DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2024

Summary of Derivative Instruments [Abstract]

Schedule of Derivative Amounts

The following schedule presents information regarding notional amounts and recorded gross fair values at September 30, 2024 and December 31, 2023, and the related gain (loss) of derivative instruments:

	September 30, 2024						December 31, 2023
	Notional amount		Fair value				Notional amount		Fair value
(In millions)			Other assets		Other liabilities				Other assets		Other liabilities
Derivatives designated as hedging instruments:
Cash flow hedges of floating-rate assets:
Receive-fixed interest rate swaps	$	350	$	—	$	—	$	1,450	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	500		—		—		500		—		—
Fair value hedges:
Asset hedges: Pay-fixed interest rate swaps	4,568		69		—		4,571		78		—
Total derivatives designated as hedging instruments	5,418		69		—		6,521		78		—
Derivatives not designated as hedging instruments:
Customer interest rate derivatives 1	15,950		308		292		14,375		337		330
Other interest rate derivatives	1,030		1		—		1,001		1		—
Foreign exchange derivatives	260		3		3		216		3		3
Purchased credit derivatives	53		1		—		35		1		—
Total derivatives not designated as hedging instruments	17,293		313		295		15,627		342		333
Total derivatives	$	22,711	$	382	$	295	$	22,148	$	420	$	333

1 Customer interest rate derivatives include both customer-facing derivatives as well as offsetting derivatives facing other dealer banks. The fair value of these derivatives include a net credit valuation adjustment of $5 million and $9 million, reducing the fair value of the liability at September 30, 2024, and December 31, 2023, respectively.

Schedule of Derivative Gains (Losses) Deferred in OCI or Recognized in Earnings

The amount of derivative gains/(losses) from cash flow and fair value hedges that were deferred in other comprehensive income (“OCI”) or recognized in earnings for the three and nine months ended September 30, 2024 and 2023 is presented in the schedules below.

	Three Months Ended September 30, 2024
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges		Hedge ineffectiveness/AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets:1
Receive-fixed interest rate swaps	$	5	$	(30)	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	(2)		2		—		—
Fair value hedges:2
Debt hedges: Receive-fixed interest rate swaps	—		—		(2)		—
Asset hedges: Pay-fixed interest rate swaps	—		—		24		—
Total derivatives designated as hedging instruments	$	3	$	(28)	$	22	$	—

	Nine Months Ended September 30, 2024
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges		Hedge ineffectiveness/AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Receive-fixed interest rate swaps	$	(2)	$	(99)	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	3		6		—		—
Fair value hedges: 2
Debt hedges: Receive-fixed interest rate swaps	—		—		(5)		—
Asset hedges: Pay-fixed interest rate swaps	—		—		70		—
Total derivatives designated as hedging instruments	$	1	$	(93)	$	65	$	—

	Three Months Ended September 30, 2023
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges		Hedge ineffectiveness/AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets:1
Receive-fixed interest rate swaps	$	7	$	(41)	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	(3)		2		—		—
Fair value hedges: 2
Debt hedges: Receive-fixed interest rate swaps	—		—		(2)		—
Asset hedges: Pay-fixed interest rate swaps	—		—		20		(1)
Total derivatives designated as hedging instruments	$	4	$	(39)	$	18	$	(1)

	Nine Months Ended September 30, 2023
(In millions)	Effective portion of derivative gain/(loss) deferred in AOCI		Amount of gain/(loss) reclassified from AOCI into income		Interest on fair value hedges		Hedge ineffectiveness/AOCI reclass due to missed forecast
Cash flow hedges of floating-rate assets: 1
Receive-fixed interest rate swaps	$	24	$	(131)	$	—	$	—
Cash flow hedges of floating-rate liabilities:
Pay-fixed interest rate swaps	8		3		—		—
Fair value hedges: 2
Debt hedges: Receive-fixed interest rate swaps	—		—		(8)		—
Asset hedges: Pay-fixed interest rate swaps	—		—		36		(1)
Total derivatives designated as hedging instruments	$	32	$	(128)	$	28	$	(1)

1 For the 12 months following September 30, 2024, we estimate that $73 million of losses will be reclassified from AOCI into interest income, compared with an estimate of $133 million of losses at September 30, 2023.

2 We had total cumulative unamortized basis adjustments from terminated fair value hedges of debt of $41 million and $48 million at September 30, 2024 and 2023, respectively. We had $3 million of cumulative unamortized basis adjustments from terminated fair value hedges of assets at both September 30, 2024 and 2023. Interest on fair value hedges presented above includes the amortization of the remaining unamortized basis adjustments.

Schedule of Gains (Losses) Recognized From Derivatives Not Designated as Accounting Hedges

The amount of gains/(losses) recognized from derivatives not designated as accounting hedges is summarized as follows:

	Other Noninterest Income/(Expense)
(In millions)	Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024		Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023
Derivatives not designated as hedging instruments:
Customer-facing interest rate derivatives	$	4	$	17	$	11	$	22
Other interest rate derivatives	(2)		(1)		1		4
Foreign exchange derivatives	8		22		8		22
Purchased credit derivatives	—		—		—		(1)
Total derivatives not designated as hedging instruments	$	10	$	38	$	20	$	47

Schedule of Fair Value Hedges

The following schedule presents derivatives used in fair value hedge accounting relationships, as well as pre-tax gains/(losses) recorded on such derivatives and the related hedged items for the periods presented:

	Gains/(losses) recorded in income
	Three Months Ended September 30, 2024						Three Months Ended September 30, 2023
(In millions)	Derivatives		Hedged items		Total income statement impact		Derivatives		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	—	$	—	$	—	$	—	$	—	$	—
Assets: Pay-fixed interest rate swaps 1, 2	(166)		166		—		144		(145)		(1)

	Gains/(losses) recorded in income
	Nine Months Ended September 30, 2024						Nine Months Ended September 30, 2023
(In millions)	Derivatives		Hedged items		Total income statement impact		Derivatives		Hedged items		Total income statement impact
Debt: Receive-fixed interest rate swaps 1, 2	$	—	$	—	$	—	$	14	$	(14)	$	—
Assets: Pay-fixed interest rate swaps 1, 2	(47)		47		—		171		(172)		(1)

1 Consists of hedges of benchmark interest rate risk of fixed-rate long-term debt, fixed-rate AFS securities, and fixed-rate commercial loans. Gains and losses were recorded in interest expense or income consistent with the hedged items.

2 The income/expense for derivatives does not reflect interest income/expense from periodic accruals and payments to be consistent with the presentation of the gains/(losses) on the hedged items.

Schedule of Basis Adjustments for Hedged Items

The following schedule provides information regarding basis adjustments for hedged items:

	Par value of hedged assets				Carrying amount of the hedged assets 1				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged item
(In millions)	September 30, 2024		December 31, 2023		September 30, 2024		December 31, 2023		September 30, 2024		December 31, 2023
Fixed-rate assets 2	$	11,489	$	12,389	$	11,190	$	12,209	$	299	$	(180)

1 Carrying amounts exclude (1) issuance and purchase discounts or premiums, (2) unamortized issuance and acquisition costs, and (3) amounts related to terminated fair value hedges.

2 These amounts include the amortized cost basis of defined portfolios of AFS securities and commercial loans used to designate hedging relationships in which the hedged item is the stated amount of assets in the defined portfolio anticipated to be outstanding for the designated hedged period. At September 30, 2024, the amortized cost basis of the defined portfolios used in these hedging relationships was $10.4 billion; the cumulative basis adjustment associated with these hedging relationships was $48 million; and the notional amounts of the designated hedging instruments were $3.5 billion.