and Liabilities Offsetting

In millions	Gross Fair Value		Amounts Offset on the Consolidated Balance Sheet				Net Fair Value			Securities Collateral Held /Pledged Under Master Netting Agreements		Net Amounts
			Fair Value Offset Amount		Cash Collateral
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
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.