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Financial Derivatives (Tables) | 9 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Total Gross Derivatives | 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 |  |

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- 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 Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4J Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4K Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-4L + Details
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