Derivative financial instruments (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Information about Interest Rate Swap Agreements

Information about interest rate swap agreements entered into for interest rate risk management purposes summarized by type of financial instrument the swap agreements were intended to hedge follows:

			Average		Weighted-						Estimated
	Notional		Maturity		Average Rate						Fair Value
(Dollars in millions)	Amount		(In years)		Fixed			Variable			Gain (Loss) (a)
March 31, 2024
Fair value hedges:
Fixed rate long-term borrowings (b) (c)	$	3,850		5.9		3.48	%		5.51	%	$	—
Cash flow hedges:
Interest payments on variable rate commercial real estate    loans (b) (d)		23,427		1.7	3.38			5.33				2
Total	$	27,277		2.3							$	2
December 31, 2023
Fair value hedges:
Fixed rate long-term borrowings (b) (e)	$	3,000		5.8		3.45	%		5.62	%	$	(1	)
Cash flow hedges:
Interest payments on variable rate commercial real estate    loans (b) (f)		23,977		1.7	3.45			5.36				11
Total	$	26,977		2.2							$	10

(a)Certain clearinghouse exchanges consider payments by counterparties for variation margin on derivative instruments to be settlements of those positions. The impact of such payments for interest rate swap agreements designated as fair value hedges was a net settlement of losses of $104 million at March 31, 2024 and $43 million at December 31, 2023. The impact of such payments on interest rate swap agreements designated as cash flow hedges was a net settlement of losses of $361 million at March 31, 2024 and $214 million at December 31, 2023.

(b)Under the terms of these agreements, the Company receives settlement amounts at a fixed rate and pays at a variable rate.

(c)Includes notional amount and terms of $1.8 billion of forward-starting interest rate swap agreements that become effective in 2025.

(d)Includes notional amount and terms of $6.0 billion of forward-starting interest rate swap agreements that become effective in 2024 and 2025.

(e)Includes notional amount and terms of $1.0 billion of forward-starting interest rate swap agreements that become effective in 2025.

(f)Includes notional amount and terms of $9.0 billion of forward-starting interest rate swap agreements that become effective in 2024.

Information about Fair Values of Derivative Instruments in Consolidated Balance Sheet

Information about the fair values of derivative instruments in the Company’s Consolidated Balance Sheet and Consolidated Statement of Income follows:

	Asset Derivatives				Liability Derivatives
	Fair Value				Fair Value
	March 31,		December 31,		March 31,		December 31,
(Dollars in millions)	2024		2023		2024		2023
Derivatives designated and qualifying as hedging    instruments (a)
Interest rate swap agreements	$	3	$	12	$	1	$	2
Commitments to sell real estate loans		11		6		1		8
		14		18		2		10
Derivatives not designated and qualifying as hedging    instruments (a)
Mortgage banking:
Commitments to originate real estate loans for sale		6		15		36		32
Commitments to sell real estate loans		40		35		2		3
		46		50		38		35
Other:
Interest rate contracts (b)		243		237		1,019		879
Foreign exchange and other option and futures contracts		15		19		13		19
		258		256		1,032		898
Total derivatives	$	318	$	324	$	1,072	$	943

(a)Asset derivatives are reported in "accrued interest and other assets" and liability derivatives are reported in "accrued interest and other liabilities" in the Consolidated Balance Sheet.

(b)The impact of variation margin payments at March 31, 2024 and December 31, 2023 was a reduction of the estimated fair value of interest rate contracts not designated as hedging instruments in an asset position of $893 million and $783 million, respectively, as of each period end, and in a liability position of $16 million and $32 million, respectively.

	Carrying Amount of the Hedged Item				Cumulative Amount of Fair Value Hedging Adjustment Increasing (Decreasing) the Carrying Amount of the Hedged Item
(Dollars in millions)	March 31, 2024		December 31, 2023		March 31, 2024			December 31, 2023
Location in the Consolidated Balance Sheet    of the Hedged Items in Fair Value Hedges
Long-term borrowings	$	3,742	$	2,954	$	(104	)	$	(44	)

Information about Fair Values of Derivative Instruments in Consolidated Statement of Income

	Amount of Gain (Loss) Recognized
	Three Months Ended March 31,
	2024					2023
(Dollars in millions)	Derivative			Hedged Item		Derivative		Hedged Item
Derivatives in fair value hedging relationships
Interest rate swap agreements:
Fixed rate long-term borrowings (a)	$	(60	)	$	60	$	12	$	(12	)
Derivatives not designated as hedging instruments
Interest rate contracts (b)	$	3				$	8
Foreign exchange and other option and futures contracts (b)		4					4
Total	$	7				$	12

(a)Reported as an adjustment to "interest expense" in the Consolidated Statement of Income.

(b)Reported as "trading account and other non-hedging derivative gains" in the Consolidated Statement of Income.