to minimize the impact of fluctuations in interest rates. Derivatives are used to stabilize forecasted interest income from variable-rate assets and to modify the coupon or the duration of fixed-rate financial assets or liabilities as we consider advisable. We assist clients with their risk management needs through the use of derivatives. For a more detailed discussion of the use of and accounting policies regarding derivative instruments, see Note 7 of our 2020 Form 10-K.

Fair Value Hedges of Liabilities – At June 30, 2021, we had one receive-fixed interest rate swap with a notional amount of $500 million designated in a qualifying fair value hedge relationship of fixed-rate debt. The receive-fixed interest rate swap effectively converts the interest on our fixed-rate debt to floating. During the second quarter of 2021, derivatives designated as fair value hedges of debt increased in value by $12 million which was offset by changes in the fair value of the hedged debt instruments as shown in the schedules below. During the second quarter of 2021, we amortized $3 million of cumulative unamortized debt basis adjustments related to previously terminated fair value hedges of debt. We had $5 million of unamortized debt basis adjustments from previously designated fair value hedges remaining.

Fair Value Hedges of Assets – At June 30, 2021, we had pay-fixed, receive-floating interest rate swaps with an aggregate notional amount of $383 million designated as fair value hedges of certain AFS securities. These swaps effectively convert the fixed interest income to a floating rate on the hedged portion of the securities. During the second quarter of 2021, derivatives designated as fair value hedges of fixed-rate AFS securities decreased in value by $25 million, which was offset by changes in value of the hedged securities, as shown in the schedules below. We had $7 million of unamortized basis adjustments to AFS securities from previously designated fair value hedges.

Cash Flow Hedges – At June 30, 2021, we had $4 billion notional amount of receive-fixed interest rate swaps designated as cash flow hedges of pools of floating-rate commercial loans. During the second quarter of 2021, our cash flow hedge portfolio decreased in value by $12 million, which was recorded in AOCI. The amounts deferred in AOCI are reclassified into earnings in the periods in which the interest payments occur (i.e., when the hedged forecasted transactions affect earnings).

Exposure to credit risk arises from the possibility of nonperformance by counterparties. No significant losses on derivative instruments have occurred as a result of counterparty nonperformance. For a more detailed discussion of collateral and credit risk related to our derivative contracts, see Note 7 of our 2020 Form 10-K.

Our derivative contracts require us to pledge collateral for derivatives that are in a net liability position at a given balance sheet date. Certain of these derivative contracts contain credit-risk-related contingent features that include the requirement to maintain a minimum debt credit rating. We may be required to pledge additional collateral if a credit-risk-related feature were triggered, such as a downgrade of our credit rating. However, in past situations, not all counterparties have demanded that additional collateral be pledged when provided for by the contractual terms. At June 30, 2021, the fair value of our derivative liabilities was $295 million, for which we were required to pledge cash collateral of $61 million in the normal course of business. If our credit rating were downgraded one notch by either Standard & Poor’s (“S&P”) or Moody’s at June 30, 2021, there would likely be $2 million of additional collateral required to be pledged. As a result of the Dodd-Frank Wall Street Reform and Consumer Protection Act (“Dodd-Frank Act”), all newly eligible derivatives entered into are cleared through a central clearinghouse. Derivatives that are centrally cleared do not have credit-risk-related features that require additional collateral if our credit rating were downgraded.

Selected information with respect to notional amounts and recorded gross fair values at June 30, 2021 and December 31, 2020, is summarized as follows:


	June 30, 2021						December 31, 2020
	Notional amount		Fair value				Notional amount		Fair value
(In millions)			Other assets		Other liabilities				Other assets		Other liabilities
Derivatives designated as hedging instruments:
Cash flow hedges of floating-rate assets:
Purchased interest rate floors	$	—	$	—	$	—	$	—	$	—	$	—
Receive-fixed interest rate swaps	3,950		—		—		3,150		—		—
Fair value hedges:
Debt hedges: Receive-fixed interest rate swaps	500		—		—		500		—		—
Asset hedges: Pay-fixed interest rate swaps	383		9		—		383		3		—
Total derivatives designated as hedging instruments	4,833		9		—		4,033		3		—
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives 1, 2	6,278		261		21		5,986		390		2
Offsetting interest rate derivatives 2	6,278		24		269		5,986		3		409
Other interest rate derivatives	1,325		8		1		1,649		20		3
Foreign exchange derivatives	359		4		4		223		4		4
Total derivatives not designated as hedging instruments	14,240		297		295		13,844		417		418
Total derivatives	$	19,073	$	306	$	295	$	17,877	$	420	$	418

1 Customer-facing interest rate derivatives include a net CVA of $5 million at June 30, 2021, and an $18 million net credit valuation adjustment reducing the fair value amount at December 31, 2020. These adjustments are required to reflect both our nonperformance risk and that of the respective counterparty.

