Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the gross notional amounts and estimated fair value of derivative instruments employed by the Company. Truist held no cash flow hedges as of June 30, 2020 and December 31, 2019.


	June 30, 2020												December 31, 2019
	Notional Amount		Fair Value								Notional Amount		Fair Value
(Dollars in millions)					Assets			Liabilities					Assets		Liabilities






Fair value hedges:
Interest rate contracts:
Swaps hedging long-term debt	$	23,701	$	607		$	—		$	23,701	$	113	$	(25)
Options hedging long-term debt	3,407		—			(5)			3,407		—		(2)
Swaps hedging commercial loans	43		—			—			44		—		—



Total	27,151		607			(5)			27,152		113		(27)
Not designated as hedges:
Client-related and other risk management:
Interest rate contracts:
Swaps	150,930		4,179			(1,002)			144,473		1,817		(673)

Options	25,159		68			(22)			25,938		28		(19)
Forward commitments	3,952		13			(12)			7,907		6		(7)
Other	2,782		—			—			1,807		—		—
Equity contracts	40,737		1,669			(2,048)			38,426		1,988		(2,307)
Credit contracts:
Loans and leases	744		—			(7)			894		—		(34)
Risk participation agreements	7,978		—			(11)			6,696		—		(2)
Total return swaps	1,543		95			(17)			2,531		27		(11)

Foreign exchange contracts	12,247		149			(162)			12,986		144		(164)
Commodity	2,821		206			(202)			2,659		67		(65)

Total	248,893		6,379			(3,483)			244,317		4,077		(3,282)
Mortgage banking:
Interest rate contracts:
Swaps	422		—			—			535		—		—
Interest rate lock commitments	9,682		214			—			4,427		34		(2)
When issued securities, forward rate agreements and forward commitments	13,287		4			(86)			11,997		10		(18)
Other	435		—			—			603		2		—
Total	23,826		218			(86)			17,562		46		(20)
MSRs:
Interest rate contracts:
Swaps	19,549		—			—			19,196		—		—

Options	262		6			—			1,519		22		(2)
When issued securities, forward rate agreements and forward commitments	1,441		13			—			5,560		2		(5)
Other	671		—			—			567		—		—
Total	21,923		19			—			26,842		24		(7)
Total derivatives not designated as hedges	294,642		6,616			(3,569)			288,721		4,147		(3,309)
Total derivatives	$	321,793	7,223			(3,574)			$	315,873	4,260		(3,336)
Gross amounts in the Consolidated Balance Sheets:
Amounts subject to master netting arrangements			(1,819)			1,819					(1,708)		1,708
Cash collateral (received) posted for amounts subject to master netting arrangements			(1,190)			1,307					(499)		1,262

Net amount			$	4,214		$	(448)				$	2,053	$	(366)

Netting of Financial Instruments - Derivatives

The following table presents the offsetting of derivative instruments including financial instrument collateral related to legally enforceable master netting agreements and amounts held or pledged as collateral. U.S. GAAP does not permit netting of non-cash collateral balances in the consolidated balance sheet:


June 30, 2020 (Dollars in millions)	Gross Amount		Amount Offset		Net Amount Presented in the Consolidated Balance Sheets		Held/Pledged Financial Instruments		Net Amount
Derivative assets:
Derivatives subject to master netting arrangement or similar arrangement	$	5,912	$	(2,485)	$	3,427	$	(5)	$	3,422
Derivatives not subject to master netting arrangement or similar arrangement	657		—		657		(1)		656
Exchange traded derivatives	654		(524)		130		—		130
Total derivative assets	$	7,223	$	(3,009)	$	4,214	$	(6)	$	4,208
Derivative liabilities:
Derivatives subject to master netting arrangement or similar arrangement	$	(2,913)	$	2,602	$	(311)	$	1	$	(310)
Derivatives not subject to master netting arrangement or similar arrangement	(137)		—		(137)		19		(118)
Exchange traded derivatives	(524)		524		—		—		—
Total derivative liabilities	$	(3,574)	$	3,126	$	(448)	$	20	$	(428)

December 31, 2019 (Dollars in millions)	Gross Amount		Amount Offset		Net Amount Presented in the Consolidated Balance Sheets		Held/Pledged Financial Instruments		Net Amount
Derivative assets:
Derivatives subject to master netting arrangement or similar arrangement	$	3,516	$	(2,003)	$	1,513	$	(17)	$	1,496
Derivatives not subject to master netting arrangement or similar arrangement	138		—		138		(1)		137
Exchange traded derivatives	606		(204)		402		—		402
Total derivative assets	$	4,260	$	(2,207)	$	2,053	$	(18)	$	2,035
Derivative liabilities:
Derivatives subject to master netting arrangement or similar arrangement	$	(2,939)	$	2,761	$	(178)	$	22	$	(156)
Derivatives not subject to master netting arrangement or similar arrangement	(193)		5		(188)		11		(177)
Exchange traded derivatives	(204)		204		—		—		—
Total derivative liabilities	$	(3,336)	$	2,970	$	(366)	$	33	$	(333)

Schedule of Fair Value Hedging Basis Adjustments

The following table presents the carrying value of hedged items in fair value hedging relationships:


	June 30, 2020										December 31, 2019
			Hedge Basis Adjustment								Hedge Basis Adjustment
(Dollars in millions)	Hedged Asset / Liability Basis		Items Currently Designated		Items No Longer Designated		Hedged Asset / Liability Basis		Items Currently Designated		Items No Longer Designated



AFS securities	$	444	$	—	$	55	$	473	$	—	$	65
Loans and leases	494		6		13		528		3		15

Long-term debt	28,563		1,107		22		28,557		174		23

Impact of Derivatives on the Consolidated Statements of Income and Comprehensive Income

The following table summarizes amounts related to cash flow hedges, which consist of interest rate contracts.





