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Financial Derivatives (Tables) | 6 Months Ended
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Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Total Gross Derivatives | Table 76: Total Gross Derivatives (a)
| June 30, 2020 | December 31, 2019
In millions | Notional / Contract Amount |  | Asset Fair Value (b) |  | Liability Fair Value (c) |  | Notional / Contract Amount |  | Asset Fair Value (b) |  | Liability Fair Value (c) |
Derivatives used for hedging |  |  |  |  |  |
Interest rate contracts (d): |  |  |  |  |  |
Fair value hedges | $ | 27,874 |  |  |  | $ | 30,663 |  |  |
Cash flow hedges | 16,342 |  | $ | 7 |  |  | 23,642 |  | $ | 6 |  |
Foreign exchange contracts: |  |  |  |  |  |
Net investment hedges | 1,194 |  | 75 |  |  | 1,102 |  |  |  | $ | 6 |
Total derivatives designated for hedging | $ | 45,410 |  | $ | 82 |  |  |  | $ | 55,407 |  | $ | 6 |  | $ | 6 |
Derivatives not used for hedging |  |  |  |  |  |
Derivatives used for mortgage banking activities (e): |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |
Swaps | $ | 55,678 |  |  |  | $ | 52,007 |  | $ | 1 |  |
Futures (f) | 2,359 |  |  |  | 3,487 |  |  |
Mortgage-backed commitments | 16,569 |  | $ | 175 |  | $ | 105 |  | 7,738 |  | 60 |  | $ | 44 |
Other | 6,083 |  | 35 |  | 39 |  | 3,134 |  | 32 |  | 23 |
Total interest rate contracts | 80,689 |  | 210 |  | 144 |  | 66,366 |  | 93 |  | 67 |
Derivatives used for customer-related activities: |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |
Swaps | 278,337 |  | 6,584 |  | 1,854 |  | 249,075 |  | 2,769 |  | 1,187 |
Futures (f) | 1,375 |  |  |  | 703 |  |  |
Mortgage-backed commitments | 3,745 |  | 19 |  | 16 |  | 3,721 |  | 2 |  | 6 |
Other | 23,328 |  | 292 |  | 104 |  | 21,379 |  | 113 |  | 33 |
Total interest rate contracts | 306,785 |  | 6,895 |  | 1,974 |  | 274,878 |  | 2,884 |  | 1,226 |
Commodity contracts: |  |  |  |  |  |
Swaps | 5,313 |  | 531 |  | 509 |  | 5,204 |  | 234 |  | 229 |
Other | 3,651 |  | 126 |  | 126 |  | 4,203 |  | 72 |  | 72 |
Total commodity contracts | 8,964 |  | 657 |  | 635 |  | 9,407 |  | 306 |  | 301 |
Foreign exchange contracts and other | 24,774 |  | 282 |  | 274 |  | 27,120 |  | 204 |  | 162 |
Total derivatives for customer-related activities | 340,523 |  | 7,834 |  | 2,883 |  | 311,405 |  | 3,394 |  | 1,689 |
Derivatives used for other risk management activities: |  |  |  |  |  |
Foreign exchange contracts and other | 9,653 |  | 53 |  | 202 |  | 10,201 |  | 9 |  | 257 |
Total derivatives not designated for hedging | $ | 430,865 |  | $ | 8,097 |  | $ | 3,229 |  | $ | 387,972 |  | $ | 3,496 |  | $ | 2,013 |
Total gross derivatives | $ | 476,275 |  | $ | 8,179 |  | $ | 3,229 |  | $ | 443,379 |  | $ | 3,502 |  | $ | 2,019 |
Less: Impact of legally enforceable master netting agreements |  | 1,196 |  | 1,196 |  |  | 690 |  | 690 |
Less: Cash collateral received/paid |  | 1,825 |  | 1,229 |  |  | 616 |  | 790 |
Total derivatives |  | $ | 5,158 |  | $ | 804 |  |  |  | $ | 2,196 |  | $ | 539 |
(a) | Centrally cleared derivatives are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.
(b) | Included in Other assets on our Consolidated Balance Sheet.
(c) | Included in Other liabilities on our Consolidated Balance Sheet.
(d) | Represents primarily swaps.
(e) | Includes both residential and commercial mortgage banking activities.
(f) Futures contracts settle in cash daily and, therefore, no derivative asset or derivative liability is recognized on our Consolidated Balance Sheet.