2 The fair value amounts for these derivatives do not include the settlement amounts for those trades that are centrally cleared. Once the settlement amounts with the clearing houses are included the derivative fair values would be the following:


	June 30, 2021				December 31, 2020
(In millions)	Other assets		Other liabilities		Other assets		Other liabilities
Customer-facing interest rate derivatives	$	261	$	21	$	390	$	2
Offsetting interest rate derivatives	3		18		1		29


	Amount of derivative gain (loss) recognized/reclassified
	Three Months Ended June 30, 2021
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets:1
Purchased interest rate floors	$	—	$	—	$	2	$	—	$	—
Interest rate swaps	(4)		—		13		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		2		—
Basis amortization on terminated hedges 2, 3	—		—		—		3		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		(1)		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	(4)	$	—	$	15	$	4	$	—


	Amount of derivative gain (loss) recognized/reclassified
	Six Months Ended June 30, 2021
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	6	$	—	$	—
Interest rate swaps	(9)		—		25		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		4		—
Basis amortization on terminated hedges 2, 3	—		—		—		6		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		(1)		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	(9)	$	—	$	31	$	9	$	—


	Amount of derivative gain (loss) recognized/reclassified
	Three Months Ended June 30, 2020
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	3	$	—	$	—
Interest rate swaps	10		—		10		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		1		—
Basis amortization on terminated hedges 2, 3	—		—		—		6		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		—		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	10	$	—	$	13	$	7	$	—


	Amount of derivative gain (loss) recognized/reclassified
	Six Months Ended June 30, 2020
(In millions)	Effective portion of derivatives gain/(loss) deferred in OCI		Excluded components deferred in OCI (amortization approach)		Amount of gain/(loss) reclassified from OCI into income		Interest on fair value hedges		Hedge ineffectiveness/OCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	6	$	—	$	—
Interest rate swaps	102		—		11		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		—		3		—
Basis amortization on terminated hedges 2, 3	—		—		—		7		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		—		—		—
Basis amortization on terminated hedges 2, 3	—		—		—		—		—
Total derivatives designated as hedging instruments	$	102	$	—	$	17	$	10	$	—

3The cumulative unamortized basis adjustment from previously terminated or redesignated fair value hedges at June 30, 2021 is $5 million and $7 million of terminated fair value debt and asset hedges, respectively. The amortization of the cumulative unamortized basis adjustment from asset hedges is not shown in the schedules because it is not significant.

The amount of gains (losses) recognized from derivatives not designated as accounting hedges is as follows:


	Other Noninterest Income/(Expense)
(In millions)	Three Months Ended June 30, 2021		Six Months Ended June 30, 2021		Three Months Ended June 30, 2020		Six Months Ended June 30, 2020
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives	$	87	$	(95)	$	34	$	346
Offsetting interest rate derivatives	(89)		117		(39)		(352)
Other interest rate derivatives	(6)		(10)		2		11
Foreign exchange derivatives	6		11		5		12
Total derivatives not designated as hedging instruments	$	(2)	$	23	$	2	$	17

The following schedule presents derivatives used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the periods presented.


	Gain/(loss) recorded in income
	Three Months Ended June 30, 2021						Three Months Ended June 30, 2020
(In millions)	Derivatives 2		Hedged items		Total income statement impact		Derivatives 2		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	12	$	(12)	$	—	$	4	$	(4)	$	—
Assets: Pay-fixed interest rate swaps 1, 2	(25)		25		—		—		—		—


	Gain/(loss) recorded in income
	Six Months Ended June 30, 2021						Six Months Ended June 30, 2020
(In millions)	Derivatives 2		Hedged items		Total income statement impact		Derivatives 2		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	(23)	$	23	$	—	$	75	$	(75)	$	—
Assets: Pay-fixed interest rate swaps 1, 2	23		(23)		—		—		—		—

The following schedule provides selected information regarding basis adjustments for hedged items.


	Par value of hedged assets/(liabilities)				Carrying amount of the hedged assets/(liabilities)1				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged item
(In millions)	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Long-term fixed-rate debt	$	(500)	$	(500)	$	(514)	$	(537)	$	(14)	$	(37)
Fixed-rate AFS securities	383		383		339		362		(44)		(21)