XML 50 R27.htm IDEA: XBRL DOCUMENT v3.22.0.1
Derivative Financial Instruments
 12 Months Ended
Dec. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments Derivative Financial Instruments
Impact of Derivatives on the Consolidated Balance Sheets

The following table presents the gross notional amounts and estimated fair value of derivative instruments employed by the Company. Truist held no cash flow hedges as of December 31, 2021 and December 31, 2020.
 20212020
December 31,
(Dollars in millions)		Notional AmountFair ValueNotional AmountFair Value
GainLossGainLoss
Fair value hedges:   
Interest rate contracts:   
Swaps hedging long-term debt $12,690 $— $(6)$— $— $— 
Swaps hedging AFS securities12,711 — (2)17,765 — — 
Total25,401 — (8)17,765 — — 
Not designated as hedges:      
Client-related and other risk management:      
Interest rate contracts:      
Swaps150,223 1,716 (733)156,338 3,399 (862)
Options23,659 43 (30)25,386 45 (18)
Forward commitments2,404 2 (5)4,847 9 (11)
Other2,927 — — 2,573 — — 
Equity contracts34,232 1,582 (2,089)31,152 1,856 (2,297)
Credit contracts:
Loans and leases570 — (2)1,056 — (5)
Risk participation agreements8,145 — (4)7,802 1 (13)
Total return swaps1,445 3 (19)1,296 13 (33)
Foreign exchange contracts16,102 160 (156)12,066 189 (219)
Commodity4,641 475 (468)2,872 130 (124)
Total244,348 3,981 (3,506)245,388 5,642 (3,582)
Mortgage banking:      
Interest rate contracts:      
Swaps441 — — 687 — — 
Interest rate lock commitments4,163 30 (7)8,609 186 (3)
When issued securities, forward rate agreements and forward commitments
6,913 7 (15)11,691 6 (73)
Other424 1 — 466 — — 
Total11,941 38 (22)21,453 192 (76)
MSRs:      
Interest rate contracts:      
Swaps12,837 — — 36,161 — (5)
Options101 1 — 101 — — 
When issued securities, forward rate agreements and forward commitments
3,927 7 — 1,314 7 — 
Other2,017 — — 760 — — 
Total18,882 8 — 38,336 7 (5)
Total derivatives not designated as hedges275,171 4,027 (3,528)305,177 5,841 (3,663)
Total derivatives$300,572 4,027 (3,536)$322,942 5,841 (3,663)
Gross amounts in the Consolidated Balance Sheets:    
Amounts subject to master netting arrangements
(1,312)1,312  (1,561)1,561 
Cash collateral (received) posted for amounts subject to master netting arrangements
 (345)1,638  (443)1,547 
Net amount $2,370 $(586) $3,837 $(555)
The following table presents the offsetting of derivative instruments including financial instrument collateral related to legally enforceable master netting agreements and amounts held or pledged as collateral. U.S. GAAP does not permit netting of non-cash collateral balances in the Consolidated Balance Sheets:
December 31, 2021
(Dollars in millions)		Gross AmountAmount OffsetNet Amount in Consolidated Balance SheetsHeld/Pledged Financial InstrumentsNet Amount
Derivative assets:
Derivatives subject to master netting arrangement or similar arrangement$2,752 $(1,221)$1,531 $(1)$1,530 
Derivatives not subject to master netting arrangement or similar arrangement388 — 388 — 388 
Exchange traded derivatives887 (436)451 — 451 
Total derivative assets$4,027 $(1,657)$2,370 $(1)$2,369 
Derivative liabilities:
Derivatives subject to master netting arrangement or similar arrangement$(2,873)$2,514 $(359)$66 $(293)
Derivatives not subject to master netting arrangement or similar arrangement(225)— (225)— (225)
Exchange traded derivatives(438)436 (2)— (2)
Total derivative liabilities$(3,536)$2,950 $(586)$66 $(520)
December 31, 2020
(Dollars in millions)		Gross AmountAmount OffsetNet Amount in Consolidated Balance SheetsHeld/Pledged Financial InstrumentsNet Amount
Derivative assets:
Derivatives subject to master netting arrangement or similar arrangement$4,383 $(1,618)$2,765 $(2)$2,763 
Derivatives not subject to master netting arrangement or similar arrangement705 — 705 (1)704 
Exchange traded derivatives753 (386)367 — 367 
Total derivative assets$5,841 $(2,004)$3,837 $(3)$3,834 
Derivative liabilities:
Derivatives subject to master netting arrangement or similar arrangement$(3,103)$2,722 $(381)$35 $(346)
Derivatives not subject to master netting arrangement or similar arrangement(174)— (174)— (174)
Exchange traded derivatives(386)386 — — — 
Total derivative liabilities$(3,663)$3,108 $(555)$35 $(520)

