XML 58 R44.htm IDEA: XBRL DOCUMENT v3.22.2.2
Derivatives (Tables)
 9 Months Ended
Sep. 30, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Notional or Contractual Amounts and Fair Values of Derivatives 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, 2022December 31, 2021
Notional or Fair value Notional or Fair value 
contractual DerivativeDerivativecontractual DerivativeDerivative
(in millions)amount assetsliabilitiesamount assetsliabilities
Derivatives designated as hedging instruments
Interest rate contracts$235,162 625 565 153,993 2,212 327 
Commodity contracts1,921 41 16 1,739 26 3 
Foreign exchange contracts17,352 43 1,997 24,949 281 669 
Total derivatives designated as qualifying hedging instruments709 2,578 2,519 999 
Derivatives not designated as hedging instruments
Economic hedges:
Interest rate contracts86,738 1,058 489 142,234 40 41 
Equity contracts (1)3,648 — 366 26,263 1,493 1,194 
Foreign exchange contracts32,965 1,843 336 28,192 395 88 
Credit contracts40 13 — 290 7 — 
Subtotal2,914 1,191 1,935 1,323 
Customer accommodation trading and other derivatives:
Interest rate contracts10,278,481 43,682 46,094 7,976,534 20,286 17,435 
Commodity contracts108,378 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 contracts1,186,615 22,689 25,725 560,049 5,912 5,915 
Credit contracts44,558 49 35 38,318 39 43 
Subtotal92,156 87,469 48,454 43,634 
Total derivatives not designated as hedging instruments95,070 88,660 50,389 44,957 
Total derivatives before netting95,779 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.
Fair Values of Derivative Assets and Liabilities
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, 2022December 31, 2021
(in millions)Derivative AssetsDerivative LiabilitiesDerivative AssetsDerivative 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 contracts42,696 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 contracts9,718 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 contracts12,840 8,862 13,625 15,816 
 Foreign exchange contracts
 OTC 23,460 26,938 6,335 6,221 
 Total foreign exchange contracts23,460 26,938 6,335 6,221 
 Credit contracts
 OTC 37 26 32 31 
 Total credit contracts37 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.
Gains (Losses) Recognized on Fair Value Hedging Relationships
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 incomeNoninterest incomeTotal recorded in net incomeTotal recorded in OCI
(in millions)Debt securitiesDepositsLong-term debtOtherDerivative 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 derivatives1,821 (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 contracts69 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/A50 
Interest contracts
Amounts related to interest settlements on derivatives(65)68 534 — 537 N/A
Recognized on derivatives138 (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 derivatives9 — 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 contracts8 — (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 
(continued on following page)
(continued from previous page)
Net interest incomeNoninterest incomeTotal recorded in net incomeTotal recorded in OCI
(in millions)Debt securitiesDepositsLong-term debtOtherDerivative 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 derivatives3,851 (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 contracts12 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/A134 
Interest contracts
Amounts related to interest settlements on derivatives(200)233 1,625 — 1,658 N/A
Recognized on derivatives964 (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 derivatives52 — 7 — 59 N/A
Recognized on derivatives3 — (363)73 (287)40 
Recognized on hedged items(3)— 310 (89)218 N/A
Total gains (losses) (pre-tax) on foreign exchange contracts52 — (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 
Gains (Losses) Recognized on Cash Flow Hedging Relationships Table 14.4: Gains (Losses) Recognized on Cash Flow Hedging Relationships
Net interest incomeTotal recorded in net incomeTotal recorded in OCI
(in millions)LoansOther interest incomeLong-term debtDerivative 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 income12 15 — 27 (27)
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(1,472)
Total gains (losses) (pre-tax) on interest rate contracts12 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 OCIN/AN/AN/AN/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$7,057 105 (745)N/A50 
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income(26)— — (26)26 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(1)
Total gains (losses) (pre-tax) on interest rate contracts(26)— — (26)25 
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income— — (2)(2)2 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(6)
Total gains (losses) (pre-tax) on foreign exchange contracts— — (2)(2)(4)
Total gains (losses) (pre-tax) recognized on cash flow hedges$(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 income7 53 — 60 (60)
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(1,621)
Total gains (losses) (pre-tax) on interest rate contracts7 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 OCIN/AN/AN/AN/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$21,353 244 (2,483)N/A134 
Interest rate contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income(117)— — (117)117 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(11)
Total gains (losses) (pre-tax) on interest rate contracts(117)— — (117)106 
Foreign exchange contracts:
Realized gains (losses) (pre-tax) reclassified from OCI into net income— — (4)(4)4 
Net unrealized gains (losses) (pre-tax) recognized in OCIN/AN/AN/AN/A(16)
Total gains (losses) (pre-tax) on foreign exchange contracts— — (4)(4)(12)
Total gains (losses) (pre-tax) recognized on cash flow hedges$(117)— (4)(121)94 
Hedged Items in Fair Value Hedging Relationships
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 designatedHedged 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 assets1,505 (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 assets1,156 (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.
Gains (Losses) on Derivatives Not Designated as Hedging Instruments
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 incomeNoninterest expense
(in millions)Mortgage bankingNet gains (losses) on trading and securitiesOtherTotalPersonnel 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$75 160 251 486 42 
(continued on following page)
(continued from previous page)
Noninterest incomeNoninterest expense
(in millions)Mortgage bankingNet gains from trading and securitiesOtherTotalPersonnel expense
Nine months ended September 30, 2022
Net gains (losses) recognized on economic hedges derivatives:
Interest contracts (1)$(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.
Sold Credit Derivatives
Table 14.7 provides details of sold credit derivatives.

Table 14.7: Sold Credit Derivatives
Notional amount
(in millions)Protection soldProtection sold – non-investment grade
September 30, 2022
Credit default swaps$10,552 1,950 
Risk participation swaps7,232 6,983 
Total credit derivatives$17,784 8,933 
December 31, 2021
Credit default swaps$8,033 1,982 
Risk participation swaps6,756 6,012 
Total credit derivatives$14,789 7,994 
Credit-Risk Contingent Features 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 posted13.9 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.