Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2023

Summary of Derivative Instruments [Abstract]

Schedule of Derivative Amounts

The following schedule presents derivative notional amounts and recorded gross fair values at December 31, 2023 and 2022:

	December 31, 2023						December 31, 2022
	Notional amount		Fair value				Notional amount		Fair value
(In millions)			Other assets		Other liabilities				Other assets		Other liabilities
Derivatives designated as hedging instruments:
Cash flow hedges of floating-rate assets:
Receive-fixed interest rate swaps	1,450		—		—		7,633		—		1
Cash flow hedges of floating rate liabilities:
Pay-fixed interest rate swaps	500		—		—		—		—		—
Fair value hedges:
Debt hedges: Receive-fixed interest rate swaps	—		—		—		500		—		—
Asset hedges: Pay-fixed interest rate swaps 1	4,571		78		—		1,228		84		—
Total derivatives designated as hedging instruments	6,521		78		—		9,361		84		1
Derivatives not designated as hedging instruments:
Customer interest rate derivatives 2	14,375		337		330		13,670		296		443
Other interest rate derivatives	1,001		1		—		862		—		—
Foreign exchange derivatives	216		3		3		605		6		7
Purchased credit derivatives	35		1		—		—		—		—
Total derivatives not designated as hedging instruments	15,627		342		333		15,137		302		450
Total derivatives	$	22,148	$	420	$	333	$	24,498	$	386	$	451

1 The notional amount includes forward starting swaps that are not yet effective.

2 Customer interest rate derivatives include both customer-facing derivatives and the offsetting, dealer-facing derivatives. Customer interest rate derivatives include a net CVA of $9 million and $13 million, reducing the fair value amount at December 31, 2023, and December 31, 2022, respectively. These adjustments are required to reflect both our nonperformance risk and that of the respective counterparty.

Schedule of Derivative Gains (Losses) Deferred in OCI or Recognized in Earnings

The following schedules present the amount of gains (losses) from derivative instruments designated as cash flow and fair value hedges that were deferred in OCI or recognized in earnings for years ended December 31, 2023 and 2022:

	Year Ended December 31, 2023
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Net interest income or expense on fair value hedges		Hedge ineffectiveness / AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	—	$	—	$	—
Interest rate swaps	31		(170)		—		—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	4		5		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		(5)		—
Basis amortization on terminated hedges 2, 3	—		—		(4)		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		57		—
Basis amortization on terminated hedges 2, 3	—		—		1		—
Total derivatives designated as hedging instruments	$	35	$	(165)	$	49	$	—

	Year Ended December 31, 2022
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Net interest income or expense on fair value hedges		Hedge ineffectiveness / AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Purchased interest rate floors	$	—	$	2	$	—	$	—
Interest rate swaps	(437)		(29)		—		—
Fair value hedges of liabilities:
Receive-fixed interest rate swaps	—		—		(1)		—
Basis amortization on terminated hedges 2, 3	—		—		1		—
Fair value hedges of assets:
Pay-fixed interest rate swaps	—		—		4		(1)
Basis amortization on terminated hedges 2, 3	—		—		—		—
Total derivatives designated as hedging instruments	$	(437)	$	(27)	$	4	$	(1)

1 For the 12 months following December 31, 2023, we estimate that $118 million of net losses from active and terminated cash flow hedges will be reclassified from AOCI into interest income/expense, compared with an estimate of $205 million at December 31, 2022.

2 Adjustment to interest income or expense resulting from the amortization of the basis adjustment from previously terminated hedging relationships.

3 The cumulative unamortized basis adjustment from previously terminated or redesignated fair value hedges at December 31, 2023 was $46 million and $3 million of terminated fair value debt and asset hedges, respectively, compared with zero and $10 million at December 31, 2022.

Schedule of Gains (Losses) Recognized From Derivatives Not Designated As Accounting Hedges

The following schedule presents the amount of gains (losses) recognized from derivatives not designated as accounting hedges:

	Other Noninterest Income/(Expense)
(In millions)	2023		2022
Derivatives not designated as hedging instruments:
Customer interest rate derivatives	$	17	$	43
Other interest rate derivatives	4		—
Foreign exchange derivatives	29		29
Purchased credit derivatives	(1)		—
Total derivatives not designated as hedging instruments	$	49	$	72

Schedule of Fair Value Hedges

The following schedule presents derivatives used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the periods presented:

	Gain/(loss) recorded in income
	Twelve Months Ended December 31, 2023						Twelve Months Ended December 31, 2022
(In millions)	Derivatives 2		Hedged items		Total income statement impact		Derivatives 2		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1,2	$	14	$	(14)	$	—	$	(79)	$	79	$	—
Assets: Pay-fixed interest rate swaps 1,2	(22)		22		—		224		(225)		(1)

1 Consists of hedges of benchmark interest rate risk of fixed-rate long-term debt and fixed-rate AFS securities. Gains and losses were recorded in interest expense or income consistent with the hedged items.

2 The income/expense for derivatives does not reflect interest income/expense from periodic accruals and payments to be consistent with the presentation of the gains/(losses) on the hedged items. Periodic interest income/expense for fair value hedges is shown in a separate schedule above.

Schedule of Basis Adjustments for Hedged Items

The following schedule provides information regarding basis adjustments for hedged items:

	Par value of hedged assets/(liabilities)				Carrying amount of the hedged assets/(liabilities)				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged assets/(liabilities)
(In millions)	2023		2022		2023		2022		2023		2022
Long-term fixed-rate debt 1,2	$	—	$	(500)	$	—	$	(435)	$	—	$	65
Fixed-rate AFS securities 1,3	12,389		1,228		12,209		962		(180)		(266)

1 Carrying amounts exclude (1) issuance and purchase discounts or premiums, (2) unamortized issuance and acquisition costs, and (3) amounts related to terminated fair value hedges.

2 We terminated the remaining fair value hedge of debt during the second quarter of 2023. The remaining hedge basis adjustments will be amortized over the life of the associated debt.

3 These amounts include the amortized cost basis of defined portfolios of AFS securities and commercial loans used to designate hedging relationships in which the hedged item is the stated amount of assets in the defined portfolio anticipated to be outstanding for the designated hedged period. At December 31, 2023, the amortized cost basis of the defined portfolios used in these hedging relationships was $11.3 billion; the cumulative basis adjustment associated with these hedging relationships was $16 million, and the notional amounts of the designated hedging instruments were $3.5 billion.