We use derivatives to manage exposure to market risk, including interest rate risk, credit risk and foreign currency risk, and to assist customers with their risk management objectives. We designate certain derivatives as hedging instruments in qualifying hedge accounting relationships (fair value or cash flow hedges). Our remaining derivatives consist of economic hedges that do not qualify for hedge accounting and derivatives held for customer accommodation trading or other purposes. For additional information on our derivative activities, see Note 16 (Derivatives) in our 2021 Form 10-K.

Table 14.1 presents the total notional or contractual amounts and fair values for our derivatives. Derivative transactions can be measured in terms of the notional amount, but this amount is not recorded on our consolidated balance sheet and is not, when viewed in isolation, a meaningful measure of the risk profile of the instruments. The notional amount is generally not exchanged, but is used only as the basis on which interest and other payments are determined.

Table 14.1: Notional or Contractual Amounts and Fair Values of Derivatives


	September 30, 2022					December 31, 2021
	Notional or		Fair value			Notional or	Fair value
	contractual		Derivative		Derivative	contractual	Derivative	Derivative
(in millions)	amount		assets		liabilities	amount	assets	liabilities
Derivatives designated as hedging instruments
Interest rate contracts	$	235,162	625		565	153,993	2,212	327
Commodity contracts	1,921		41		16	1,739	26	3
Foreign exchange contracts	17,352		43		1,997	24,949	281	669
Total derivatives designated as qualifying hedging instruments			709		2,578		2,519	999
Derivatives not designated as hedging instruments
Economic hedges:
Interest rate contracts	86,738		1,058		489	142,234	40	41
Equity contracts (1)	3,648		—		366	26,263	1,493	1,194
Foreign exchange contracts	32,965		1,843		336	28,192	395	88
Credit contracts	40		13		—	290	7	—
Subtotal			2,914		1,191		1,935	1,323
Customer accommodation trading and other derivatives:
Interest rate contracts	10,278,481		43,682		46,094	7,976,534	20,286	17,435
Commodity contracts	108,378		10,015		5,461	74,903	5,939	2,414
Equity contracts (1)	409,739		15,721		10,154	321,863	16,278	17,827
Foreign exchange contracts	1,186,615		22,689		25,725	560,049	5,912	5,915
Credit contracts	44,558		49		35	38,318	39	43

Subtotal			92,156		87,469		48,454	43,634
Total derivatives not designated as hedging instruments			95,070		88,660		50,389	44,957
Total derivatives before netting			95,779		91,238		52,908	45,956
Netting			(66,526)		(67,838)		(31,430)	(36,532)
Total			$	29,253	23,400		21,478	9,424

(1) In first quarter 2022, we prospectively reclassified certain equity securities and related economic hedge derivatives from "not held for trading activities" to "held for trading activities" to better reflect the business activity of those financial instruments. For additional information on Trading Activities, see Note 1 (Summary of Significant Accounting Policies) in our 2021 Form 10-K.

Table 14.2 provides information on the fair values of derivative assets and liabilities subject to enforceable master netting arrangements, the balance sheet netting adjustments and the resulting net fair value amount recorded on our consolidated balance sheet, as well as the non-cash collateral associated with such arrangements. We execute substantially all of our derivative transactions under master netting arrangements and reflect all derivative balances and related cash collateral subject to enforceable master netting arrangements on a net basis within our consolidated balance sheet. We determine the balance sheet netting adjustments based on the terms specified within each master netting arrangement, which are determined at the counterparty level. On our consolidated balance sheet we do not net non-cash collateral that we receive or pledge. For disclosure purposes, we present “Total Derivatives, net” which represents the aggregate of our net exposure to each counterparty after considering the balance sheet netting

adjustments and any non-cash collateral. We manage derivative exposure by monitoring the credit risk associated with each counterparty using counterparty-specific credit risk limits, using master netting arrangements and obtaining collateral. In addition to the netting amounts included in the table, we also have balance sheet netting related to resale and repurchase agreements that are disclosed within Note 12 (Pledged Assets and Collateral).

