Financial Derivatives (Tables)

3 Months Ended

Mar. 31, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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

Table 71: Total Gross Derivatives (a)


	March 31, 2024						December 31, 2023
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)	$	34,824					$	32,079
Cash flow hedges (d)	36,499						33,302
Cash flow hedges - other (e)	25,000		$	250	$	195	25,000		$	327	$	137
Foreign exchange contracts:
Net investment hedges	1,208		8				1,174				2
Total derivatives designated for hedging	$	97,531	$	258	$	195	$	91,555	$	327	$	139
Derivatives not used for hedging
Derivatives used for mortgage banking activities (f):
Interest rate contracts:
Swaps	$	43,746					$	43,450
Futures (g)	9,959						10,370
Mortgage-backed commitments	4,493		$	59	$	53	3,093		$	66	$	67
Other	16,737		22		12		15,544		46		22
Total interest rate contracts	74,935		81		65		72,457		112		89
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	401,246		1,765		4,929		401,607		1,723		4,228
Futures (g)	166						73
Mortgage-backed commitments	4,020		5		6		2,592		9		25
Other	25,854		191		139		28,489		186		169
Total interest rate contracts	431,286		1,961		5,074		432,761		1,918		4,422
Commodity contracts:
Swaps	6,592		565		544		6,714		577		569
Other	5,078		159		158		4,797		188		188
Total commodity contracts	11,670		724		702		11,511		765		757
Foreign exchange contracts and other	32,307		254		214		32,885		295		239
Total derivatives for customer-related activities	475,263		2,939		5,990		477,157		2,978		5,418
Derivatives used for other risk management activities:
Foreign exchange contracts and other	15,357		54		115		14,882		12		253
Total derivatives not designated for hedging	$	565,555	$	3,074	$	6,170	$	564,496	$	3,102	$	5,760
Total gross derivatives	$	663,086	$	3,332	$	6,365	$	656,051	$	3,429	$	5,899
Less: Impact of legally enforceable master netting agreements			1,248		1,248				1,406		1,406
Less: Cash collateral received/paid			1,341		1,195				1,126		955
Total derivatives			$	743	$	3,922			$	897	$	3,538

(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)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 72: 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, 2024
Total amounts in the Consolidated Income Statement	$	4,819	$	883	$	1,159	$	135
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(74)	$	413
Derivatives			$	74	$	(428)
Amounts related to interest settlements on derivatives			$	10	$	(175)
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	(369)	$	(7)
Other amounts related to interest settlements on derivatives	$	22
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)
Other amounts related to interest settlements on derivatives	$	28

(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 73: Hedged Items - Fair Value Hedges


	March 31, 2024				December 31, 2023
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)	$	2,284	$	(195)	$	2,076	$	(122)
Borrowed funds	$	31,489	$	(1,158)	$	30,503	$	(737)

(a)Includes less than $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at both March 31, 2024 and December 31, 2023.

(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 74: Gains (Losses) on Derivatives Not Designated for Hedging


	Three months ended March 31
In millions		2024		2023
Derivatives used for mortgage banking activities:
Interest rate contracts (a)		$	(123)	$	107
Derivatives used for customer-related activities:
Interest rate contracts		(16)		2
Foreign exchange contracts and other		29		56
Gains from customer-related activities (b)		13		58
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)		125		(77)
Total gains from derivatives not designated as hedging instruments		$	15	$	88

(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 75: 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, 2024
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	8					$	8				$	8

Over-the-counter	2,284		$	864	$	963	457			$	30	427
Commodity contracts	724		286		247		191					191
Foreign exchange and other contracts	316		98		131		87					87
Total derivative assets	$	3,332	$	1,248	$	1,341	$	743	(a)	$	30	$	713
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	12					$	12				$	12

Over-the-counter	5,322		$	786	$	1,195	3,341			$	67	3,274
Commodity contracts	702		359				343					343
Foreign exchange and other contracts	329		103				226					226
Total derivative liabilities	$	6,365	$	1,248	$	1,195	$	3,922	(b)	$	67	$	3,855
December 31, 2023
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	19					$	19				$	19

Over-the-counter	2,338		$	976	$	767	595			$	61	534
Commodity contracts	765		316		283		166			5		161
Foreign exchange and other contracts	307		114		76		117					117
Total derivative assets	$	3,429	$	1,406	$	1,126	$	897	(a)	$	66	$	831
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	36					$	36				$	36

Over-the-counter	4,612		$	885	$	942	2,785			$	58	2,727
Commodity contracts	757		332				425					425
Foreign exchange and other contracts	494		189		13		292					292
Total derivative liabilities	$	5,899	$	1,406	$	955	$	3,538	(b)	$	58	$	3,480

(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 76: Credit-Risk Contingent Features


In billions	March 31, 2024		December 31, 2023
Net derivative liabilities with credit-risk contingent features	$	5.0	$	4.2
Less: Collateral posted	1.3		1.0
Maximum additional amount of collateral exposure	$	3.7	$	3.2

- 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