Our primary objective for using derivatives is to manage interest rate risk. We use derivatives to stabilize forecasted interest income from variable-rate assets and to modify the coupon or the duration of fixed-rate financial assets or liabilities. We also assist clients with their risk management needs through the use of derivatives. Cash receipts and payments from derivatives designated in qualifying hedging relationships are classified in the same category as the cash flows from the items being hedged in the statement of cash flows, and cash flows from undesignated derivatives are classified as operating activities. For a more detailed discussion of the use of and accounting policies regarding derivative instruments, see Note 7 of our 2023 Form 10-K.

Fair Value Hedges of Liabilities – During the second quarter of 2023, we terminated our remaining receive-fixed interest rate swap with a notional amount of $500 million that had been designated in a qualifying fair value hedge relationship of fixed-rate debt. The receive-fixed interest rate swap effectively converted the interest on our fixed-rate debt to floating until it was terminated. Prior to termination, changes in the fair value of derivatives designated

as fair value hedges of debt were offset by changes in the fair value of the hedged debt instruments as shown in the schedules on the following pages. The unamortized hedge basis adjustments resulting from the terminated hedging relationship will be amortized over the remaining life of the fixed-rate debt.

Fair Value Hedges of Assets – Fair value hedges of fixed-rate assets effectively convert the fixed interest income to a floating rate on the hedged portion of the assets. Changes in fair value of derivatives designated as fair value hedges of fixed-rate financial assets were largely offset by changes in the value of the hedged assets, as shown in the schedules on the following pages. At March 31, 2024, we had pay-fixed, receive-floating interest rate swaps with an aggregate notional amount of $3.6 billion designated as fair value hedges of fixed-rate AFS securities. We had an additional $1.0 billion of aggregate notional designated as hedges of fixed-rate commercial loans.

Cash Flow Hedges – Cash flow hedges of variable-rate assets and liabilities effectively convert the variable interest receipts and payments to fixed. At March 31, 2024, we had receive-fixed interest rate swaps with an aggregate notional amount of $850 million designated as cash flow hedges of pools of floating-rate commercial loans. Additionally, at March 31, 2024, we had one pay-fixed interest rate swap with a notional amount of $500 million designated as a cash flow hedge of the variability in the interest payments on certain FHLB advances. Changes in the fair value of qualifying cash flow hedges during the quarter were recorded in AOCI as shown in the schedule below. The amounts deferred in AOCI are reclassified into earnings in the periods in which the hedged interest receipts or payments occur (i.e., when the hedged forecasted transactions affect earnings). At March 31, 2024, there was $173 million of losses deferred in AOCI related to terminated cash flow hedges that are expected to be fully amortized by October 2027.

Exposure to credit risk arises from the possibility of nonperformance by counterparties. No significant losses on derivative instruments have occurred as a result of counterparty nonperformance. For more information on how we incorporate counterparty credit risk in derivative valuations, see Note 3 of our 2023 Form 10-K. For additional discussion of collateral and the associated credit risk related to our derivative contracts, see Note 7 of our 2023 Form 10-K.

Our derivative contracts require us to pledge collateral for derivatives that are in a net liability position at a given balance sheet date. Certain of these derivative contracts contain credit risk-related contingent features that include the requirement to maintain a minimum debt credit rating. We may be required to pledge additional collateral if a credit risk-related feature were triggered, such as a downgrade of our credit rating. In past situations, counterparties have not generally demanded that additional collateral be pledged when provided for by the contractual terms. At March 31, 2024, the fair value of our derivative liabilities was $388 million, for which we were required to pledge cash collateral of less than $1 million in the normal course of business. If our credit rating were downgraded one notch by either Standard & Poor’s (“S&P”) or Moody’s at March 31, 2024, there would likely be no additional collateral required to be pledged.


	March 31, 2024						December 31, 2023
	Notional amount 1		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	$	850	$	—	$	—	$	1,450	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	500		—		—		500		—		—
Fair value hedges:
Debt hedges: Receive-fixed interest rate swaps	—		—		—		—		—		—
Asset hedges: Pay-fixed interest rate swaps	4,570		89		—		4,571		78		—
Total derivatives designated as hedging instruments	5,920		89		—		6,521		78		—
Derivatives not designated as hedging instruments:
Customer interest rate derivatives 1	14,694		389		387		14,375		337		330
Other interest rate derivatives	1,461		1		—		1,001		1		—
Foreign exchange derivatives	267		2		1		216		3		3
Purchased credit derivatives	—		—		—		35		1		—
Total derivatives not designated as hedging instruments	16,422		392		388		15,627		342		333
Total derivatives	$	22,342	$	481	$	388	$	22,148	$	420	$	333

1 Customer interest rate derivatives include both customer-facing derivatives as well as offsetting derivatives facing other dealer banks. The fair value of these derivatives include a net credit valuation adjustment of $9 million, reducing the fair value of the liability at both March 31, 2024, and December 31, 2023.

The amount of derivative gains (losses) from cash flow and fair value hedges that were deferred in other comprehensive income (“OCI”) or recognized in earnings for the three and three months ended March 31, 2024 and 2023 is presented in the schedules below.


	Three Months Ended March 31, 2024
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges
Cash flow hedges of floating-rate assets:1

Interest rate swaps	(5)		(36)		—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	4		2		—
Fair value hedges:2
Debt hedges: Receive-fixed interest rate swaps	—		—		(2)

Asset hedges: Pay-fixed interest rate swaps	—		—		23

Total derivatives designated as hedging instruments	$	(1)	$	(34)	$	21


	Three Months Ended March 31, 2023
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges
Cash flow hedges of floating-rate assets:1

Interest rate swaps	38		(49)		—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	—		—		—
Fair value hedges: 2
Debt hedges: Receive-fixed interest rate swaps	—		—		4
Asset hedges: Pay-fixed interest rate swaps	—		—		6
Total derivatives designated as hedging instruments	$	38	$	(49)	$	10

2 At March 31, 2024, the total cumulative unamortized basis adjustment for terminated fair value hedges of debt was $45 million. We did not have any cumulative unamortized basis adjustment for terminated fair value hedges of debt at March 31, 2023. We had $3 million and $10 million of cumulative unamortized basis adjustments from terminated fair value hedges of assets at March 31, 2024 and 2023, respectively. Interest on fair value hedges presented above include the amortization of the remaining unamortized basis adjustments.


	Other Noninterest Income/(Expense)
(In millions)	Three Months Ended March 31, 2024		Three Months Ended March 31, 2023
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives	$	6	$	1
Other interest rate derivatives	1		1
Foreign exchange derivatives	7		7
Purchased credit derivatives	—		—
Total derivatives not designated as hedging instruments	$	14	$	9


	Gain/(loss) recorded in income
	Three Months Ended March 31, 2024						Three Months Ended March 31, 2023
(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	$	—	$	—	$	—	$	12	$	(12)	$	—
Assets: Pay-fixed interest rate swaps 1, 2	98		(98)		—		40		(40)		—

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

Par value of hedged assets/(liabilities)

Carrying amount of the hedged assets/(liabilities) 1

Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged item

(In millions)

March 31, 2024

December 31, 2023

March 31, 2024

December 31, 2023

March 31, 2024

December 31, 2023

Fixed-rate assets 2

12,039

12,389

11,761

12,209

(278)

(180)

2 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 March 31, 2024, the amortized cost basis of the defined portfolios used in these hedging relationships was $11.0 billion; the cumulative basis adjustment associated with these hedging relationships was $50.5 million; and the notional amounts of the designated hedging instruments were $3.5 billion.