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Derivatives (Tables)
 3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional or Contractual Amounts and Fair Values of Derivatives Table 14.1 presents the total notional or contractual amounts and fair values for our derivatives. Derivative transactions can be measured in terms of the notional amount, but this amount is not recorded on our consolidated balance sheet and is not, when viewed in isolation, a meaningful measure of the risk profile of the instruments. The notional amount is generally not exchanged, but is used only as the basis on which interest and other payments are determined.
Table 14.1: Notional or Contractual Amounts and Fair Values of Derivatives
March 31, 2021December 31, 2020
Notional or Fair value Notional or Fair value 
contractual DerivativeDerivativecontractual DerivativeDerivative
(in millions)amount assetsliabilitiesamount assetsliabilities
Derivatives designated as hedging instruments
Interest rate contracts$169,631 2,144 449 184,090 3,212 789 
Foreign exchange contracts44,756 1,502 551 47,331 1,381 607 
Total derivatives designated as qualifying hedging instruments3,646 1,000 4,593 1,396 
Derivatives not designated as hedging instruments
Economic hedges:
Interest rate contracts251,757 939 945 261,159 341 344 
Equity contracts25,237 1,364 69 25,997 1,363 490 
Foreign exchange contracts63,030 686 1,497 47,106 331 1,515 
Credit contracts72 31 — 73 31 — 
Subtotal3,020 2,511 2,066 2,349 
Customer accommodation trading and other derivatives:
Interest rate contracts9,778,319 29,057 24,058 7,947,941 32,510 25,169 
Commodity contracts72,563 3,758 1,522 65,790 2,036 1,543 
Equity contracts299,633 18,283 18,314 280,195 17,522 21,516 
Foreign exchange contracts424,251 8,131 6,615 412,879 6,891 6,034 
Credit contracts42,380 54 51 34,329 64 58 
Subtotal59,283 50,560 59,023 54,320 
Total derivatives not designated as hedging instruments62,303 53,071 61,089 56,669 
Total derivatives before netting65,949 54,071 65,682 58,065 
Netting(40,520)(39,141)(39,836)(41,556)
Total$25,429 14,930 25,846 16,509 
Gross Fair Values of Derivative Assets and Liabilities
Table 14.2 provides information on the gross fair values of derivative assets and liabilities, the balance sheet netting adjustments and the resulting net fair value amount recorded on our consolidated balance sheet, as well as the non-cash collateral associated with such arrangements. We execute substantially all of our derivative transactions under master netting arrangements and reflect all derivative balances and related cash collateral subject to enforceable master netting arrangements on a net basis within the consolidated balance sheet. The “Gross amounts recognized” column in the following table includes $55.9 billion and $48.0 billion of gross derivative assets and liabilities, respectively, at March 31, 2021, and $54.6 billion and $50.1 billion, respectively, at December 31, 2020, with counterparties subject to enforceable master netting arrangements that are eligible for balance sheet netting adjustments. The majority of these amounts are interest rate contracts executed in over-the-counter (OTC) markets. The remaining gross derivative assets and liabilities of $10.0 billion and $6.1 billion, respectively, at March 31, 2021, and $11.1 billion
and $8.0 billion, respectively, at December 31, 2020, include those with counterparties subject to master netting arrangements for which we have not assessed the enforceability because they are with counterparties where we do not currently have positions to offset, those subject to master netting arrangements where we have not been able to confirm the enforceability and those not subject to master netting arrangements. As such, we do not net derivative balances or collateral within the consolidated balance sheet for these counterparties. Cash collateral receivables and payables that have not been offset against our derivatives were $1.6 billion and $2.9 billion, respectively, at March 31, 2021, and $1.8 billion and $984 million, respectively, at December 31, 2020.
We determine the balance sheet netting adjustments based on the terms specified within each master netting arrangement. We disclose the balance sheet netting amounts within the column titled “Gross amounts offset in consolidated balance sheet.” Balance sheet netting adjustments are determined at the counterparty level for which there may be multiple contract
types. For disclosure purposes, we allocate these netting adjustments to the contract type for each counterparty proportionally based upon the “Gross amounts recognized” by counterparty. As a result, the net amounts disclosed by contract type may not represent the actual exposure upon settlement of the contracts.
We do not net non-cash collateral that we receive and pledge on our consolidated balance sheet. For disclosure purposes, we present the fair value of this non-cash collateral in the column titled “Gross amounts not offset in consolidated balance sheet (Disclosure-only netting)” within the table. We determine and allocate the Disclosure-only netting amounts in the same manner as balance sheet netting amounts.
