Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 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
September 30, 2023 ($ 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	—		63
Total fair value hedges			—		63
Cash flow hedges:
Interest rate floors related to C&I loans	3,000		—		—
Interest rate swaps related to C&I loans	8,000		1		6
Interest rate swaps related to C&I loans - forward starting(a)	10,000		—		2
Interest rate swaps related to commercial mortgage and commercial construction loans	4,000		2		—
Interest rate swaps related to commercial mortgage and commercial construction loans -    forward starting(a)	4,000		—		2
Total cash flow hedges			3		10
Total derivatives designated as qualifying hedging instruments			3		73
Derivatives Not Designated as Qualifying Hedging Instruments:
Free-standing derivatives – risk management and other business purposes:
Interest rate contracts related to MSR portfolio	2,550		73		10
Forward contracts related to residential mortgage loans held for sale(b)	869		12		1
Swap associated with the sale of Visa, Inc. Class B Shares	3,691		—		172
Foreign exchange contracts	200		—		—
Interest-only strips	42		1		—
Interest rate contracts for collateral management	12,000		1		1
Interest rate contracts for LIBOR transition	597		—		—
Other	14		—		—
Total free-standing derivatives – risk management and other business purposes			87		184
Free-standing derivatives – customer accommodation:
Interest rate contracts(c)(d)	90,848		1,392		1,826
Interest rate lock commitments	355		4		—
Commodity contracts	18,417		1,115		1,045
TBA securities	60		—		—
Foreign exchange contracts	32,998		706		644
Total free-standing derivatives – customer accommodation			3,217		3,515
Total derivatives not designated as qualifying hedging instruments			3,304		3,699
Total			$	3,307	3,772

(a)Forward starting swaps will become effective on various dates between October 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 $528 and $96, respectively.

(d)Includes replacement contracts with a notional amount of approximately $1.3 billion 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 September 30,			For the nine months ended September 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	$	(147)	(230)	(186)	(493)
Change in fair value of hedged long-term debt attributable to the risk being hedged	Interest on long-term debt	146		230	188	493
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	September 30, 2023		December 31, 2022
Long-term debt:
Carrying amount of the hedged items	Long-term debt	$	5,681	5,865
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	Long-term debt	(252)		(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 September 30,			For the nine months ended September 30,
($ in millions)	2023		2022	2023	2022
Amount of pre-tax net losses recognized in OCI	$	(687)	(688)	(864)	(1,092)
Amount of pre-tax net (losses) gains reclassified from OCI into net income	(94)		4	(240)	140

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 September 30,			For the nine months ended September 30,
($ in millions)		2023		2022	2023	2022
Interest rate contracts:
Interest rate contracts related to MSR portfolio	Mortgage banking net revenue	$	(75)	(84)	(110)	(368)
Forward contracts related to residential mortgage loans held for sale	Mortgage banking net revenue	6		59	9	61
Interest-only strips	Other noninterest income	—		—	(3)	—
Foreign exchange contracts:
Foreign exchange contracts for risk management purposes	Other noninterest income	5		11	1	14
Equity contracts:
Swap associated with sale of Visa, Inc. Class B Shares	Other noninterest income	(10)		(17)	(72)	(46)

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)	September 30, 2023		December 31, 2022
Pass	$	3,539	3,597
Special mention	286		81
Substandard	72		32
Total	$	3,897	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 September 30,			For the nine months ended September 30,
($ in millions)		2023		2022	2023	2022
Interest rate contracts:
Interest rate contracts for customers (contract revenue)	Commercial banking revenue	$	5	12	26	37
Interest rate contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	4		2	2	11
Interest rate lock commitments	Mortgage banking net revenue	7		(6)	33	5
Commodity contracts:
Commodity contracts for customers (contract revenue)	Commercial banking revenue	9		11	30	30
Commodity contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	1		1	—	(1)
Foreign exchange contracts:
Foreign exchange contracts for customers (contract revenue)	Commercial banking revenue	24		15	67	52
Foreign exchange contracts for customers (contract revenue)	Other noninterest income	7		12	—	22
Foreign exchange contracts for customers (credit portion of fair value adjustment)	Other noninterest expense	1		(1)	3	(3)

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 September 30, 2023
Derivative assets	$	3,303	(1,214)	(1,289)	800
Derivative liabilities	3,772		(1,214)	(221)	2,337
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.