Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

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

Table 78: Total Gross Derivatives (a)

	June 30, 2021						December 31, 2020
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	$	25,293					$	24,153
Cash flow hedges	35,405		$	20	$	13	22,875		$	14
Foreign exchange contracts:
Net investment hedges	1,100				33		1,075				$	22
Total derivatives designated for hedging	$	61,798	$	20	$	46	$	48,103	$	14	$	22
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	32,917			$	1	$	50,511
Futures (f)	3,930						2,841
Mortgage-backed commitments	11,609		$	104	58		11,288		$	147	$	77
Other	12,884		47		24		1,831		11		2
Total interest rate contracts	61,340		151		83		66,471		158		79
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	309,609		4,395		1,570		280,125		5,475		1,601
Futures (f)	981						1,235
Mortgage-backed commitments	4,236		10		8		4,178		11		14
Other	22,169		148		103		20,125		193		88
Total interest rate contracts	336,995		4,553		1,681		305,663		5,679		1,703
Commodity contracts:
Swaps	8,535		1,207		1,223		6,149		350		323
Other	3,435		262		262		2,770		61		61
Total commodity contracts	11,970		1,469		1,485		8,919		411		384
Foreign exchange contracts and other	27,368		198		194		26,620		267		243
Total derivatives for customer-related activities	376,333		6,220		3,360		341,202		6,357		2,330
Derivatives used for other risk management activities:
Foreign exchange contracts and other	13,639		56		230		10,931		4		325
Total derivatives not designated for hedging	$	451,312	$	6,427	$	3,673	$	418,604	$	6,519	$	2,734
Total gross derivatives	$	513,110	$	6,447	$	3,719	$	466,707	$	6,533	$	2,756
Less: Impact of legally enforceable master netting agreements			919		919				720		720
Less: Cash collateral received/paid			859		2,078				1,434		1,452
Total derivatives			$	4,669	$	722			$	4,379	$	584

(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 Fair Value and Cash Flow Hedges

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

Table 79: 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, 2021
Total amounts on the Consolidated Income Statement	$	2,160	$	469	$	90	$	468
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	3	$	(106)
Derivatives			$	(2)	$	93
Amounts related to interest settlements on derivatives			$	(1)	$	131
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	91	$	16			$	1
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 six months ended June 30, 2021
Total amounts on the Consolidated Income Statement	$	4,156	$	890	$	185	$	951
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(5)	$	540
Derivatives			$	7	$	(571)
Amounts related to interest settlements on derivatives			$	(2)	$	265
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	191	$	38			$	14
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

(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 80: Hedged Items - Fair Value Hedges

 

	June 30, 2021				December 31, 2020
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)	$	2,901	$	23	$	2,785	$	30
Borrowed funds	$	25,512	$	1,065	$	25,797	$	1,611

(a)Includes $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at both June 30, 2021 and December 31, 2020, 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 81: Gains (Losses) on Derivatives Not Designated for Hedging

	Three months ended June 30				Six months ended June 30
In millions	2021		2020		2021		2020
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	216	$	125	$	(106)	$	779
Derivatives used for customer-related activities:
Interest rate contracts	15		38		97		40
Foreign exchange contracts and other	43		29		65		40
Gains (losses) from customer-related activities (b)	58		67		162		80
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)	(29)		(102)		19		105
Total gains (losses) from derivatives not designated as hedging instruments	$	245	$	90	$	75	$	964

(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 82: 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, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	27					$	27				$	27
Over-the-counter	4,697		$	556	$	830	3,311			$	388	2,923
Commodity contracts	1,469		250		15		1,204					1,204
Foreign exchange and other contracts	254		113		14		127			1		126
Total derivative assets	$	6,447	$	919	$	859	$	4,669	(a)	$	389	$	4,280
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	21					$	21				$	21
Over-the-counter	1,756		$	597	$	949	210					210
Commodity contracts	1,485		253		997		235					235
Foreign exchange and other contracts	457		69		132		256					256
Total derivative liabilities	$	3,719	$	919	$	2,078	$	722	(b)			$	722
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

(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.