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Derivative Instruments and Hedging Activities (Tables)
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Assets and Liabilities at Fair Value
The following table summarizes the notional amounts and fair values of our derivative instruments as of December 31, 2023 and 2022, which are segregated by derivatives that are designated as accounting hedges and those that are not, and are further segregated by type of contract within those two categories. The total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated cash collateral received or pledged. Derivative assets and liabilities are included in other assets and other liabilities, respectively, on our consolidated balance sheets, and their related gains or losses are included in operating activities as changes in other assets and other liabilities in the consolidated statements of cash flows.
Table 9.1: Derivative Assets and Liabilities at Fair Value
December 31, 2023December 31, 2022
Notional or Contractual Amount
Derivative(1)
Notional or Contractual Amount
Derivative(1)
(Dollars in millions)AssetsLiabilitiesAssetsLiabilities
Derivatives designated as accounting hedges:
Interest rate contracts:
Fair value hedges$68,987 $18 $26 $60,956 $3 $53 
Cash flow hedges70,350 216 23 30,350 0 451 
Total interest rate contracts139,337 234 49 91,306 3 504 
Foreign exchange contracts:
Fair value hedges1,380 0 113 1,338 0 211 
Cash flow hedges2,488 0 66 2,175 4 14 
Net investment hedges4,870 1 89 4,147 78 91 
Total foreign exchange contracts8,738 1 268 7,660 82 316 
Total derivatives designated as accounting hedges148,075 235 317 98,966 85 820 
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts103,489 1,188 1,382 91,601 1,140 1,873 
Commodity contracts33,495 1,161 1,147 28,935 1,756 1,738 
Foreign exchange and other contracts5,153 50 47 4,926 74 78 
Total customer accommodation142,137 2,399 2,576 125,462 2,970 3,689 
Other interest rate exposures(2)
872 21 31 1,135 34 22 
Other contracts2,955 20 8 2,238 9 19 
Total derivatives not designated as accounting hedges145,964 2,440 2,615 128,835 3,013 3,730 
Total derivatives$294,039 $2,675 $2,932 $227,801 $3,098 $4,550 
Less: netting adjustment(3)
(1,005)(597)(1,134)(1,235)
Total derivative assets/liabilities$1,670 $2,335 $1,964 $3,315 
__________
(1)Does not reflect $2 million and $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2023 and 2022, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and other liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.
(2)Other interest rate exposures include commercial mortgage-related derivatives and interest rate swaps.
(3)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty.
Hedged Item in Fair Value Hedging Relationship
The following table summarizes the carrying value of our hedged assets and liabilities in fair value hedges and the associated cumulative basis adjustments included in those carrying values, excluding basis adjustments related to foreign currency risk, as of December 31, 2023 and 2022.
Table 9.2: Hedged Items in Fair Value Hedging Relationships
December 31, 2023December 31, 2022
Carrying Amount Assets/(Liabilities)Cumulative Amount of Basis Adjustments Included in the Carrying AmountCarrying Amount Assets/(Liabilities)Cumulative Amount of Basis Adjustments Included in the Carrying Amount
(Dollars in millions)Total Assets/(Liabilities)Discontinued-Hedging RelationshipsTotal Assets/(Liabilities)Discontinued-Hedging Relationships
Line item on our consolidated balance sheets in which the hedged item is included:
Investment securities available for sale(1)(2)
$6,108 $(8)$126 $3,983$(80)$200
Interest-bearing deposits(17,374)277 0 (17,280)500(1)
Securitized debt obligations(13,375)503 0 (11,921)7480
Senior and subordinated notes(30,899)971 (372)(24,544)1,542(527)
__________
(1)These amounts include the amortized cost basis of our investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. The amortized cost basis of this portfolio was $2.2 billion and $236 million as of December 31, 2023 and 2022, respectively. The amount of the designated hedged items was $1.5 billion and $225 million as of December 31, 2023 and 2022, respectively. The cumulative basis adjustments associated with these hedges was $33 million and $13 million as of December 31, 2023 and 2022, respectively.
(2)Carrying value represents amortized cost.
