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Financial Derivatives
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Financial Derivatives FINANCIAL DERIVATIVES
We use a variety of financial derivatives to both mitigate exposure to market (primarily interest rate) and credit risks inherent in our business activities, as well as to facilitate customer risk management activities. We manage these risks as part of our overall asset and liability management process and through our credit policies and procedures. Derivatives represent contracts between parties that usually require little or no initial net investment and result in one party delivering cash or another type of asset to the other party based on a notional amount and an underlying as specified in the contract.

Derivative transactions are often measured in terms of notional amount, but this amount is generally not exchanged and it is not recorded on the balance sheet. The notional amount is the basis to which the underlying is applied to determine required payments under the derivative contract. The underlying is a referenced interest rate, security price, credit spread or other index. Residential and commercial real estate loan commitments associated with loans to be sold also qualify as derivative instruments.

For more information regarding derivatives see Note 1 Accounting Policies and Note 16 Financial Derivatives in the Notes To Consolidated Financial Statements included in Item 8 of our 2021 Form 10-K.
The following table presents the notional and gross fair value amounts of all derivative assets and liabilities held by us:
Table 70: Total Gross Derivatives (a)
 September 30, 2022December 31, 2021
In millionsNotional /
Contract Amount		Asset Fair
Value (b)		Liability Fair
Value (c)		Notional /
Contract Amount		Asset Fair
Value (b)		Liability Fair
Value (c)
Derivatives used for hedging
Interest rate contracts (d):
Fair value hedges$22,222 $23,345 
Cash flow hedges41,700 $170 48,961 $15 $14 
Foreign exchange contracts:
Net investment hedges1,343 $176 1 1,113 24 
Total derivatives designated for hedging $65,265 $176 $171 $73,419 $15 $38 
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps$55,098 $35 $35,623 
Futures (f)7,020 4,592 
Mortgage-backed commitments5,539 $170 125 9,917 $55 $31 
Other20,703 175 16 12,225 46 12 
Total interest rate contracts88,360 345 176 62,357 101 43 
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps333,106 1,593 5,693 297,711 3,335 1,520 
Futures (f)896 907 
Mortgage-backed commitments2,119 39 16 4,147 5 6 
Other29,742 339 320 25,718 125 72 
Total interest rate contracts365,863 1,971 6,029 328,483 3,465 1,598 
Commodity contracts:
Swaps7,868 2,105 2,206 8,840 1,150 1,161 
Other5,307 470 467 3,128 213 212 
Total commodity contracts13,175 2,575 2,673 11,968 1,363 1,373 
Foreign exchange contracts and other28,984 601 566 27,563 199 179 
Total derivatives for customer-related activities408,022 5,147 9,268 368,014 5,027 3,150 
Derivatives used for other risk management activities:
Foreign exchange contracts and other11,930 200 122 11,512 9 339 
Total derivatives not designated for hedging $508,312 $5,692 $9,566 $441,883 $5,137 $3,532 
Total gross derivatives$573,577 $5,868 $9,737 $515,302 $5,152 $3,570 
Less: Impact of legally enforceable master netting agreements1,774 1,774 928 928 
Less: Cash collateral received/paid1,282 2,572  604 1,657 
Total derivatives $2,812 $5,391 $3,620 $985 
(a)Centrally cleared derivatives are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.
(b)Included in Other assets on our Consolidated Balance Sheet.
(c)Included in Other liabilities on our Consolidated Balance Sheet.
(d)Represents primarily swaps.
(e)Includes both residential and commercial mortgage banking activities.
(f)Futures contracts are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.

