Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table presents the fair value of derivative contracts by major product type on a gross basis. Gross fair values exclude the effects of both counterparty netting as well as collateral, and therefore are not representative of our exposure. The table below also presents the amounts of counterparty netting and cash collateral that have been offset in the consolidated balance sheet, as well as cash and securities collateral posted and received under enforceable master netting agreements that do not meet the criteria for netting. Derivative assets and liabilities which are not subject to an enforceable master netting agreement, or are subject to a netting agreement where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, have not been netted in the following table. Where we have received or posted collateral under netting agreements where an appropriate legal opinion to determine such agreements are enforceable has not been either sought or obtained, the related collateral also has not been netted in the following table.


	September 30, 2024				December 31, 2023
	Derivative Assets		Derivative Liabilities		Derivative Assets		Derivative Liabilities
	(in millions)
Derivatives accounted for as fair value hedges:(1)


Interest rate contracts - bilateral OTC(2)	$	2	$	2	$	—	$	83

Derivatives accounted for as cash flow hedges:(1)



Foreign exchange contracts - bilateral OTC(2)	4		62		—		56



Interest rate contracts - bilateral OTC(2)	—		2		—		1
Total derivatives accounted for as hedges	6		66		—		140
Trading derivatives not accounted for as hedges:(3)
Exchange-traded(2)	7		1		7		16
OTC-cleared(2)	101		—		70		—
Bilateral OTC(2)	797		691		1,178		946
Interest rate contracts	905		692		1,255		962

OTC-cleared (2)	86		—		—		—
Bilateral OTC(2)	9,483		9,623		13,606		13,479
Foreign exchange contracts	9,569		9,623		13,606		13,479
Exchange-traded(2)	5		—		7		—

Bilateral OTC(2)	390		1,148		413		1,080
Equity contracts	395		1,148		420		1,080
Exchange-traded(2)	—		—		3		—

Bilateral OTC(2)	1,288		1,271		1,150		1,033
Precious metals contracts	1,288		1,271		1,153		1,033

OTC-cleared(2)	—		—		14		—
Bilateral OTC(2)	111		137		81		137
Credit contracts	111		137		95		137
Other non-qualifying derivatives not accounted for as hedges:(1)



Interest rate contracts - bilateral OTC(2)	—		62		—		76






Equity contracts - bilateral OTC(2)	536		116		621		193







OTC-cleared(2)	—		—		1		1
Bilateral OTC(2)	11		128		13		122
Credit contracts	11		128		14		123

Other contracts - bilateral OTC(2)(4)	11		56		5		40
Total derivatives	12,832		13,299		17,169		17,263
Less: Gross amounts of receivable / payable subject to enforceable master netting agreements(5)(7)	10,428		10,428		14,110		14,110
Less: Gross amounts of cash collateral received / posted subject to enforceable master netting agreements(6)(7)	1,170		1,511		1,760		1,321
Net amounts of derivative assets / liabilities presented in the balance sheet	1,234		1,360		1,299		1,832

Less: Gross amounts of financial instrument collateral received / posted subject to enforceable master netting agreements but not offset in the consolidated balance sheet	151		36		63		273

Net amounts of derivative assets / liabilities	$	1,083	$	1,324	$	1,236	$	1,559

(1)Derivative assets / liabilities related to cash flow hedges, fair value hedges and derivative instruments held for purposes other than for trading are recorded in other assets / interest, taxes and other liabilities on the consolidated balance sheet.

(2)Over-the-counter ("OTC") derivatives include derivatives executed and settled bilaterally with counterparties without the use of an organized exchange or central clearing house. The credit risk associated with bilateral OTC derivatives is managed through obtaining collateral and enforceable master netting agreements. OTC-cleared derivatives are executed bilaterally in the OTC market but then novated to a central clearing counterparty, whereby the central clearing counterparty becomes the counterparty to each of the original counterparties. Exchange traded derivatives are executed directly on an organized exchange. Credit risk is minimized for OTC-cleared derivatives and exchange traded derivatives through daily margining requirements. In addition, OTC-cleared interest rate and credit derivatives with certain central clearing counterparties are settled daily.

(3)Trading related derivative assets / liabilities are recorded in trading assets / trading liabilities on the consolidated balance sheet.

(4)Consists of swap agreements entered into in conjunction with the sales of Visa Inc. ("Visa") Class B common shares ("Class B Shares").

(5)Represents the netting of derivative receivable and payable balances for the same counterparty under enforceable netting agreements.

(6)Represents the netting of cash collateral posted and received by counterparty under enforceable netting agreements.

(7)Netting is performed at a counterparty level in cases where enforceable master netting agreements are in place, regardless of the type of derivative instrument. Therefore, we have not allocated netting to the different types of derivative instruments shown in the table above.

Schedule of Gains and Losses on Fair Value Hedging Instruments

The following table presents the carrying amount of hedged items in fair value hedges recognized in the consolidated balance sheet at September 30, 2024 and December 31, 2023, along with the cumulative amount of fair value hedging adjustments included in the carrying amount of those hedged items:


	Carrying Amount of Hedged Items(1)		Cumulative Amount of Fair Value Hedging Adjustments Increasing (Decreasing) the Carrying Amount of Hedged Items
			Active		Discontinued		Total
	(in millions)
At September 30, 2024
Securities available-for-sale ("AFS")	$	12,958	$	(1,024)	$	(41)	$	(1,065)
Deposits	1,483		(62)		44		(18)
Long-term debt	8,320		(221)		42		(179)
At December 31, 2023
Securities AFS	11,112		(1,320)		(70)		(1,390)
Deposits	1,463		(104)		67		(37)
Long-term debt	7,913		(407)		72		(335)

(1)The carrying amount of securities AFS represents the amortized cost basis.

