We use a variety of financial derivatives to both mitigate exposure to market (primarily interest rate) and credit risks inherent in our business activities, as well as to facilitate customer risk management activities. We manage these risks as part of our overall asset and liability management process and through our credit policies and procedures. Derivatives represent contracts between parties that usually require little or no initial net investment and result in one party delivering cash or another type of asset to the other party based on a notional amount and an underlying as specified in the contract.

Derivative transactions are often measured in terms of notional amount, but this amount is generally not exchanged and it is not recorded on the balance sheet. The notional amount is the basis to which the underlying is applied to determine required payments under the derivative contract. The underlying is a referenced interest rate, security price, credit spread or other index. Residential and commercial real estate loan commitments associated with loans to be sold also qualify as derivative instruments.


	December 31, 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	$	24,153					$	30,663
Cash flow hedges	22,875		$	14			23,642		$	6
Foreign exchange contracts:
Net investment hedges	1,075				$	22	1,102				$	6
Total derivatives designated for hedging	$	48,103	$	14	$	22	$	55,407	$	6	$	6
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	50,511					$	52,007	$	1
Futures (f)	2,841						3,487
Mortgage-backed commitments	11,288		$	147	$	77	7,738		60		$	44
Other	1,831		11		2		3,134		32		23
Total interest rate contracts	66,471		158		79		66,366		93		67
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	280,125		5,475		1,601		249,075		2,769		1,187
Futures (f)	1,235						703
Mortgage-backed commitments	4,178		11		14		3,721		2		6
Other	20,125		193		88		21,379		113		33
Total interest rate contracts	305,663		5,679		1,703		274,878		2,884		1,226
Commodity contracts:
Swaps	6,149		350		323		5,204		234		229
Other	2,770		61		61		4,203		72		72
Total commodity contracts	8,919		411		384		9,407		306		301
Foreign exchange contracts and other	26,620		267		243		27,120		204		162
Total derivatives for customer-related activities	341,202		6,357		2,330		311,405		3,394		1,689
Derivatives used for other risk management activities:
Foreign exchange contracts and other	10,931		4		325		10,201		9		257
Total derivatives not designated for hedging	$	418,604	$	6,519	$	2,734	$	387,972	$	3,496	$	2,013
Total gross derivatives	$	466,707	$	6,533	$	2,756	$	443,379	$	3,502	$	2,019
Less: Impact of legally enforceable master netting agreements			720		720				690		690
Less: Cash collateral received/paid			1,434		1,452				616		790
Total derivatives			$	4,379	$	584			$	2,196	$	539

All derivatives are carried on our Consolidated Balance Sheet at fair value. Derivative balances are presented on the Consolidated Balance Sheet on a net basis taking into consideration the effects of legally enforceable master netting agreements and, when appropriate, any related cash collateral exchanged with counterparties. Further discussion regarding the offsetting rights associated with these legally enforceable master netting agreements is included in the Offsetting, Counterparty Credit Risk, and Contingent Features section of this Note 16. Any nonperformance risk, including credit risk, is included in the determination of the estimated net fair value of the derivatives. Further discussion on how derivatives are accounted for is included in Note 1 Accounting Policies.

Certain derivatives used to manage interest rate and foreign exchange risk as part of our asset and liability risk management activities are designated as accounting hedges. Derivatives hedging the risks associated with changes in the fair value of assets or liabilities are considered fair value hedges, derivatives hedging the variability of expected future cash flows are considered cash flow hedges, and derivatives hedging a net investment in a foreign subsidiary are considered net investment hedges. Designating derivatives as accounting hedges allows for gains and losses on those derivatives to be recognized in the same period and in the same income statement line item as the earnings impact of the hedged items.

We enter into receive-fixed, pay-variable interest rate swaps to hedge changes in the fair value of outstanding fixed-rate debt caused by fluctuations in market interest rates. We also enter into pay-fixed, receive-variable interest rate swaps and zero-coupon swaps to hedge changes in the fair value of fixed rate and zero-coupon investment securities caused by fluctuations in market interest rates. Gains and losses on the interest rate swaps designated in these hedge relationships, along with the offsetting gains and losses on the hedged items attributable to the hedged risk, are recognized in current earnings within the same income statement line item.

