Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table summarizes the amortized cost basis of hedged assets that are designated and qualify as fair value hedges and the cumulative amount of fair value hedging adjustments included in the carrying value that have been recorded on our consolidated balance sheets as of December 31, 2021:

	December 31, 2021
(Dollars in millions)	Amortized Cost Basis of the Hedged Assets		Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets (2)
AFS securities (1)	$	15,260	$	(125)

(1)These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At December 31, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $11.2 billion, the amounts of the designated hedged items was $6.7 billion and the cumulative basis adjustments associated with these hedging relationships was $83 million.

(2)The balance includes $6 million of hedging adjustments on discontinued hedging relationships at December 31, 2021.

Total Notional or Contractual Amounts, Fair Value, Collateral and Net Exposure of Derivative Financial Instruments

The total notional or contractual amounts and fair value of our derivative financial instruments at December 31, 2021 and December 31, 2020 were as follows:

	December 31, 2021						December 31, 2020
	Notional or Contractual Amount		Fair Value				Notional or Contractual Amount		Fair Value
(Dollars in millions)			Derivative Assets (1)		Derivative Liabilities (1)				Derivative Assets (1)		Derivative Liabilities (1)
Derivatives designated as hedging instruments:
Interest rate risks:
Interest rate swaps (2)	$	10,700	$	18	$	—	$	—	$	—	$	—
Interest rate swaps	—		—		—		—		—		—
Derivatives not designated as hedging instruments:
Currency exchange risks:
Foreign exchange forwards and swaps	701		16		—		68		—		—
Foreign exchange forwards and swaps	62		—		2		567		—		20
Other derivative instruments:
Equity warrant assets	322		277		—		253		203		—
Client foreign exchange forwards and swaps	8,245		146		—		8,026		215		—
Client foreign exchange forwards and swaps	7,764		—		126		7,491		—		188
Client foreign currency options	688		9		—		98		2		—
Client foreign currency options	688		—		9		98		—		2
Client interest rate derivatives	2,178		99		—		1,082		68		—
Client interest rate derivatives (2)	2,315		—		101		1,251		—		27
Total derivatives not designated as hedging instruments			547		238				488		237
Total derivatives			$	565	$	238			$	488	$	237

(1)Derivative assets and liabilities are included in "accrued interest receivable and other assets" and "other liabilities", respectively, on our consolidated balance sheets.

(2)The amount reported reflects reductions of approximately $112 million of derivative assets and $45 million of derivative liabilities at December 31, 2021 and 2020, respectively, reflecting variation margin treated as settlement of the related derivative fair values for legal and accounting purposes as required by central clearing houses.

Summary of Derivative Activity and Related Impact on Consolidated Statements of Income

A summary of our derivative activity and the related impact on our consolidated statements of income for 2021, 2020 and 2019 is as follows:

		Year ended December 31,
(Dollars in millions)	Statement of income location	2021		2020		2019
Derivatives designated as hedging instruments:
Interest rate risks:
Amounts reclassified from AOCI into income	Interest income - loans	$	63	$	50	$	(5)
Change in fair value of interest rate swaps hedging investment securities	Interest income - investment securities taxable	138		—		—
Change in fair value of hedged investment securities	Interest income - investment securities taxable	(139)		—		—
Net gains (losses) associated with interest rate risk derivatives		$	62	$	50	$	(5)
Derivatives not designated as hedging instruments:
Currency exchange risks:
(Losses) gains on revaluations of internal foreign currency instruments, net	Other noninterest income	$	(43)	$	39	$	1
Gains (losses) on internal foreign exchange forward contracts, net	Other noninterest income	43		(40)		(2)
Net losses associated with internal currency risk		$	—	$	(1)	$	(1)
Other derivative instruments:
Gains (losses) on revaluations of client foreign currency instruments, net	Other noninterest income	$	17	$	3	$	(15)
(Losses) gains on client foreign exchange forward contracts, net	Other noninterest income	(17)		(3)		16
Net gains associated with client currency risk		$	—	$	—	$	1
Net gains on equity warrant assets	Gains on equity warrant assets, net	$	560	$	237	$	138
Net gains (losses) on other derivatives	Other noninterest income	$	2	$	28	$	(1)

Offsetting Assets

The following table summarizes our assets subject to enforceable master netting arrangements as of December 31, 2021 and 2020:

(Dollars in millions)	Gross Amounts of Recognized Assets		Gross Amounts offset in the Statement of Financial Position		Net Amounts of Assets Presented in the Statement of Financial Position		Gross Amounts Not Offset in the Statement of Financial Position But Subject to Master Netting Arrangements				Net Amount
							Financial Instruments		Cash Collateral Received (1)
December 31, 2021:
Derivative Assets:
Interest rate swaps	$	18	$	—	$	18	$	—	$	(13)	$	5
Foreign exchange forwards and swaps	162		—		162		(77)		(32)		53
Foreign currency options	9		—		9		(1)		(7)		1
Client interest rate derivatives	99		—		99		(91)		(8)		—
Total derivative assets:	288		—		288		(169)		(60)		59
Reverse repurchase, securities borrowing, and similar arrangements	607		—		607		(607)		—		—
Total	$	895	$	—	$	895	$	(776)	$	(60)	$	59
December 31, 2020:
Derivative Assets:
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange forwards and swaps	215		—		215		(76)		(21)		118
Foreign currency options	2		—		2		(1)		—		1
Client interest rate derivatives	68		—		68		(68)		—		—
Total derivative assets:	285		—		285		(145)		(21)		119
Reverse repurchase, securities borrowing, and similar arrangements	227		—		227		(227)		—		—
Total	$	512	$	—	$	512	$	(372)	$	(21)	$	119

(1)Cash collateral received from our counterparties in relation to market value exposures of derivative contracts in our favor is recorded as a component of “short-term borrowings” on our consolidated balance sheets.

Offsetting Liabilities

The following table summarizes our liabilities subject to enforceable master netting arrangements as of December 31, 2021 and 2020:

(Dollars in millions)	Gross Amounts of Recognized Liabilities		Gross Amounts offset in the Statement of Financial Position		Net Amounts of Liabilities Presented in the Statement of Financial Position		Gross Amounts Not Offset in the Statement of Financial Position But Subject to Master Netting Arrangements				Net Amount
							Financial Instruments		Cash Collateral Pledged (1)
December 31, 2021:
Derivative Liabilities:
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange forwards and swaps	128		—		128		(55)		(4)		69
Foreign currency options	9		—		9		(2)		—		7
Client interest rate derivatives	101		—		101		(44)		(57)		—
Total derivative liabilities:	238		—		238		(101)		(61)		76
Repurchase, securities lending, and similar arrangements	61		—		61		—		—		61
Total	$	299	$	—	$	299	$	(101)	$	(61)	$	137
December 31, 2020:
Derivative Liabilities:
Interest rate swaps	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange forwards and swaps	208		—		208		(84)		(45)		79
Foreign currency options	2		—		2		(1)		—		1
Client interest rate derivatives	27		—		27		—		(26)		1
Total derivative liabilities:	237		—		237		(85)		(71)		81
Repurchase, securities lending, and similar arrangements	—		—		—		—		—		—
Total	$	237	$	—	$	237	$	(85)	$	(71)	$	81

(1)Cash collateral pledged to our counterparties in relation to market value exposures of derivative contracts in a liability position and repurchase agreements are recorded as a component of “cash and cash equivalents" on our consolidated balance sheets.