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Derivative Financial Instruments (Tables)
3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments 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.
March 31, 2021December 31, 2020
Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
(in millions)
Derivatives accounted for as fair value hedges(1)
OTC-cleared(2)
$ $39 $— $— 
Bilateral OTC(2)
5 5 — 
Interest rate contracts5 44 — 
Derivatives accounted for as cash flow hedges(1)
Foreign exchange contracts - bilateral OTC(2)
51  — 53 
Total derivatives accounted for as hedges56 44 — 55 
Trading derivatives not accounted for as hedges(3)
Exchange-traded(2)
7 4 14 
OTC-cleared(2)
89  — 58 
Bilateral OTC(2)
3,524 3,258 6,584 6,555 
Interest rate contracts(4)
3,620 3,262 6,598 6,622 
OTC-cleared (2)
45  168 — 
Bilateral OTC(2)
15,671 14,694 18,299 18,549 
Foreign exchange contracts15,716 14,694 18,467 18,549 
Equity contracts - bilateral OTC(2)
2,685 2,843 4,009 4,200 
Exchange-traded(2)
14  — 28 
Bilateral OTC(2)
1,363 1,228 1,323 1,550 
Precious metals contracts1,377 1,228 1,323 1,578 
Credit contracts - bilateral OTC(2)
339 178 367 233 
Other non-qualifying derivatives not accounted for as hedges(1)
Interest rate contracts - bilateral OTC(2)
55 3 89 
Foreign exchange contracts - bilateral OTC(2)
 1 — 
Equity contracts - bilateral OTC(2)
1,772 51 1,607 91 
OTC-cleared(2)
  — 14 
Bilateral OTC(2)
 49 — 50 
Credit contracts 49 — 64 
Other contracts - bilateral OTC(2)(5)
7 57 67 
Total derivatives25,627 22,410 32,468 31,461 
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(6)(8)
18,641 18,641 25,537 25,537 
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(7)(8)
4,360 1,953 4,079 3,377 
Net amounts of derivative assets / liabilities presented in the balance sheet2,626 1,816 2,852 2,547 
Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet
561 88 817 691 
Net amounts of derivative assets / liabilities$2,065 $1,728 $2,035 $1,856 
(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 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)The decreases in interest rate derivative assets and liabilities at March 31, 2021 primarily reflects reduced positions driven by the exit or transfer of certain contracts as part of our Restructuring Plan. See Note 2, "Strategic Initiatives," for additional information.
(5)Consists of swap agreements entered into in conjunction with the sales of Visa Inc. ("Visa") Class B common shares ("Class B Shares").
(6)Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.
(7)Represents the netting of cash collateral posted and received by counterparty under enforceable netting agreements.
(8)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.
[1]
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 March 31, 2021 and December 31, 2020, 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
ActiveDiscontinuedTotal
 (in millions)
At March 31, 2021
Securities available-for-sale ("AFS")$7,952 $53 $703 $756 
Deposits3,640 140  140 
Long-term debt3,636 (40)176 136 
At December 31, 2020
Securities AFS7,966 681 738 1,419 
Deposits5,214 214  214 
Long-term debt2,227 242 (15)227 
(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):
 Location of Gain (Loss)
Recognized in Income
Gain (Loss) on DerivativesGain (Loss) on Hedged Items
 (in millions)
Three Months Ended March 31, 2021
Interest rate contracts / Securities AFSNet interest income$574 $(547)
Interest rate contracts / DepositsNet interest income(43)29 
Interest rate contracts / Long-term debtNet interest income(77)67 
Total$454 $(451)
Three Months Ended March 31, 2020
Interest rate contracts / Securities AFSNet interest income$(1,156)$1,178 
Interest rate contracts / DepositsNet interest income120 (146)
Interest rate contracts / Long-term debtNet interest income177 (229)
Total$(859)$803 
Schedule of Gains and Losses on Cash Flow Hedging Instruments
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from discontinued cash flow hedges) and their locations on the consolidated statement of income (loss):
 Gain (Loss) Recognized in
AOCI on Derivatives
Location of Gain (Loss)
Reclassified from AOCI into Income
Gain (Loss) Reclassified From
AOCI into Income
2021202020212020
 (in millions)
Three Months Ended March 31,
Foreign exchange contracts$(1)$— Net interest income$ $— 
Interest rate contracts(16)113 Net interest income(1)(6)
Total$(17)$113 $(1)$(6)
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
Gain (Loss) Recognized in Income on Derivatives
Three Months Ended March 31,
20212020
 (in millions)
Interest rate contractsTrading revenue$429 $17 
Foreign exchange contractsTrading revenue116 (665)
Equity contractsTrading revenue(279)1,257 
Precious metals contractsTrading revenue(80)160 
Credit contractsTrading revenue215 (657)
Total$401 $112 
Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities
The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their locations on the consolidated statement of income (loss):
 Location of Gain (Loss)
Recognized in Income on Derivatives
Gain (Loss) Recognized in Income on Derivatives
Three Months Ended March 31,
20212020
 (in millions)
Interest rate contractsGain (loss) on instruments designated at fair value and related derivatives$(117)$250 
Interest rate contractsOther income2 (3)
Foreign exchange contractsGain (loss) on instruments designated at fair value and related derivatives (2)
Equity contractsGain (loss) on instruments designated at fair value and related derivatives486 (1,698)
Credit contractsGain (loss) on instruments designated at fair value and related derivatives 37 
Credit contractsOther income(6)51 
Other contracts(1)
Other income2 11 
Total$367 $(1,354)
(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 downgradeTwo-notch downgrade
 (in millions)
Amount of additional collateral to be posted upon downgrade$17 $35 
Notional Value of Derivative Contracts The following table summarizes the notional values of derivative contracts:
March 31, 2021December 31, 2020
 (in millions)
Interest rate:
Futures and forwards$24,317 $37,098 
Swaps299,206 406,609 
Options written20,766 33,269 
Options purchased22,579 32,427 
Total interest rate366,868 509,403 
Foreign exchange:
Swaps, futures and forwards1,132,775 1,195,449 
Options written36,859 53,200 
Options purchased37,250 53,595 
Spot40,632 57,040 
Total foreign exchange1,247,516 1,359,284 
Commodities, equities and precious metals:
Swaps, futures and forwards62,759 54,458 
Options written10,340 17,078 
Options purchased19,783 27,083 
Total commodities, equities and precious metals92,882 98,619 
Credit derivatives43,387 52,611 
Other contracts(1)
1,177 1,216 
Total$1,751,830 $2,021,133 
(1)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.
[1] 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.