Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Total Gross Derivatives

Table 76: Total Gross Derivatives (a)

	September 30, 2020						December 31, 2019
In millions	Notional / Contract Amount		Asset Fair Value (b)		Liability Fair Value (c)		Notional / Contract Amount		Asset Fair Value (b)		Liability Fair Value (c)
Derivatives used for hedging
Interest rate contracts (d):
Fair value hedges	$	27,007					$	30,663
Cash flow hedges	20,229		$	9			23,642		$	6
Foreign exchange contracts:
Net investment hedges	1,160		33				1,102				$	6
Total derivatives designated for hedging	$	48,396	$	42			$	55,407	$	6	$	6
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	55,056					$	52,007	$	1
Futures (f)	2,809						3,487
Mortgage-backed commitments	13,460		$	139	$	82	7,738		60		$	44
Other	3,580		7		5		3,134		32		23
Total interest rate contracts	74,905		146		87		66,366		93		67
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	278,984		6,167		1,717		249,075		2,769		1,187
Futures (f)	1,252						703
Mortgage-backed commitments	4,187		12		11		3,721		2		6
Other	22,057		231		83		21,379		113		33
Total interest rate contracts	306,480		6,410		1,811		274,878		2,884		1,226
Commodity contracts:
Swaps	5,566		397		375		5,204		234		229
Other	3,042		100		100		4,203		72		72
Total commodity contracts	8,608		497		475		9,407		306		301
Foreign exchange contracts and other	25,044		211		208		27,120		204		162
Total derivatives for customer-related activities	340,132		7,118		2,494		311,405		3,394		1,689
Derivatives used for other risk management activities:
Foreign exchange contracts and other	10,107		37		129		10,201		9		257
Total derivatives not designated for hedging	$	425,144	$	7,301	$	2,710	$	387,972	$	3,496	$	2,013
Total gross derivatives	$	473,540	$	7,343	$	2,710	$	443,379	$	3,502	$	2,019
Less: Impact of legally enforceable master netting agreements			864		864				690		690
Less: Cash collateral received/paid			1,699		1,308				616		790
Total derivatives			$	4,780	$	538			$	2,196	$	539

(a) Centrally cleared derivatives are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.

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

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

(d) Represents primarily swaps.

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

(f)

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

Schedule of Fair Value and Cash Flow Hedges

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
For the three months ended September 30, 2020
Total amounts on the Consolidated Income Statement	$	2,116		$	490		$	118		$	457
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	(13	)	$	141
Derivatives				$	14		$	(166	)
Amounts related to interest settlements on derivatives				$	(3	)	$	149
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	118		$	16
For the three months ended September 30, 2019
Total amounts on the Consolidated Income Statement	$	2,678		$	617		$	468		$	342
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	76		$	(271	)
Derivatives				$	(73	)	$	235
Amounts related to interest settlements on derivatives				$	4		$	16
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	2		$	3
For the nine months ended September 30, 2020
Total amounts on the Consolidated Income Statement	$	6,853		$	1,599		$	619		$	1,071
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	224		$	(1,300	)
Derivatives				$	(219	)	$	1,220
Amounts related to interest settlements on derivatives				$	(7	)	$	341
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	262		$	19					$	1
For the nine months ended September 30, 2019
Total amounts on the Consolidated Income Statement	$	7,952		$	1,866		$	1,433		$	1,017
Gains (losses) on fair value hedges recognized on:
Hedged items (c)				$	250		$	(1,068	)
Derivatives				$	(241	)	$	948
Amounts related to interest settlements on derivatives				$	14		$	36
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	(18	)	$	5					$	18

(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.

Schedule of Fair Value Hedges

Table 78: Hedged Items - Fair Value Hedges

 

	September 30, 2020				December 31, 2019
In millions	Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)		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)	$	3,237	$	59	$	5,666	$	59
Borrowed funds	$	28,326	$	1,850	$	28,616	$	548

(a) Includes $(.2) billion and $(.3) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships for September 30, 2020 and December 31, 2019, respectively.

(b)

Carrying value shown represents amortized cost.

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

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

	Three months ended September 30					Nine months ended September 30
In millions	2020			2019		2020			2019
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	20		$	184	$	799		$	530
Derivatives used for customer-related activities:
Interest rate contracts	59			45		99			84
Foreign exchange contracts and other (b)	43			11		83			64
Gains (losses) from customer-related activities (c)	102			56		182			148
Derivatives used for other risk management activities:
Foreign exchange contracts and other (c)	(106		)	103		(1		)	39
Total gains (losses) from derivatives not designated as hedging instruments	$	16		$	343	$	980		$	717

(a) Included in Residential mortgage, Corporate services and Other noninterest income on our Consolidated Income Statement.

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

(c)

Included in Other noninterest income on our Consolidated Income Statement.

Derivative Assets And Liabilities Offsetting

Table 80: Derivative Assets and Liabilities Offsetting

In millions			Amounts Offset on the Consolidated Balance Sheet							Securities Collateral Held/Pledged Under Master Netting Agreements
	Gross Fair Value		Fair Value Offset Amount		Cash Collateral		Net Fair Value					Net Amounts
September 30, 2020
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	31					$	31				$	31
Over-the-counter	6,534		$	433	$	1,673	4,428			$	616	3,812
Commodity contracts	497		299		14		184					184
Foreign exchange and other contracts	281		132		12		137			1		136
Total derivative assets	$	7,343	$	864	$	1,699	$	4,780	(a)	$	617	$	4,163
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	23					$	23				$	23
Over-the-counter	1,875		$	589	$	1,159	127					127
Commodity contracts	475		206		59		210					210
Foreign exchange and other contracts	337		69		90		178					178
Total derivative liabilities	$	2,710	$	864	$	1,308	$	538	(b)			$	538
December 31, 2019
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	14					$	14				$	14
Over-the-counter	2,969		$	365	$	593	2,011			$	215	1,796
Commodity contracts	306		198		18		90					90
Foreign exchange and other contracts	213		127		5		81					81
Total derivative assets	$	3,502	$	690	$	616	$	2,196	(a)	$	215	$	1,981
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	14					$	14				$	14
Over-the-counter	1,279		$	475	$	692	112					112
Commodity contracts	301		152		17		132					132
Foreign exchange and other contracts	425		63		81		281					281
Total derivative liabilities	$	2,019	$	690	$	790	$	539	(b)			$	539

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

(b)

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