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Derivative Financial Instruments | 3 Months Ended
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Mar. 31, 2025
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments The Bancorp maintains an overall risk management strategy that incorporates the use of derivative instruments to reduce certain risks related to interest rate, prepayment and foreign currency volatility. The Bancorp’s interest rate risk management strategy involves modifying the repricing characteristics of certain financial instruments so that changes in interest rates do not adversely affect the Bancorp’s net interest margin and cash flows. Additionally, the Bancorp holds derivative instruments for the benefit of its commercial customers and for other business purposes. The Bancorp does not enter into unhedged speculative derivative positions. Refer to Note 14 of the Notes to Consolidated Financial Statements included in the Bancorp’s Annual Report on Form 10-K for additional information about the Bancorp’s use of derivative instruments, including those designated as hedges. The Bancorp’s derivative contracts include certain contractual features in which either the Bancorp or the counterparties may be required to provide collateral, typically in the form of cash or securities, as initial margin and to offset changes in the fair value of the derivatives, including changes in the fair value due to credit risk, either of the Bancorp or the counterparty. In measuring the fair value of its derivative contracts, the Bancorp considers its own credit risk, taking into consideration collateral maintenance requirements of certain derivative counterparties and the duration of instruments with counterparties that do not require collateral maintenance. As of March 31, 2025 and December 31, 2024, the balance of collateral held by the Bancorp for derivative assets was $577 million and $947 million, respectively. For derivative contracts cleared through certain central clearing parties whose rules treat variation margin payments as settlements of the derivative contract, the payments for variation margin of $358 million and $403 million as of March 31, 2025 and December 31, 2024, respectively, were applied to reduce the respective derivative contracts and were also not included in the total amount of collateral held. As of March 31, 2025 and December 31, 2024, the credit component negatively impacting the fair value of derivative assets associated with customer accommodation contracts was $6 million and $4 million, respectively. As of March 31, 2025 and December 31, 2024, the balance of collateral posted by the Bancorp, as either initial margin or due to changes in fair value of the related derivative contracts, was $1.3 billion and $1.1 billion, respectively. Additionally, as of March 31, 2025 and December 31, 2024, $820 million and $1.2 billion of variation margin payments, respectively, were applied to the respective derivative contracts to reduce the Bancorp’s derivative liabilities and were also not included in the total amount of collateral posted. Certain of the Bancorp’s derivative liabilities contain credit risk-related contingent features that could result in the requirement to post additional collateral upon the occurrence of specified events. As of both March 31, 2025 and December 31, 2024, the fair value of the additional collateral that could be required to be posted as a result of the credit risk-related contingent features being triggered was immaterial to the Bancorp’s Condensed Consolidated Financial Statements. The posting of collateral has been determined to remove the need for further consideration of credit risk. As a result, the Bancorp determined that the impact of the Bancorp’s credit risk to the valuation of its derivative liabilities was immaterial to the Bancorp’s Condensed Consolidated Financial Statements. The Bancorp holds certain derivative instruments that qualify for hedge accounting treatment and are designated as either fair value hedges or cash flow hedges. Derivative instruments that do not qualify for hedge accounting treatment, or for which hedge accounting is not established, are held as free-standing derivatives. All customer accommodation derivatives are held as free-standing derivatives. The following tables reflect the notional amounts and fair values for all derivative instruments included in the Condensed Consolidated Balance Sheets as of:
|  | Fair Value
March 31, 2025 ($ in millions) | Notional Amount | Derivative Assets | Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments: |  |  |
Fair value hedges: |  |  |
Interest rate swaps related to long-term debt | $ | 4,955 |  | — |  | 14 |
