XML 62 R51.htm IDEA: XBRL DOCUMENT v3.23.1
Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional and Fair Value Amounts of Client-related and Trading Derivative Financial Instruments
The following table shows the notional and fair values of all derivative financial instruments as of March 31, 2023 and December 31, 2022.
TABLE 71: NOTIONAL AND FAIR VALUES OF DERIVATIVE FINANCIAL INSTRUMENTS
MARCH 31, 2023DECEMBER 31, 2022
NOTIONAL VALUEFAIR VALUENOTIONAL VALUEFAIR VALUE
(In Millions)
ASSET(1)
LIABILITY(2)
ASSET(1)
LIABILITY(2)
Derivatives Designated as Hedging under GAAP
Interest Rate Contracts
Fair Value Hedges$4,111.0 $58.1 $35.8 $4,622.0 $58.5 $32.7 
Foreign Exchange Contracts
Cash Flow Hedges95.3 4.3 2.8 150.9 7.4 5.7 
Net Investment Hedges3,697.5 27.2 0.8 3,765.0 283.5 12.7 
Total Derivatives Designated as Hedging under GAAP$7,903.8 $89.6 $39.4 $8,537.9 $349.4 $51.1 
Derivatives Not Designated as Hedging under GAAP
Non-Designated Risk Management Derivatives
Foreign Exchange Contracts
$48.1 $0.1 $0.2 $55.9 $0.1 $0.1 
Other Financial Derivatives(3)
777.1 0.4 35.9 717.7 0.3 34.8 
Total Non-Designated Risk Management Derivatives$825.2 $0.5 $36.1 $773.6 $0.4 $34.9 
Client-Related and Trading Derivatives
Foreign Exchange Contracts
$307,557.0 $2,283.4 $2,268.2 $288,994.6 $3,219.1 $3,169.0 
Interest Rate Contracts
12,251.2 218.1 334.1 12,378.2 163.5 399.1 
Total Client-Related and Trading Derivatives$319,808.2 $2,501.5 $2,602.3 $301,372.8 $3,382.6 $3,568.1 
Total Derivatives Not Designated as Hedging under GAAP$320,633.4 $2,502.0 $2,638.4 $302,146.4 $3,383.0 $3,603.0 
Total Gross Derivatives$328,537.2 $2,591.6 $2,677.8 $310,684.3 $3,732.4 $3,654.1 
Less: Netting(4)
1,807.6 1,525.6 2,810.7 1,865.9 
Total Derivative Financial Instruments$784.0 $1,152.2 $921.7 $1,788.2 
(1)    Derivative assets are reported in Other Assets on the consolidated balance sheets.
(2)    Derivative liabilities are reported in Other Liabilities on the consolidated balance sheets.
(3)    This line includes swaps related to sales of certain Visa Class B common shares and total return swap contracts.
(4)    See further detail in Note 23—Offsetting of Assets and Liabilities.
Cash Flow Hedge Derivative Gains and Losses Recognized in AOCI and Reclassified to Income
The following tables provide fair value and cash flow hedge derivative gains and losses recognized in income during the three month periods ended March 31, 2023 and 2022.
TABLE 72: LOCATION AND AMOUNT OF FAIR VALUE AND CASH FLOW HEDGE DERIVATIVE GAINS AND LOSSES RECORDED IN INCOME
(In Millions)INTEREST INCOMEINTEREST EXPENSEOTHER OPERATING INCOME
THREE MONTHS ENDED MARCH 31,202320222023202220232022
Total amounts on the consolidated statements of income$1,455.4 $383.5 $924.2 $2.5 $46.8 $41.1 
Gains (Losses) on fair value hedges recognized on
Interest Rate Contracts
Recognized on derivatives(18.5)39.2 49.1 (155.9)— — 
Recognized on hedged items18.5 (39.2)(49.1)155.9 — — 
Amounts related to interest settlements on derivatives12.3 (8.9)(18.4)1.2 — — 
Total gains (losses) recognized on fair value hedges$12.3 $(8.9)$(18.4)$1.2 $— $— 
Gains (Losses) on cash flow hedges recognized on
Foreign Exchange Contracts
Net gains (losses) reclassified from AOCI to net income$— $0.6 $— $— $0.6 $(2.3)
Total gains (losses) reclassified from AOCI to net income on cash flow hedges$— $0.6 $— $— $0.6 $(2.3)
Location and Amount of Fair Value Hedge Derivative Gains and Losses Recorded in Income
The following table provides the impact of fair value hedge accounting on the carrying value of the designated hedged items as of March 31, 2023 and December 31, 2022.
TABLE 73: HEDGED ITEMS IN FAIR VALUE HEDGES
MARCH 31, 2023DECEMBER 31, 2022
(In Millions)CARRYING VALUE OF THE HEDGED ITEMS
CUMULATIVE HEDGE ACCOUNTING BASIS ADJUSTMENT(1)(3)
CARRYING VALUE OF THE HEDGED ITEMS
CUMULATIVE HEDGE ACCOUNTING BASIS ADJUSTMENT(2)(3)
Available for Sale Debt Securities(4)
$1,328.4 $(36.0)$1,820.8 $(60.2)
Senior Notes and Long-Term Subordinated Debt2,498.8 (244.9)2,746.2 (294.0)
(1)    The cumulative hedge accounting basis adjustment includes $1.5 million related to discontinued hedging relationships of AFS debt securities as of March 31, 2023. There are no amounts related to discontinued hedging relationships in the cumulative hedge accounting basis adjustment of senior notes and long-term debt as of March 31, 2023.
(2)    The cumulative hedge accounting basis adjustment includes $7.3 million related to discontinued hedging relationships of AFS debt securities as of December 31, 2022. There were no amounts related to discontinued hedging relationships in the cumulative hedge accounting basis adjustment of senior notes and long-term debt as of December 31, 2022.
(3) Positive (negative) amounts related to AFS securities represent cumulative fair value hedge basis adjustments that will reduce (increase) net interest income in future periods. Positive (negative) amounts related to Senior Notes and Long-Term Subordinated Debt represent cumulative fair value hedge basis adjustments that will increase (reduce) net interest income in future periods.
(4)    Carrying value represents amortized cost.
Location and Amount of Gains and Losses Recorded in Income for Non-Designated Risk Management Derivative Instruments The following table provides the location and amount of gains and losses recorded in the consolidated statements of income for the three months ended March 31, 2023 and 2022 for derivative instruments not designated as hedges under GAAP.
TABLE 74: LOCATION AND AMOUNT OF GAINS AND LOSSES RECORDED IN INCOME FOR DERIVATIVES NOT DESIGNATED AS HEDGING UNDER GAAP
(In Millions)DERIVATIVE GAINS (LOSSES) LOCATION RECOGNIZED IN INCOMEAMOUNT OF DERIVATIVE GAINS (LOSSES) RECOGNIZED IN INCOME
THREE MONTHS ENDED MARCH 31,
20232022
Non-designated risk management derivatives
Foreign Exchange ContractsOther Operating Income$0.7 $2.7 
Other Financial Derivatives(1)
Other Operating Income(8.8)(4.5)
Gains (Losses) from non-designated risk management derivatives$(8.1)$(1.8)
Client-related and trading derivatives
Foreign Exchange ContractsForeign Exchange Trading Income$53.0 $80.9 
Interest Rate ContractsSecurity Commissions and Trading Income2.5 1.0 
Gains from client-related and trading derivatives$55.5 $81.9 
Total gains from derivatives not designated as hedging under GAAP$47.4 $80.1 
(1)    This line includes swaps related to the sale of certain Visa Class B common shares and total return swap contracts.