Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Table 73 presents the notional and gross fair value amounts of all derivative assets and liabilities held by us.

During the second quarter, in anticipation of LIBOR’s cessation on June 30, 2023, LIBOR-indexed interest-rate swap contracts with central clearing counterparties were subject to a conversion process whereby an individual LIBOR swap contract was exchanged for a SOFR replacement swap contract, along with one or more overlay swap contracts replicating the final LIBOR cash flows on the original swap contract. The swap contracts exchanged were substantially economically equivalent. Conversion-related valuation differences were settled in cash on the conversion dates and were not material. The SOFR replacement and overlay swaps are considered separate contracts, and the overlay swaps will result in a gross-up of the notional amounts presented until those swaps mature upon settlement of the final LIBOR payment. The majority of overlay swaps matured during the third quarter of 2023.

Table 73: Total Gross Derivatives (a)


	September 30, 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:
Fair value hedges (d)	$	29,523					$	24,231
Cash flow hedges (d)	35,241				$	2	40,310				$	1
Cash flow hedges - other (e)	25,000		$	222	281
Foreign exchange contracts:
Net investment hedges	1,168		22				1,120		$	24
Total derivatives designated for hedging	$	90,932	$	244	$	283	$	65,661	$	24	$	1
Derivatives not used for hedging
Derivatives used for mortgage banking activities (f):
Interest rate contracts:
Swaps (g)	$	45,056			$	4	$	47,908	$	7	$	1
Futures (h)	8,860						5,537
Mortgage-backed commitments	4,750		$	77	73		4,516		85		89
Other	16,588		51		21		18,017		90		14
Total interest rate contracts	75,254		128		98		75,978		182		104
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps (g)	420,301		2,170		6,579		354,150		1,597		5,397
Futures (h)	41						32
Mortgage-backed commitments	3,675		27		11		2,799		10		6
Other	28,734		292		285		29,071		334		321
Total interest rate contracts	452,751		2,489		6,875		386,052		1,941		5,724
Commodity contracts:
Swaps	6,558		477		504		5,792		1,003		1,067
Other	2,894		71		73		4,488		205		202
Total commodity contracts	9,452		548		577		10,280		1,208		1,269
Foreign exchange contracts and other	31,358		312		277		30,512		366		293
Total derivatives for customer-related activities	493,561		3,349		7,729		426,844		3,515		7,286
Derivatives used for other risk management activities:
Foreign exchange contracts and other	17,427		117		110		12,785		47		227
Total derivatives not designated for hedging	$	586,242	$	3,594	$	7,937	$	515,607	$	3,744	$	7,617
Total gross derivatives	$	677,174	$	3,838	$	8,220	$	581,268	$	3,768	$	7,618
Less: Impact of legally enforceable master netting agreements			1,396		1,396				1,523		1,523
Less: Cash collateral received/paid			1,593		1,599				714		1,571
Total derivatives			$	849	$	5,225			$	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)Represents caps and floors.

(f)Includes both residential and commercial mortgage banking activities.

(g)At September 30, 2023, the gross-up of the notional amounts due to overlay swap contracts used for mortgage banking and customer-related activities were $0.4 billion and $22.6 billion, respectively

(h)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 74: 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 September 30, 2023
Total amounts in the Consolidated Income Statement	$	4,643	$	892	$	993	$	94
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(156)	$	416
Derivatives			$	158	$	(421)
Amounts related to interest settlements on derivatives			$	8	$	(167)
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	(418)	$	(8)
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 nine months ended September 30, 2023
Total amounts on the Consolidated Income Statement	$	13,424	$	2,660	$	2,679	$	481
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(157)	$	551
Derivatives			$	163	$	(569)
Amounts related to interest settlements on derivatives			$	20	$	(427)
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	(1,108)	$	(21)
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

(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 75: Hedged Items - Fair Value Hedges


	September 30, 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)	$	1,874	$	(282)	$	2,376	$	(121)
Borrowed funds	$	25,959	$	(1,834)	$	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 September 30, 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 76: Gains (Losses) on Derivatives Not Designated for Hedging


	Three months ended September 30					Nine months ended September 30
In millions		2023		2022			2023		2022
Derivatives used for mortgage banking activities:
Interest rate contracts (a)		$	(224)	$	(245)		$	(301)	$	(700)
Derivatives used for customer-related activities:
Interest rate contracts		11		65			46		231
Foreign exchange contracts and other		31		(2)			145		22
Gains from customer-related activities (b)		42		63			191		253
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)		129		309			(85)		572
Total gains (losses) from derivatives not designated as hedging instruments		$	(53)	$	127		$	(195)	$	125

(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 77: 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, 2023
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	43					$	43				$	43

Over-the-counter	2,796		$	1,014	$	1,318	464			$	116	348
Commodity contracts	548		250		71		227			2		225
Foreign exchange and other contracts	451		132		204		115					115
Total derivative assets	$	3,838	$	1,396	$	1,593	$	849	(a)	$	118	$	731
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	30					$	30				$	30

Over-the-counter	7,226		$	811	$	1,567	4,848			$	87	4,761
Commodity contracts	577		459		31		87					87
Foreign exchange and other contracts	387		126		1		260					260
Total derivative liabilities	$	8,220	$	1,396	$	1,599	$	5,225	(b)	$	87	$	5,138
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 78: Credit-Risk Contingent Features


In billions	September 30, 2023		December 31, 2022
Net derivative liabilities with credit-risk contingent features	$	6.5	$	5.8
Collateral posted	1.7		1.7
Maximum additional amount of collateral exposure	$	4.8	$	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).

+ References + Details

- 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.

+ References + Details