Table 14.2: Fair Values of Derivative Assets and Liabilities


	September 30, 2022			December 31, 2021
(in millions)	Derivative Assets		Derivative Liabilities	Derivative Assets	Derivative Liabilities
Interest rate contracts
Over-the-counter (OTC)	$	39,884	40,917	20,067	16,654
OTC cleared	2,304		2,200	168	192
Exchange traded	508		309	52	28
Total interest rate contracts	42,696		43,426	20,287	16,874
Commodity contracts
OTC	8,400		2,759	5,040	1,249
Exchange traded	1,318		2,252	557	1,047
Total commodity contracts	9,718		5,011	5,597	2,296
Equity contracts
OTC	6,771		4,663	6,132	9,730
Exchange traded	6,069		4,199	7,493	6,086
Total equity contracts	12,840		8,862	13,625	15,816
Foreign exchange contracts
OTC	23,460		26,938	6,335	6,221

Total foreign exchange contracts	23,460		26,938	6,335	6,221
Credit contracts
OTC	37		26	32	31

Total credit contracts	37		26	32	31
Total derivatives subject to enforceable master netting arrangements, gross	88,751		84,263	45,876	41,238
Less: Gross amounts offset
Counterparty netting (1)	(56,340)		(56,441)	(27,172)	(27,046)
Cash collateral netting	(10,186)		(11,397)	(4,258)	(9,486)
Total derivatives subject to enforceable master netting arrangements, net	22,225		16,425	14,446	4,706
Derivatives not subject to enforceable master netting arrangements	7,028		6,975	7,032	4,718
Total derivatives recognized in consolidated balance sheet, net	29,253		23,400	21,478	9,424
Non-cash collateral	(4,847)		(1,173)	(1,432)	(412)
Total Derivatives, net	$	24,406	22,227	20,046	9,012

(1)Represents amounts with counterparties subject to enforceable master netting arrangements that have been offset in our consolidated balance sheet, including portfolio level counterparty valuation adjustments related to customer accommodation and other trading derivatives. Counterparty valuation adjustments related to derivative assets were $396 million and $284 million and debit valuation adjustments related to derivative liabilities were $497 million and $158 million as of September 30, 2022, and December 31, 2021, respectively, and were primarily related to interest rate contracts.

Fair Value and Cash Flow Hedges

For fair value hedges, we use interest rate swaps to convert certain of our fixed-rate long-term debt and time certificates of deposit to floating rates to hedge our exposure to interest rate risk. We also enter into cross-currency swaps, cross-currency interest rate swaps and forward contracts to hedge our exposure to foreign currency risk and interest rate risk associated with the issuance of non-U.S. dollar denominated long-term debt. We also enter into futures contracts, forward contracts, and swap contracts to hedge our exposure to the price risk of physical commodities included in Other Assets. In addition, we use interest rate swaps, cross-currency swaps, cross-currency interest rate swaps and forward contracts to hedge against changes in fair value of certain investments in available-for-sale debt securities due to changes in interest rates, foreign currency rates, or both. For certain fair value hedges of foreign currency risk, changes in fair value of cross-currency swaps attributable to changes in cross-currency basis spreads are excluded from the assessment of hedge effectiveness and recorded in other comprehensive income (OCI). See Note 21 (Other Comprehensive Income) for the amounts recognized in other comprehensive income.

For cash flow hedges, we use interest rate swaps to hedge the variability in interest payments received on certain interest-earning deposits with banks and certain floating-rate commercial loans, and interest paid on certain floating-rate debt due to changes in the contractually specified interest rate. We also use cross-currency swaps to hedge variability in interest payments on fixed-rate foreign currency-denominated long-term debt due to changes in foreign exchange rates.

We estimate $491 million pre-tax of deferred net losses related to cash flow hedges in OCI at September 30, 2022, will be reclassified into net interest income during the next twelve months. For cash flow hedges as of September 30, 2022, we are hedging our interest rate and foreign currency exposure to the variability of future cash flows for all forecasted transactions for a maximum of 10 years. For additional information on our accounting hedges, see Note 1 (Summary of Significant Accounting Policies) in our 2021 Form 10-K.

Table 14.3 and Table 14.4 show the net gains (losses) related to derivatives in fair value and cash flow hedging relationships, respectively.

