Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the fair value of derivative contracts by major product type on a gross basis. Gross fair values exclude the effects of both counterparty netting as well as collateral, and therefore are not representative of our exposure. The table below also presents the amounts of counterparty netting and cash collateral that have been offset in the consolidated balance sheet, as well as cash and securities collateral posted and received under enforceable master netting agreements that do not meet the criteria for netting. Derivative assets and liabilities which are not subject to an enforceable master netting agreement, or are subject to a netting agreement where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, have not been netted in the following table. Where we have received or posted collateral under netting agreements where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, the related collateral also has not been netted in the following table.



	December 31, 2019				December 31, 2018
	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
	(in millions)
Derivatives accounted for as fair value hedges⁽¹⁾
OTC-cleared⁽²⁾	$	—	$	1	$	6	$	—
Bilateral OTC⁽²⁾	—		164		—		117
Interest rate contracts	—		165		6		117
Derivatives accounted for as cash flow hedges⁽¹⁾
Foreign exchange contracts - bilateral OTC⁽²⁾	16		20		11		32
Interest rate contracts - bilateral OTC⁽²⁾	—		1		—		13
Total derivatives accounted for as hedges	16		186		17		162
Trading derivatives not accounted for as hedges⁽³⁾
Exchange-traded⁽²⁾	110		3		2		45
OTC-cleared⁽²⁾	167		29		50		14
Bilateral OTC⁽²⁾	11,990		13,324		9,866		10,780
Interest rate contracts	12,267		13,356		9,918		10,839
Exchange-traded⁽²⁾	80		—		—		15
Bilateral OTC⁽²⁾	16,440		15,786		15,897		15,684
Foreign exchange contracts	16,520		15,786		15,897		15,699
Equity contracts - bilateral OTC⁽²⁾	3,753		3,993		2,034		2,061
Exchange-traded⁽²⁾	71		80		16		274
Bilateral OTC⁽²⁾	1,087		1,309		829		626
Precious metals contracts	1,158		1,389		845		900
OTC-cleared⁽²⁾	1		—		125		107
Bilateral OTC⁽²⁾	1,138		1,024		825		831
Credit contracts	1,139		1,024		950		938
Other non-qualifying derivatives not accounted for as hedges⁽¹⁾
Interest rate contracts - bilateral OTC⁽²⁾	128		51		133		216
Foreign exchange contracts - bilateral OTC⁽²⁾	—		—		13		2
Equity contracts - bilateral OTC⁽²⁾	1,354		75		512		805
Credit contracts - bilateral OTC⁽²⁾	—		44		6		9
Other contracts - bilateral OTC⁽²⁾⁽⁴⁾	10		85		5		40
Total derivatives	36,345		35,989		30,330		31,671
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements⁽⁵⁾⁽⁷⁾	29,510		29,510		25,172		25,172
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements⁽⁶⁾⁽⁷⁾	3,683		4,390		2,020		3,675
Net amounts of derivative assets / liabilities presented in the balance sheet	3,152		2,089		3,138		2,824
Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet	891		553		832		568
Net amounts of derivative assets / liabilities	$	2,261	$	1,536	$	2,306	$	2,256


⁽¹⁾	Derivative assets / liabilities related to cash flow hedges, fair value hedges and derivative instruments held for purposes other than for trading are recorded in other assets / interest, taxes and other liabilities on the consolidated balance sheet.

⁽²⁾

Over-the-counter ("OTC") derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. The credit risk associated with bilateral OTC derivatives is managed through obtaining collateral and enforceable master netting agreements. OTC-cleared derivatives are executed bilaterally in the OTC market but then novated to a central clearing counterparty, whereby the central clearing counterparty becomes the counterparty to each of the original counterparties. Exchange traded derivatives are executed directly on an organized exchange. Credit risk is minimized for OTC-cleared derivatives and exchange traded derivatives through daily margining requirements. In addition, OTC-cleared interest rate and, beginning in the third quarter of 2019, credit derivatives with certain central clearing counterparties are settled daily.


⁽³⁾	Trading related derivative assets / liabilities are recorded in trading assets / trading liabilities on the consolidated balance sheet.


⁽⁴⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Inc. ("Visa") Class B common shares ("Class B Shares").


⁽⁵⁾	Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.


⁽⁶⁾	Represents the netting of cash collateral posted and received by counterparty under enforceable netting agreements.


⁽⁷⁾	Netting is performed at a counterparty level in cases where enforceable master netting agreements are in place, regardless of the type of derivative instrument. Therefore, we have not allocated netting to the different types of derivative instruments shown in the table above.

Schedule of Gains and Losses on Fair Value Hedging Instruments

The following table presents the carrying amount of hedged items in fair value hedges recognized in the consolidated balance sheet at December 31, 2019, along with the cumulative amount of fair value hedging adjustments included in the carrying amount of those hedged items:



	Carrying Amount of Hedged Items⁽¹⁾		Cumulative Amount of Fair Value Hedging Adjustments Increasing (Decreasing) the Carrying Amount of Hedged Items
	Carrying Amount of Hedged Items⁽¹⁾		Active		Discontinued			Total
	(in millions)
At December 31, 2019
Securities available-for-sale ("AFS")	$	7,277	$	554	$	428		$	982
Long-term debt	10,975		285		(32		)	253


⁽¹⁾	The carrying amount of securities AFS represents the amortized cost basis.