We enter into receive-fixed, pay-variable interest rate swaps to modify the interest rate characteristics of designated commercial loans from variable to fixed in order to reduce the impact of changes in future cash flows due to market interest rate changes. We also periodically enter into forward purchase and sale contracts to hedge the variability of the consideration that will be paid or received related to the purchase or sale of investment securities. The forecasted purchase or sale is consummated upon gross settlement of the forward contract itself. For these cash flow hedges, gains and losses on the interest rate swaps and forward contracts are recorded in AOCI and are then reclassified into earnings in the same period the hedged cash flows affect earnings and within the same income statement line as the hedged cash flows.


	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, 2020
Total amounts on the Consolidated Income Statement	$	8,927	$	2,041	$	718	$	1,364
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	208	$	(1,059)
Derivatives			$	(202)	$	959
Amounts related to interest settlements on derivatives			$	(9)	$	480
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	375	$	40			$	6
Year ended December 31, 2019
Total amounts on the Consolidated Income Statement	$	10,525	$	2,426	$	1,811	$	1,473
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	187	$	(808)
Derivatives			$	(178)	$	659
Amounts related to interest settlements on derivatives			$	13	$	79
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	9	$	9			$	19
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


	December 31, 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)	$	2,785	$	30	$	5,666	$	59
Borrowed funds	$	25,797	$	1,611	$	28,616	$	548

We enter into foreign currency forward contracts to hedge non-U.S. dollar net investments in foreign subsidiaries against adverse changes in foreign exchange rates. We assess whether the hedging relationship is highly effective in achieving offsetting changes in the value of the hedge and hedged item by qualitatively verifying that the critical terms of the hedge and hedged item match at the inception of the hedging relationship and on an ongoing basis. Net investment hedge derivatives are classified as foreign exchange contracts. There were no components of derivative gains or losses excluded from the assessment of the hedge effectiveness for all periods presented. Net gains (losses) on net investment hedge derivatives recognized in OCI were $(24) million at both 2020 and 2019 and $76 million in 2018.

Residential mortgage loans that will be sold in the secondary market, and the related loan commitments, which are considered derivatives, are accounted for at fair value. Changes in the fair value of the loans and commitments due to interest rate risk are hedged with forward contracts to sell mortgage-backed securities, as well as U.S. Treasury and Eurodollar futures and options. Gains and losses on the loans and commitments held for sale and the derivatives used to economically hedge them are included in Residential mortgage noninterest income on the Consolidated Income Statement.

Residential mortgage servicing rights are accounted for at fair value with changes in fair value influenced primarily by changes in interest rates. Derivatives used to hedge the fair value of residential mortgage servicing rights include interest rate futures, swaps, options, and forward contracts to purchase mortgage-backed securities. Gains and losses on residential mortgage servicing rights and the related derivatives used for hedging are included in Residential mortgage noninterest income.

Commercial mortgage loans held for sale and the related loan commitments, which are considered derivatives, are accounted for at fair value. Derivatives used to economically hedge these loans and commitments from changes in fair value due to interest rate risk include forward loan sale contracts and interest rate swaps. Gains and losses on the commitments, loans and derivatives are included in Other noninterest income. Derivatives used to economically hedge the change in value of commercial mortgage servicing rights include interest rate futures, swaps and options. Gains or losses on these derivatives are included in Corporate services noninterest income.

We offer derivatives to our customers in connection with their risk management needs. These derivatives primarily consist of interest rate swaps, interest rate caps and floors, swaptions and foreign exchange contracts. We primarily manage our market risk exposure from customer transactions by entering into a variety of hedging transactions with third-party dealers. Gains and losses on customer-related derivatives are included in Other noninterest income.

Included in the customer, mortgage banking risk management, and other risk management portfolios are written interest-rate caps and floors entered into with customers and for risk management purposes. We receive an upfront premium from the counterparty and are obligated to make payments to the counterparty if the underlying market interest rate rises above or falls below a certain level designated in the contract. Our ultimate obligation under written options is based on future market conditions.

We have entered into risk participation agreements to share some of the credit exposure with other counterparties related to interest rate derivative contracts or to take on credit exposure to generate revenue. The notional amount of risk participation agreements sold was $7.0 billion at December 31, 2020 and $8.0 billion at December 31, 2019. Assuming all underlying third party customers referenced in the swap contracts defaulted, the exposure from these agreements would be $0.5 billion at December 31, 2020 and $0.3 billion at December 31, 2019 based on the fair value of the underlying swaps.


