Financial Derivatives (Tables)

9 Months Ended

Sep. 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 77: Total Gross Derivatives (a)

	September 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	$	24,837					$	24,153
Cash flow hedges	42,018		$	12	$	38	22,875		$	14
Foreign exchange contracts:
Net investment hedges	1,148		1		3		1,075				$	22
Total derivatives designated for hedging	$	68,003	$	13	$	41	$	48,103	$	14	$	22
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	33,994					$	50,511
Futures (f)	3,666						2,841
Mortgage-backed commitments	13,702		$	98	$	54	11,288		$	147	$	77
Other	13,732		38		11		1,831		11		2
Total interest rate contracts	65,094		136		65		66,471		158		79
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	304,724		3,961		1,508		280,125		5,475		1,601
Futures (f)	1,006						1,235
Mortgage-backed commitments	4,692		18		16		4,178		11		14
Other	25,333		143		88		20,125		193		88
Total interest rate contracts	335,755		4,122		1,612		305,663		5,679		1,703
Commodity contracts:
Swaps	9,249		2,099		2,114		6,149		350		323
Other	3,236		422		422		2,770		61		61
Total commodity contracts	12,485		2,521		2,536		8,919		411		384
Foreign exchange contracts and other	27,995		192		182		26,620		267		243
Total derivatives for customer-related activities	376,235		6,835		4,330		341,202		6,357		2,330
Derivatives used for other risk management activities:
Foreign exchange contracts and other	12,782		51		345		10,931		4		325
Total derivatives not designated for hedging	$	454,111	$	7,022	$	4,740	$	418,604	$	6,519	$	2,734
Total gross derivatives	$	522,114	$	7,035	$	4,781	$	466,707	$	6,533	$	2,756
Less: Impact of legally enforceable master netting agreements			1,027		1,027				720		720
Less: Cash collateral received/paid			757		2,403				1,434		1,452
Total derivatives			$	5,251	$	1,351			$	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 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
For the three months ended September 30, 2021
Total amounts on the Consolidated Income Statement	$	2,437	$	460	$	90	$	449
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	2	$	155
Derivatives					$	(169)
Amounts related to interest settlements on derivatives			$	(1)	$	129
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	91	$	11			$	13
For the three months ended September 30, 2020
Total amounts on the Consolidated Income Statement	$	2,116	$	490	$	118	$	457
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(13)	$	141
Derivatives			$	14	$	(166)
Amounts related to interest settlements on derivatives			$	(3)	$	149
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	118	$	16
For the nine months ended September 30, 2021
Total amounts on the Consolidated Income Statement	$	6,593	$	1,350	$	275	$	1,400
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(3)	$	695
Derivatives			$	7	$	(740)
Amounts related to interest settlements on derivatives			$	(3)	$	394
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	282	$	49			$	27
For the nine months ended September 30, 2020
Total amounts on the Consolidated Income Statement	$	6,853	$	1,599	$	619	$	1,071
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	224	$	(1,300)
Derivatives			$	(219)	$	1,220
Amounts related to interest settlements on derivatives			$	(7)	$	341
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	262	$	19			$	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 79: Hedged Items - Fair Value Hedges

 

	September 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)	$	2,905	$	25	$	2,785	$	30
Borrowed funds	$	25,924	$	906	$	25,797	$	1,611

(a)Includes $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at both September 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 80: Gains (Losses) on Derivatives Not Designated for Hedging

	Three months ended September 30				Nine months ended September 30
In millions	2021		2020		2021		2020
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	6	$	20	$	(100)	$	799
Derivatives used for customer-related activities:
Interest rate contracts	(4)		59		93		99
Foreign exchange contracts and other	23		43		88		83
Gains (losses) from customer-related activities (b)	19		102		181		182
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)	(72)		(106)		(53)		(1)
Total gains (losses) from derivatives not designated as hedging instruments	$	(47)	$	16	$	28	$	980

(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 81: 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, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	51					$	51				$	51
Over-the-counter	4,219		$	556	$	723	2,940			$	287	2,653
Commodity contracts	2,521		343		28		2,150					2,150
Foreign exchange and other contracts	244		128		6		110					110
Total derivative assets	$	7,035	$	1,027	$	757	$	5,251	(a)	$	287	$	4,964
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	68					$	68				$	68
Over-the-counter	1,647		$	613	$	813	221					221
Commodity contracts	2,536		353		1,511		672					672
Foreign exchange and other contracts	530		61		79		390					390
Total derivative liabilities	$	4,781	$	1,027	$	2,403	$	1,351	(b)			$	1,351
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.