Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Table 92: Total Gross Derivatives (a)


	December 31, 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	$	23,345					$	24,153
Cash flow hedges	48,961		$	15	$	14	22,875		$	14
Foreign exchange contracts:
Net investment hedges	1,113				24		1,075				$	22
Total derivatives designated for hedging	$	73,419	$	15	$	38	$	48,103	$	14	$	22
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	35,623					$	50,511
Futures (f)	4,592						2,841
Mortgage-backed commitments	9,917		$	55	$	31	11,288		$	147	$	77
Other	12,225		46		12		1,831		11		2
Total interest rate contracts	62,357		101		43		66,471		158		79
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	297,711		3,335		1,520		280,125		5,475		1,601
Futures (f)	907						1,235
Mortgage-backed commitments	4,147		5		6		4,178		11		14
Other	25,718		125		72		20,125		193		88
Total interest rate contracts	328,483		3,465		1,598		305,663		5,679		1,703
Commodity contracts:
Swaps	8,840		1,150		1,161		6,149		350		323
Other	3,128		213		212		2,770		61		61
Total commodity contracts	11,968		1,363		1,373		8,919		411		384
Foreign exchange contracts and other	27,563		199		179		26,620		267		243
Total derivatives for customer-related activities	368,014		5,027		3,150		341,202		6,357		2,330
Derivatives used for other risk management activities:
Foreign exchange contracts and other	11,512		9		339		10,931		4		325
Total derivatives not designated for hedging	$	441,883	$	5,137	$	3,532	$	418,604	$	6,519	$	2,734
Total gross derivatives	$	515,302	$	5,152	$	3,570	$	466,707	$	6,533	$	2,756
Less: Impact of legally enforceable master netting agreements			928		928				720		720
Less: Cash collateral received/paid			604		1,657				1,434		1,452
Total derivatives			$	3,620	$	985			$	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 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 93: 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, 2021
Total amounts on the Consolidated Income Statement	$	9,007	$	1,834	$	361	$	1,840
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(5)	$	937
Derivatives			$	9	$	(993)
Amounts related to interest settlements on derivatives			$	(4)	$	521
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	376	$	57			$	61
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

(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 94: Hedged Items - Fair Value Hedges


	December 31, 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)	$	2,655	$	23	$	2,785	$	30
Borrowed funds	$	24,259	$	663	$	25,797	$	1,611

(a)Includes $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at both December 31, 2021 and 2020.

(b)Carrying value shown represents amortized cost.

Risk Participation Agreements

Table 95: Risk Participation Agreements


	Year ended December 31
In billions	2021		2020
Risk participation agreements:
Sold - notional amount	$	8.0	$	7.0
Maximum potential amount of exposure (a)	$	0.3	$	0.5

(a)Based on the fair value of the underlying swaps assuming all underlying third party customers referenced in the swap contracts defaulted.

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 96: Gains (Losses) on Derivatives Not Designated for Hedging


	Year ended December 31
In millions	2021		2020		2019
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	(78)	$	792	$	405
Derivatives used for customer-related activities:
Interest rate contracts	149		210		125
Foreign exchange contracts and other	135		156		114
Gains (losses) from customer-related activities (b)	284		366		239
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)	(30)		(338)		(137)
Total gains (losses) from derivatives not designated as hedging instruments	$	176	$	820	$	507

(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 97: 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, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	20					$	20				$	20

Over-the-counter	3,561		$	533	$	593	2,435			$	300	2,135
Commodity contracts	1,363		299		1		1,063					1,063
Foreign exchange and other contracts	208		96		10		102					102
Total derivative assets	$	5,152	$	928	$	604	$	3,620	(a)	$	300	$	3,320
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	12					$	12				$	12

Over-the-counter	1,643		$	569	$	776	298					298
Commodity contracts	1,373		291		784		298					298
Foreign exchange and other contracts	542		68		97		377					377
Total derivative liabilities	$	3,570	$	928	$	1,657	$	985	(b)			$	985
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.

Credit-Risk Contingent Features

Table 98: Credit-Risk Contingent Features


	Year ended December 31
In billions	2021		2020
Net derivative liabilities with credit-risk contingent features	$	2.4	$	1.6
Collateral posted	1.8		1.4
Maximum additional amount of collateral exposure	$	0.6	$	0.2

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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