The “Net amounts” column within Table 14.2 represents the aggregate of our net exposure to each counterparty after considering the balance sheet and Disclosure-only netting adjustments. We manage derivative exposure by monitoring the credit risk associated with each counterparty using counterparty-specific credit risk limits, using master netting arrangements and obtaining collateral. Derivative contracts executed in OTC markets include bilateral contractual arrangements that are not cleared through a central clearing organization but are typically subject to master netting arrangements. The proportion of these derivative contracts relative to our total derivative assets and liabilities are presented in the “Percent exchanged in over-the-counter market” column in Table 14.2. In addition to the netting amounts included in the table, we also have balance sheet netting related to resale and repurchase agreements that are disclosed within Note 12 (Pledged Assets and Collateral).

Table 14.2: Gross Fair Values of Derivative Assets and Liabilities
(in millions)Gross amounts recognized Gross amounts offset in consolidated balance sheet (1)Net amounts in consolidated balance sheetGross amounts not offset in consolidated balance sheet (Disclosure-only netting) Net amountsPercent exchanged in over-the-counter market
March 31, 2021
Derivative assets
Interest rate contracts$32,140 (21,206)10,934 (1,155)9,779 93 %
Commodity contracts3,758 (1,015)2,743 (3)2,740 90 
Equity contracts19,647 (10,886)8,761 (730)8,031 71 
Foreign exchange contracts10,319 (7,356)2,963 (33)2,930 100 
Credit contracts85 (57)28 (1)27 92 
Total derivative assets$65,949 (40,520)25,429 (1,922)23,507 
Derivative liabilities
Interest rate contracts$25,452 (20,904)4,548 (1,712)2,836 89 %
Commodity contracts1,522 (753)769 (5)764 58 
Equity contracts18,383 (11,868)6,515 (710)5,805 75 
Foreign exchange contracts8,663 (5,581)3,082 (507)2,575 100 
Credit contracts51 (35)16 (3)13 93 
Total derivative liabilities$54,071 (39,141)14,930 (2,937)11,993 
December 31, 2020
Derivative assets
Interest rate contracts$36,063 (21,968)14,095 (1,274)12,821 96 %
Commodity contracts2,036 (940)1,096 (4)1,092 84 
Equity contracts18,885 (10,968)7,917 (737)7,180 74 
Foreign exchange contracts8,603 (5,887)2,716 (141)2,575 100 
Credit contracts95 (73)22 (1)21 90 
Total derivative assets$65,682 (39,836)25,846 (2,157)23,689 
Derivative liabilities
Interest rate contracts$26,302 (21,934)4,368 (2,219)2,149 95 %
Commodity contracts1,543 (819)724 — 724 69 
Equity contracts22,006 (12,283)9,723 (837)8,886 78 
Foreign exchange contracts8,156 (6,481)1,675 (529)1,146 100 
Credit contracts58 (39)19 (3)16 91 
Total derivative liabilities$58,065 (41,556)16,509 (3,588)12,921 
(1)Represents amounts with counterparties subject to enforceable master netting arrangements that have been offset in the consolidated balance sheet, including related cash collateral and portfolio level counterparty valuation adjustments. Counterparty valuation adjustments related to derivative assets were $293 million and $399 million and debit valuation adjustments related to derivative liabilities were $205 million and $201 million as of March 31, 2021, and December 31, 2020, respectively. Cash collateral totaled $5.8 billion and $4.5 billion, netted against derivative assets and liabilities, respectively, at March 31, 2021, and $5.5 billion and $7.5 billion, respectively, at December 31, 2020.
Gains (Losses) Recognized on Fair Value Hedging Relationships Table 14.3 and Table 14.4 show the net gains (losses) related to derivatives in fair value and cash flow hedging relationships, respectively.
