Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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
September 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	$	1,955	581		—
Total fair value hedges			581		—
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		265		—
Interest rate swaps related to C&I loans	8,000		—		1
Total cash flow hedges			265		1
Total derivatives designated as qualifying hedging instruments			846		1
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	6,560		227		1
Forward contracts related to residential mortgage loans held for sale	3,087		2		10
Swap associated with the sale of Visa, Inc. Class B Shares	3,280		—		188
Foreign exchange contracts	169		3		—
Interest rate contracts for collateral management	12,000		1		1
Commercial loan trading	6		—		—
Interest rate swaps	750		—		—
Total free-standing derivatives – risk management and other business purposes			233		200
Free-standing derivatives – customer accommodation:
Interest rate contracts(a)	79,286		1,399		293
Interest rate lock commitments	3,044		85		—
Commodity contracts	7,441		483		488
TBA securities	67		—		—
Foreign exchange contracts	13,154		176		136
Total free-standing derivatives – customer accommodation			2,143		917
Total derivatives not designated as qualifying hedging instruments			2,376		1,117
Total			$	3,222	1,118

(a)Derivative assets and liabilities are presented net of variation margin of $50 and $1,211, 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 September 30,			For the nine months ended September 30,
($ in millions)		2020		2019	2020	2019
Change in fair value of interest rate swaps hedging long- term debt	Interest on long-term debt	$	(39)	75	187	219
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt	39		(74)	(186)	(214)

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	September 30, 2020
Carrying amount of the hedged items	Long-term debt	$	2,531
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	Long-term debt	588

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

The following table presents the pre-tax net gains 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 September 30,			For the nine months ended September 30,
($ in millions)	2020		2019	2020	2019
Amount of pre-tax net gains recognized in OCI	$	1	105	625	456
Amount of pre-tax net gains reclassified from OCI into net income	72		5	165	2

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 September 30,			For the nine months ended September 30,
($ in millions)		2020		2019	2020	2019
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	$	7	11	(4)	6
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue	(12)		130	348	308
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income	(3)		2	4	(3)
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income	(22)		(11)	(73)	(63)

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)	September 30, 2020		December 31, 2019
Pass	$	3,124	3,841
Special mention	265		86
Substandard	132		16
Total	$	3,521	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 September 30,			For the nine months ended September 30,
($ in millions)		2020		2019	2020	2019
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Commercial banking revenue	$	5	12	31	30
Interest rate contracts for customers (credit losses)	Other noninterest expense	(1)		—	(1)	—
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	1		(5)	(33)	(18)
Interest rate lock commitments	Mortgage banking net revenue	54		50	237	108
Commodity contracts:
Commodity contracts for customers (contract revenue)	Commercial banking revenue	4		3	10	6
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	(1)		—	(2)	—
Commodity contracts for customers (credit losses)	Other noninterest expense	—		—	(1)	—
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Commercial banking revenue	14		12	40	36
Foreign exchange contracts for customers (contract revenue)	Other noninterest income	(6)		7	(3)	15
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 September 30, 2020 ($ in millions)			Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives	$	3,137	(698)	(795)	1,644
Total assets	3,137		(698)	(795)	1,644
Liabilities:
Derivatives	1,118		(698)	(159)	261
Total liabilities	$	1,118	(698)	(159)	261

(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.