Financial Derivatives (Tables)

12 Months Ended

Dec. 31, 2018

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

The following table presents the notional amounts and gross fair values of all derivative assets and liabilities held by us.

Table 76: Total Gross Derivatives

	December 31, 2018						December 31, 2017
In millions	Notional /Contract Amount		Asset Fair Value (a)		Liability Fair Value (b)		Notional /Contract Amount		Asset Fair Value (a)		Liability Fair Value (b)
Derivatives used for hedging under GAAP
Interest rate contracts (c):
Fair value hedges	$	30,919	$	7			$	34,059	$	114	$	94
Cash flow hedges	17,337		1				23,875		60		6
Foreign exchange contracts:
Net investment hedges	1,012				$	10	1,060				11
Total derivatives designated for hedging	$	49,268	$	8	$	10	$	58,994	$	174	$	111
Derivatives not used for hedging under GAAP
Derivatives used for mortgage banking activities (d):
Interest rate contracts:
Swaps	$	43,084			$	3	$	48,335	$	162	$	42
Futures (e) (f)	10,658						47,494
Mortgage-backed commitments	5,771		$	47	39		8,999		19		9
Other	6,509		10		3		2,530		11		2
Subtotal	66,022		57		45		107,358		192		53
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	218,496		1,352		1,432		194,042		2,079		1,772
Futures (e) (f)	914						3,453
Mortgage-backed commitments	2,246		7		10		2,228		2		2
Other	20,109		77		33		17,775		75		36
Subtotal	241,765		1,436		1,475		217,498		2,156		1,810
Commodity contracts:
Swaps	4,813		244		238		3,339		108		104
Other	1,418		67		67		868		22		22
Subtotal	6,231		311		305		4,207		130		126
Foreign exchange contracts and other	23,253		194		192		23,123		219		206
Subtotal	271,249		1,941		1,972		244,828		2,505		2,142
Derivatives used for other risk management activities:
Foreign exchange contracts and other (g)	7,908		75		263		7,445		3		550
Total derivatives not designated for hedging	$	345,179	$	2,073	$	2,280	$	359,631	$	2,700	$	2,745
Total gross derivatives	$	394,447	$	2,081	$	2,290	$	418,625	$	2,874	$	2,856
Less: Impact of legally enforceable master netting agreements			688		688				1,054		1,054
Less: Cash collateral received/paid			341		539				636		763
Total derivatives			$	1,052	$	1,063			$	1,184	$	1,039

(a) Included in Other assets on our Consolidated Balance Sheet.

(b) Included in Other liabilities on our Consolidated Balance Sheet.

(c) Represents primarily swaps.

(d) Includes both residential and commercial mortgage banking activities.

(e) Futures contracts settle in cash daily and, therefore, no derivative asset or derivative liability is recognized on our Consolidated Balance Sheet.

(f) As a result of administrative changes made by a certain clearing house to its rules governing futures contracts, effective for the fourth quarter of 2018, the unit of measure for calculating notional values decreased. The changes had no impact on the valuation of the contracts.

(g) Includes our obligation to fund a portion of certain BlackRock LTIP programs and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Schedule of Gains (losses) Recognized on Fair Value and Cash Flow Hedges in Consolidated Income Statement

Further detail regarding gains (losses) on fair value hedge derivatives and related hedged items is presented in the following table:

Table 77: Gains (Losses) Recognized on Fair Value and Cash Flow Hedges in the Consolidated Income Statement (a) (b)

	Location and Amount of Gains (Losses) Recognized in Income
	Interest Income					Interest Expense			Noninterest Income
In millions	Loans		Investment Securities			Borrowed Funds			Other
Year ended December 31, 2018
Total amounts on the Consolidated Income Statement	$	9,580	$	2,261		$	1,632		$	1,205
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(53	)	$	151
Derivatives			$	60		$	(262	)
Amounts related to interest settlements on derivatives			$	3		$	80
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	41	$	11					$	8
Year ended December 31, 2017
Total amounts on the Consolidated Income Statement	$	8,238	$	1,998		$	1,083		$	1,077
Gains (losses) on fair value hedges recognized on (e):
Hedged items			$	(50	)	$	268
Derivatives			$	48		$	(284	)
Amounts related to interest settlements on derivatives			$	(41	)	$	234
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	159	$	21					$	17
Year ended December 31, 2016
Total amounts on the Consolidated Income Statement	$	7,414	$	1,826		$	831		$	1,039
Gains (losses) on fair value hedges recognized on (e):
Hedged items			$	(141	)	$	299
Derivatives			$	142		$	(332	)
Amounts related to interest settlements on derivatives			$	(84	)	$	401
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	219	$	34

(a) For all periods presented, there were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for any of the fair value or cash flow hedge strategies.

