Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts of Outstanding Derivative Positions

The following tables reflect the notional amounts and fair values for all derivative instruments included in the Condensed Consolidated Balance Sheets as of:

			Fair Value
June 30, 2023 ($ in millions)	Notional Amount(d)		Derivative Assets		Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	5,955	—		39
Total fair value hedges			—		39
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		3		—
Interest rate swaps related to C&I loans	9,000		2		10
Interest rate swaps related to C&I loans - forward starting(a)	17,500		—		3
Interest rate swaps related to commercial mortgage and commercial construction loans	4,000		—		11
Interest rate swaps related to commercial mortgage and commercial construction loans -    forward starting(a)	8,000		1		3
Total cash flow hedges			6		27
Total derivatives designated as qualifying hedging instruments			6		66
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	4,350		49		12
Forward contracts related to residential mortgage loans held for sale(b)	1,002		5		—
Swap associated with the sale of Visa, Inc. Class B Shares	3,817		—		204
Foreign exchange contracts	178		—		3
Interest-only strips	45		1		—
Interest rate contracts for collateral management	30,000		10		11
Interest rate contracts for LIBOR transition	597		—		—
Total free-standing derivatives – risk management and other business purposes			65		230
Free-standing derivatives – customer accommodation:
Interest rate contracts(c)	114,891		1,272		1,675
Interest rate lock commitments	457		8		—
Commodity contracts	17,381		1,021		938
TBA securities	54		—		—
Foreign exchange contracts	29,323		561		515
Total free-standing derivatives – customer accommodation			2,862		3,128
Total derivatives not designated as qualifying hedging instruments			2,927		3,358
Total			$	2,933	3,424

(a)Forward starting swaps will become effective on various dates between July 2023 and February 2025.

(b)Includes forward sale and forward purchase contracts which are utilized to manage market risk on residential mortgage loans held for sale and the related interest rate lock commitments.

(c)Derivative assets and liabilities are presented net of variation margin of $564 and $172, respectively.

(d)Includes replacement contracts of approximately $12.5 billion for cash flow hedges, $18.0 billion for interest rate contracts for collateral management and $18.0 billion for interest rate contracts for customer accommodation which were the result of certain central clearing parties replacing existing LIBOR-based contracts with multiple separate contracts as part of the LIBOR transition.

			Fair Value
December 31, 2022 ($ in millions)	Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments:
Fair value hedges:
Interest rate swaps related to long-term debt	$	5,955	126		195
Total fair value hedges			126		195
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		4		—
Interest rate swaps related to C&I loans	8,000		—		76
Interest rate swaps related to C&I loans - forward starting(a)	11,000		22		—
Interest rate swaps related to commercial mortgage and commercial construction loans	4,000		—		25
Interest rate swaps related to commercial mortgage and commercial construction loans - forward starting(a)	4,000		5		—
Total cash flow hedges			31		101
Total derivatives designated as qualifying hedging instruments			157		296
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	2,975		62		17
Forward contracts related to residential mortgage loans held for sale(b)	1,869		9		7
Swap associated with the sale of Visa, Inc. Class B Shares	3,358		—		195
Foreign exchange contracts	156		1		—
Interest-only strips	58		4		—
Interest rate contracts for collateral management	12,000		9		1
Interest rate contracts for LIBOR transition	597		—		—
Total free-standing derivatives – risk management and other business purposes			85		220
Free-standing derivatives – customer accommodation:
Interest rate contracts(c)	83,605		998		1,663
Interest rate lock commitments	216		2		1
Commodity contracts	16,122		1,478		1,350
TBA securities	62		—		—
Foreign exchange contracts	25,322		453		422
Total free-standing derivatives – customer accommodation			2,931		3,436
Total derivatives not designated as qualifying hedging instruments			3,016		3,656
Total			$	3,173	3,952

(a)Forward starting swaps will become effective on various dates between February 2023 and February 2025.

(b)Includes forward sale and forward purchase contracts which are utilized to manage market risk on residential mortgage loans held for sale and the related interest rate lock commitments.

