Financial Derivatives (Tables)

6 Months Ended

Jun. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Table 72: Total Gross Derivatives (a)


	June 30, 2022						December 31, 2021
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	$	21,579					$	23,345
Cash flow hedges	46,432		$	19	$	40	48,961		$	15	$	14
Foreign exchange contracts:
Net investment hedges	1,235		85		1		1,113				24
Total derivatives designated for hedging	$	69,246	$	104	$	41	$	73,419	$	15	$	38
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	45,412			$	3	$	35,623
Futures (f)	5,228						4,592
Mortgage-backed commitments	6,189		$	74	61		9,917		$	55	$	31
Other	18,456		124		15		12,225		46		12
Total interest rate contracts	75,285		198		79		62,357		101		43
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	320,717		1,259		3,459		297,711		3,335		1,520
Futures (f)	520						907
Mortgage-backed commitments	2,181		10		8		4,147		5		6
Other	30,112		250		229		25,718		125		72
Total interest rate contracts	353,530		1,519		3,696		328,483		3,465		1,598
Commodity contracts:
Swaps	8,917		2,469		2,567		8,840		1,150		1,161
Other	6,049		665		663		3,128		213		212
Total commodity contracts	14,966		3,134		3,230		11,968		1,363		1,373
Foreign exchange contracts and other	29,074		375		329		27,563		199		179
Total derivatives for customer-related activities	397,570		5,028		7,255		368,014		5,027		3,150
Derivatives used for other risk management activities:
Foreign exchange contracts and other	11,192		62		215		11,512		9		339
Total derivatives not designated for hedging	$	484,047	$	5,288	$	7,549	$	441,883	$	5,137	$	3,532
Total gross derivatives	$	553,293	$	5,392	$	7,590	$	515,302	$	5,152	$	3,570
Less: Impact of legally enforceable master netting agreements			1,577		1,577				928		928
Less: Cash collateral received/paid			578		2,288				604		1,657
Total derivatives			$	3,237	$	3,725			$	3,620	$	985

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

Schedule of Fair Value and Cash Flow Hedges

Further detail regarding gains (losses) related to our fair value and cash flow hedge derivatives is presented in the following table:

Table 73: 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 June 30, 2022
Total amounts in the Consolidated Income Statement	$	2,504	$	631	$	142	$	177
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(28)	$	443
Derivatives			$	30	$	(451)
Amounts related to interest settlements on derivatives			$	(2)	$	74
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	25
For the three months ended June 30, 2021
Total amounts in the Consolidated Income Statement	$	2,160	$	469	$	90	$	339
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	3	$	(106)
Derivatives			$	(2)	$	93
Amounts related to interest settlements on derivatives			$	(1)	$	131
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	91	$	16			$	1
For the six months ended June 30, 2022
Total amounts on the Consolidated Income Statement	$	4,797	$	1,175	$	225	$	388
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(46)	$	1,377
Derivatives			$	49	$	(1,395)
Amounts related to interest settlements on derivatives			$	(3)	$	184
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	117	$	10
For the six months ended June 30, 2021
Total amounts on the Consolidated Income Statement	$	4,156	$	890	$	185	$	639
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(5)	$	540
Derivatives			$	7	$	(571)
Amounts related to interest settlements on derivatives			$	(2)	$	265
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from AOCI	$	191	$	38			$	14

(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

Detail regarding the impact of fair value hedge accounting on the carrying value of the hedged items is presented in the following table:

Table 74: Hedged Items - Fair Value Hedges


	June 30, 2022				December 31, 2021
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)	$	3,277	$	(23)	$	2,655	$	23
Borrowed funds	$	20,346	$	(715)	$	24,259	$	663

(a)Includes less than $(0.1) billion and $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at June 30, 2022 and December 31, 2021, respectively.

(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 75: Gains (Losses) on Derivatives Not Designated for Hedging


	Three months ended June 30					Six months ended June 30
In millions		2022		2021			2022		2021
Derivatives used for mortgage banking activities:
Interest rate contracts (a)		$	(190)	$	216		$	(455)	$	(106)
Derivatives used for customer-related activities:
Interest rate contracts		69		15			166		97
Foreign exchange contracts and other		(20)		43			24		65
Gains (losses) from customer-related activities (b)		49		58			190		162
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)		216		(29)			263		19
Total gains (losses) from derivatives not designated as hedging instruments		$	75	$	245		$	(2)	$	75

(a)Included in Residential and commercial mortgage noninterest income on our Consolidated Income Statement.

(b)Included in Capital markets related and Other noninterest income on our Consolidated Income Statement.

Derivative Assets And Liabilities Offsetting

Table 76: 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
June 30, 2022
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	43					$	43				$	43

Over-the-counter	1,693		$	634	$	318	741			$	23	718
Commodity contracts	3,134		676		138		2,320					2,320
Foreign exchange and other contracts	522		267		122		133					133
Total derivative assets	$	5,392	$	1,577	$	578	$	3,237	(a)	$	23	$	3,214
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	28					$	28				$	28

Over-the-counter	3,787		$	680	$	761	2,346					2,346
Commodity contracts	3,230		802		1,513		915					915
Foreign exchange and other contracts	545		95		14		436					436
Total derivative liabilities	$	7,590	$	1,577	$	2,288	$	3,725	(b)			$	3,725
December 31, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	20					$	20				$	20

Over-the-counter	3,561		$	533	$	593	2,435			$	300	2,135
Commodity contracts	1,363		299		1		1,063					1,063
Foreign exchange and other contracts	208		96		10		102					102
Total derivative assets	$	5,152	$	928	$	604	$	3,620	(a)	$	300	$	3,320
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	12					$	12				$	12

Over-the-counter	1,643		$	569	$	776	298					298
Commodity contracts	1,373		291		784		298					298
Foreign exchange and other contracts	542		68		97		377					377
Total derivative liabilities	$	3,570	$	928	$	1,657	$	985	(b)			$	985

(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.

Credit-Risk Contingent Features

Table 77: Credit-Risk Contingent Features


In billions	June 30 2022		December 31 2021
Net derivative liabilities with credit-risk contingent features	$	5.6	$	2.4
Collateral posted	3.0		1.8
Maximum additional amount of collateral exposure	$	2.6	$	0.6

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4B
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624163-113959

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1B
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5580258-113959

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41620-113959

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1A
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579245-113959

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41638-113959

Reference 6: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 8
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41678-113959

Reference 7: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 5
-URI http://asc.fasb.org/extlink&oid=125515794&loc=d3e41641-113959

Reference 8: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5624171-113959

Reference 9: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 1
-URI http://asc.fasb.org/extlink&oid=125515794&loc=SL5579240-113959

+ Details