	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in millions)	2020		2019		2020		2019

Pre-tax gain (loss) recognized in OCI:

Deposits	$	—	$	(33)	$	—	$	(43)
Short-term borrowings	—		12		—		2
Long-term debt	—		(58)		—		(78)
Total	$	—	$	(79)	$	—	$	(119)
Pre-tax gain (loss) reclassified from AOCI into interest expense:

Deposits	$	(4)	(1)		$	(6)	$	1
Short-term borrowings	(4)		—		(8)		1
Long-term debt	(7)		(1)		(15)		1
Total	$	(15)	$	(2)	$	(29)	$	3

The following table summarizes the impact on net interest income related to fair value hedges:





	Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in millions)	2020		2019		2020		2019

AFS securities:
Amounts related to interest settlements	$	—	$	—	$	—	$	—
Recognized on derivatives	—		(10)		—		(17)
Recognized on hedged items	(2)		8		(4)		13
Net income (expense) recognized	(2)		(2)		(4)		(4)
Loans and leases:
Amounts related to interest settlements	—		—		—		—
Recognized on derivatives	—		(14)		(3)		(22)
Recognized on hedged items	(1)		14		1		22
Net income (expense) recognized	(1)		—		(2)		—





Long-term debt:
Amounts related to interest settlements	88		(16)		104		(38)
Recognized on derivatives	8		192		930		308
Recognized on hedged items	(7)		(188)		(929)		(296)
Net income (expense) recognized	89		(12)		105		(26)
Net income (expense) recognized, total	$	86	$	(14)	$	99	$	(30)

The following table presents information about the Company's cash flow and fair value hedges:


(Dollars in millions)	Jun 30, 2020		Dec 31, 2019

Cash flow hedges:
Net unrecognized after-tax gain (loss) on active hedges recorded in AOCI	$	—	$	—
Net unrecognized after-tax gain (loss) on terminated hedges recorded in AOCI (to be recognized in earnings through 2022)	(79)		(101)
Estimated portion of net after-tax gain (loss) on active and terminated hedges to be reclassified from AOCI into earnings during the next 12 months	(34)		(37)

Fair value hedges:
Unrecognized pre-tax net gain (loss) on terminated hedges (to be recognized as interest primarily through 2029)	$	(46)	$	(57)
Portion of pre-tax net gain (loss) on terminated hedges to be recognized as a change in interest during the next 12 months	(5)		(6)

The following table presents pre-tax gain (loss) recognized in income for derivative instruments not designated as hedges:





		Three Months Ended June 30,						Six Months Ended June 30,
(Dollars in millions)	Income Statement Location	2020		2019		2020		2019

Client-related and other risk management:
Interest rate contracts	Investment banking and trading income and other income	$	37	$	16	$	(27)	$	26
Foreign exchange contracts	Investment banking and trading income	(26)		(1)		81		1
Equity contracts	Investment banking and trading income and other income	3		—		(7)		—
Credit contracts	Investment banking and trading income and other income	(153)		—		306		—
Commodity contracts	Investment banking and trading income	1		—		4		—
Mortgage banking:
Interest rate contracts	Residential mortgage income	(26)		(19)		(148)		(34)
Interest rate contracts	Commercial real estate related income	(2)		—		—		—
MSRs:
Interest rate contracts	Residential mortgage income	42		83		537		137
Interest rate contracts	Commercial real estate related income	2		—		22		—
Total		$	(122)	$	79	$	768	$	130

Derivatives Credit Risk - Risk Participation Agreements

The following table presents additional information related to interest rate derivative risk participation agreements and total return swaps:


(Dollars in millions)	Jun 30, 2020		Dec 31, 2019

Risk participation agreements:


Maximum potential amount of exposure	$	471	$	291
Total return swaps:

Cash collateral held	562		653

Schedule of Derivative Instruments Summary of Collateral Positions with Counterparties

The following table summarizes collateral positions with counterparties:


(Dollars in millions)	Jun 30, 2020		Dec 31, 2019

Dealer and other counterparties:
Cash and other collateral received from counterparties	$	1,196	$	514
Derivatives in a net gain position secured by collateral received	1,313		615
Unsecured positions in a net gain with counterparties after collateral postings	117		101
Cash collateral posted to dealer counterparties	1,306		1,255
Derivatives in a net loss position secured by collateral	1,371		1,300
Additional collateral that would have been posted had the Company's credit ratings dropped below investment grade	6		12
Central counterparties clearing:
Cash collateral, including initial margin, posted to central clearing parties	71		30
Derivatives in a net loss position	24		31

Securities pledged to central counterparties clearing	656		513