Table 14.3: Gains (Losses) Recognized on Fair Value Hedging Relationships


	Net interest income				Noninterest income		Total recorded in net income		Total recorded in OCI
(in millions)	Debt securities		Deposits	Long-term debt		Other		Derivative gains (losses)		Derivative gains (losses)
Quarter ended September 30, 2022
Total amounts presented in the consolidated statement of income and other comprehensive income	$	3,043	(513)	(1,553)		397		N/A		(1,476)
Interest contracts
Amounts related to interest settlements on derivatives	53		8	(66)		—		(5)		N/A
Recognized on derivatives	1,821		(98)	(6,218)		—		(4,495)		—
Recognized on hedged items	(1,805)		99	6,183		—		4,477		N/A
Total gains (losses) (pre-tax) on interest rate contracts	69		9	(101)		—		(23)		—
Foreign exchange contracts
Amounts related to interest settlements on derivatives	—		—	(69)		—		(69)		N/A
Recognized on derivatives	—		—	(283)		(663)		(946)		30
Recognized on hedged items	—		—	311		630		941		N/A
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(41)		(33)		(74)		30
Commodity contracts
Recognized on derivatives	—		—	—		94		94		—
Recognized on hedged items	—		—	—		(90)		(90)		N/A
Total gains (losses) (pre-tax) on commodity contracts	—		—	—		4		4		—
Total gains (losses) (pre-tax) recognized on fair value hedges	$	69	9	(142)		(29)		(93)		30
Quarter ended September 30, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income	$	2,354	(99)	(745)		609		N/A		50
Interest contracts
Amounts related to interest settlements on derivatives	(65)		68	534		—		537		N/A
Recognized on derivatives	138		(64)	(1,159)		—		(1,085)		—
Recognized on hedged items	(139)		64	1,159		—		1,084		N/A
Total gains (losses) (pre-tax) on interest rate contracts	(66)		68	534		—		536		—
Foreign exchange contracts
Amounts related to interest settlements on derivatives	9		—	4		—		13		N/A
Recognized on derivatives	—		—	(94)		(436)		(530)		29
Recognized on hedged items	(1)		—	72		431		502		N/A
Total gains (losses) (pre-tax) on foreign exchange contracts	8		—	(18)		(5)		(15)		29
Commodity contracts
Recognized on derivatives	—		—	—		93		93		—
Recognized on hedged items	—		—	—		(92)		(92)		N/A
Total gains (losses) (pre-tax) on commodity contracts	—		—	—		1		1		—
Total gains (losses) (pre-tax) recognized on fair value hedges	$	(58)	68	516		(4)		522		29

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	Net interest income				Noninterest income		Total recorded in net income		Total recorded in OCI
(in millions)	Debt securities		Deposits	Long-term debt		Other		Derivative gains (losses)		Derivative gains (losses)
Nine months ended September 30, 2022
Total amounts presented in the consolidated statement of income and other comprehensive income	$	8,308	(754)	(3,325)		1,507		N/A		(1,560)
Interest contracts
Amounts related to interest settlements on derivatives	(33)		72	751		—		790		N/A
Recognized on derivatives	3,851		(313)	(18,289)		—		(14,751)		—
Recognized on hedged items	(3,806)		310	18,124		—		14,628		N/A
Total gains (losses) (pre-tax) on interest rate contracts	12		69	586		—		667		—
Foreign exchange contracts
Amounts related to interest settlements on derivatives	—		—	(86)		—		(86)		N/A
Recognized on derivatives	—		—	(1,054)		(1,834)		(2,888)		140
Recognized on hedged items	—		—	1,089		1,769		2,858		N/A
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(51)		(65)		(116)		140
Commodity contracts
Recognized on derivatives	—		—	—		230		230		—
Recognized on hedged items	—		—	—		(220)		(220)		N/A
Total gains (losses) (pre-tax) on commodity contracts	—		—	—		10		10		—
Total gains (losses) (pre-tax) recognized on fair value hedges	$	12	69	535		(55)		561		140
Nine months ended September 30, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income	$	6,865	(303)	(2,483)		2,283		N/A		134
Interest contracts
Amounts related to interest settlements on derivatives	(200)		233	1,625		—		1,658		N/A
Recognized on derivatives	964		(248)	(5,777)		—		(5,061)		—
Recognized on hedged items	(945)		245	5,701		—		5,001		N/A
Total gains (losses) (pre-tax) on interest rate contracts	(181)		230	1,549		—		1,598		—
Foreign exchange contracts
Amounts related to interest settlements on derivatives	52		—	7		—		59		N/A
Recognized on derivatives	3		—	(363)		73		(287)		40
Recognized on hedged items	(3)		—	310		(89)		218		N/A
Total gains (losses) (pre-tax) on foreign exchange contracts	52		—	(46)		(16)		(10)		40
Commodity contracts
Recognized on derivatives	—		—	—		126		126		—
Recognized on hedged items	—		—	—		(129)		(129)		N/A
Total gains (losses) (pre-tax) on commodity contracts	—		—	—		(3)		(3)		—
Total gains (losses) (pre-tax) recognized on fair value hedges	$	(129)	230	1,503		(19)		1,585		40

