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Derivative Financial Instruments (Tables)
9 Months Ended
Sep. 30, 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.
September 30, 2021December 31, 2020
Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative Liabilities
(in millions)
Derivatives accounted for as fair value hedges(1)
Interest rate contracts - bilateral OTC(2)
$ $16 $— $
Derivatives accounted for as cash flow hedges(1)
Foreign exchange contracts - bilateral OTC(2)
6  — 53 
Total derivatives accounted for as hedges6 16 — 55 
Trading derivatives not accounted for as hedges(3)
Exchange-traded(2)
2 1 14 
OTC-cleared(2)
18  — 58 
Bilateral OTC(2)
3,068 2,978 6,584 6,555 
Interest rate contracts(4)
3,088 2,979 6,598 6,622 
Exchange-traded(2)
 2 — — 
OTC-cleared (2)
60  168 — 
Bilateral OTC(2)
11,738 11,542 18,299 18,549 
Foreign exchange contracts11,798 11,544 18,467 18,549 
Exchange-traded(2)
1 4 — — 
Bilateral OTC(2)
885 692 4,009 4,200 
Equity contracts886 696 4,009 4,200 
Exchange-traded(2)
4 1 — 28 
Bilateral OTC(2)
1,404 951 1,323 1,550 
Precious metals contracts1,408 952 1,323 1,578 
Credit contracts - bilateral OTC(2)
36 23 367 233 
Other non-qualifying derivatives not accounted for as hedges(1)
Interest rate contracts - bilateral OTC(2)
55 2 89 
Foreign exchange contracts - bilateral OTC(2)
 1 — 
Equity contracts - bilateral OTC(2)
1,469 128 1,607 91 
OTC-cleared(2)
 13 — 14 
Bilateral OTC(2)
 42 — 50 
Credit contracts 55 — 64 
Other contracts - bilateral OTC(2)(5)
5 44 67 
Total derivatives18,751 16,440 32,468 31,461 
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(6)(8)
13,172 13,172 25,537 25,537 
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(7)(8)
3,577 1,518 4,079 3,377 
Net amounts of derivative assets / liabilities presented in the balance sheet2,002 1,750 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
222 74 817 691 
Net amounts of derivative assets / liabilities$1,780 $1,676 $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 September 30, 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 September 30, 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 September 30, 2021
Securities available-for-sale ("AFS")$7,871 $(92)$1,033 $941 
Deposits1,621 (11)132 121 
Long-term debt5,646 (12)158 146 
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 September 30, 2021
Interest rate contracts / Securities AFSNet interest income$29 $(4)
Interest rate contracts / DepositsNet interest income(3)(13)
Interest rate contracts / Long-term debtNet interest income2 (17)
Total$28 $(34)
Three Months Ended September 30, 2020
Interest rate contracts / Securities AFSNet interest income$182 $(135)
Interest rate contracts / DepositsNet interest income33 (69)
Interest rate contracts / Long-term debtNet interest income(56)32 
Total$159 $(172)
Nine Months Ended September 30, 2021
Interest rate contracts / Securities AFSNet interest income$221 $(144)
Interest rate contracts / DepositsNet interest income(35)(5)
Interest rate contracts / Long-term debtNet interest income(12)(28)
Total$174 $(177)
Nine Months Ended September 30, 2020
Interest rate contracts / Securities AFSNet interest income$(962)$1,095 
Interest rate contracts / DepositsNet interest income153 (250)
Interest rate contracts / Long-term debtNet interest income171 (258)
Total$(638)$587 
Schedule of Gains and Losses on Cash Flow Hedging Instruments
The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from discontinued cash flow hedges) and their locations on the consolidated statement of income (loss):
 Gain (Loss) Recognized in
AOCI on Derivatives
Location of Gain (Loss)
Reclassified from AOCI into Income
Gain (Loss) Reclassified From
AOCI into Income
2021202020212020
 (in millions)
Three Months Ended September 30,
Foreign exchange contracts$ $— Net interest income$ $— 
Interest rate contracts(3)(14)Net interest income6 (1)
Total$(3)$(14)$6 $(1)
Nine Months Ended September 30,
Foreign exchange contracts$(1)$— Net interest income$ $— 
Interest rate contracts(27)99 Net interest income9 (11)
Total$(28)$99 $9 $(11)
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 September 30,Nine Months Ended September 30,
2021202020212020
 (in millions)
Interest rate contractsTrading revenue (expense)$45 $773 $197 $655 
Foreign exchange contractsTrading revenue (expense)(56)(355)112 (1,164)
Equity contractsTrading revenue (expense)(20)(385)(1,000)683 
Precious metals contractsTrading revenue (expense)74 67 115 450 
Credit contractsTrading revenue (expense)(70)16 101 (606)
Total$(27)$116 $(475)$18 
Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities
The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their locations on the consolidated statement of income (loss):
 Location of Gain (Loss)
Recognized in Income on Derivatives
Gain (Loss) Recognized in Income on Derivatives
Three Months Ended September 30,Nine Months Ended September 30,
2021202020212020
 (in millions)
Interest rate contractsGain on instruments designated at fair value and related derivatives$(8)$(13)$(62)$256 
Interest rate contractsOther income (loss)(1)— (2)(1)
Foreign exchange contractsGain on instruments designated at fair value and related derivatives —  (2)
Equity contractsGain on instruments designated at fair value and related derivatives(62)306 810 (307)
Credit contractsGain on instruments designated at fair value and related derivatives —  37 
Credit contractsOther income (loss)(5)(15)(17)(2)
Other contracts(1)
Other income (loss)3 (2) (3)
Total$(73)$276 $729 $(22)
(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$20 $67 
Notional Value of Derivative Contracts The following table summarizes the notional values of derivative contracts:
September 30, 2021December 31, 2020
 (in millions)
Interest rate:
Futures and forwards$53,008 $37,098 
Swaps298,670 406,609 
Options written11,924 33,269 
Options purchased11,825 32,427 
Total interest rate375,427 509,403 
Foreign exchange:
Swaps, futures and forwards1,011,881 1,195,449 
Options written34,689 53,200 
Options purchased34,772 53,595 
Spot62,981 57,040 
Total foreign exchange1,144,323 1,359,284 
Commodities, equities and precious metals:
Swaps, futures and forwards64,012 54,458 
Options written2,708 17,078 
Options purchased11,613 27,083 
Total commodities, equities and precious metals78,333 98,619 
Credit derivatives7,465 52,611 
Other contracts(1)
1,238 1,216 
Total$1,606,786 $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.