Derivative Financial Instruments (Tables)

12 Months Ended

Dec. 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.

	December 31, 2021				December 31, 2020
	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
	(in millions)
Derivatives accounted for as fair value hedges(1)
Interest rate contracts - bilateral OTC(2)	$	—	$	5	$	—	$	2
Derivatives accounted for as cash flow hedges(1)
Foreign exchange contracts - bilateral OTC(2)	29		—		—		53
Interest rate contracts - bilateral OTC(2)	—		2		—		—
Total derivatives accounted for as hedges	29		7		—		55
Trading derivatives not accounted for as hedges(3)
Exchange-traded(2)	8		10		14		9
OTC-cleared(2)	37		—		—		58
Bilateral OTC(2)	1,756		1,877		6,584		6,555
Interest rate contracts(4)	1,801		1,887		6,598		6,622
OTC-cleared (2)	—		—		168		—
Bilateral OTC(2)	11,321		11,125		18,299		18,549
Foreign exchange contracts	11,321		11,125		18,467		18,549
Equity contracts - bilateral OTC(2)	588		1,240		4,009		4,200
Exchange-traded(2)	4		—		—		28
Bilateral OTC(2)	936		779		1,323		1,550
Precious metals contracts	940		779		1,323		1,578
Credit contracts - bilateral OTC(2)	28		25		367		233
Other non-qualifying derivatives not accounted for as hedges(1)
Interest rate contracts - bilateral OTC(2)	47		5		89		1
Foreign exchange contracts - bilateral OTC(2)	—		1		—		1
Equity contracts - bilateral OTC(2)	1,470		121		1,607		91
OTC-cleared(2)	—		19		—		14
Bilateral OTC(2)	—		38		—		50
Credit contracts	—		57		—		64
Other contracts - bilateral OTC(2)(5)	5		38		8		67
Total derivatives	16,229		15,285		32,468		31,461
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(6)(8)	11,991		11,991		25,537		25,537
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(7)(8)	2,797		1,296		4,079		3,377
Net amounts of derivative assets / liabilities presented in the balance sheet	1,441		1,998		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	179		194		817		691
Net amounts of derivative assets / liabilities	$	1,262	$	1,804	$	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 December 31, 2021 primarily reflects reduced positions driven by the exit or transfer of certain contracts as part of our Restructuring Plan. See Note 3, "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.

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, 2021 and 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
			Active		Discontinued		Total
	(in millions)
At December 31, 2021
Securities available-for-sale ("AFS")	$	7,919	$	(72)	$	1,010	$	938
Deposits	1,598		(27)		125		98
Long-term debt	5,587		(61)		148		87
At December 31, 2020
Securities AFS	7,966		681		738		1,419
Deposits	5,214		214		—		214
Long-term debt	2,227		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 Derivatives		Gain (Loss) on Hedged Items
		(in millions)
Year Ended December 31, 2021
Interest rate contracts / Securities AFS	Net interest income	$	129	$	(29)
Interest rate contracts / Deposits	Net interest income	(49)		(6)
Interest rate contracts / Long-term debt	Net interest income	(30)		(14)
Total		$	50	$	(49)
Year Ended December 31, 2020
Interest rate contracts / Securities AFS	Net interest income	$	(731)	$	900
Interest rate contracts / Deposits	Net interest income	148		(261)
Interest rate contracts / Long-term debt	Net interest income	165		(261)
Total		$	(418)	$	378
Year Ended December 31, 2019
Interest rate contracts / Securities AFS	Net interest income	$	(776)	$	1,086
Interest rate contracts / Long-term debt	Net interest income	235		(703)
Total		$	(541)	$	383

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
	2021		2020		2019			2021		2020		2019
	(in millions)
Year Ended December 31,
Foreign exchange contracts	$	(1)	$	—	$	3	Net interest income	$	—	$	—	$	—
Interest rate contracts	(64)		84		(27)		Net interest income	13		(11)		(35)
Total	$	(65)	$	84	$	(24)		$	13	$	(11)	$	(35)

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
		Year Ended December 31,
		2021		2020		2019
		(in millions)
Interest rate contracts	Trading revenue	$	(11)	$	396	$	(89)
Foreign exchange contracts	Trading revenue	274		(747)		310
Equity contracts	Trading revenue	(2,432)		57		(496)
Precious metals contracts	Trading revenue	145		594		312
Credit contracts	Trading revenue	83		(556)		(445)
Total		$	(1,941)	$	(256)	$	(408)

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
		Year Ended December 31,
		2021		2020		2019
		(in millions)
Interest rate contracts	Gain (loss) on instruments designated at fair value and related derivatives	$	(61)	$	229	$	364
Interest rate contracts	Other income (loss)	(2)		(6)		(1)
Foreign exchange contracts	Gain (loss) on instruments designated at fair value and related derivatives	—		(1)		(3)
Equity contracts	Gain (loss) on instruments designated at fair value and related derivatives	1,139		592		1,809
Credit contracts	Gain (loss) on instruments designated at fair value and related derivatives	—		37		—
Credit contracts	Other income (loss)	(19)		(18)		(24)
Other contracts(1)	Other income (loss)	(2)		(9)		(63)
Total		$	1,055	$	824	$	2,082

(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	$	20	$	68

Notional Value of Derivative Contracts

The following table summarizes the notional values of derivative contracts:

At December 31,	2021		2020
	(in millions)
Interest rate:
Futures and forwards	$	44,686	$	37,098
Swaps	177,876		406,609
Options written	10,842		33,269
Options purchased	12,688		32,427
Total interest rate	246,092		509,403
Foreign exchange:
Swaps, futures and forwards	974,725		1,195,449
Options written	28,577		53,200
Options purchased	28,678		53,595
Spot	31,319		57,040
Total foreign exchange	1,063,299		1,359,284
Commodities, equities and precious metals:
Swaps, futures and forwards	60,054		54,458
Options written	5,873		17,078
Options purchased	11,800		27,083
Total commodities, equities and precious metals	77,727		98,619
Credit derivatives	7,023		52,611
Other contracts(1)	1,204		1,216
Total	$	1,395,345	$	2,021,133

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