Offsetting Assets
The following table presents the gross and net fair values of our derivative assets, derivative liabilities, resale and repurchase agreements and the related offsetting amounts permitted under U.S. GAAP as of December 31, 2023 and 2022. The table also includes cash and non-cash collateral received or pledged in accordance with such arrangements. The amount of collateral presented, however, is limited to the amount of the related net derivative fair values or outstanding balances; therefore, instances of over-collateralization are excluded.
Table 9.3: Offsetting of Financial Assets and Financial Liabilities
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Held Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Received
As of December 31, 2023
Derivative assets(1)
$2,675 $(433)$(572)$1,670 $(22)$1,648 
As of December 31, 2022
Derivative assets(1)
3,098 (759)(375)1,964 (96)1,868 
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Pledged Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Pledged
As of December 31, 2023
Derivative liabilities(1)
$2,932 $(433)$(164)$2,335 $(13)$2,322 
Repurchase agreements(2)
538 0 0 538 (538)0 
As of December 31, 2022
Derivative liabilities(1)
4,550 (759)(476)3,315 (85)3,230 
Repurchase agreements(2)
883 0 0 883 (883)0 
__________
(1)We received cash collateral from derivative counterparties totaling $858 million and $608 million as of December 31, 2023 and 2022, respectively. We also received securities from derivative counterparties with a fair value of approximately $16 million and $82 million as of December 31, 2023 and 2022, respectively, which we have the ability to re-pledge. We posted $1.7 billion and $2.3 billion of cash collateral as of December 31, 2023 and 2022, respectively.
(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $549 million and $900 million as of December 31, 2023 and 2022, respectively, primarily consisting of agency RMBS securities.
Offsetting Liabilities
The following table presents the gross and net fair values of our derivative assets, derivative liabilities, resale and repurchase agreements and the related offsetting amounts permitted under U.S. GAAP as of December 31, 2023 and 2022. The table also includes cash and non-cash collateral received or pledged in accordance with such arrangements. The amount of collateral presented, however, is limited to the amount of the related net derivative fair values or outstanding balances; therefore, instances of over-collateralization are excluded.
Table 9.3: Offsetting of Financial Assets and Financial Liabilities
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Held Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Received
As of December 31, 2023
Derivative assets(1)
$2,675 $(433)$(572)$1,670 $(22)$1,648 
As of December 31, 2022
Derivative assets(1)
3,098 (759)(375)1,964 (96)1,868 
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Pledged Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Pledged
As of December 31, 2023
Derivative liabilities(1)
$2,932 $(433)$(164)$2,335 $(13)$2,322 
Repurchase agreements(2)
538 0 0 538 (538)0 
As of December 31, 2022
Derivative liabilities(1)
4,550 (759)(476)3,315 (85)3,230 
Repurchase agreements(2)
883 0 0 883 (883)0 
__________
(1)We received cash collateral from derivative counterparties totaling $858 million and $608 million as of December 31, 2023 and 2022, respectively. We also received securities from derivative counterparties with a fair value of approximately $16 million and $82 million as of December 31, 2023 and 2022, respectively, which we have the ability to re-pledge. We posted $1.7 billion and $2.3 billion of cash collateral as of December 31, 2023 and 2022, respectively.
(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $549 million and $900 million as of December 31, 2023 and 2022, respectively, primarily consisting of agency RMBS securities.
Effects of Fair Value and Cash Flow Hedge Accounting
The net gains (losses) recognized in our consolidated statements of income related to derivatives in fair value and cash flow hedging relationships are presented below for the years ended December 31, 2023, 2022 and 2021.