All derivatives are carried on our Consolidated Balance Sheet at fair value. Derivative balances are presented on the Consolidated Balance Sheet on a net basis taking into consideration the effects of legally enforceable master netting agreements and, when appropriate, any related cash collateral exchanged with counterparties. Further discussion regarding the offsetting rights associated with these legally enforceable master netting agreements is included in the Offsetting and Counterparty Credit Risk section of this Note 13. Any nonperformance risk, including credit risk, is included in the determination of the estimated net fair value of the derivatives.
Derivatives Designated As Hedging Instruments

Certain derivatives used to manage interest rate and foreign exchange risk as part of our asset and liability risk management activities are designated as accounting hedges. Derivatives hedging the risks associated with changes in the fair value of assets or liabilities are considered fair value hedges, derivatives hedging the variability of expected future cash flows are considered cash flow hedges and derivatives hedging a net investment in a foreign subsidiary are considered net investment hedges. Designating derivatives as accounting hedges allows for gains and losses on those derivatives to be recognized in the same period and in the same income statement line item as the earnings impact of the hedged items.

Fair Value Hedges
We enter into receive-fixed, pay-variable interest rate swaps to hedge changes in the fair value of outstanding fixed-rate debt caused by fluctuations in market interest rates. We also enter into pay-fixed, receive-variable interest rate swaps and zero-coupon swaps to hedge changes in the fair value of fixed rate and zero-coupon investment securities caused by fluctuations in market interest rates. Gains and losses on the interest rate swaps designated in these hedge relationships, along with the offsetting gains and losses on the hedged items attributable to the hedged risk, are recognized in current earnings within the same income statement line item.

Cash Flow Hedges
We enter into receive-fixed, pay-variable interest rate swaps and interest rate caps and floors to modify the interest rate characteristics of designated commercial loans from variable to fixed in order to reduce the impact of changes in future cash flows due to market interest rate changes. We also periodically enter into forward purchase and sale contracts to hedge the variability of the consideration that will be paid or received related to the purchase or sale of investment securities. The forecasted purchase or sale is consummated upon gross settlement of the forward contract itself. For these cash flow hedges, gains and losses on the hedging instruments are recorded in AOCI and are then reclassified into earnings in the same period the hedged cash flows affect earnings and within the same income statement line as the hedged cash flows.

In the 12 months that follow September 30, 2022, we expect to reclassify net derivative losses of $1.2 billion pretax, or $1.0 billion after-tax, from AOCI to interest income for these cash flow hedge strategies. This reclassified amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations and the addition of other hedges subsequent to September 30, 2022. As of September 30, 2022, the maximum length of time over which forecasted transactions are hedged is ten years.
Further detail regarding gains (losses) related to our fair value and cash flow hedge derivatives is presented in the following table:
Table 71: Gains (Losses) Recognized on Fair Value and Cash Flow Hedges in the Consolidated Income Statement (a) (b)
 Location and Amount of Gains (Losses) Recognized in Income
Interest IncomeInterest ExpenseNoninterest Income
In millionsLoansInvestment SecuritiesBorrowed FundsOther
For the three months ended September 30, 2022
Total amounts in the Consolidated Income Statement$3,138 $715 $317 $317 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$(85)$696 
Derivatives$86 $(706)
Amounts related to interest settlements on derivatives$(1)$1 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
other comprehensive income		$(122)$(7)
For the three months ended September 30, 2021
Total amounts in the Consolidated Income Statement$2,437 $460 $90 $268 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$2 $155 
Derivatives$(169)
Amounts related to interest settlements on derivatives$(1)$129 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
other comprehensive income		$91 $11 $13 
For the nine months ended September 30, 2022
Total amounts on the Consolidated Income Statement$7,935 $1,890 $542 $705 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$(131)$2,073 
Derivatives$135 $(2,101)
Amounts related to interest settlements on derivatives$(4)$185 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
other comprehensive income		$(5)$3 
For the nine months ended September 30, 2021
Total amounts on the Consolidated Income Statement$6,593 $1,350 $275 $907 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$(3)$695 
Derivatives$7 $(740)
Amounts related to interest settlements on derivatives$(3)$394 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
other comprehensive income		$282 $49 $27 
(a)For all periods presented, there were no components of derivative gains or losses excluded from the assessment of hedge effectiveness for any of the fair value or cash flow hedge strategies.
(b)All cash flow and fair value hedge derivatives were interest rate contracts for the periods presented.
(c)Includes an insignificant amount of fair value hedge adjustments related to discontinued hedge relationships.
(d)For all periods presented, there were no gains or losses from cash flow hedge derivatives reclassified to income because it became probable that the original forecasted transaction would not occur.
Detail regarding the impact of fair value hedge accounting on the carrying value of the hedged items is presented in the following table:

