Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 2020

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 90: Total Gross Derivatives (a)

	December 31, 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	$	24,153					$	30,663
Cash flow hedges	22,875		$	14			23,642		$	6
Foreign exchange contracts:
Net investment hedges	1,075				$	22	1,102				$	6
Total derivatives designated for hedging	$	48,103	$	14	$	22	$	55,407	$	6	$	6
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	50,511					$	52,007	$	1
Futures (f)	2,841						3,487
Mortgage-backed commitments	11,288		$	147	$	77	7,738		60		$	44
Other	1,831		11		2		3,134		32		23
Total interest rate contracts	66,471		158		79		66,366		93		67
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	280,125		5,475		1,601		249,075		2,769		1,187
Futures (f)	1,235						703
Mortgage-backed commitments	4,178		11		14		3,721		2		6
Other	20,125		193		88		21,379		113		33
Total interest rate contracts	305,663		5,679		1,703		274,878		2,884		1,226
Commodity contracts:
Swaps	6,149		350		323		5,204		234		229
Other	2,770		61		61		4,203		72		72
Total commodity contracts	8,919		411		384		9,407		306		301
Foreign exchange contracts and other	26,620		267		243		27,120		204		162
Total derivatives for customer-related activities	341,202		6,357		2,330		311,405		3,394		1,689
Derivatives used for other risk management activities:
Foreign exchange contracts and other	10,931		4		325		10,201		9		257
Total derivatives not designated for hedging	$	418,604	$	6,519	$	2,734	$	387,972	$	3,496	$	2,013
Total gross derivatives	$	466,707	$	6,533	$	2,756	$	443,379	$	3,502	$	2,019
Less: Impact of legally enforceable master netting agreements			720		720				690		690
Less: Cash collateral received/paid			1,434		1,452				616		790
Total derivatives			$	4,379	$	584			$	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 are settled in cash daily and result in no derivative asset or derivative liability being 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 91: 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, 2020
Total amounts on the Consolidated Income Statement	$	8,927	$	2,041	$	718	$	1,364
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	208	$	(1,059)
Derivatives			$	(202)	$	959
Amounts related to interest settlements on derivatives			$	(9)	$	480
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	375	$	40			$	6
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

(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 Hedged Items - 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 92: Hedged Items - Fair Value Hedges

	December 31, 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)	$	2,785	$	30	$	5,666	$	59
Borrowed funds	$	25,797	$	1,611	$	28,616	$	548

(a)Includes $(0.1) billion and $(0.3) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at December 31, 2020 and 2019, 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 93: Gains (Losses) on Derivatives Not Designated for Hedging

	Year ended December 31
In millions	2020		2019		2018
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	792	$	405	$	(56)
Derivatives used for customer-related activities:
Interest rate contracts	210		125		99
Foreign exchange contracts and other	156		114		104
Gains (losses) from customer-related activities (b)	366		239		203
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)	(338)		(137)		268
Total gains (losses) from derivatives not designated as hedging instruments	$	820	$	507	$	415

(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.

Derivative Assets And Liabilities Offsetting

Table 94: 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, 2020
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	48					$	48				$	48
Over-the-counter	5,803		$	430	$	1,426	3,947			$	531	3,416
Commodity contracts	411		209		4		198					198
Foreign exchange and other contracts	271		81		4		186			1		185
Total derivative assets	$	6,533	$	720	$	1,434	$	4,379	(a)	$	532	$	3,847
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	42					$	42				$	42
Over-the-counter	1,740		$	462	$	1,179	99					99
Commodity contracts	384		182		103		99					99
Foreign exchange and other contracts	590		76		170		344					344
Total derivative liabilities	$	2,756	$	720	$	1,452	$	584	(b)			$	584
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.