Financial Derivatives (Tables)

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the notional and gross fair value amounts of all derivative assets and liabilities held by us:

Table 70: Total Gross Derivatives (a)


	September 30, 2022						December 31, 2021
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 (d):
Fair value hedges	$	22,222					$	23,345
Cash flow hedges	41,700				$	170	48,961		$	15	$	14
Foreign exchange contracts:
Net investment hedges	1,343		$	176	1		1,113				24
Total derivatives designated for hedging	$	65,265	$	176	$	171	$	73,419	$	15	$	38
Derivatives not used for hedging
Derivatives used for mortgage banking activities (e):
Interest rate contracts:
Swaps	$	55,098			$	35	$	35,623
Futures (f)	7,020						4,592
Mortgage-backed commitments	5,539		$	170	125		9,917		$	55	$	31
Other	20,703		175		16		12,225		46		12
Total interest rate contracts	88,360		345		176		62,357		101		43
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps	333,106		1,593		5,693		297,711		3,335		1,520
Futures (f)	896						907
Mortgage-backed commitments	2,119		39		16		4,147		5		6
Other	29,742		339		320		25,718		125		72
Total interest rate contracts	365,863		1,971		6,029		328,483		3,465		1,598
Commodity contracts:
Swaps	7,868		2,105		2,206		8,840		1,150		1,161
Other	5,307		470		467		3,128		213		212
Total commodity contracts	13,175		2,575		2,673		11,968		1,363		1,373
Foreign exchange contracts and other	28,984		601		566		27,563		199		179
Total derivatives for customer-related activities	408,022		5,147		9,268		368,014		5,027		3,150
Derivatives used for other risk management activities:
Foreign exchange contracts and other	11,930		200		122		11,512		9		339
Total derivatives not designated for hedging	$	508,312	$	5,692	$	9,566	$	441,883	$	5,137	$	3,532
Total gross derivatives	$	573,577	$	5,868	$	9,737	$	515,302	$	5,152	$	3,570
Less: Impact of legally enforceable master netting agreements			1,774		1,774				928		928
Less: Cash collateral received/paid			1,282		2,572				604		1,657
Total derivatives			$	2,812	$	5,391			$	3,620	$	985

(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)Includes both residential and commercial mortgage banking activities.

(f)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 71: 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, 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 three months ended September 30, 2021
Total amounts in the Consolidated Income Statement	$	2,437	$	460	$	90	$	268
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	2	$	155
Derivatives					$	(169)
Amounts related to interest settlements on derivatives			$	(1)	$	129
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	91	$	11			$	13
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
For the nine months ended September 30, 2021
Total amounts on the Consolidated Income Statement	$	6,593	$	1,350	$	275	$	907
Gains (losses) on fair value hedges recognized on:
Hedged items (c)			$	(3)	$	695
Derivatives			$	7	$	(740)
Amounts related to interest settlements on derivatives			$	(3)	$	394
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated other comprehensive income	$	282	$	49			$	27

(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 72: Hedged Items - Fair Value Hedges


	September 30, 2022				December 31, 2021
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)	$	2,356	$	(114)	$	2,655	$	23
Borrowed funds	$	19,633	$	(1,411)	$	24,259	$	663

(a)Includes less than $(0.1) billion and $(0.1) billion of fair value hedge adjustments primarily related to discontinued borrowed funds hedge relationships at September 30, 2022 and December 31, 2021, respectively.

(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 73: Gains (Losses) on Derivatives Not Designated for Hedging


	Three months ended September 30					Nine months ended September 30
In millions		2022		2021			2022		2021
Derivatives used for mortgage banking activities:
Interest rate contracts (a)		$	(245)	$	6		$	(700)	$	(100)
Derivatives used for customer-related activities:
Interest rate contracts		65		(4)			231		93
Foreign exchange contracts and other		(2)		23			22		88
Gains (losses) from customer-related activities (b)		63		19			253		181
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)		309		(72)			572		(53)
Total gains (losses) from derivatives not designated as hedging instruments		$	127	$	(47)		$	125	$	28

(a)Included in Residential and commercial mortgage noninterest income on our Consolidated Income Statement.

(b)Included in Capital markets related and Other noninterest income on our Consolidated Income Statement.

Derivative Assets And Liabilities Offsetting

Table 74: 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, 2022
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	140					$	140				$	140

Over-the-counter	2,176		$	873	$	790	513			$	35	478
Commodity contracts	2,575		555		105		1,915					1,915
Foreign exchange and other contracts	977		346		387		244					244
Total derivative assets	$	5,868	$	1,774	$	1,282	$	2,812	(a)	$	35	$	2,777
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	244					$	244				$	244

Over-the-counter	6,131		$	550	$	1,015	4,566			$	79	4,487
Commodity contracts	2,673		1,012		1,548		113					113
Foreign exchange and other contracts	689		212		9		468					468
Total derivative liabilities	$	9,737	$	1,774	$	2,572	$	5,391	(b)	$	79	$	5,312
December 31, 2021
Derivative assets
Interest rate contracts:
Over-the-counter cleared	$	20					$	20				$	20

Over-the-counter	3,561		$	533	$	593	2,435			$	300	2,135
Commodity contracts	1,363		299		1		1,063					1,063
Foreign exchange and other contracts	208		96		10		102					102
Total derivative assets	$	5,152	$	928	$	604	$	3,620	(a)	$	300	$	3,320
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared	$	12					$	12				$	12

Over-the-counter	1,643		$	569	$	776	298					298
Commodity contracts	1,373		291		784		298					298
Foreign exchange and other contracts	542		68		97		377					377
Total derivative liabilities	$	3,570	$	928	$	1,657	$	985	(b)			$	985

(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 75: Credit-Risk Contingent Features


In billions	September 30 2022		December 31 2021
Net derivative liabilities with credit-risk contingent features	$	7.5	$	2.4
Collateral posted	2.7		1.8
Maximum additional amount of collateral exposure	$	4.8	$	0.6

- 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).

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- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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