(c)Derivative assets and liabilities are presented net of variation margin of $694 and $37, respectively.

Net Gains (Losses) Recognized in the Income Statement Related to Derivatives in Fair Value Hedging Relationships

The following table reflects the changes in fair value of interest rate contracts, designated as fair value hedges and the changes in fair value of the related hedged items attributable to the risk being hedged, as well as the line items in the Condensed Consolidated Statements of Income in which the corresponding gains or losses are recorded:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2023		2022	2023	2022
Long-term debt:
Change in fair value of interest rate swaps hedging long-term debt	Interest on long-term debt	$	(131)	(111)	(39)	(263)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt	131		111	42	263
Available-for-sale debt and other securities:
Change in fair value of interest rate swaps hedging available-for-sale debt and other securities	Interest on securities	—		—	—	8
Change in fair value of hedged available-for-sale debt and other securities attributable to the risk being hedged	Interest on securities	—		—	—	(8)

The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:

($ in millions)	Condensed Consolidated Balance Sheets Caption	June 30, 2023		December 31, 2022
Long-term debt:
Carrying amount of the hedged items	Long-term debt	$	5,825	5,865
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	Long-term debt	(106)		(64)
Available-for-sale debt and other securities:
Cumulative amount of fair value hedging adjustments remaining for hedged items for which hedge accounting has been discontinued	Available-for-sale debt and other securities	(12)		(14)

Net Gains (Losses) Relating to Derivative Instruments Designated as Cash Flow Hedges

The following table presents the pre-tax net (losses) gains recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:

	For the three months ended June 30,			For the six months ended June 30,
($ in millions)	2023		2022	2023	2022
Amount of pre-tax net (losses) gains recognized in OCI	$	(454)	2	(177)	(405)
Amount of pre-tax net (losses) gains reclassified from OCI into net income	(81)		58	(146)	136

Schedule of Price Risk Derivatives

The net (losses) gains recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2023		2022	2023	2022
Interest rate contracts:
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	$	11	(31)	3	2
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue	(56)		(103)	(35)	(284)
Interest-only strips	Other noninterest income	(3)		—	(3)	—
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income	(3)		5	(3)	3
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income	(30)		(18)	(61)	(29)

Risk Ratings of the Notional Amount of Risk Participation Agreements

Risk ratings of the notional amount of risk participation agreements under this risk rating system are summarized in the following table as of:

($ in millions)	June 30, 2023		December 31, 2022
Pass	$	3,767	3,597
Special mention	48		81
Substandard	72		32
Total	$	3,887	3,710

Net Gains (Losses) Recognized in the Income Statement Related to Free-Standing Derivative Instruments Used For Customer Accommodation

The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:

	Condensed Consolidated Statements of Income Caption	For the three months ended June 30,			For the six months ended June 30,
($ in millions)		2023		2022	2023	2022
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Commercial banking revenue	$	11	10	21	26
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	2		3	(2)	9
Interest rate lock commitments	Mortgage banking net revenue	13		11	26	11
Commodity contracts:
Commodity contracts for customers (contract revenue)	Commercial banking revenue	11		9	21	18
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	—		(1)	(1)	(2)
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Commercial banking revenue	23		20	43	36
Foreign exchange contracts for customers (contract revenue)	Other noninterest income	(4)		8	(8)	10
Foreign exchange contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	1		(2)	3	(2)

Offsetting Derivative Financial Instruments

The following table provides a summary of offsetting derivative financial instruments:

	Gross Amount Recognized in the Condensed Consolidated Balance Sheets(a)		Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets
			Derivatives	Collateral(b)	Net Amount
As of June 30, 2023
Derivative assets	$	2,925	(964)	(1,235)	726
Derivative liabilities	3,424		(964)	(214)	2,246
As of December 31, 2022
Derivative assets	$	3,171	(1,405)	(887)	879
Derivative liabilities	3,951		(1,405)	(406)	2,140

(a)Amount does not include IRLCs because these instruments are not subject to master netting or similar arrangements.

(b)Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.