Total fair value hedges |  | — |  | 14 |
Cash flow hedges: |  |  |
Interest rate swaps related to C&I loans | 11,000 |  | 1 |  | 4 |
Interest rate swaps related to commercial mortgage and commercial construction loans | 4,000 |  | 1 |  | — |
Total cash flow hedges |  | 2 |  | 4 |
Total derivatives designated as qualifying hedging instruments |  | 2 |  | 18 |
Derivatives Not Designated as Qualifying Hedging Instruments: |  |  |
Free-standing derivatives – risk management and other business purposes: |  |  |
Interest rate contracts related to MSR portfolio | 3,385 |  | 10 |  | 1 |
Forward contracts related to residential mortgage loans measured at fair value(a) | 805 |  | 1 |  | 2 |
Swap associated with the sale of Visa, Inc. Class B Shares | 2,717 |  | — |  | 173 |
Foreign exchange contracts | 116 |  | — |  | — |
Interest-only strips | 28 |  | — |  | — |
Interest rate contracts for LIBOR transition | 597 |  | — |  | — |
Other | 46 |  | — |  | — |
Total free-standing derivatives – risk management and other business purposes |  | 11 |  | 176 |
Free-standing derivatives – customer accommodation: |  |  |
Interest rate contracts(b) | 84,053 |  | 568 |  | 733 |
Interest rate lock commitments | 304 |  | 5 |  | — |
Commodity contracts | 17,619 |  | 806 |  | 800 |
TBA securities | 38 |  | — |  | — |
Foreign exchange contracts | 34,629 |  | 798 |  | 758 |
Total free-standing derivatives – customer accommodation |  | 2,177 |  | 2,291 |
Total derivatives not designated as qualifying hedging instruments |  | 2,188 |  | 2,467 |
Total |  | $ | 2,190 |  | 2,485 |
(a)Includes forward sale and forward purchase contracts which are utilized to manage market risk on residential mortgage loans held for sale and the related interest rate lock commitments in addition to certain portfolio residential mortgage loans measured at fair value. (b)Derivative assets and liabilities are presented net of variation margin of $197 and $40, respectively.
|  | Fair Value
December 31, 2024 ($ in millions) | Notional Amount | Derivative Assets | Derivative Liabilities
Derivatives Designated as Qualifying Hedging Instruments: |  |  |
Fair value hedges: |  |  |
Interest rate swaps related to long-term debt | $ | 4,955 |  | 1 |  | 12 |
Total fair value hedges |  | 1 |  | 12 |
Cash flow hedges: |  |  |
Interest rate swaps related to C&I loans | 11,000 |  | 2 |  | 4 |
Interest rate swaps related to C&I loans - forward starting(a) | 1,000 |  | 1 |  | — |
Interest rate swaps related to commercial mortgage and commercial construction loans - forward starting(a) | 4,000 |  | 3 |  | — |
Total cash flow hedges |  | 6 |  | 4 |
Total derivatives designated as qualifying hedging instruments |  | 7 |  | 16 |
Derivatives Not Designated as Qualifying Hedging Instruments: |  |  |
Free-standing derivatives – risk management and other business purposes: |  |  |
Interest rate contracts related to MSR portfolio | 3,135 |  | 4 |  | 4 |
Forward contracts related to residential mortgage loans measured at fair value(b) | 881 |  | 8 |  | — |
Swap associated with the sale of Visa, Inc. Class B Shares | 2,465 |  | — |  | 170 |
Foreign exchange contracts | 104 |  | 2 |  | — |
Interest-only strips | 30 |  | — |  | — |
Interest rate contracts for collateral management | 1,000 |  | 1 |  | — |
Interest rate contracts for LIBOR transition | 597 |  | — |  | — |
Other | 43 |  | — |  | — |
Total free-standing derivatives – risk management and other business purposes |  | 15 |  | 174 |
Free-standing derivatives – customer accommodation: |  |  |
Interest rate contracts(c) | 87,928 |  | 708 |  | 924 |
Interest rate lock commitments | 264 |  | 2 |  | — |
Commodity contracts | 16,889 |  | 575 |  | 564 |
TBA securities | 44 |  | — |  | — |
Foreign exchange contracts | 38,640 |  | 1,165 |  | 1,120 |
Total free-standing derivatives – customer accommodation |  | 2,450 |  | 2,608 |
Total derivatives not designated as qualifying hedging instruments |  | 2,465 |  | 2,782 |
Total |  | $ | 2,472 |  | 2,798 |
(a)Forward starting swaps became effective in January and February 2025. (b)Includes forward sale and forward purchase contracts which are utilized to manage market risk on residential mortgage loans held for sale and the related interest rate lock commitments in addition to certain portfolio residential mortgage loans measured at fair value. (c)Derivative assets and liabilities are presented net of variation margin of $257 and $45, respectively. Fair Value Hedges The Bancorp may enter into interest rate swaps to convert its fixed-rate funding to floating-rate or to hedge the exposure to changes in fair value of a recognized asset attributable to changes in the benchmark interest rate. The following table reflects the changes in fair value of interest rate contracts, designated as fair value hedges and the changes in fair value of the related hedged items attributable to the risk being hedged, as well as the line items in the Condensed Consolidated Statements of Income in which the corresponding gains or losses are recorded:
