Derivative Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments

The following table presents the fair value of derivative contracts by major product type on a gross basis. Gross fair values exclude the effects of both counterparty netting as well as collateral, and therefore are not representative of our exposure. The table below also presents the amounts of counterparty netting and cash collateral that have been offset in the consolidated balance sheet, as well as cash and securities collateral posted and received under enforceable master netting agreements that do not meet the criteria for netting. Derivative assets and liabilities which are not subject to an enforceable master netting agreement, or are subject to a netting agreement where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, have not been netted in the following table. Where we have received or posted collateral under netting agreements where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, the related collateral also has not been netted in the following table.

	June 30, 2023				December 31, 2022
	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
	(in millions)
Derivatives accounted for as fair value hedges(1)
Interest rate contracts - bilateral OTC(2)	$	16	$	7	$	42	$	12
Derivatives accounted for as cash flow hedges(1)
Foreign exchange contracts - bilateral OTC(2)	70		—		—		70
Interest rate contracts - bilateral OTC(2)	—		1		—		4
Total derivatives accounted for as hedges	86		8		42		86
Trading derivatives not accounted for as hedges(3)
Exchange-traded(2)	5		11		8		7
OTC-cleared(2)	—		—		42		—
Bilateral OTC(2)	1,442		1,088		1,764		1,364
Interest rate contracts	1,447		1,099		1,814		1,371
Foreign exchange contracts - bilateral OTC(2)	14,743		13,738		15,744		15,440
Exchange-traded(2)	—		—		—		4
Bilateral OTC(2)	285		798		630		266
Equity contracts	285		798		630		270
Exchange-traded(2)	7		—		—		1
Bilateral OTC(2)	1,197		1,104		1,201		1,254
Precious metals contracts	1,204		1,104		1,201		1,255
Credit contracts - bilateral OTC(2)	68		37		103		45
Other non-qualifying derivatives not accounted for as hedges(1)
Interest rate contracts - bilateral OTC(2)	—		97		—		97
Equity contracts - bilateral OTC(2)	660		276		398		657
OTC-cleared(2)	—		1		—		1
Bilateral OTC(2)	9		67		7		60
Credit contracts	9		68		7		61
Other contracts - bilateral OTC(2)(4)	3		27		5		38
Total derivatives	18,505		17,252		19,944		19,320
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(5)(7)	14,491		14,491		15,625		15,625
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(6)(7)	2,565		1,180		2,653		1,529
Net amounts of derivative assets / liabilities presented in the balance sheet	1,449		1,581		1,666		2,166
Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet	101		48		234		32
Net amounts of derivative assets / liabilities	$	1,348	$	1,533	$	1,432	$	2,134

(1)Derivative assets / liabilities related to cash flow hedges, fair value hedges and derivative instruments held for purposes other than for trading are recorded in other assets / interest, taxes and other liabilities on the consolidated balance sheet.

(2)Over-the-counter ("OTC") derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. The credit risk associated with bilateral OTC derivatives is managed through obtaining collateral and enforceable master netting agreements. OTC-cleared derivatives are executed bilaterally in the OTC market but then novated to a central clearing counterparty, whereby the central clearing counterparty becomes the counterparty to each of the original counterparties. Exchange traded derivatives are executed directly on an organized exchange. Credit risk is minimized for OTC-cleared derivatives and exchange traded derivatives through daily margining requirements. In addition, OTC-cleared interest rate and credit derivatives with certain central clearing counterparties are settled daily.

(3)Trading related derivative assets / liabilities are recorded in trading assets / trading liabilities on the consolidated balance sheet.

(4)Consists of swap agreements entered into in conjunction with the sales of Visa Inc. ("Visa") Class B common shares ("Class B Shares").

(5)Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.

(6)Represents the netting of cash collateral posted and received by counterparty under enforceable netting agreements.

(7)Netting is performed at a counterparty level in cases where enforceable master netting agreements are in place, regardless of the type of derivative instrument. Therefore, we have not allocated netting to the different types of derivative instruments shown in the table above.

Schedule of Gains and Losses on Fair Value Hedging Instruments

The following table presents the carrying amount of hedged items in fair value hedges recognized in the consolidated balance sheet at June 30, 2023 and December 31, 2022, along with the cumulative amount of fair value hedging adjustments included in the carrying amount of those hedged items:

	Carrying Amount of Hedged Items(1)		Cumulative Amount of Fair Value Hedging Adjustments Increasing (Decreasing) the Carrying Amount of Hedged Items
			Active		Discontinued		Total
	(in millions)
At June 30, 2023
Securities available-for-sale ("AFS")	$	13,299	$	(1,565)	$	155	$	(1,410)
Deposits	1,437		(145)		82		(63)
Long-term debt	7,452		(581)		92		(489)
At December 31, 2022
Securities AFS	15,034		(1,633)		246		(1,387)
Deposits	1,446		(150)		96		(54)
Long-term debt	6,506		(605)		111		(494)

(1)The carrying amount of securities AFS represents the amortized cost basis.

