Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2019

Derivative Financial Instruments

Notional Amounts and Fair Values for All Derivative Instruments Included in the Consolidated Balance Sheets

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
		Notional		Derivative	Derivative
September 30, 2019 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	2,705		459	3
Total fair value hedges				459	3
Cash flow hedges:
Interest rate floors related to C&I loans		3,000		156	-
Interest rate swaps related to C&I loans		8,000		-	72
Total cash flow hedges				156	72
Total derivatives designated as qualifying hedging instruments				615	75
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		178	12
Forward contracts related to residential mortgage loans held for sale		2,693		3	5
Swap associated with the sale of Visa, Inc. Class B Shares		2,834		-	146
Total free-standing derivatives - risk management and other business purposes				181	163
Free-standing derivatives - customer accommodation:
Interest rate contracts(a)		71,511		727	169
Interest rate lock commitments		1,096		24	-
Commodity contracts		8,144		368	353
TBA securities		28		-	-
Foreign exchange contracts		13,924		182	151
Total free-standing derivatives - customer accommodation				1,301	673
Total derivatives not designated as qualifying hedging instruments				1,482	836
Total			$	2,097	911

Derivative assets and liabilities are presented net of variation margin of $36 and $621, respectively.

				Fair Value
		Notional		Derivative	Derivative
December 31, 2018 ($ in millions)		Amount		Assets	Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	3,455		262	2
Total fair value hedges				262	2
Cash flow hedges:
Interest rate floors related to C&I loans		3,000		69	-
Interest rate swaps related to C&I loans		8,000		15	27
Total cash flow hedges				84	27
Total derivatives designated as qualifying hedging instruments				346	29
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		10,045		40	14
Forward contracts related to residential mortgage loans held for sale		926		-	8
Swap associated with the sale of Visa, Inc. Class B Shares		2,174		-	125
Foreign exchange contracts		133		4	-
Total free-standing derivatives - risk management and other business purposes				44	147
Free-standing derivatives - customer accommodation:
Interest rate contracts		55,012		262	278
Interest rate lock commitments		407		7	-
Commodity contracts		6,511		307	278
TBA securities		18		-	-
Foreign exchange contracts		13,205		148	142
Total free-standing derivatives - customer accommodation				724	698
Total derivatives not designated as qualifying hedging instruments				768	845
Total			$	1,114	874

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:
			For the three months		For the nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2019	2018	2019	2018
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	75	(29)	219	(110)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		(74)	31	(214)	113

The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:
	Condensed Consolidated
($ in millions)	Balance Sheets Caption		September 30, 2019
Carrying amount of the hedged items	Long-term debt	$	3,455
Cumulative amount of fair value hedging adjustments included in the carrying
amount of the hedged items	Long-term debt		(467)

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

The following table presents the pretax 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		For the nine months ended
		September 30,		September 30,
($ in millions)		2019	2018	2019	2018
Amount of pretax net gains (losses) recognized in OCI	$	105	(25)	456	(31)
Amount of pretax net gains (losses) reclassified from OCI into net income		5	(2)	2	(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:
			For the three months		For the nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2019	2018	2019	2018
Interest rate contracts:
Forward contracts related to residential mortgage loans
held for sale	Mortgage banking net revenue	$	11	7	6	4
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		130	(24)	308	(89)
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		2	(1)	(3)	3
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income		(11)	(17)	(63)	(66)

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:
		September 30,	December 31,
($ in millions)		2019	2018
Pass	$	4,188	3,919
Special mention		144	79
Substandard		13	4
Total	$	4,345	4,002

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

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:
			For the three months		For the nine months
	Condensed Consolidated		ended September 30,		ended September 30,
($ in millions)	Statements of Income Caption		2019	2018	2019	2018
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Corporate banking revenue	$	12	7	30	23
Interest rate contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		(5)	-	(18)	-
Interest rate lock commitments	Mortgage banking net revenue		50	17	108	52
Commodity contracts:
Commodity contracts for customers (contract revenue)	Corporate banking revenue		3	3	6	7
Commodity contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	-	-	(1)
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Corporate banking revenue		12	16	36	43
Foreign exchange contracts for customers (contract revenue)	Other noninterest income		7	3	15	8
Foreign exchange contracts for customers (credit portion of
fair value adjustment)	Other noninterest expense		-	-	-	1

Offsetting Derivative Financial Instruments

The following tables provide a summary of offsetting derivative financial instruments:
		Gross Amount		Gross Amounts Not Offset in the
		Recognized in the		Condensed Consolidated Balance Sheets
		Condensed Consolidated
As of September 30, 2019 ($ in millions)		Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives		$	2,073	(550)	(630)		893
Total assets			2,073	(550)	(630)		893
Liabilities:
Derivatives			911	(550)	(18)		343
Total liabilities		$	911	(550)	(18)		343
(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		Gross Amounts Not Offset in the
		Recognized in the		Condensed Consolidated Balance Sheets
		Condensed Consolidated
As of December 31, 2018 ($ in millions)		Balance Sheets(a)		Derivatives	Collateral(b)	Net Amount
Assets:
Derivatives		$	1,107	(410)	(348)		349
Total assets			1,107	(410)	(348)		349
Liabilities:
Derivatives			874	(410)	(123)		341
Total liabilities		$	874	(410)	(123)		341
(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.