| Condensed Consolidated Statements of Income Caption | For the three months ended March 31, |  |
($ in millions) | 2025 | 2024 |  |  |
Long-term debt: |  |  |  |  |  |
Change in fair value of interest rate swaps hedging long-term debt | Interest on long-term debt | $ | 68 |  | (91) |  |  |  |
Change in fair value of hedged long-term debt attributable to the risk being hedged | Interest on long-term debt | (68) |  | 91 |  |  |  |
The following amounts were recorded in the Condensed Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges as of:
($ in millions) | Condensed Consolidated Balance Sheets Caption | March 31, 2025 | December 31, 2024
Long-term debt: |  |  |
Carrying amount of the hedged items | Long-term debt | $ | 4,907 |  | 4,838 |
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items | Long-term debt | (35) |  | (103) |
Available-for-sale debt and other securities: |  |  |
Cumulative amount of fair value hedging adjustments remaining for hedged items for which hedge accounting has been discontinued | Available-for-sale debt and other securities | (9) |  | (9) |
Cash Flow Hedges The Bancorp may enter into interest rate swaps to convert floating-rate assets and liabilities to fixed rates or to hedge certain forecasted transactions for the variability in cash flows attributable to the contractually specified interest rate. As of March 31, 2025, the maximum length of time over which the Bancorp is hedging its exposure to the variability in future cash flows is 82 months. Reclassified gains and losses on interest rate contracts related to commercial loans are recorded within interest income in the Condensed Consolidated Statements of Income. As of March 31, 2025 and December 31, 2024, respectively, $419 million and $654 million of net deferred losses, net of tax, on cash flow hedges were recorded in AOCI in the Condensed Consolidated Balance Sheets. As of March 31, 2025, $178 million in net unrealized losses, net of tax, recorded in AOCI are expected to be reclassified into earnings during the next 12 months. This amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations or the addition of other hedges subsequent to March 31, 2025. During both the three months ended March 31, 2025 and 2024, there were no gains or losses reclassified from AOCI into earnings associated with the discontinuance of cash flow hedges because it was probable that the original forecasted transaction would no longer occur by the end of the originally specified time period or within the additional period of time as defined by U.S. GAAP. The following table presents the pre-tax net gains (losses) recorded in the Condensed Consolidated Statements of Income and in the Condensed Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
| For the three months ended March 31, |  |
($ in millions) | 2025 | 2024 |  |  |
Amount of pre-tax net gains (losses) recognized in OCI | $ | 253 |  | (413) |  |  |  |
Amount of pre-tax net losses reclassified from OCI into net income | (56) |  | (89) |  |  |  |
Free-Standing Derivative Instruments – Risk Management and Other Business Purposes The net (losses) gains recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for risk management and other business purposes are summarized in the following table:
| Condensed Consolidated Statements of Income Caption | For the three months ended March 31, |  |
($ in millions) | 2025 | 2024 |  |  |
Interest rate contracts: |  |  |  |  |  |
Interest rate contracts related to MSR portfolio | Mortgage banking net revenue | $ | 19 |  | (46) |  |  |  |
Forward contracts related to residential mortgage loans measured at fair value | Mortgage banking net revenue | (9) |  | 5 |  |  |  |
Foreign exchange contracts: |  |  |  |  |  |
Foreign exchange contracts for risk management purposes | Other noninterest income | — |  | 5 |  |  |  |
Equity contracts: |  |  |  |  |  |
Swap associated with sale of Visa, Inc. Class B Shares | Other noninterest income | (18) |  | (17) |  |  |  |
