Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the notional and gross fair value amounts of all derivative assets and liabilities held by us:

Table 72: Total Gross Derivatives (a)


	March 31, 2023						December 31, 2022
In millions	Notional / 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	$	26,265					$	24,231
Cash flow hedges	41,732		$	1			40,310				$	1
Foreign exchange contracts:
Net investment hedges	1,113		5				1,120		$	24
Total derivatives designated for hedging	$	69,110	$	6	$		$	65,661	$	24	$	1
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	50,185	$	5	$	4	$	47,908	$	7	$	1
Futures (f)	6,682						5,537
Mortgage-backed commitments	6,555		88		66		4,516		85		89
Other	17,385		81		18		18,017		90		14
Total interest rate contracts	80,807		174		88		75,978		182		104
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	375,996		1,515		4,447		354,150		1,597		5,397
Futures (f)	43						32
Mortgage-backed commitments	4,184		8		18		2,799		10		6
Other	31,309		282		269		29,071		334		321
Total interest rate contracts	411,532		1,805		4,734		386,052		1,941		5,724
Commodity contracts:
Swaps	5,879		599		645		5,792		1,003		1,067
Other	3,644		170		169		4,488		205		202
Total commodity contracts	9,523		769		814		10,280		1,208		1,269
Foreign exchange contracts and other	32,185		358		320		30,512		366		293
Total derivatives for customer-related activities	453,240		2,932		5,868		426,844		3,515		7,286
Derivatives used for other risk management activities:
Foreign exchange contracts and other	13,838		41		160		12,785		47		227
Total derivatives not designated for hedging	$	547,885	$	3,147	$	6,116	$	515,607	$	3,744	$	7,617
Total gross derivatives	$	616,995	$	3,153	$	6,116	$	581,268	$	3,768	$	7,618
Less: Impact of legally enforceable master netting agreements			1,518		1,518				1,523		1,523
Less: Cash collateral received/paid			634		911				714		1,571
Total derivatives			$	1,001	$	3,687			$	1,531	$	4,524

(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.

Schedule of Fair Value and Cash Flow Hedges

Further detail regarding gains (losses) related to our fair value and cash flow hedge derivatives is presented in the following table:

Table 73: 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 Income				Interest Expense		Noninterest Income
In millions	Loans		Investment Securities		Borrowed Funds		Other
For the three months ended March 31, 2023
Total amounts in the Consolidated Income Statement	$	4,258	$	885	$	783	$	258
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	47	$	(297)
Derivatives			$	(45)	$	291
Amounts related to interest settlements on derivatives			$	5	$	(113)
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	(325)	$	(5)
For the three months ended March 31, 2022
Total amounts in the Consolidated Income Statement	$	2,293	$	544	$	83	$	211
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(18)	$	934
Derivatives			$	19	$	(944)
Amounts related to interest settlements on derivatives			$	(1)	$	110
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	92	$	10

(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.

Schedule of Fair Value Hedges

Detail regarding the impact of fair value hedge accounting on the carrying value of the hedged items is presented in the following table:

Table 74: Hedged Items - Fair Value Hedges


	March 31, 2023				December 31, 2022
In millions	Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)		Carrying Value of the Hedged Items		Cumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)
Investment securities - available for sale (b)	$	2,265	$	(75)	$	2,376	$	(121)
Borrowed funds	$	24,070	$	(985)	$	21,781	$	(1,283)

(a)Includes less than $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at both March 31, 2023 and December 31, 2022.

(b)Carrying value shown represents amortized cost.

Gains (Losses) on Derivatives Not Designated as Hedging Instruments under GAAP

Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:

Table 75: Gains (Losses) on Derivatives Not Designated for Hedging


	Three months ended March 31
In millions		2023		2022
Derivatives used for mortgage banking activities:
Interest rate contracts (a)		$	107	$	(265)
Derivatives used for customer-related activities:
Interest rate contracts		2		97
Foreign exchange contracts and other		56		44
Gains from customer-related activities (b)		58		141
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)		(77)		47
Total gains (losses) from derivatives not designated as hedging instruments		$	88	$	(77)

(a)Included in Residential and commercial mortgage noninterest income on our Consolidated Income Statement.

(b)Included in Capital markets and advisory and Other noninterest income on our Consolidated Income Statement.

Derivative Assets And Liabilities Offsetting

Table 76: 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
March 31, 2023
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	16					$	16				$	16

Over-the-counter	1,964		$	908	$	445	611			$	45	566
Commodity contracts	769		411		99		259					259
Foreign exchange and other contracts	404		199		90		115					115
Total derivative assets	$	3,153	$	1,518	$	634	$	1,001	(a)	$	45	$	956
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	26					$	26				$	26

Over-the-counter	4,796		$	764	$	861	3,171			$	37	3,134
Commodity contracts	814		558		41		215					215
Foreign exchange and other contracts	480		196		9		275					275
Total derivative liabilities	$	6,116	$	1,518	$	911	$	3,687	(b)	$	37	$	3,650
December 31, 2022
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	23					$	23				$	23

Over-the-counter	2,100		$	974	$	630	496			$	34	462
Commodity contracts	1,208		335		2		871					871
Foreign exchange and other contracts	437		214		82		141					141
Total derivative assets	$	3,768	$	1,523	$	714	$	1,531	(a)	$	34	$	1,497
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	28					$	28				$	28

Over-the-counter	5,801		$	625	$	1,041	4,135			$	78	4,057
Commodity contracts	1,269		679		520		70			4		66
Foreign exchange and other contracts	520		219		10		291					291
Total derivative liabilities	$	7,618	$	1,523	$	1,571	$	4,524	(b)	$	82	$	4,442

(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.

Credit-Risk Contingent Features

Table 77: Credit-Risk Contingent Features


In billions	March 31 2023		December 31 2022
Net derivative liabilities with credit-risk contingent features	$	4.3	$	5.8
Collateral posted	1.0		1.7
Maximum additional amount of collateral exposure	$	3.3	$	4.1

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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