Table 9.4: Effects of Fair Value and Cash Flow Hedge Accounting
Year Ended December 31, 2023
Net Interest IncomeNon-Interest Income
(Dollars in millions)Investment SecuritiesLoans, Including Loans Held for SaleOtherInterest-bearing DepositsSecuritized Debt ObligationsSenior and Subordinated NotesOther
Total amounts presented in our consolidated statements of income
$2,550 $37,410 $1,978 $(9,489)$(959)$(2,204)$1,120 
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives$158 $0 $0 $(385)$(414)$(1,036)$0 
Gains (losses) recognized on derivatives(149)0 0 220 244 733 42 
Gains (losses) recognized on hedged items(1)
72 0 0 (223)(245)(575)(42)
Excluded component of fair value hedges(2)
0 0 0 0 0 (3)0 
Net income (expense) recognized on fair value hedges$81 $0 $0 $(388)$(415)$(881)$0 
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income$0 $(1,205)$0 $0 $0 $0 $0 
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)
0 0 11 0 0 0 0 
Net income (expense) recognized on cash flow hedges$0 $(1,205)$11 $0 $0 $0 $0 
Year Ended December 31, 2022
Net Interest IncomeNon-Interest Income
(Dollars in millions)Investment SecuritiesLoans, Including Loans Held for SaleOtherInterest-bearing DepositsSecuritized Debt ObligationsSenior and Subordinated NotesOther
Total amounts presented in our consolidated statements of income$1,884 $28,910 $443 $(2,535)$(384)$(1,074)$914 
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives$48 $0 $0 $2 $(48)$(197)$0 
Gains (losses) recognized on derivatives276 0 0 (542)(698)(1,893)(84)
Gains (losses) recognized on hedged items(1)
(366)0 0 546 699 2,059 83 
Excluded component of fair value hedges(2)
0 0 0 0 0 (3)0 
Net income (expense) recognized on fair value hedges$(42)$0 $0 $6 $(47)$(34)$(1)
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income$0 $(121)$0 $0 $0 $0 $0 
Foreign exchange contracts:
Realized gains reclassified from AOCI into net income(4)
0 0 3 0 0 0 (1)
Net income (expense) recognized on cash flow hedges$0 $(121)$3 $0 $0 $0 $(1)
Year Ended December 31, 2021
Net Interest IncomeNon-Interest Income
(Dollars in millions)Investment SecuritiesLoans, Including Loans Held for SaleOtherInterest-bearing DepositsSecuritized Debt ObligationsSenior and Subordinated NotesOther
Total amounts presented in our consolidated statements of income$1,446 $24,263 $60 $(956)$(119)$(488)$824 
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives$(92)$0 $0 $126 $123 $209 $0 
Gains (losses) recognized on derivatives207 0 0 (168)(237)(799)(106)
Gains (losses) recognized on hedged items(1)
(299)0 0 167 220 941 106 
Excluded component of fair value hedges(2)
0 0 0 0 0 (3)0 
Net income (expense) recognized on fair value hedges$(184)$0 $0 $125 $106 $348 $0 
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains reclassified from AOCI into net income$38 $919 $0 $0 $0 $0 $0 
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)
0 0 1 0 0 0 1 
Net income (expense) recognized on cash flow hedges$38 $919 $1 $0 $0 $0 $1 
_________
(1)Includes amortization benefit of $79 million, $78 million and $39 million for the years ended December 31, 2023, 2022 and 2021, respectively, related to basis adjustments on discontinued hedges.
(2)Changes in fair values of cross-currency swaps attributable to changes in cross-currency basis spreads are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income (“OCI”). The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.
(3)See “Note 10—Stockholders’ Equity” for the effects of cash flow and net investment hedges on AOCI and amounts reclassified to net income, net of tax.
(4)We recognized a loss of $66 million and $17 million for the year ended December 31, 2023 and 2022, and gain of $163 million for year ended December 31, 2021, on foreign exchange contracts reclassified from AOCI. These amounts were largely offset by the foreign currency transaction gains (losses) on our foreign currency denominated intercompany funding included in other non-interest income on our consolidated statements of income.
Gains (Losses) on Free-Standing Derivatives
The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the years ended December 31, 2023, 2022 and 2021. These gains or losses are recognized in other non-interest income on our consolidated statements of income.
Table 9.5: Gains (Losses) on Free-Standing Derivatives
Year Ended December 31,
(Dollars in millions)202320222021
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts$34 $40 $32 
Commodity contracts39 49 28 
Foreign exchange and other contracts16 14 7 
Total customer accommodation89 103 67 
Other interest rate exposures264 76 (5)
Other contracts(29)(38)(12)
Total$324 $141 $50