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments and the hedged items in fair value hedges and their locations on the consolidated statement of income (loss):



	Gain (Loss) on Derivatives⁽¹⁾						Gain (Loss) on Hedged Items⁽¹⁾						Net Ineffective Gain (Loss) Recognized⁽¹⁾
	Net Interest Income			Other Income			Net Interest Income			Other Income			Other Income
	(in millions)
Year Ended December 31, 2019
Interest rate contracts / Securities AFS	$	(776	)	$	—		$	1,086		$	—		$	—
Interest rate contracts / Long-term debt	235			—			(703		)	—			—
Total	$	(541	)	$	—		$	383		$	—		$	—

Year Ended December 31, 2018
Interest rate contracts / Securities AFS	$	(41	)	$	322		$	362		$	(309	)	$	13
Interest rate contracts / Long-term debt	(58		)	74			(233		)	(74		)	—
Total	$	(99	)	$	396		$	129		$	(383	)	$	13

Year Ended December 31, 2017
Interest rate contracts / Securities AFS	$	(121	)	$	33		$	367		$	(35	)	$	(2	)
Interest rate contracts / Long-term debt	12			(24		)	(257		)	29			5
Total	$	(109	)	$	9		$	110		$	(6	)	$	3

⁽¹⁾

As a result of adopting new accounting guidance discussed in Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," beginning January 1, 2019, we report gains and losses on the derivatives and the hedged items in fair value hedges in net interest income. Prior to January 1, 2019, fair value hedge ineffectiveness was separately measured and reported in other income.

Schedule of Gains and Losses on Cash Flow Hedging Instruments

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from discontinued cash flow hedges) and their locations on the consolidated statement of income (loss):



	Gain (Loss) Recognized in AOCI on Derivatives⁽¹⁾									Location of Gain (Loss) Reclassified from AOCI into Income⁽¹⁾	Gain (Loss) Reclassified From AOCI into Income⁽¹⁾
	2019			2018			2017				2019			2018			2017
	(in millions)
Year Ended December 31,
Foreign exchange contracts	$	3		$	(2	)	$	1		Net interest income	$	—		$	—		$	—
Interest rate contracts	(27		)	31			(30		)	Net interest income	(35		)	(23		)	(17		)
Total	$	(24	)	$	29		$	(29	)		$	(35	)	$	(23	)	$	(17	)

⁽¹⁾

As a result of adopting new accounting guidance discussed in Note 2, "Summary of Significant Accounting Policies and New Accounting Pronouncements," beginning January 1, 2019, gains and losses on the derivatives in cash flow hedges are initially reported in AOCI and then reclassified into earnings in the same accounting period in which the designated forecasted transaction or hedged item affects earnings. Prior to January 1, 2019, cash flow hedge ineffectiveness was separately measured and reported immediately in other income. Cash flow hedge ineffectiveness was immaterial during 2018 and 2017.

Schedule of Gains and Losses on Derivative Instruments Included in Trading Activities

The following table presents information on gains and losses on derivative instruments held for trading purposes and their locations on the consolidated statement of income (loss):



	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Year Ended December 31,
		2019			2018			2017
		(in millions)
Interest rate contracts	Trading revenue	$	(89	)	$	303		$	(209	)
Foreign exchange contracts	Trading revenue	310			105			192
Equity contracts	Trading revenue	(496		)	100			2
Precious metals contracts	Trading revenue	312			376			220
Credit contracts	Trading revenue	(445		)	(52		)	(110		)
Total		$	(408	)	$	832		$	95

Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities

The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their locations on the consolidated statement of income (loss):



	Location of Gain (Loss) Recognized in Income on Derivatives	Amount of Gain (Loss) Recognized in Income on Derivatives
		Year Ended December 31,
		2019			2018			2017
		(in millions)
Interest rate contracts	Gain (loss) on instruments designated at fair value and related derivatives	$	364		$	(120	)	$	62
Interest rate contracts	Other income	(1		)	(1		)	—
Foreign exchange contracts	Gain (loss) on instruments designated at fair value and related derivatives	(3		)	(11		)	6
Equity contracts	Gain (loss) on instruments designated at fair value and related derivatives	1,809			(981		)	1,121
Credit contracts	Other income	(24		)	(3		)	(43		)
Other contracts⁽¹⁾	Other income	(63		)	(15		)	(10		)
Total		$	2,082		$	(1,131	)	$	1,136


⁽¹⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

Credit-Risk Related Contingent Features

The following table presents the amount of additional collateral that we would be required to post (from the current collateral level) related to derivative instruments with credit-risk related contingent features if our long-term ratings were downgraded by one or two notches. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another rating agency will generally not result in additional collateral.



	One-notch downgrade		Two-notch downgrade
	(in millions)
Amount of additional collateral to be posted upon downgrade	$	12	$	19

Notional Value of Derivative Contracts

The following table summarizes the notional values of derivative contracts:



At December 31,	2019		2018
	(in millions)
Interest rate:
Futures and forwards	$	597,980	$	787,049
Swaps	2,130,442		3,203,048
Options written	158,861		106,009
Options purchased	164,265		107,561
	3,051,548		4,203,667
Foreign exchange:
Swaps, futures and forwards	1,362,959		1,052,088
Options written	44,876		30,567
Options purchased	46,085		31,069
Spot	67,060		31,084
	1,520,980		1,144,808
Commodities, equities and precious metals:
Swaps, futures and forwards	55,678		41,328
Options written	39,035		28,595
Options purchased	49,517		40,236
	144,230		110,159
Credit derivatives	90,049		97,298
Other contracts⁽¹⁾	1,044		736
Total	$	4,807,851	$	5,556,668


⁽¹⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

- 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.

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