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Financial Derivatives
 12 Months Ended
Dec. 31, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Financial Derivatives FINANCIAL DERIVATIVES
We use a variety of financial derivatives to both mitigate exposure to market (primarily interest rate) and credit risks inherent in our business activities, as well as to facilitate customer risk management activities. We manage these risks as part of our overall asset and liability management process and through our credit policies and procedures. Derivatives represent contracts between parties that usually require little or no initial net investment and result in one party delivering cash or another type of asset to the other party based on a notional amount and an underlying as specified in the contract.

Derivative transactions are often measured in terms of notional amount, but this amount is generally not exchanged and it is not recorded on the balance sheet. The notional amount is the basis to which the underlying is applied to determine required payments under the derivative contract. The underlying is a referenced interest rate, security price, credit spread or other index. Residential and commercial real estate loan commitments associated with loans to be sold also qualify as derivative instruments.
presents the notional and gross fair value amounts of all derivative assets and liabilities held by us.
Table 85: Total Gross Derivatives (a)
 December 31, 2023December 31, 2022
In millionsNotional /Contract AmountAsset Fair
Value (b)		Liability Fair
Value (c)		Notional /Contract AmountAsset Fair
Value (b)		Liability Fair
Value (c)
Derivatives used for hedging
Interest rate contracts :
Fair value hedges (d)$32,079 $24,231 
Cash flow hedges (d)33,302  40,310  $1 
Cash flow hedges - other (e) 25,000 $327 $137 
Foreign exchange contracts:
Net investment hedges1,174 2 1,120 $24  
Total derivatives designated for hedging $91,555 $327 $139 $65,661 $24 $1 
Derivatives not used for hedging
Derivatives used for mortgage banking activities (f):
Interest rate contracts:
Swaps $43,450  $47,908 $7 $1 
Futures (g) 10,370 5,537 
Mortgage-backed commitments3,093 $66 $67 4,516 85 89 
Other15,544 46 22 18,017 90 14 
Total interest rate contracts 72,457 112 89 75,978 182 104 
Derivatives used for customer-related activities:
Interest rate contracts:
Swaps 401,607 1,723 4,228 354,150 1,597 5,397 
Futures (g) 73 32 
Mortgage-backed commitments2,592 9 25 2,799 10 6 
Other28,489 186 169 29,071 334 321 
Total interest rate contracts 432,761 1,918 4,422 386,052 1,941 5,724 
Commodity contracts:
Swaps6,714 577 569 5,792 1,003 1,067 
Other 4,797 188 188 4,488 205 202 
Total commodity contracts11,511 765 757 10,280 1,208 1,269 
Foreign exchange contracts and other32,885 295 239 30,512 366 293 
Total derivatives for customer-related activities 477,157 2,978 5,418 426,844 3,515 7,286 
Derivatives used for other risk management activities:
Foreign exchange contracts and other 14,882 12 253 12,785 47 227 
Total derivatives not designated for hedging $564,496 $3,102 $5,760 $515,607 $3,744 $7,617 
Total gross derivatives$656,051 $3,429 $5,899 $581,268 $3,768 $7,618 
Less: Impact of legally enforceable master netting agreements 1,406 1,406 1,523 1,523 
Less: Cash collateral received/paid  1,126 955  714 1,571 
Total derivatives $897 $3,538 $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)Futures contracts are settled in cash daily and result in no derivative asset or derivative liability being recognized on our Consolidated Balance Sheet.
All derivatives are carried on our Consolidated Balance Sheet at fair value. Derivative balances are presented on the Consolidated Balance Sheet on a net basis taking into consideration the effects of legally enforceable master netting agreements and, when appropriate, any related cash collateral exchanged with counterparties. Further discussion regarding the offsetting rights associated with these legally enforceable master netting agreements is included in the Offsetting and Counterparty Credit Risk section of this Note 15. Any nonperformance risk, including credit risk, is included in the determination of the estimated net fair value of the derivatives. Further discussion on how derivatives are accounted for is included in Note 1 Accounting Policies.

Derivatives Designated As Hedging Instruments

Certain derivatives used to manage interest rate and foreign exchange risk as part of our asset and liability risk management activities are designated as accounting hedges. Derivatives hedging the risks associated with changes in the fair value of assets or liabilities are considered fair value hedges, derivatives hedging the variability of expected future cash flows are considered cash flow hedges and derivatives hedging a net investment in a foreign subsidiary are considered net investment hedges. Designating derivatives as accounting hedges allows for gains and losses on those derivatives to be recognized in the same period and in the same income statement line item as the earnings impact of the hedged items.