(b) All cash flow and fair value hedge derivatives were interest rate contracts for the periods presented.

(c) Includes an insignificant amount of fair value hedge adjustments related to discontinued hedge relationships.

(d) For all periods presented, there were no gains or losses from cash flow hedge derivatives reclassified to income because it became probable that the original forecasted transaction would not occur.

(e) The difference between the gains (losses) recognized in income on derivatives and their related hedged items represents the ineffective portion of the change in value of our fair value hedged derivatives.

Schedule of Hedged Items - Fair Value Hedges

Further detail regarding gains (losses) on derivatives and related cash flows is presented in the following table:

Table 78: Hedged Items - Fair Value Hedges

	December 31, 2018
In millions	Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)
Investment securities - Available for Sale (b)	$	6,216	$	(103	)
Borrowed funds	$	27,121	$	(260	)

(a) Includes $(.5) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships.

(b) Carrying value shown represents amortized cost.

Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:

Table 79: Gains (Losses) on Derivatives Not Designated for Hedging under GAAP

	Year ended December 31
In millions	2018			2017			2016
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	(56	)	$	75		$	152
Derivatives used for customer-related activities:
Interest rate contracts	99			95			78
Foreign exchange contracts and other (b)	104			146			84
Gains (losses) from customer-related activities (c)	203			241			162
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c) (d)	268			(525		)	(7		)
Total gains (losses) from derivatives not designated as hedging instruments	$	415		$	(209	)	$	307

(a) Included in Residential mortgage, Corporate services and Other noninterest income.

(b) Includes an insignificant amount of gains (losses) on commodity contracts for all periods presented.

(c) Included in Other noninterest income.

(d) Includes BlackRock LTIP funding obligation and the swaps entered into in connection with sales of a portion of Visa Class B common shares.

Derivative Assets And Liabilities Offsetting

Table 80: Derivative Assets and Liabilities Offsetting

In millions	Gross Fair Value		Amounts Offset on the Consolidated Balance Sheet				Net Fair Value			Securities Collateral Held /Pledged Under Master Netting Agreements		Net Amounts
			Fair Value Offset Amount		Cash Collateral
December 31, 2018
Derivative assets
Interest rate contracts:
Over-the-counter cleared (a)	$	29					$	29				$	29
Over-the-counter	1,472		$	450	$	117	905			$	25	880
Commodity contracts	311		76		210		25					25
Foreign exchange and other contracts	269		162		14		93					93
Total derivative assets	$	2,081	$	688	$	341	$	1,052	(b)	$	25	$	1,027
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared (a)	$	24					$	24				$	24
Over-the-counter	1,496		$	557	$	489	450			$	11	439
Commodity contracts	305		56		17		232					232
Foreign exchange and other contracts	465		75		33		357					357
Total derivative liabilities	$	2,290	$	688	$	539	$	1,063	(c)	$	11	$	1,052
December 31, 2017
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	827	$	251	$	567	$	9				$	9
Over-the-counter	1,695		668		67		960			$	32	928
Commodity contracts	130		38				92					92
Foreign exchange and other contracts	222		97		2		123					123
Total derivative assets	$	2,874	$	1,054	$	636	$	1,184	(b)	$	32	$	1,152
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	260	$	251			$	9				$	9
Over-the-counter	1,703		662		$	669	372					372
Commodity contracts	126		38				88					88
Foreign exchange and other contracts	767		103		94		570					570
Total derivative liabilities	$	2,856	$	1,054	$	763	$	1,039	(c)			$	1,039

(a) Reflects our first quarter 2018 change in accounting treatment for variation margin for certain derivative instruments cleared through a central clearing house. The accounting change reduced the asset and liability gross fair values with corresponding reductions to the fair value and cash collateral offsets, resulting in no changes to the net fair value amounts.

(b) Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.

(c) Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.