Table 14.4: Gains (Losses) Recognized on Cash Flow Hedging Relationships


	Net interest income				Total recorded in net income	Total recorded in OCI
(in millions)	Loans		Other interest income	Long-term debt	Derivative gains (losses)	Derivative gains (losses)
Quarter ended September 30, 2022
Total amounts presented in the consolidated statement of income and other comprehensive income	$	10,158	1,017	(1,553)	N/A	(1,476)
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	12		15	—	27	(27)
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(1,472)
Total gains (losses) (pre-tax) on interest rate contracts	12		15	—	27	(1,499)
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	—		—	(3)	(3)	3
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(10)
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(3)	(3)	(7)
Total gains (losses) (pre-tax) recognized on cash flow hedges	$	12	15	(3)	24	(1,506)
Quarter ended September 30, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income	$	7,057	105	(745)	N/A	50
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	(26)		—	—	(26)	26
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(1)
Total gains (losses) (pre-tax) on interest rate contracts	(26)		—	—	(26)	25
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	—		—	(2)	(2)	2
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(6)
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(2)	(2)	(4)
Total gains (losses) (pre-tax) recognized on cash flow hedges	$	(26)	—	(2)	(28)	21
Nine months ended September 30, 2022
Total amounts presented in the consolidated statement of income and other comprehensive income	$	25,492	1,526	(3,325)	N/A	(1,560)
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	7		53	—	60	(60)
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(1,621)
Total gains (losses) (pre-tax) on interest rate contracts	7		53	—	60	(1,681)
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	—		—	(7)	(7)	7
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(26)
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(7)	(7)	(19)
Total gains (losses) (pre-tax) recognized on cash flow hedges	$	7	53	(7)	53	(1,700)
Nine months ended September 30, 2021
Total amounts presented in the consolidated statement of income and other comprehensive income	$	21,353	244	(2,483)	N/A	134
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	(117)		—	—	(117)	117
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(11)
Total gains (losses) (pre-tax) on interest rate contracts	(117)		—	—	(117)	106
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income	—		—	(4)	(4)	4
Net unrealized gains (losses) (pre-tax) recognized in OCI	N/A		N/A	N/A	N/A	(16)
Total gains (losses) (pre-tax) on foreign exchange contracts	—		—	(4)	(4)	(12)
Total gains (losses) (pre-tax) recognized on cash flow hedges	$	(117)	—	(4)	(121)	94

Table 14.5 shows the carrying amount and associated cumulative basis adjustment related to the application of hedge accounting that is included in the carrying amount of hedged assets and liabilities in fair value hedging relationships.

Table 14.5: Hedged Items in Fair Value Hedging Relationships


	Hedged items currently designated			Hedged items no longer designated
(in millions)	Carrying amount of assets/(liabilities) (1)(2)		Hedge accounting basis adjustment assets/(liabilities) (3)	Carrying amount of assets/(liabilities) (2)	Hedge accounting basis adjustment assets/(liabilities)
September 30, 2022
Available-for-sale debt securities (4)	$	39,287	(4,088)	16,515	781
Other assets	1,505		(132)	—	—
Deposits	(19,852)		166	(11)	—
Long-term debt	(128,562)		14,026	(5)	—
December 31, 2021
Available-for-sale debt securities (4)	$	24,144	(559)	17,962	965
Other assets	1,156		(58)	—	—
Deposits	(10,187)		(144)	—	—
Long-term debt	(138,801)		(5,192)	—	—

(1)Does not include the carrying amount of hedged items where only foreign currency risk is the designated hedged risk. The carrying amount excluded for debt securities is $699 million and for long-term debt is $0 million as of September 30, 2022, and $873 million for debt securities and $(2.7) billion for long-term debt as of December 31, 2021.