Fair Value Hedges
We enter into receive-fixed, pay-variable interest rate swaps to hedge changes in the fair value of outstanding fixed-rate debt caused by fluctuations in market interest rates. We also enter into pay-fixed, receive-variable interest rate swaps and zero-coupon swaps to hedge changes in the fair value of fixed rate and zero-coupon investment securities caused by fluctuations in market interest rates. Gains and losses on the interest rate swaps designated in these hedge relationships, along with the offsetting gains and losses on the hedged items attributable to the hedged risk, are recognized in current earnings within the same income statement line item.

Cash Flow Hedges
We enter into receive-fixed, pay-variable interest rate swaps and interest rate caps and floors to modify the interest rate characteristics of designated commercial loans from variable to fixed in order to reduce the impact of changes in future cash flows due to market interest rate changes. We also periodically enter into forward purchase and sale contracts to hedge the variability of the consideration that will be paid or received related to the purchase or sale of investment securities. The forecasted purchase or sale is consummated upon gross settlement of the forward contract itself. For these cash flow hedges, gains and losses on the hedging instruments are recorded in AOCI and are then reclassified into earnings in the same period the hedged cash flows affect earnings and within the same income statement line as the hedged cash flows.
In the 12 months that follow December 31, 2023, we expect to reclassify net derivative losses of $1.1 billion pretax, or $0.9 billion after-tax, from AOCI to interest income for these cash flow hedge strategies. This reclassified amount could differ from amounts actually recognized due to changes in interest rates, hedge de-designations and the addition of other hedges subsequent to December 31, 2023. As of December 31, 2023, the maximum length of time over which forecasted transactions are hedged is eight years.
Further detail regarding gains (losses) related to our fair value and cash flow hedge derivatives is presented in the following table:
Table 86: 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 ExpenseNoninterest Income
In millionsLoansInvestment SecuritiesBorrowed FundsOther
Year ended December 31, 2023
Total amounts on the Consolidated Income Statement$18,299 $3,545 $3,783 $619 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$2 $(545)
Derivatives$2 $531 
Amounts related to interest settlements on derivatives$28 $(605)
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
   other comprehensive income		$(1,512)$(28)
Other amounts related to interest settlements on derivatives$115 
Year ended December 31, 2022
Total amounts on the Consolidated Income Statement$11,795 $2,726 $1,155 $952 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$(136)$1,945 
Derivatives$143 $(1,976)
Amounts related to interest settlements on derivatives$(2)$120 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
   other comprehensive income 		$(259)$(1)
Other amounts related to interest settlements on derivatives$41 
Year ended December 31, 2021
Total amounts on the Consolidated Income Statement$9,007 $1,834 $361 $1,199 
Gains (losses) on fair value hedges recognized on:
Hedged items (c)$(5)$937 
Derivatives$9 $(993)
Amounts related to interest settlements on derivatives$(4)$521 
Gains (losses) on cash flow hedges (d):
Amount of derivative gains (losses) reclassified from accumulated
   other comprehensive income 		$376 $57 $61 
(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.
Detail regarding the impact of fair value hedge accounting on the carrying value of the hedged items is presented in the following table:

Table 87: Hedged Items - Fair Value Hedges
 December 31, 2023December 31, 2022
In millionsCarrying Value of the Hedged ItemsCumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)Carrying Value of the Hedged ItemsCumulative Fair Value Hedge Adjustment included in the Carrying Value of Hedged Items (a)
Investment securities - available for sale (b)$2,076 $(122)$2,376 $(121)
Borrowed funds$30,503 $(737)$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 December 31, 2023 and 2022.
(b)Carrying value shown represents amortized cost.
Net Investment Hedges
We enter into foreign currency forward contracts to hedge non-U.S. dollar net investments in foreign subsidiaries against adverse changes in foreign exchange rates. We assess whether the hedging relationship is highly effective in achieving offsetting changes in the value of the hedge and hedged item by qualitatively verifying that the critical terms of the hedge and hedged item match at the inception of the hedging relationship and on an ongoing basis. Net investment hedge derivatives are classified as foreign exchange contracts. There were no components of derivative gains or losses excluded from the assessment of the hedge effectiveness for the
periods presented. Net gains (losses) on net investment hedge derivatives recognized in OCI were $(53) million and $119 million in 2023 and 2022, respectively, and insignificant in 2021.

Derivatives Not Designated As Hedging Instruments
Residential mortgage loans that will be sold in the secondary market, and the related loan commitments, which are considered derivatives, are accounted for at fair value. Changes in the fair value of the loans and commitments due to interest rate risk are hedged with forward contracts to sell mortgage-backed securities, as well as U.S. Treasury and Eurodollar futures and options. Gains and losses on the loans and commitments held for sale and the derivatives used to economically hedge them are included in Residential and commercial mortgage noninterest income on the Consolidated Income Statement.

