Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts of Outstanding Derivative Positions

The following tables reflect the notional amounts and fair values for all derivative instruments included in the Condensed Consolidated Balance Sheets as of:

			Fair Value
June 30, 2020 ($ in millions)	Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705	616		—
Total fair value hedges			616		—
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		281		—
Interest rate swaps related to C&I loans	8,000		—		4
Total cash flow hedges			281		4
Total derivatives designated as qualifying hedging instruments			897		4
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	6,770		289		3
Forward contracts related to residential mortgage loans held for sale	4,085		4		19
Swap associated with the sale of Visa, Inc. Class B Shares	3,169		—		183
Foreign exchange contracts	315		—		3
Interest rate contracts for collateral management	12,000		1		—
Commercial loan trading	2		—		—
Total free-standing derivatives – risk management and other business purposes			294		208
Free-standing derivatives – customer accommodation:
Interest rate contracts(a)	79,392		1,514		312
Interest rate lock commitments	2,745		91		—
Commodity contracts	7,745		582		602
TBA securities	102		—		—
Foreign exchange contracts	13,253		212		168
Total free-standing derivatives – customer accommodation			2,399		1,082
Total derivatives not designated as qualifying hedging instruments			2,693		1,290
Total			$	3,590	1,294

(a)Derivative assets and liabilities are presented net of variation margin of $60 and $1,318, respectively.

			Fair Value
December 31, 2019 ($ in millions)	Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705	393		—
Total fair value hedges			393		—
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		115		—
Interest rate swaps related to C&I loans	8,000		—		2
Total cash flow hedges			115		2
Total derivatives designated as qualifying hedging instruments			508		2
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	6,420		131		2
Forward contracts related to residential mortgage loans held for sale	2,901		1		5
Swap associated with the sale of Visa, Inc. Class B Shares	3,082		—		163
Foreign exchange contracts	195		—		5
Total free-standing derivatives – risk management and other business purposes			132		175
Free-standing derivatives – customer accommodation:
Interest rate contracts(a)	73,327		579		148
Interest rate lock commitments	907		18		—
Commodity contracts	8,525		271		270
TBA securities	50		—		—
Foreign exchange contracts	14,144		165		146
Total free-standing derivatives – customer accommodation			1,033		564
Total derivatives not designated as qualifying hedging instruments			1,165		739
Total			$	1,673	741

(a)Derivative assets and liabilities are presented net of variation margin of $40 and $493, respectively.

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships

The following table reflects the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Condensed Consolidated Statements of Income:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2020		2019	2020	2019
Change in fair value of interest rate swaps hedging long- term debt	Interest on long-term debt	$	(1)	89	226	143
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt	2		(87)	(225)	(140)

The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:

($ in millions)	Condensed Consolidated Balance Sheets Caption	June 30, 2020
Carrying amount of the hedged items	Long-term debt	$	3,319
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	Long-term debt	626

Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges

The following table presents the pre-tax net gains (losses) recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:

	For the three months ended June 30,			For the six months ended June 30,
($ in millions)	2020		2019	2020	2019
Amount of pre-tax net gains recognized in OCI	$	83	240	624	351
Amount of pre-tax net gains (losses) reclassified from OCI into net income	62		(1)	94	(3)

Schedule of Price Risk Derivatives

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2020		2019	2020	2019
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	$	47	(5)	(11)	(5)
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue	11		117	361	177
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income	(6)		(3)	8	(5)
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income	(29)		(22)	(51)	(52)

Risk Ratings of the Notional Amount of Risk Participation Agreements

Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table as of:

($ in millions)	June 30, 2020		December 31, 2019
Pass	$	3,537	3,841
Special mention	239		86
Substandard	9		16
Total	$	3,785	3,943

Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accommodation

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2020		2019	2020	2019
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Commercial banking revenue	$	12	12	26	18
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	(1)		(6)	(34)	(13)
Interest rate lock commitments	Mortgage banking net revenue	82		34	182	58
Commodity contracts:
Commodity contracts for customers (contract revenue)	Commercial banking revenue	4		2	7	3
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	—		—	(1)	—
Commodity contracts for customers (credit losses)	Other noninterest expense	(1)		—	(1)	—
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Commercial banking revenue	14		12	26	24
Foreign exchange contracts for customers (contract revenue)	Other noninterest income	(3)		4	3	8
Foreign exchange contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	1		—	(1)	—

Offsetting Derivative Financial Instruments

The following tables provide a summary of offsetting derivative financial instruments:

	Gross Amount Recognized in the Condensed Consolidated Balance Sheets(a)		Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
As of June 30, 2020 ($ in millions)			Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	3,499	(756)	(869)	1,874
Total assets	3,499		(756)	(869)	1,874
Liabilities:
Derivatives	1,294		(756)	(103)	435
Total liabilities	$	1,294	(756)	(103)	435

(a)Amount does not include IRLCs because these instruments are not subject to master netting or similar arrangements.

(b)Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.

	Gross Amount Recognized in the Condensed Consolidated Balance Sheets(a)		Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
As of December 31, 2019 ($ in millions)			Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	1,655	(417)	(504)	734
Total assets	1,655		(417)	(504)	734
Liabilities:
Derivatives	741		(417)	(97)	227
Total liabilities	$	741	(417)	(97)	227

(a)Amount does not include IRLCs because these instruments are not subject to master netting or similar arrangements.

(b)Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.