Table 14.3: Gains (Losses) Recognized on Fair Value Hedging Relationships
Net interest incomeNoninterest incomeTotal recorded in net incomeTotal recorded in OCI
(in millions)Debt securitiesDepositsLong-term debtOtherDerivative gains (losses)Derivative gains (losses)
Quarter ended March 31, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income
$2,312 (112)(1,026)523 N/A47 
Interest contracts
Amounts related to interest settlements on derivatives
(67)91 550 — 574 
Recognized on derivatives1,294 (123)(7,071)— (5,900)— 
Recognized on hedged items(1,258)119 6,944 — 5,805 
Total gains (losses) (pre-tax) on interest rate contracts(31)87 423 — 479 — 
Foreign exchange contracts
Amounts related to interest settlements on derivatives
28 — (1)— 27 
Recognized on derivatives1 — (227)307 81 25 
Recognized on hedged items(1)— 194 (317)(124)
Total gains (losses) (pre-tax) on foreign exchange contracts28 — (34)(10)(16)25 
Total gains (losses) (pre-tax) recognized on fair value hedges
$(3)87 389 (10)463 25 
Quarter ended March 31, 2020
Total amounts presented in the consolidated statement of income and other comprehensive income
$3,472 (1,742)(1,240)863 N/A182 
Interest contracts
Amounts related to interest settlements on derivatives(46)70 174 — 198 
Recognized on derivatives(1,871)530 9,775 — 8,434 — 
Recognized on hedged items1,856 (511)(9,426)— (8,081)
Total gains (losses) (pre-tax) on interest rate contracts(61)89 523 — 551 — 
Foreign exchange contracts
Amounts related to interest settlements on derivatives6 — (85)— (79)
Recognized on derivatives(1)— 107 (785)(679)144 
Recognized on hedged items2 — (174)764 592 
Total gains (losses) (pre-tax) on foreign exchange contracts7 — (152)(21)(166)144 
Total gains (losses) (pre-tax) recognized on fair value hedges
$(54)89 371 (21)385 144 
Gains (Losses) Recognized on Cash Flow Hedging Relationships
Table 14.4: Gains (Losses) Recognized on Cash Flow Hedging Relationships
Net interest incomeTotal recorded in net incomeTotal recorded in OCI
(in millions)LoansLong-term debtDerivative gains (losses)Derivative gains (losses)
Quarter ended March 31, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income$7,191 (1,026)N/A47 
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income(52)— (52)52 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/A(20)
Total gains (losses) (pre-tax) on interest rate contracts(52)— (52)32 
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income— (1)(1)1 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/A(11)
Total gains (losses) (pre-tax) on foreign exchange contracts— (1)(1)(10)
Total gains (losses) (pre-tax) recognized on cash flow hedges$(52)(1)(53)22 
Quarter ended March 31, 2020
Total amounts presented in the consolidated statement of income and other comprehensive income$10,065 (1,240)N/A182 
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income(56)— (56)56 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/A— 
Total gains (losses) (pre-tax) on interest rate contracts(56)— (56)56 
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income— (2)(2)2 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/A(20)
Total gains (losses) (pre-tax) on foreign exchange contracts— (2)(2)(18)
Total gains (losses) (pre-tax) recognized on cash flow hedges$(56)(2)(58)38 
Hedged Items in Fair Value Hedging Relationships
Table 14.5 shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships.

Table 14.5: Hedged Items in Fair Value Hedging Relationship
Hedged items currently designatedHedged items no longer designated (1)
(in millions)Carrying amount of assets/(liabilities) (2)(4)Hedge accounting
basis adjustment
assets/(liabilities) (3)		Carrying amount of assets/(liabilities) (4)Hedge accounting basis adjustment
assets/(liabilities)
March 31, 2021
Available-for-sale debt securities (5)$28,215 (462)16,946 1,050 
Deposits(16,276)(358)— — 
Long-term debt(146,687)(4,956)(5,236)14 
December 31, 2020
Available-for-sale debt securities (5)$29,538 827 17,091 1,111 
Deposits(22,384)(477)— — 
Long-term debt(156,907)(12,466)(14,468)31 
(1)Represents hedged items no longer designated in qualifying fair value hedging relationships for which an associated basis adjustment exists at the balance sheet date.
(2)Does not include the carrying amount of hedged items where only foreign currency risk is the designated hedged risk. The carrying amount excluded for debt securities is $15.3 billion and for long-term debt is $(4.5) billion as of March 31, 2021, and $17.6 billion for debt securities and $(4.7) billion for long-term debt as of December 31, 2020.
(3)The balance includes $202 million and $153 million of debt securities and long-term debt cumulative basis adjustments as of March 31, 2021, respectively, and $205 million and $130 million of debt securities and long-term debt cumulative basis adjustments as of December 31, 2020, respectively, on terminated hedges whereby the hedged items have subsequently been re-designated into existing hedges.
(4)Represents the full carrying amount of the hedged asset or liability item as of the balance sheet date, except for circumstances in which only a portion of the asset or liability was designated as the hedged item in which case only the portion designated is presented.
(5)Carrying amount represents the amortized cost.