Residential mortgage servicing rights are accounted for at fair value with changes in fair value influenced primarily by changes in interest rates. Derivatives used to hedge the fair value of residential mortgage servicing rights include interest rate futures, swaps, options and forward contracts to purchase mortgage-backed securities. Gains and losses on residential mortgage servicing rights and the related derivatives used for hedging are included in Residential and commercial mortgage noninterest income.

Commercial mortgage loans held for sale and the related loan commitments, which are considered derivatives, are accounted for at fair value. Derivatives used to economically hedge these loans and commitments from changes in fair value due to interest rate risk include forward loan sale contracts and interest rate swaps. Gains and losses on the commitments, loans and derivatives are included in Residential and commercial mortgage noninterest income. Derivatives used to economically hedge the change in value of commercial mortgage servicing rights include interest rate futures, swaps and options. Gains or losses on these derivatives are included in Residential and commercial mortgage noninterest income.

The residential and commercial mortgage loan commitments associated with loans to be sold which are accounted for as derivatives are valued based on the estimated fair value of the underlying loan and the probability that the loan will fund within the terms of the commitment. The fair value also takes into account the fair value of the embedded servicing right.

We offer derivatives to our customers in connection with their risk management needs. These derivatives primarily consist of interest rate swaps, interest rate caps and floors, swaptions, foreign exchange contracts and commodity swaps. We primarily manage our market risk exposure from customer transactions by entering into a variety of hedging transactions with third-party dealers. Gains and losses on customer-related derivatives are included in Capital markets and advisory noninterest income.

Included in the customer, mortgage banking risk management, and other risk management portfolios are written interest-rate caps and floors entered into with customers and for risk management purposes. We receive an upfront premium from the counterparty and are obligated to make payments to the counterparty if the underlying market interest rate rises above or falls below a certain level designated in the contract. Our ultimate obligation under written options is based on future market conditions.

We have entered into risk participation agreements to share some of the credit exposure with other counterparties related to interest rate derivative contracts or to take on credit exposure to generate revenue. The following table presents the notional amount of risk participation agreements sold and maximum potential exposures at December 31, 2023 and 2022.
Table 88: Risk Participation Agreements
 Year ended December 31
In billions20232022
Risk participation agreements:
Sold - notional amount$8.0 $8.0 
Maximum potential amount of exposure (a)$0.2 $0.1 
(a)Based on the fair value of the underlying swaps assuming all underlying third party customers referenced in the swap contracts defaulted.
Further detail regarding the gains (losses) on derivatives not designated in hedging relationships is presented in the following table:
Table 89: Gains (Losses) on Derivatives Not Designated for Hedging
 Year ended December 31
In millions202320222021
Derivatives used for mortgage banking activities:
Interest rate contracts (a)$(70)$(671)$(78)
Derivatives used for customer-related activities:
Interest rate contracts(15)220 149 
Foreign exchange contracts and other220 111 135 
Gains from customer-related activities (b)205 331 284 
Derivatives used for other risk management activities:
Foreign exchange contracts and other (b)(395)255 (30)
Total gains (losses) from derivatives not designated as hedging instruments$(260)$(85)$176 
(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.

Offsetting and Counterparty Credit Risk
We generally utilize a net presentation on the Consolidated Balance Sheet for those derivative financial instruments entered into with counterparties under legally enforceable master netting agreements. The master netting agreements reduce credit risk by permitting the closeout netting of all outstanding derivative instruments under the master netting agreement with the same counterparty upon the occurrence of an event of default. The master netting agreement also may require the exchange of cash or marketable securities to collateralize either party’s net position. Collateral is typically exchanged daily on unsettled positions based on the net fair value of the positions with the counterparty as of the preceding day. Collateral representing initial margin, which is based on potential future exposure, may also be required to be exchanged. In certain cases, minimum thresholds must be exceeded before any collateral is exchanged. Any cash collateral exchanged with counterparties under these master netting agreements is also netted, when appropriate, against the applicable derivative fair values on the Consolidated Balance Sheet. However, the fair value of any securities held or pledged is not included in the net presentation on the Consolidated Balance Sheet. In order for derivative instruments under a master netting agreement to be eligible for closeout netting under GAAP, we must conduct sufficient legal review to conclude with a well-founded basis that the offsetting rights included in the master netting agreement would be legally enforceable upon an event of default, including upon an event of bankruptcy, insolvency, or a similar proceeding of the counterparty. Enforceability is evidenced by a legal opinion that supports, with sufficient confidence, the enforceability of the master netting agreement in such circumstances.