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments and the hedged items in fair value hedges and their location on the consolidated statement of income:

	Location of Gain (Loss) Recognized in Income	Gain (Loss) on Derivatives		Gain (Loss) on Hedged Items
		(in millions)
Three Months Ended June 30, 2023
Interest rate contracts / Securities AFS	Net interest income	$	399	$	(220)
Interest rate contracts / Deposits	Net interest income	(33)		(1)
Interest rate contracts / Long-term debt	Net interest income	(146)		27
Total		$	220	$	(194)
Three Months Ended June 30, 2022
Interest rate contracts / Securities AFS	Net interest income	$	748	$	(679)
Interest rate contracts / Deposits	Net interest income	(20)		3
Interest rate contracts / Long-term debt	Net interest income	(90)		69
Total		$	638	$	(607)
Six Months Ended June 30, 2023
Interest rate contracts / Securities AFS	Net interest income	$	192	$	166
Interest rate contracts / Deposits	Net interest income	(27)		(38)
Interest rate contracts / Long-term debt	Net interest income	(70)		(147)
Total		$	95	$	(19)
Six Months Ended June 30, 2022
Interest rate contracts / Securities AFS	Net interest income	$	1,407	$	(1,321)
Interest rate contracts / Deposits	Net interest income	(85)		54
Interest rate contracts / Long-term debt	Net interest income	(326)		295
Total		$	996	$	(972)

Schedule of Gains and Losses on Cash Flow Hedging Instruments

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from discontinued cash flow hedges) and their location on the consolidated statement of income:

	Gain (Loss) Recognized in AOCI on Derivatives				Location of Gain (Loss) Reclassified from AOCI into Income	Gain (Loss) Reclassified From AOCI into Income
	2023		2022			2023		2022
	(in millions)
Three Months Ended June 30,
Interest rate contracts	$	(120)	$	(82)	Net interest income	$	(55)	$	(1)
Total	$	(120)	$	(82)		$	(55)	$	(1)
Six Months Ended June 30,
Interest rate contracts	$	(35)	$	(283)	Net interest income	$	(100)	$	(2)
Total	$	(35)	$	(283)		$	(100)	$	(2)

Schedule of Gains and Losses on Derivative Instruments Included in Trading Activities

The following table presents information on gains and losses on derivative instruments held for trading purposes and their location on the consolidated statement of income:

	Location of Gain (Loss) Recognized in Income on Derivatives	Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended June 30,				Six Months Ended June 30,
		2023		2022		2023		2022
		(in millions)
Interest rate contracts	Trading revenue	$	(26)	$	150	$	(55)	$	376
Foreign exchange contracts	Trading revenue	105		(34)		134		116
Equity contracts	Trading revenue	(697)		1,763		(1,173)		2,678
Precious metals contracts	Trading revenue	13		104		149		41
Credit contracts	Trading revenue	47		31		21		63
Total		$	(558)	$	2,014	$	(924)	$	3,274

Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities

The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their location on the consolidated statement of income:

	Location of Gain (Loss) Recognized in Income on Derivatives	Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended June 30,				Six Months Ended June 30,
		2023		2022		2023		2022
		(in millions)
Interest rate contracts	Gain (loss) on instruments designated at fair value and related derivatives	$	(53)	$	(92)	$	(10)	$	(215)
Interest rate contracts	Other income (loss)	—		3		—		7
Foreign exchange contracts	Gain (loss) on instruments designated at fair value and related derivatives	—		1		—		1
Equity contracts	Gain (loss) on instruments designated at fair value and related derivatives	294		(864)		706		(1,214)
Credit contracts	Other income (loss)	(10)		5		(25)		10
Other contracts(1)	Other income (loss)	(7)		(30)		(9)		(31)
Total		$	224	$	(977)	$	662	$	(1,442)

(1)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

Credit-Risk Related Contingent Features

The following table presents the amount of additional collateral that we would be required to post (from the current collateral level) related to derivative instruments with credit-risk related contingent features if our long-term ratings were downgraded by one or two notches. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another rating agency will generally not result in additional collateral.

	One-notch downgrade		Two-notch downgrade
	(in millions)
Amount of additional collateral to be posted upon downgrade	$	—	$	40

Notional Value of Derivative Contracts

The following table summarizes the notional values of derivative contracts:

	June 30, 2023		December 31, 2022
	(in millions)
Interest rate:
Futures and forwards	$	93,443	$	30,764
Swaps	110,356		120,560
Options written	4,931		5,855
Options purchased	4,950		5,740
Total interest rate	213,680		162,919
Foreign exchange:
Swaps, futures and forwards	1,077,478		968,847
Options written	32,605		39,969
Options purchased	32,824		40,026
Spot	40,455		26,809
Total foreign exchange	1,183,362		1,075,651
Commodities, equities and precious metals:
Swaps, futures and forwards	62,370		58,371
Options written	1,844		1,643
Options purchased	9,934		9,689
Total commodities, equities and precious metals	74,148		69,703
Credit derivatives	12,190		18,547
Other contracts(1)	1,293		1,109
Total	$	1,484,673	$	1,327,929

(1)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.