Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments, Offsetting Assets

The following table presents notional amount and fair value of derivative financial instruments on a gross basis.

Notional Amount and Fair Value of Derivative Financial Instruments

	June 30, 2022
dollars in millions	Notional Amount		Asset Fair Value		Liability Fair Value
Derivatives not designated as hedging instruments (Non-qualifying hedges)
Interest rate contracts(1)(3)	$	19,174	$	76	$	(305)
Foreign exchange contracts	176		4		(3)
Other contracts(2)	796		—		—
Total derivatives not designated as hedging instruments	20,146		80		(308)
Gross derivatives fair values presented in the Consolidated Balance Sheets	$	20,146	80		(308)
Less: Gross amounts offset in the Consolidated Balance Sheets			—		—
Net amount presented in the Consolidated Balance Sheet			80		(308)
Less: Amounts subject to master netting agreements(4)			(8)		8
Less: Cash collateral pledged(received) subject to master netting agreements(5)			(61)		—
Total net derivative fair value			$	11	$	(300)

(1)Fair value balances include accrued interest.

(2)Other derivative contracts not designated as hedging instruments include risk participation agreements.

(3)BancShares accounts for swap contracts cleared by the Chicago Mercantile Exchange and LCH Clearnet as “settled-to-market”. As a result, variation margin payments are characterized as settlement of the derivative exposure and variation margin balances are netted against the corresponding derivative mark-to-market balances. Gross amounts of recognized assets and liabilities were lowered by $286 million and $21 million, respectively at June 30, 2022.

(4)BancShares’ derivative transactions are governed by International Swaps and Derivatives Association (“ISDA”) agreements that allow for net settlements of certain payments as well as offsetting of all contracts with a given counterparty in the event of bankruptcy or default of one of the two parties to the transaction. BancShares believes its ISDA agreements meet the definition of a master netting arrangement or similar agreement for purposes of the above disclosure.

(5)In conjunction with the ISDA agreements described above, BancShares has entered into collateral arrangements with its counterparties, which provide for the exchange of cash depending on change in the market valuation of the derivative contracts outstanding. Such collateral is available to be applied in settlement of the net balances upon an event of default of one of the counterparties. Collateral pledged or received is included in other assets or other liabilities, respectively.

Schedule of Derivative Instruments, Offsetting Liabilities

The following table presents notional amount and fair value of derivative financial instruments on a gross basis.

Notional Amount and Fair Value of Derivative Financial Instruments

	June 30, 2022
dollars in millions	Notional Amount		Asset Fair Value		Liability Fair Value
Derivatives not designated as hedging instruments (Non-qualifying hedges)
Interest rate contracts(1)(3)	$	19,174	$	76	$	(305)
Foreign exchange contracts	176		4		(3)
Other contracts(2)	796		—		—
Total derivatives not designated as hedging instruments	20,146		80		(308)
Gross derivatives fair values presented in the Consolidated Balance Sheets	$	20,146	80		(308)
Less: Gross amounts offset in the Consolidated Balance Sheets			—		—
Net amount presented in the Consolidated Balance Sheet			80		(308)
Less: Amounts subject to master netting agreements(4)			(8)		8
Less: Cash collateral pledged(received) subject to master netting agreements(5)			(61)		—
Total net derivative fair value			$	11	$	(300)

(1)Fair value balances include accrued interest.

(2)Other derivative contracts not designated as hedging instruments include risk participation agreements.

(3)BancShares accounts for swap contracts cleared by the Chicago Mercantile Exchange and LCH Clearnet as “settled-to-market”. As a result, variation margin payments are characterized as settlement of the derivative exposure and variation margin balances are netted against the corresponding derivative mark-to-market balances. Gross amounts of recognized assets and liabilities were lowered by $286 million and $21 million, respectively at June 30, 2022.

(4)BancShares’ derivative transactions are governed by International Swaps and Derivatives Association (“ISDA”) agreements that allow for net settlements of certain payments as well as offsetting of all contracts with a given counterparty in the event of bankruptcy or default of one of the two parties to the transaction. BancShares believes its ISDA agreements meet the definition of a master netting arrangement or similar agreement for purposes of the above disclosure.

(5)In conjunction with the ISDA agreements described above, BancShares has entered into collateral arrangements with its counterparties, which provide for the exchange of cash depending on change in the market valuation of the derivative contracts outstanding. Such collateral is available to be applied in settlement of the net balances upon an event of default of one of the counterparties. Collateral pledged or received is included in other assets or other liabilities, respectively.

Schedule of Non-Qualifying Hedges

The following table presents gains of non-qualifying hedges recognized on the Condensed Consolidated Statements of Income:

Gains on Non-Qualifying Hedges

		Three Months Ended June 30,				Six Months Ended June 30,
dollars in millions	Amounts Recognized	2022		2021		2022		2021
Interest rate contracts	Other noninterest income	$	2	$	—	$	6	$	—
Foreign currency forward contracts	Other noninterest income	6		—		6		—
Total non-qualifying hedges - income statement impact		$	8	$	—	$	12	$	—