XML 58 R45.htm IDEA: XBRL DOCUMENT v3.21.2
Derivative Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2021
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, 2021 ($ 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$1,455 405 — 
Interest rate swaps related to available-for-sale debt and other securities445 9 — 
Total fair value hedges414 — 
Cash flow hedges:
Interest rate floors related to C&I loans3,000 166 — 
Interest rate swaps related to C&I loans8,000 — 1 
Total cash flow hedges166 1 
Total derivatives designated as qualifying hedging instruments580 1 
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio6,485 146 — 
Forward contracts related to residential mortgage loans held for sale(b)
4,102 20 4 
Swap associated with the sale of Visa, Inc. Class B Shares3,654 — 211 
Foreign exchange contracts154 1 — 
Interest rate contracts for collateral management12,000 8 6 
Interest rate contracts for LIBOR transition2,372 — 1 
Total free-standing derivatives – risk management and other business purposes
175 222 
Free-standing derivatives – customer accommodation:
Interest rate contracts(a)
79,879 772 215 
Interest rate lock commitments1,500 27 — 
Commodity contracts11,933 2,123 2,049 
TBA securities24 — — 
Foreign exchange contracts20,888 284 251 
Total free-standing derivatives – customer accommodation
3,206 2,515 
Total derivatives not designated as qualifying hedging instruments3,381 2,737 
Total$3,961 2,738 
(a)Derivative assets and liabilities are presented net of variation margin of $94 and $675, respectively.
(b)Includes forward sale and forward purchase contracts which are utilized to manage market risk on residential mortgage loans held for sale and the related interest rate lock commitments.
Fair Value
December 31, 2020 ($ 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$1,955 528 — 
Total fair value hedges528 — 
Cash flow hedges:
Interest rate floors related to C&I loans3,000 244 — 
Interest rate swaps related to C&I loans8,000 16 2 
Total cash flow hedges260 2 
Total derivatives designated as qualifying hedging instruments788 2 
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio6,910 202 1 
Forward contracts related to residential mortgage loans held for sale2,903 1 16 
Swap associated with the sale of Visa, Inc. Class B Shares3,588 — 201 
Foreign exchange contracts204 — 3 
Interest rate contracts for collateral management12,000 3 1 
Interest rate contracts for LIBOR transition2,372 — — 
Total free-standing derivatives – risk management and other business purposes
206 222 
Free-standing derivatives – customer accommodation:
Interest rate contracts(a)
77,806 1,238 265 
Interest rate lock commitments1,830 57 — 
Commodity contracts7,762 375 359 
Foreign exchange contracts14,587 255 224 
Total free-standing derivatives – customer accommodation
1,925 848 
Total derivatives not designated as qualifying hedging instruments2,131 1,070 
Total$2,919 1,072 
(a)Derivative assets and liabilities are presented net of variation margin of $47 and $1,063, respectively.
Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships
The following table reflects the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Condensed Consolidated Statements of Income:
Condensed Consolidated
Statements of
Income Caption		For the three months ended
September 30,		For the nine months ended
September 30,
($ in millions)2021202020212020
Long-term debt:
Change in fair value of interest rate swaps hedging long- term debtInterest on long-term debt$(25)(39)(124)187 
Change in fair value of hedged long-term debt attributable to the risk being hedgedInterest on long-term debt25 39 124 (186)
Available-for-sale debt and other securities:
Change in fair value of interest rate swaps hedging available-for-sale debt and other securitiesInterest on securities9 — 9 — 
Change in fair value of hedged available-for-sale debt and other securities attributable to the risk being hedgedInterest on securities(9)— (9)— 
The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:
($ in millions)Condensed Consolidated
Balance Sheets Caption		September 30,
2021		December 31,
2020
Long-term debt:
Carrying amount of the hedged itemsLong-term debt$1,855 2,478 
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged itemsLong-term debt410 534 
Available-for-sale debt and other securities:
Carrying amount of the hedged items(a)
Available-for-sale debt and other securities 467 — 
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged itemsAvailable-for-sale debt and other securities(9)— 
(a)The carrying amount represents the amortized cost basis of the hedged items (which excludes unrealized gains and losses) plus the fair value hedging adjustments.
Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges
The following table presents the pre-tax net gains (losses) recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
For the three months ended
September 30,		For the nine months ended
September 30,
($ in millions)2021202020212020
Amount of pre-tax net (losses) gains recognized in OCI$3 1 (67)625 
Amount of pre-tax net gains reclassified from OCI into net income74 72 219 165 
Schedule of Price Risk Derivatives
The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:
Condensed Consolidated
Statements of
Income Caption		For the three months ended
September 30,		For the nine months ended
September 30,
($ in millions)2021202020212020
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale
Mortgage banking net revenue$23 7 32 (4)
Interest rate contracts related to MSR portfolioMortgage banking net revenue(11)(12)(99)348 
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes
Other noninterest income3 (3)(3)4 
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares
Other noninterest income(17)(22)(67)(73)
Risk Ratings of the Notional Amount of Risk Participation Agreements
Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table as of:
($ in millions)September 30,
2021		December 31,
2020
Pass$3,522 3,231 
Special mention14 113 
Substandard48 52 
Total$3,584 3,396 
Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accommodation
The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:
Condensed Consolidated
Statements of Income Caption		For the three months ended
September 30,		For the nine months ended
September 30,
($ in millions)2021202020212020
Interest rate contracts:
Interest rate contracts for customers (contract revenue)
Commercial banking revenue$8 5 27 31 
Interest rate contracts for customer (credit losses)Other noninterest expense— (1)— (1)
Interest rate contracts for customers (credit portion of fair value adjustment)
Other noninterest expense2 1 19 (33)
Interest rate lock commitmentsMortgage banking net revenue44 54 132 237 
Commodity contracts:
Commodity contracts for customers (contract revenue)
Commercial banking revenue6 4 17 10 
Commodity contracts for customers (credit portion of fair value adjustment)
Other noninterest expense(1)(1)(1)(2)
Commodity contracts for customers (credit losses)Other noninterest expense— — — (1)
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)
Commercial banking revenue15 14 45 40 
Foreign exchange contracts for customers (contract revenue)
Other noninterest income2 (6)2 (3)
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
Derivatives
Collateral(b)
Net Amount
As of September 30, 2021
Derivative assets$3,934 (1,041)(514)2,379 
Derivative liabilities2,738 (1,041)(1,188)509 
As of December 31, 2020
Derivative assets$2,862 (621)(755)1,486 
Derivative liabilities1,072 (621)(221)230 
(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.