Gains (Losses) on Derivatives Not Designated as Hedging Instruments Table 14.6 shows the net gains (losses), recognized by income statement lines, related to derivatives not designated as hedging instruments.
Table 14.6: Gains (Losses) on Derivatives Not Designated as Hedging Instruments
Noninterest incomeNoninterest expense
(in millions)Mortgage bankingNet gains (losses) on trading and securitiesOtherTotalPersonnel expense
Quarter ended March 31, 2021
Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)$(375)— (20)(395)— 
Equity contracts— 425 5 430 (160)
Foreign exchange contracts— — 71 71 — 
Credit contracts— — — — — 
Subtotal(375)425 56 106 (160)
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts(531)1,924 — 1,393 — 
Commodity contracts— 80 — 80 — 
Equity contracts— (1,163)(89)(1,252)— 
Foreign exchange contracts— 464 — 464 — 
Credit contracts— (28)— (28)— 
Subtotal(531)1,277 (89)657 — 
Net gains (losses) recognized related to derivatives not designated as hedging instruments$(906)1,702 (33)763 (160)
Quarter ended March 31, 2020
Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)
$2,471 — 29 2,500 — 
Equity contracts
— 1,219 (28)1,191 — 
Foreign exchange contracts
— — 627 627 — 
Credit contracts
— — 16 16 — 
Subtotal
2,471 1,219 644 4,334 — 
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts
553 (2,463)— (1,910)— 
Commodity contracts
— 112 — 112 — 
Equity contracts
— 4,749 73 4,822 — 
Foreign exchange contracts
— (557)— (557)— 
Credit contracts
— 281 — 281 — 
Subtotal
553 2,122 73 2,748 — 
Net gains (losses) recognized related to derivatives not designated as hedging instruments$3,024 3,341 717 7,082 — 
(1)Mortgage banking amounts for first quarter 2021 are comprised of gains (losses) of $(1.6) billion related to derivatives used as economic hedges of MSRs measured at fair value offset by gains (losses) of $1.3 billion related to derivatives used as economic hedges of mortgage loans held for sale and derivative loan commitments. The corresponding amounts for first quarter 2020 are comprised of gains (losses) of $3.4 billion offset by gains (losses) of $(929) million.
Sold and Purchased Credit Derivatives Table 14.7 provides details of sold and purchased credit derivatives.
Table 14.7: Sold and Purchased Credit Derivatives
Notional amount
(in millions)Fair value assetFair value liabilityProtection sold (A)Protection sold – non-investment gradeProtection purchased with identical underlyings (B)Net protection sold (A)-(B)Other protection purchasedRange of maturities
March 31, 2021
Credit default swaps on:
Corporate bonds$6 2 4,727 1,188 3,297 1,430 3,587 
2021 - 2029
Structured products— 3 16 16 15 1 82 
2034 - 2047
Credit protection on:
Default swap index1 1 3,552 1,165 2,688 864 4,066 
2021 - 2030
Commercial mortgage-backed securities index
2 18 290 36 265 25 75 
2047 - 2072
Asset-backed securities index— 7 41 41 40 1 1 
2045 - 2046
Other— 2 8,098 7,992 — 8,098 11,612 
2021 - 2040
Total credit derivatives$9 33 16,724 10,438 6,305 10,419 19,423 
December 31, 2020
Credit default swaps on:
Corporate bonds$7 2 3,767 971 2,709 1,058 3,012 
2021 - 2029
Structured products— 5 20 20 19 1 84 
2034 - 2047
Credit protection on:
Default swap index— — 1,582 731 559 1,023 3,925 
2021 - 2030
Commercial mortgage-backed securities index
3 21 297 42 272 25 75 
2047 - 2072
Asset-backed securities index— 7 41 41 40 1 1 
2045 - 2046
Other— 4 6,378 6,262 — 6,378 11,621 
2021 - 2040
Total credit derivatives$10 39 12,085 8,067 3,599 8,486 18,718 
Credit-Risk Contingent Features Table 14.8 illustrates our exposure to OTC bilateral derivative contracts with credit-risk contingent features, collateral we have posted, and the additional collateral we would be required to post if the credit rating of our debt was downgraded below investment grade.
Table 14.8: Credit-Risk Contingent Features
(in billions)Mar 31,
2021		Dec 31,
2020
Net derivative liabilities with credit-risk contingent features
$10.3 10.5 
Collateral posted9.1 9.0 
Additional collateral to be posted upon a below investment grade credit rating (1)
1.2 1.5 
(1)Any credit rating below investment grade requires us to post the maximum amount of collateral.