The following table presents the carrying value of hedged items in fair value hedging relationships:
20212020
Hedge Basis AdjustmentHedge Basis Adjustment
December 31,
(Dollars in millions)		Hedged Asset / Liability BasisItems Currently DesignatedItems No Longer DesignatedHedged Asset / Liability BasisItems Currently DesignatedItems No Longer Designated
AFS securities (1)$108,758 $(400)$(150)$100,988 $(33)$50 
Loans and leases382 — 12 470 — 18 
Long-term debt27,361 (137)629 27,725 — 930 
(1)The amortized cost of AFS securities was $110.6 billion at December 31, 2021 and $99.4 billion at December 31, 2020.
Impact of Derivatives on the Consolidated Statements of Income and Comprehensive Income

Derivatives Designated as Hedging Instruments under GAAP

No portion of the change in fair value of derivatives designated as hedges has been excluded from effectiveness testing.

The following table summarizes amounts related to cash flow hedges, which consist of interest rate contracts.
Year Ended December 31,
(Dollars in millions)		202120202019
Pre-tax gain (loss) recognized in OCI:
Deposits$— $— $(42)
Short-term borrowings— — 2 
Long-term debt— — (76)
Total$— $— $(116)
Pre-tax gain (loss) reclassified from AOCI into interest expense:
Deposits$(2)$(8)$(1)
Short-term borrowings(12)(19)(10)
Long-term debt(22)(21)(14)
Total$(36)$(48)$(25)
Pre-tax gain (loss) reclassified from AOCI into other expense: (1)
Deposits$(12)$— $— 
Short-term borrowings(20)— — 
Long-term debt(4)— — 
Total$(36)$— $— 
(1)Represents the accelerated amortization of amounts reclassified from AOCI, where management determined that the forecasted transaction is probable of not occurring.

The following table summarizes the impact on net interest income related to fair value hedges:
Year Ended December 31,
(Dollars in millions)		202120202019
AFS securities:
Amounts related to interest settlements$(48)$(3)$— 
Recognized on derivatives571 29 (16)
Recognized on hedged items
(568)(41)8 
Net income (expense) recognized(45)(15)$(8)
Loans and leases:
Amounts related to interest settlements— (1)— 
Recognized on derivatives— (3)(21)
Recognized on hedged items
(5)1 19 
Net income (expense) recognized(5)(3)(2)
Long-term debt:
Amounts related to interest settlements18 182 (56)
Recognized on derivatives(136)831 170 
Recognized on hedged items
435 (732)(151)
Net income (expense) recognized317 281 (37)
Net income (expense) recognized, total
$267 $263 $(47)

The following table presents information about the Company’s terminated cash flow and fair value hedges:
December 31,
(Dollars in millions)		20212020
Cash flow hedges:
Net unrecognized after-tax gain (loss) on terminated hedges recorded in AOCI (to be recognized in earnings through 2022)
$(9)$(64)
Estimated portion of net after-tax gain (loss) on terminated hedges to be reclassified from AOCI into earnings during the next 12 months
(9)(42)
Fair value hedges:
Unrecognized pre-tax net gain (loss) on terminated hedges (to be recognized as interest primarily through 2029)
$767 $862 
Portion of pre-tax net gain (loss) on terminated hedges to be recognized as a change in interest during the next 12 months
231 292 
Derivatives Not Designated as Hedging Instruments under GAAP

The Company also enters into derivatives that are not designated as accounting hedges under GAAP to economically hedge certain risks as well as in a trading capacity with its clients.