(2)Represents the full carrying amount of the hedged asset or liability item as of the balance sheet date, except for circumstances in which only a portion of the asset or liability was designated as the hedged item in which case only the portion designated is presented.

(3)The balance includes $41 million and $248 million of debt securities and long-term debt cumulative basis adjustments as of September 30, 2022, respectively, and $136 million and $188 million of debt securities and long-term debt cumulative basis adjustments as of December 31, 2021, respectively, on terminated hedges whereby the hedged items have subsequently been re-designated into existing hedges.

(4)Carrying amount represents the amortized cost.

Derivatives Not Designated as Hedging Instruments

Derivatives not designated as hedging instruments include economic hedges and derivatives entered into for customer accommodation trading purposes.

We use economic hedge derivatives to manage our exposure to interest rate risk, equity price risk, foreign currency risk, and credit risk. We also use economic hedge derivatives to mitigate the periodic earnings volatility caused by mismatches between the changes in fair value of the hedged item and hedging instrument recognized on our fair value accounting hedges.

Changes in the fair values of derivatives used to economically hedge the deferred compensation plan are reported in personnel expense.

For additional information on economic hedges and other derivatives, see Note 16 (Derivatives) in our 2021 Form 10-K.

Table 14.6 shows the net gains (losses), recognized by income statement lines, related to derivatives not designated as hedging instruments.

Table 14.6: Gains (Losses) on Derivatives Not Designated as Hedging Instruments


	Noninterest income					Noninterest expense
(in millions)	Mortgage banking		Net gains (losses) on trading and securities	Other	Total		Personnel expense
Quarter ended September 30, 2022
Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)	$	(295)	—	(29)	(324)		—
Equity contracts (2)	—		—	3	3		188
Foreign exchange contracts	—		—	940	940		—
Credit contracts	—		—	(2)	(2)		—
Subtotal	(295)		—	912	617		188
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts	(275)		3,861	—	3,586		—
Commodity contracts	—		69	—	69		—
Equity contracts (2)	—		1,658	(35)	1,623		—
Foreign exchange contracts	—		240	—	240		—
Credit contracts	—		(21)	—	(21)		—
Subtotal	(275)		5,807	(35)	5,497		—
Net gains (losses) recognized related to derivatives not designated as hedging instruments	$	(570)	5,807	877	6,114		188
Quarter ended September 30, 2021
Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)	$	(34)	—	(1)	(35)		—
Equity contracts	—		564	(2)	562		42
Foreign exchange contracts	—		—	310	310		—
Credit contracts	—		—	(5)	(5)		—
Subtotal	(34)		564	302	832		42
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts	109		189	—	298		—
Commodity contracts	—		31	—	31		—
Equity contracts	—		(722)	(51)	(773)		—
Foreign exchange contracts	—		105	—	105		—
Credit contracts	—		(7)	—	(7)		—
Subtotal	109		(404)	(51)	(346)		—
Net gains (losses) recognized related to derivatives not designated as hedging instruments	$	75	160	251	486		42

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	Noninterest income					Noninterest expense
(in millions)	Mortgage banking		Net gains from trading and securities	Other	Total		Personnel expense
Nine months ended September 30, 2022

Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)	$	(933)	—	(81)	(1,014)		—
Equity contracts (2)	—		—	12	12		1,031
Foreign exchange contracts	—		—	2,009	2,009		—
Credit contracts	—		—	5	5		—
Subtotal	(933)		—	1,945	1,012		1,031
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts	(1,087)		9,866	—	8,779		—
Commodity contracts	—		286	—	286		—
Equity contracts (2)	—		6,562	(149)	6,413		—
Foreign exchange contracts	—		885	—	885		—
Credit contracts	—		20	—	20		—
Subtotal	(1,087)		17,619	(149)	16,383		—
Net gains (losses) recognized related to derivatives not designated as hedging instruments	$	(2,020)	17,619	1,796	17,395		1,031
Nine months ended September 30, 2021

Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)	$	(122)	—	(7)	(129)		—
Equity contracts	—		227	(1)	226		(357)
Foreign exchange contracts	—		—	291	291		—
Credit contracts	—		—	(10)	(10)		—
Subtotal	(122)		227	273	378		(357)
Net gains (losses) recognized on customer accommodation trading and other derivatives:
Interest contracts	60		1,519	—	1,579		—
Commodity contracts	—		75	—	75		—
Equity contracts	—		(2,807)	(444)	(3,251)		—
Foreign exchange contracts	—		545	—	545		—
Credit contracts	—		(78)	—	(78)		—
Subtotal	60		(746)	(444)	(1,130)		—
Net gains (losses) recognized related to derivatives not designated as hedging instruments	$	(62)	(519)	(171)	(752)		(357)

(1)Mortgage banking amounts for third quarter and first nine months of 2022 are comprised of gains (losses) of $(863) million and $(3.5) billion, respectively, related to derivatives used as economic hedges of MSRs measured at fair value offset by gains (losses) of $568 million and $2.6 billion, respectively, related to derivatives used as economic hedges of mortgage loans held for sale and derivative loan commitments. The corresponding amounts for third quarter and first nine months of 2021 are comprised of gains (losses) of $(176) million and $(1.1) billion offset by gains (losses) of $142 million and $987 million, respectively.

(2)In first quarter 2022, we prospectively reclassified certain equity securities and related economic hedge derivatives from “not held for trading activities” to “held for trading activities” to better reflect the business activity of those financial instruments. For additional information on Trading Activities, see Note 1 (Summary of Significant Accounting Policies) in our 2021 Form 10-K.

Credit Derivatives

Credit derivative contracts are arrangements whose value is derived from the transfer of credit risk of a reference asset or entity from one party (the purchaser of credit protection) to another party (the seller of credit protection). We generally use credit derivatives to assist customers with their risk management objectives by purchasing and selling credit protection on corporate debt obligations through the use of credit default swaps or through risk participation swaps to help manage counterparty exposure. We would be required to perform under the credit derivatives we sold in the event of default by the referenced obligors. Events of default include events such as bankruptcy, capital restructuring or lack of principal and/or interest payment.

Table 14.7 provides details of sold credit derivatives.

Table 14.7: Sold Credit Derivatives


	Notional amount
(in millions)	Protection sold		Protection sold – non-investment grade
September 30, 2022
Credit default swaps	$	10,552	1,950
Risk participation swaps	7,232		6,983
Total credit derivatives	$	17,784	8,933
December 31, 2021
Credit default swaps	$	8,033	1,982
Risk participation swaps	6,756		6,012
Total credit derivatives	$	14,789	7,994

Protection sold represents the estimated maximum exposure to loss that would be incurred if, upon an event of default, the value of our interests and any associated collateral declined to zero, and does not take into consideration any of recovery value from the referenced obligation or offset from collateral held or any economic hedges.

The amounts under non-investment grade represent the notional amounts of those credit derivatives on which we have a higher risk of being required to perform under the terms of the credit derivative and are a function of the underlying assets.

We consider the credit risk to be low if the underlying assets under the credit derivative have an external rating that is investment grade. If an external rating is not available, we classify the credit derivative as non-investment grade.

Our maximum exposure to sold credit derivatives is managed through posted collateral and purchased credit derivatives with identical or similar reference positions in order to achieve our desired credit risk profile. The credit risk management is designed to provide an ability to recover a significant portion of any amounts that would be paid under sold credit derivatives.

Credit-Risk Contingent Features

Certain of our derivative contracts contain provisions whereby if the credit rating of our debt were to be downgraded by certain major credit rating agencies, the counterparty could demand additional collateral or require termination or replacement of derivative instruments in a net liability position. Table 14.8 illustrates our exposure to OTC bilateral derivative contracts with credit-risk contingent features, collateral we have posted, and the additional collateral we would be required to post if the credit rating of our debt was downgraded below investment grade.

Table 14.8: Credit-Risk Contingent Features


(in billions)	Sep 30, 2022		Dec 31, 2021
Net derivative liabilities with credit-risk contingent features	$	17.7	12.2
Collateral posted	13.9		11.0
Additional collateral to be posted upon a below investment grade credit rating (1)	3.9		1.2

(1)Any credit rating below investment grade requires us to post the maximum amount of collateral.