Table 72: Hedged Items - Fair Value Hedges
 
 September 30, 2022December 31, 2021
In millionsCarrying Value of the Hedged ItemsCumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)Carrying Value of the Hedged ItemsCumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)
Investment securities - available for sale (b)$2,356 $(114)$2,655 $23 
Borrowed funds$19,633 $(1,411)$24,259 $663 
(a)Includes less than $(0.1) billion and $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at September 30, 2022 and December 31, 2021, respectively.
(b)Carrying value shown represents amortized cost.

Net Investment Hedges
We enter into foreign currency forward contracts to hedge non-U.S. dollar net investments in foreign subsidiaries against adverse changes in foreign exchange rates. We assess whether the hedging relationship is highly effective in achieving offsetting changes in the value of the hedge and hedged item by qualitatively verifying that the critical terms of the hedge and hedged item match at the inception of the hedging relationship and on an ongoing basis. Net investment hedge derivatives are classified as foreign exchange contracts. There were no components of derivative gains or losses excluded from the assessment of the hedge effectiveness for the periods presented.

Derivatives Not Designated As Hedging Instruments

For additional information on derivatives not designated as hedging instruments under GAAP, see Note 16 Financial Derivatives in the Notes To Consolidated Financial Statements included in Item 8 of our 2021 Form 10-K.
Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:
Table 73: Gains (Losses) on Derivatives Not Designated for Hedging
 Three months ended
September 30		Nine months ended
September 30
In millions2022202120222021
Derivatives used for mortgage banking activities:
Interest rate contracts (a)$(245)$6 $(700)$(100)
Derivatives used for customer-related activities:
Interest rate contracts65 (4)231 93 
Foreign exchange contracts and other (2)23 22 88 
Gains (losses) from customer-related activities (b)63 19 253 181 
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)309 (72)572 (53)
Total gains (losses) from derivatives not designated as hedging instruments$127 $(47)$125 $28 
(a)Included in Residential and commercial mortgage noninterest income on our Consolidated Income Statement.
(b)Included in Capital markets related and Other noninterest income on our Consolidated Income Statement.

Offsetting and Counterparty Credit Risk

We generally utilize a net presentation on the Consolidated Balance Sheet for those derivative financial instruments entered into with counterparties under legally enforceable master netting agreements. The master netting agreements reduce credit risk by permitting the closeout netting of all outstanding derivative instruments under the master netting agreement with the same counterparty upon the occurrence of an event of default. The master netting agreement also may require the exchange of cash or marketable securities to collateralize either party’s net position. For additional information on derivative offsetting and counterparty credit risk, see Note 16 Financial Derivatives in the Notes To Consolidated Financial Statements included in Item 8 of our 2021 Form 10-K.

Table 74 shows the impact legally enforceable master netting agreements had on our derivative assets and derivative liabilities at September 30, 2022 and December 31, 2021. The table includes cash collateral held or pledged under legally enforceable master netting agreements. The table also includes the fair value of any securities collateral held or pledged under legally enforceable master netting agreements. Cash and securities collateral amounts are included in the table only to the extent of the related net derivative fair values.
Table 74 includes OTC derivatives not settled through an exchange ("OTC derivatives") and OTC derivatives cleared through a central clearing house ("OTC cleared derivatives"). OTC derivatives represent contracts executed bilaterally with counterparties that are not settled through an organized exchange or directly cleared through a central clearing house. The majority of OTC derivatives are governed by the ISDA documentation or other legally enforceable master netting agreements. OTC cleared derivatives represent contracts executed bilaterally with counterparties in the OTC market that are novated to a central clearing house who then becomes our counterparty. OTC cleared derivative instruments are typically settled in cash each day based on the prior day value.
Table 74: Derivative Assets and Liabilities Offsetting

