Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Financial Instruments

Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block]

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
March 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	$	2,705		616		-
Total fair value hedges				616		-
Cash flow hedges:
Interest rate floors related to C&I loans		3,000		272		-
Interest rate swaps related to C&I loans		8,000		-		8
Total cash flow hedges				272		8
Total derivatives designated as qualifying hedging instruments				888		8
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives - risk management and other business purposes:
Interest rate contracts related to MSR portfolio		6,220		287		4
Forward contracts related to residential mortgage loans held for sale		3,987		11		72
Swap associated with the sale of Visa, Inc. Class B Shares		2,643		-		171
Foreign exchange contracts		198		8		-
Commercial loan trading		21		1		1
Total free-standing derivatives - risk management and other business purposes				307		248
Free-standing derivatives - customer accommodation:
Interest rate contracts(a)		76,134		1,483		299
Interest rate lock commitments		1,941		69		-
Commodity contracts		8,209		1,016		1,020
TBA securities		22		-		-
Foreign exchange contracts		13,892		337		291
Total free-standing derivatives - customer accommodation				2,905		1,610
Total derivatives not designated as qualifying hedging instruments				3,212		1,858
Total			$	4,100		1,866

(a) Derivative assets and liabilities are presented net of variation margin of $50 and $1,288, 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 March 31,
($ in millions)		2020		2019
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt		$        226		54
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt		(226)		(53)

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	March 31, 2020
Carrying amount of the hedged items	Long-term debt	$	3,320
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	Long-term debt		628

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 March 31,
($ in millions)	2020		2019
Amount of pre-tax net gains recognized in OCI	$	541		110
Amount of pre-tax net gains (losses) reclassified from OCI into net income		32		(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 March 31,
($ in millions)		2020			2019
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	$	(58	)		-
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue		350			60
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income		13			(2	)
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income		(22	)		(31	)

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)	March 31,     2020		December 31, 2019
Pass	$	3,681		3,841
Special mention		9		86
Substandard		3		16
Total	$	3,693		3,943

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:

	Condensed Consolidated Statements of Income Caption	For the three months ended March 31,
($ in millions)		2020			2019
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Commercial banking revenue	$	14			6
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		(33	)		(7	)
Interest rate lock commitments	Mortgage banking net revenue		100			24
Commodity contracts:
Commodity contracts for customers (contract revenue)	Commercial banking revenue		3			1
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		(1	)		-
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Commercial banking revenue		13			12
Foreign exchange contracts for customers (contract revenue)	Other noninterest income		6			4
Foreign exchange contracts for customers (credit portion of fair value adjustment)	Other noninterest expense		(2	)		-

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 March 31, 2020 ($ in millions)			Derivatives			Collateral(b)			Net Amount
Assets:
Derivatives	$	4,031		(915	)		(1,187	)		1,929
Total assets		4,031		(915	)		(1,187	)		1,929
Liabilities:
Derivatives		1,866		(915	)		(119	)		832
Total liabilities	$	1,866		(915	)		(119	)		832

(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.