Table 90 shows the impact legally enforceable master netting agreements had on our derivative assets and derivative liabilities at December 31, 2023 and 2022. The table includes cash collateral held or pledged under legally enforceable master netting agreements. The table also includes the fair value of any securities collateral held or pledged under legally enforceable master netting agreements. Cash and securities collateral amounts are included in the table only to the extent of the related net derivative fair values.
Table 90 includes OTC derivatives not settled through an exchange (“OTC derivatives”) and OTC derivatives cleared through a central clearing house (“OTC cleared derivatives”). OTC derivatives represent contracts executed bilaterally with counterparties that are not settled through an organized exchange or directly cleared through a central clearing house. The majority of OTC derivatives are governed by the ISDA documentation or other legally enforceable master netting agreements. OTC cleared derivatives represent contracts executed bilaterally with counterparties in the OTC market that are novated to a central clearing house that then becomes our counterparty. OTC cleared derivative instruments are typically settled in cash each day based on the prior day value.
Table 90: Derivative Assets and Liabilities Offsetting
In millionsGross Fair ValueAmounts Offset on the Consolidated Balance SheetNet Fair Value Securities Collateral Held /Pledged Under Master Netting AgreementsNet Amounts
Fair Value Offset AmountCash Collateral
December 31, 2023
Derivative assets       
Interest rate contracts:
Over-the-counter cleared $19 $19  $19 
Over-the-counter2,338 $976 $767 595  $61 534 
Commodity contracts765 316 283 166 5 161 
Foreign exchange and other contracts307 114 76 117  117 
Total derivative assets$3,429 $1,406 $1,126 $897 (a)$66 $831 
Derivative liabilities
Interest rate contracts:
Over-the-counter cleared $36 $36  $36 
Over-the-counter4,612 $885 $942 2,785  $58 2,727 
Commodity contracts757 332  425  425 
Foreign exchange and other contracts494 189 13 292  292 
Total derivative liabilities$5,899 $1,406 $955 $3,538 (b)$58 $3,480 
December 31, 2022             
Derivative assets
Interest rate contracts:
Over-the-counter cleared $23 $23  $23 
Over-the-counter2,100 $974 $630 496  $34 462 
Commodity contracts1,208 335 2 871 871 
Foreign exchange and other contracts437 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-counter5,801 $625 $1,041 4,135  $78 4,057 
Commodity contracts1,269 679 520 70 4 66 
Foreign exchange and other contracts520 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.
In addition to using master netting agreements and other collateral agreements to reduce credit risk associated with derivative instruments, we also seek to manage credit risk by evaluating credit ratings of counterparties and by using internal credit analysis, limits, and monitoring procedures.

At December 31, 2023, cash and debt securities (primarily agency mortgage-backed securities) totaling $2.3 billion were pledged to us under master netting agreements and other collateral agreements to collateralize net derivative assets due from counterparties and to meet initial margin requirements, and we pledged cash and debt securities (primarily agency mortgage-backed securities) totaling $1.9 billion under these agreements to collateralize net derivative liabilities owed to counterparties and to meet initial margin requirements. These totals may differ from the amounts presented in the preceding offsetting table because these totals may include collateral exchanged under an agreement that does not qualify as a master netting agreement or because the total amount of collateral pledged exceeds the net derivative fair values with the counterparty as of the balance sheet date due to timing or other factors, such as initial margin. To the extent not netted against the derivative fair values under a master netting agreement, the receivable for cash pledged is included in Other assets and the obligation for cash held is included in Other liabilities on our Consolidated Balance Sheet. Securities pledged to us by counterparties are not recognized on our balance sheet. Likewise, securities we have pledged to counterparties remain on our balance sheet.
Credit-Risk Contingent Features

Certain derivative agreements contain various credit-risk-related contingent provisions, such as those that require our debt to maintain a specified credit rating from one or more of the major credit rating agencies. If our debt ratings were to fall below such specified ratings, the counterparties to the derivative instruments could request immediate payment or demand immediate and ongoing full collateralization on derivative instruments in net liability positions. The following table presents the aggregate fair value of derivative
instruments with credit-risk-related contingent features, the associated collateral posted in the normal course of business and the maximum amount of collateral we would be required to post if the credit-risk-related contingent features underlying these agreements had been triggered on December 31, 2023 and 2022.
Table 91: Credit-Risk Contingent Features
 December 31
In billions20232022
Net derivative liabilities with credit-risk contingent features$4.2 $5.8 
Collateral posted 1.0 1.7 
Maximum additional amount of collateral exposure $3.2 $4.1