	Year ended December 31
In millions	2020		2019		2018
Derivatives used for mortgage banking activities:
Interest rate contracts (a)	$	792	$	405	$	(56)
Derivatives used for customer-related activities:
Interest rate contracts	210		125		99
Foreign exchange contracts and other	156		114		104
Gains (losses) from customer-related activities (b)	366		239		203
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)	(338)		(137)		268
Total gains (losses) from derivatives not designated as hedging instruments	$	820	$	507	$	415

We generally utilize a net presentation on the Consolidated Balance Sheet for those derivative financial instruments entered into with counterparties under legally enforceable master netting agreements. The master netting agreements reduce credit risk by permitting the closeout netting of all outstanding derivative instruments under the master netting agreement with the same counterparty upon the occurrence of an event of default. The master netting agreement also may require the exchange of cash or marketable securities to collateralize either party’s net position. In certain cases, minimum thresholds must be exceeded before any collateral is exchanged. Collateral is typically exchanged daily on unsettled positions based on the net fair value of the positions with the counterparty as of the preceding day. Collateral representing initial margin, which is based on potential future exposure, is also required to be pledged by us in relation to derivative instruments with central clearing house counterparties. Any cash collateral exchanged with counterparties under these master netting agreements is also netted, when appropriate, against the applicable derivative fair values on the Consolidated Balance Sheet. However, the fair value of any securities held or pledged is not included in the net presentation on the balance sheet. In order for derivative instruments under a master netting agreement to be eligible for closeout netting under GAAP, we must conduct sufficient legal review to conclude with a well-founded basis that the offsetting rights included in the master netting agreement would be legally enforceable upon an event of default, including upon an event of bankruptcy, insolvency, or a similar proceeding of the counterparty. Enforceability is evidenced by a legal opinion that supports, with sufficient confidence, the enforceability of the master netting agreement in such circumstances.

Table 94 shows the impact legally enforceable master netting agreements had on our derivative assets and derivative liabilities as of December 31, 2020 and 2019. The table includes cash collateral held or pledged under legally enforceable master netting agreements. The table also includes the fair value of any securities collateral held or pledged under legally enforceable master netting agreements. Cash and securities collateral amounts are included in the table only to the extent of the related net derivative fair values.


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, 2020
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	48					$	48				$	48

Over-the-counter	5,803		$	430	$	1,426	3,947			$	531	3,416
Commodity contracts	411		209		4		198					198
Foreign exchange and other contracts	271		81		4		186			1		185
Total derivative assets	$	6,533	$	720	$	1,434	$	4,379	(a)	$	532	$	3,847
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	42					$	42				$	42

Over-the-counter	1,740		$	462	$	1,179	99					99
Commodity contracts	384		182		103		99					99
Foreign exchange and other contracts	590		76		170		344					344
Total derivative liabilities	$	2,756	$	720	$	1,452	$	584	(b)			$	584
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

At December 31, 2020, we held cash, U.S. government securities and mortgage-backed securities totaling $2.3 billion under master netting agreements and other collateral agreements to collateralize net derivative assets due from counterparties, and we pledged cash totaling $1.9 billion under these agreements to collateralize net derivative liabilities owed to counterparties and to meet initial margin requirements. These totals may differ from the amounts presented in the preceding offsetting table because these totals may include collateral exchanged under an agreement that does not qualify as a master netting agreement or because the total amount of collateral held or pledged exceeds the net derivative fair values with the counterparty as of the balance sheet date due to timing or other factors, such as initial margin. To the extent not netted against the derivative fair values under a master netting agreement, the receivable for cash pledged is included in Other assets and the obligation for cash held is included in Other liabilities on our Consolidated Balance Sheet. Securities held from counterparties are not recognized on our balance sheet. Likewise, securities we have pledged to counterparties remain on our balance sheet.

Certain derivative agreements contain various credit-risk related contingent provisions, such as those that require our debt to maintain a specified credit rating from one or more of the major credit rating agencies. If our debt ratings were to fall below such specified ratings, the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full collateralization on derivative instruments in net liability positions. The aggregate fair value of all derivative instruments with credit-risk-related contingent features that were in a net liability position on December 31, 2020 was $1.6 billion for which we had posted collateral of $1.4 billion in the normal course of business. The maximum additional amount of collateral we would have been required