In millions  Amounts Offset on the
Consolidated Balance Sheet		   Securities Collateral Held/Pledged Under Master Netting Agreements  
Gross
Fair Value		Fair Value
Offset Amount		Cash
Collateral		Net
Fair Value		 Net Amounts
September 30, 2022
Derivative assets
Interest rate contracts:
Over-the-counter cleared $140 $140  $140 
Over-the-counter2,176 $873 $790 513  $35 478 
Commodity contracts2,575 555 105 1,915 1,915 
Foreign exchange and other contracts977 346 387 244  244 
Total derivative assets$5,868 $1,774 $1,282 $2,812 (a) $35 $2,777 
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared $244 $244  $244 
Over-the-counter6,131 $550 $1,015 4,566  $79 4,487 
Commodity contracts 2,673 1,012 1,548 113 113 
Foreign exchange and other contracts689 212 9 468  468 
Total derivative liabilities$9,737 $1,774 $2,572 $5,391 (b)$79 $5,312 
December 31, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared$20 $20  $20 
Over-the-counter3,561 $533 $593 2,435  $300 2,135 
Commodity contracts1,363 299 1 1,063 1,063 
Foreign exchange and other contracts208 96 10 102  102 
Total derivative assets$5,152 $928 $604 $3,620 (a)$300 $3,320 
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared$12 $12  $12 
Over-the-counter1,643 $569 $776 298  298 
Commodity contracts1,373 291 784 298 298 
Foreign exchange and other contracts542 68 97 377  377 
Total derivative liabilities$3,570 $928 $1,657 $985 (b)$985 
(a)Represents the net amount of derivative assets included in Other assets on our Consolidated Balance Sheet.
(b)Represents the net amount of derivative liabilities included in Other liabilities on our Consolidated Balance Sheet.

In addition to using master netting agreements and other collateral agreements to reduce credit risk associated with derivative instruments, we also seek to manage credit risk by evaluating credit ratings of counterparties and by using internal credit analysis, limits and monitoring procedures.

At September 30, 2022, cash and debt securities (primarily agency mortgage-backed securities) totaling $2.2 billion were pledged to us under master netting agreements and other collateral agreements to collateralize net derivative assets due from counterparties and to meet initial margin requirements, and we pledged cash and debt securities (primarily agency mortgage-backed securities) totaling $3.9 billion under these agreements to collateralize net derivative liabilities owed to counterparties and to meet initial margin requirements. These totals may differ from the amounts presented in the preceding offsetting table because these totals may include collateral
exchanged under an agreement that does not qualify as a master netting agreement or because the total amount of collateral pledged exceeds the net derivative fair values with the counterparty as of the balance sheet date due to timing or other factors, such as initial margin. To the extent not netted against the derivative fair values under a master netting agreement, the receivable for cash pledged is included in Other assets and the obligation for cash held is included in Other liabilities on our Consolidated Balance Sheet. Securities pledged to us by counterparties are not recognized on our balance sheet. Likewise, securities we have pledged to counterparties remain on our balance sheet.
Credit-Risk Contingent Features

Certain derivative agreements contain various credit-risk related contingent provisions, such as those that require our debt to maintain a specified credit rating from one or more of the major credit rating agencies. If our debt ratings were to fall below such specified ratings, the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full collateralization on derivative instruments in net liability positions. The following table presents the aggregate fair value of derivative instruments with credit-risk-related contingent features, the associated collateral posted in the normal course of business and the maximum amount of collateral we would be required to post if the credit-risk-related contingent features underlying these agreements had been triggered on September 30, 2022 and December 31, 2021.
Table 75: Credit-Risk Contingent Features
 In billionsSeptember 30
2022		December 31
2021
Net derivative liabilities with credit-risk contingent features$7.5 $2.4 
Collateral posted 2.7 1.8 
Maximum additional amount of collateral exposure $4.8 $0.6