Free-Standing Derivative Instruments – Customer Accommodation The majority of the free-standing derivative instruments the Bancorp enters into are for the benefit of its commercial customers. The Bancorp may economically hedge significant exposures related to these derivative contracts entered into for the benefit of customers by entering into offsetting contracts with approved, reputable, independent counterparties with substantially matching terms. The Bancorp enters into risk participation agreements, under which the Bancorp assumes credit exposure relating to certain underlying interest rate derivative contracts. The Bancorp typically only enters into these risk participation agreements in instances in which the Bancorp has participated in the loan that the underlying interest rate derivative contract was designed to hedge. The Bancorp will make payments under these agreements if a customer defaults on its obligation to perform under the terms of the underlying interest rate derivative contract. The total notional amount of the risk participation agreements was $3.1 billion and $3.2 billion at March 31, 2025 and December 31, 2024, respectively, and the fair value was a liability of $5 million at both March 31, 2025 and December 31, 2024, which is included in other liabilities in the Condensed Consolidated Balance Sheets. The net gains (losses) recorded in the Condensed Consolidated Statements of Income relating to free-standing derivative instruments used for customer accommodation are summarized in the following table:
| Condensed Consolidated Statements of Income Caption | For the three months ended March 31, |  |
($ in millions) | 2025 | 2024 |  |  |
Interest rate contracts: |  |  |  |  |  |
Interest rate contracts for customers (contract revenue) | Capital market fees | $ | 8 |  | 5 |  |  |  |
Interest rate contracts for customers (credit portion of fair value adjustment) | Other noninterest expense | (3) |  | 3 |  |  |  |
Interest rate lock commitments | Mortgage banking net revenue | 15 |  | 9 |  |  |  |
Commodity contracts: |  |  |  |  |  |
Commodity contracts for customers (contract revenue) | Capital market fees | 6 |  | 4 |  |  |  |
Commodity contracts for customers (credit portion of fair value adjustment) | Other noninterest expense | — |  | 1 |  |  |  |
Foreign exchange contracts: |  |  |  |  |  |
Foreign exchange contracts for customers (contract revenue) | Capital market fees | 19 |  | 17 |  |  |  |
Foreign exchange contracts for customers (contract revenue) | Other noninterest income | (10) |  | 4 |  |  |  |
Offsetting Derivative Financial Instruments The Bancorp’s derivative transactions are generally governed by ISDA Master Agreements and similar arrangements, which include provisions governing the setoff of assets and liabilities between the parties. When the Bancorp has more than one outstanding derivative transaction with a single counterparty, the setoff provisions contained within these agreements generally allow the non-defaulting party the right to reduce its liability to the defaulting party by amounts eligible for setoff, including the collateral received as well as eligible offsetting transactions with that counterparty, irrespective of the currency, place of payment or booking office. The Bancorp’s policy is to present its derivative assets and derivative liabilities on the Condensed Consolidated Balance Sheets on a gross basis, even when provisions allowing for setoff are in place. However, for derivative contracts cleared through certain central clearing parties who have modified their rules to treat variation margin payments as settlements, the fair value of the respective derivative contracts is reported net of the variation margin payments. Collateral amounts included in the tables below consist primarily of cash and highly rated government-backed securities and do not include variation margin payments for derivative contracts with legal rights of setoff for both periods shown. The following table provides a summary of offsetting derivative financial instruments:
| Gross Amount Recognized in the Condensed Consolidated Balance Sheets(a) | Gross Amounts Not Offset in the Condensed Consolidated Balance Sheets |
| Derivatives | Collateral(b) | Net Amount
As of March 31, 2025 |  |  |  |
Derivative assets | $ | 2,185 |  | (1,218) |  | (301) |  | 666 |
Derivative liabilities | 2,485 |  | (1,218) |  | (307) |  | 960 |
As of December 31, 2024 |  |  |  |
Derivative assets | $ | 2,470 |  | (1,378) |  | (573) |  | 519 |
Derivative liabilities | 2,798 |  | (1,378) |  | (193) |  | 1,227 |
(a)Amount does not include IRLCs because these instruments are not subject to master netting or similar arrangements. (b)Amount of collateral received as an offset to asset positions or pledged as an offset to liability positions. Collateral values in excess of related derivative amounts recognized in the Condensed Consolidated Balance Sheets were excluded from this table.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org/815/tableOfContent + Details
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