The following table presents pre-tax gain (loss) recognized in income for derivative instruments not designated as hedges:
Year Ended December 31,
(Dollars in millions)		Location202120202019
Client-related and other risk management:
Interest rate contractsInvestment banking and trading income and other income$193 $44 $76 
Foreign exchange contractsInvestment banking and trading income and other income133 (45)(13)
Equity contractsInvestment banking and trading income and other income(21)(4)(3)
Credit contractsInvestment banking and trading income and other income(83)178 (25)
Commodity contractsInvestment banking and trading income7 6 — 
Mortgage banking:   
Interest rate contractsResidential mortgage income(21)(418)(61)
Interest rate contractsCommercial mortgage income(2)3 (4)
MSRs:   
Interest rate contractsResidential mortgage income(105)495 137
Interest rate contractsCommercial mortgage income(8)20 7 
Total$93 $279 $114 

Credit Derivative Instruments

As part of the Company’s corporate investment banking business, the Company enters into contracts that are, in form or substance, written guarantees; specifically, risk participations, TRS, and credit default swaps. The Company accounts for these contracts as derivatives.

Truist has entered into risk participation agreements to share the credit exposure with other financial institutions on client-related interest rate derivative contracts. Under these agreements, the Company has guaranteed payment to a dealer counterparty in the event the counterparty experiences a loss on the derivative due to a failure to pay by the counterparty’s client. The Company manages its payment risk on its risk participations by monitoring the creditworthiness of the underlying client through the normal credit review process that the Company would have performed had it entered into a derivative directly with the obligors. At December 31, 2021, the remaining terms on these risk participations ranged from less than one year to 10 years. The potential future exposure represents the Company’s maximum estimated exposure to written risk participations, as measured by projecting a maximum value of the guaranteed derivative instruments based on scenario simulations and assuming 100% default by all obligors on the maximum value.

The Company has also entered into TRS contracts on loans and bonds. To mitigate its credit risk, the Company typically receives initial margin from the counterparty upon entering into the TRS and variation margin if the fair value of the underlying reference assets deteriorates. For additional information on the Company’s TRS contracts, see “Note 16. Commitments and Contingencies.”

The Company enters into credit default swaps to hedge credit risk associated with certain loans and leases. The Company accounts for these contracts as derivatives, and accordingly, recognizes these contracts at fair value.

The following table presents additional information related to interest rate derivative risk participation agreements and total return swaps:
December 31,
(Dollars in millions)		20212020
Risk participation agreements:
Maximum potential amount of exposure
$521 $530 
Total return swaps:
Cash collateral held290 374 
The following table summarizes collateral positions with counterparties:
December 31,
(Dollars in millions)		20212020
Dealer and other counterparties:
Cash and other collateral received from counterparties$346 $446 
Derivatives in a net gain position secured by collateral received506 585 
Unsecured positions in a net gain with counterparties after collateral postings
143 49 
Cash collateral posted to dealer counterparties1,704 1,524 
Derivatives in a net loss position secured by collateral2,591 1,604 
Additional collateral that would have been posted had the Company’s credit ratings dropped below investment grade
3 3 
Central counterparties clearing:
Cash collateral, including initial margin, posted to central clearing parties31 172 
Derivatives in a net loss position18 90 
Derivatives in a net gain position— 5 
Securities pledged to central counterparties clearing904 1,281