Schedule of Fair Value and Cash Flow Hedges | Table 77: Gains (Losses) Recognized on Fair Value and Cash Flow Hedges in the Consolidated Income Statement (a) (b)
| Location and Amount of Gains (Losses) Recognized in Income
| Interest Income | Interest Expense | Noninterest Income
In millions | Loans | Investment Securities | Borrowed Funds | Other
For the three months ended June 30, 2020 |  |  |  |
Total amounts on the Consolidated Income Statement | $ | 2,257 |  | $ | 527 |  | $ | 187 |  | $ | 271 |
Gains (losses) on fair value hedges recognized on: |  |  |  |
Hedged items (c) |  | $ | 3 |  | $ | (80 | ) |
Derivatives |  | $ | (2 | ) | $ | 47 |  |
Amounts related to interest settlements on derivatives |  | $ | (2 | ) | $ | 133 |  |
Gains (losses) on cash flow hedges (d): |  |  |  |
Amount of derivative gains (losses) reclassified from AOCI | $ | 102 |  | $ | 1 |  |  |  |
For the three months ended June 30, 2019 |  |  |  |
Total amounts on the Consolidated Income Statement | $ | 2,672 |  | $ | 629 |  | $ | 484 |  | $ | 367 |
Gains (losses) on fair value hedges recognized on: |  |  |  |
Hedged items (c) |  | $ | 116 |  | $ | (523 | ) |
Derivatives |  | $ | (113 | ) | $ | 485 |  |
Amounts related to interest settlements on derivatives |  | $ | 5 |  | $ | 9 |  |
Gains (losses) on cash flow hedges (d): |  |  |  |
Amount of derivative gains (losses) reclassified from AOCI | $ | (12 | ) | $ | 1 |  |  | $ | 3 |
For the six months ended June 30, 2020 |  |  |  |
Total amounts on the Consolidated Income Statement | $ | 4,737 |  | $ | 1,109 |  | $ | 501 |  | $ | 614 |
Gains (losses) on fair value hedges recognized on: |  |  |  |
Hedged items (c) |  | $ | 237 |  | $ | (1,441 | ) |
Derivatives |  | $ | (233 | ) | $ | 1,386 |  |
Amounts related to interest settlements on derivatives |  | $ | (4 | ) | $ | 192 |  |
Gains (losses) on cash flow hedges (d): |  |  |  |
Amount of derivative gains (losses) reclassified from AOCI | $ | 144 |  | $ | 3 |  |  | $ | 1 |
For the six months ended June 30, 2019 |  |  |  |
Total amounts on the Consolidated Income Statement | $ | 5,274 |  | $ | 1,249 |  | $ | 965 |  | $ | 675 |
Gains (losses) on fair value hedges recognized on: |  |  |  |
Hedged items (c) |  | $ | 174 |  | $ | (797 | ) |
Derivatives |  | $ | (168 | ) | $ | 713 |  |
Amounts related to interest settlements on derivatives |  | $ | 10 |  | $ | 20 |  |
Gains (losses) on cash flow hedges (d): |  |  |  |
Amount of derivative gains (losses) reclassified from AOCI | $ | (20 | ) | $ | 2 |  |  | $ | 18 |
(a) | For all periods presented, there were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for any of the fair value or cash flow hedge strategies.
(b) | All cash flow and fair value hedge derivatives were interest rate contracts for the periods presented.
(c) | Includes an insignificant amount of fair value hedge adjustments related to discontinued hedge relationships.
(d) For all periods presented, there were no gains or losses from cash flow hedge derivatives reclassified to income because it became probable that the original forecasted transaction would not occur.
Schedule of Fair Value Hedges | Table 78: Hedged Items - Fair Value Hedges
| June 30, 2020 |  | December 31, 2019
In millions | Carrying Value of the Hedged Items |  |  | Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a) |  |  | Carrying Value of the Hedged Items |  |  | Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a) |  |
Investment securities - available for sale (b) | $ | 3,476 |  |  | $ | 124 |  |  | $ | 5,666 |  |  | $ | 59 |  |
Borrowed funds | $ | 29,156 |  |  | $ | 1,991 |  |  | $ | 28,616 |  |  | $ | 548 |  |
(a) | Includes $(.2) billion and $(.3) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships for June 30, 2020 and December 31, 2019, respectively.
(b) Carrying value shown represents amortized cost.
Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP | Table 79: Gains (Losses) on Derivatives Not Designated for Hedging
| Three months ended June 30 | Six months ended June 30 |
In millions | 2020 |  | 2019 |  | 2020 |  | 2019 |  |
Derivatives used for mortgage banking activities: |  |  |  |  |
Interest rate contracts (a) | $ | 125 |  | $ | 218 |  | $ | 779 |  | $ | 346 |  |
Derivatives used for customer-related activities: |  |  |  |  |
Interest rate contracts | 38 |  | 41 |  | 40 |  | 39 |  |
Foreign exchange contracts and other (b) | 29 |  | 30 |  | 40 |  | 53 |  |
Gains (losses) from customer-related activities (c) | 67 |  | 71 |  | 80 |  | 92 |  |
Derivatives used for other risk management activities: |  |  |  |  |
Foreign exchange contracts and other (c) | (102 | ) | (10 | ) | 105 |  | (64 | ) |
Total gains (losses) from derivatives not designated as hedging instruments | $ | 90 |  | $ | 279 |  | $ | 964 |  | $ | 374 |  |
(a) | Included in Residential mortgage, Corporate services and Other noninterest income on our Consolidated Income Statement.
(b) | Includes an insignificant amount of gains (losses) on commodity contracts for all periods presented.
(c) Included in Other noninterest income on our Consolidated Income Statement.
Derivative Assets And Liabilities Offsetting | Table 80: Derivative Assets and Liabilities Offsetting
In millions |  |  |  | Amounts Offset on the Consolidated Balance Sheet |  |  |  |  |  | Securities Collateral Held/Pledged Under Master Netting Agreements |  |  |  |
Gross Fair Value |  |  | Fair Value Offset Amount |  |  | Cash Collateral |  |  | Net Fair Value |  |  |  |  | Net Amounts |  |
June 30, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter cleared |  | $ | 66 |  |  |  |  |  |  | $ | 66 |  |  |  |  |  |  | $ | 66 |  |
Over-the-counter |  | 7,046 |  |  | $ | 515 |  |  | $ | 1,757 |  |  | 4,774 |  |  |  |  | $ | 674 |  |  | 4,100 |  |
Commodity contracts |  | 657 |  |  | 443 |  |  | 61 |  |  | 153 |  |  |  |  |  |  | 153 |  |
Foreign exchange and other contracts |  | 410 |  |  | 238 |  |  | 7 |  |  | 165 |  |  |  |  | 1 |  |  | 164 |  |
Total derivative assets |  | $ | 8,179 |  |  | $ | 1,196 |  |  | $ | 1,825 |  |  | $ | 5,158 |  |  | (a) |  | $ | 675 |  |  | $ | 4,483 |  |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter cleared |  | $ | 48 |  |  |  |  |  |  | $ | 48 |  |  |  |  |  |  | $ | 48 |  |
Over-the-counter |  | 2,070 |  |  | $ | 815 |  |  | $ | 1,111 |  |  | 144 |  |  |  |  |  |  | 144 |  |
Commodity contracts |  | 635 |  |  | 267 |  |  | 25 |  |  | 343 |  |  |  |  |  |  | 343 |  |
Foreign exchange and other contracts |  | 476 |  |  | 114 |  |  | 93 |  |  | 269 |  |  |  |  |  |  | 269 |  |
Total derivative liabilities |  | $ | 3,229 |  |  | $ | 1,196 |  |  | $ | 1,229 |  |  | $ | 804 |  |  | (b) |  |  |  |  | $ | 804 |  |
December 31, 2019 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter cleared |  | $ | 14 |  |  |  |  |  |  | $ | 14 |  |  |  |  |  |  | $ | 14 |  |
Over-the-counter |  | 2,969 |  |  | $ | 365 |  |  | $ | 593 |  |  | 2,011 |  |  |  |  | $ | 215 |  |  | 1,796 |  |
Commodity contracts |  | 306 |  |  | 198 |  |  | 18 |  |  | 90 |  |  |  |  |  |  | 90 |  |
Foreign exchange and other contracts |  | 213 |  |  | 127 |  |  | 5 |  |  | 81 |  |  |  |  |  |  | 81 |  |
Total derivative assets |  | $ | 3,502 |  |  | $ | 690 |  |  | $ | 616 |  |  | $ | 2,196 |  |  | (a) |  | $ | 215 |  |  | $ | 1,981 |  |
Derivative liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Over-the-counter cleared |  | $ | 14 |  |  |  |  |  |  | $ | 14 |  |  |  |  |  |  | $ | 14 |  |
Over-the-counter |  | 1,279 |  |  | $ | 475 |  |  | $ | 692 |  |  | 112 |  |  |  |  |  |  | 112 |  |
Commodity contracts |  | 301 |  |  | 152 |  |  | 17 |  |  | 132 |  |  |  |  |  |  | 132 |  |
Foreign exchange and other contracts |  | 425 |  |  | 63 |  |  | 81 |  |  | 281 |  |  |  |  |  |  | 281 |  |
Total derivative liabilities |  | $ | 2,019 |  |  | $ | 690 |  |  | $ | 790 |  |  | $ | 539 |  |  | (b) |  |  |  |  | $ | 539 |  |
(a) | Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.
(b) Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.

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