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments and the hedged items in fair value hedges and their location on the consolidated statement of income:


	Location of Gain (Loss) Recognized in Income	Gain (Loss) on Derivatives		Gain (Loss) on Hedged Items


		(in millions)
Three Months Ended September 30, 2024
Interest rate contracts / Securities AFS	Net interest income	$	(405)		$	617
Interest rate contracts / Deposits	Net interest income	40			(53)
Interest rate contracts / Long-term debt	Net interest income	114			(274)
Total		$	(251)		$	290

Three Months Ended September 30, 2023
Interest rate contracts / Securities AFS	Net interest income	$	735		$	(550)
Interest rate contracts / Deposits	Net interest income	(15)			(20)
Interest rate contracts / Long-term debt	Net interest income	(83)			(45)
Total		$	637		$	(615)

Nine Months Ended September 30, 2024
Interest rate contracts / Securities AFS	Net interest income	$	67		$	504
Interest rate contracts / Deposits	Net interest income	9			(92)
Interest rate contracts / Long-term debt	Net interest income	(19)			(432)
Total		$	57		$	(20)

Nine Months Ended September 30, 2023
Interest rate contracts / Securities AFS	Net interest income	$	927		$	(384)
Interest rate contracts / Deposits	Net interest income	(42)			(58)
Interest rate contracts / Long-term debt	Net interest income	(153)			(192)
Total		$	732		$	(634)

Schedule of Gains and Losses on Cash Flow Hedging Instruments

The following table presents information on gains and losses on derivative instruments designated and qualifying as hedging instruments in cash flow hedges (including amounts recognized in AOCI from discontinued cash flow hedges) and their location on the consolidated statement of income:


	Gain (Loss) Recognized in AOCI on Derivatives				Location of Gain (Loss) Reclassified from AOCI into Income		Gain (Loss) Reclassified From AOCI into Income
	2024		2023					2024		2023
	(in millions)
Three Months Ended September 30,
Foreign exchange contracts	$	6	$	—		Net interest income		$	—	$	—
Interest rate contracts	(170)		27			Net interest income		(22)		(53)
Total	$	(164)	$	27				$	(22)	$	(53)

Nine Months Ended September 30,
Foreign exchange contracts	$	5	$	—		Net interest income		$	—	$	—
Interest rate contracts	(107)		(8)			Net interest income		(45)		(153)
Total	$	(102)	$	(8)				$	(45)	$	(153)

Schedule of Gains and Losses on Derivative Instruments Included in Trading Activities

The following table presents information on gains and losses on derivative instruments held for trading purposes and their location on the consolidated statement of income:


	Location of Gain (Loss) Recognized in Income on Derivatives	Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended September 30,				Nine Months Ended September 30,
		2024		2023		2024		2023
		(in millions)
Interest rate contracts	Trading revenue	$	(120)	$	173	$	8	$	118

Foreign exchange contracts	Trading revenue	85		35		226		169
Equity contracts	Trading revenue	(495)		522		(2,016)		(651)
Precious metals contracts	Trading revenue	(2)		84		(13)		233
Credit contracts	Trading revenue	(115)		170		11		191
Total		$	(647)	$	984	$	(1,784)	$	60

Schedule of Gains and Losses on Derivative Instruments Held for Non-qualifying Hedging Activities

The following table presents information on gains and losses on derivative instruments held for non-qualifying hedging and other activities and their location on the consolidated statement of income:


	Location of Gain (Loss) Recognized in Income on Derivatives	Gain (Loss) Recognized in Income on Derivatives
		Three Months Ended September 30,				Nine Months Ended September 30,
		2024		2023		2024		2023
		(in millions)
Interest rate contracts	Gain (loss) on instruments designated at fair value and related derivatives	$	69	$	(100)	$	(4)	$	(110)


Equity contracts	Gain (loss) on instruments designated at fair value and related derivatives	186		(188)		321		518
Equity contracts	Other income (loss)	4		—		4		—


Credit contracts	Other income (loss)	(14)		(17)		(45)		(42)
Other contracts(1)	Other income (loss)	(31)		(31)		(33)		(40)
Total		$	214	$	(336)	$	243	$	326

(1)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

Credit-Risk Related Contingent Features

The following table presents the amount of additional collateral that we would be required to post (from the current collateral level) related to derivative instruments with credit-risk related contingent features if our long-term ratings were downgraded by one or two notches. A downgrade by a single rating agency that does not result in a rating lower than a preexisting corresponding rating provided by another rating agency will generally not result in additional collateral.


	One-notch downgrade		Two-notch downgrade
	(in millions)
Amount of additional collateral to be posted upon downgrade	$	—	$	36

Notional Value of Derivative Contracts

The following table summarizes the notional values of derivative contracts:


	September 30, 2024		December 31, 2023
	(in millions)
Interest rate:
Futures and forwards	$	28,547	$	5,143
Swaps	99,232		114,947
Options written	1,054		1,260
Options purchased	1,461		1,352
Total interest rate	130,294		122,702
Foreign exchange:
Swaps, futures and forwards	1,040,911		1,005,683
Options written	39,030		30,755
Options purchased	39,115		30,898
Spot	58,328		29,631
Total foreign exchange	1,177,384		1,096,967
Commodities, equities and precious metals:
Swaps, futures and forwards	32,824		53,110
Options written	1,570		1,713
Options purchased	8,915		8,464
Total commodities, equities and precious metals	43,309		63,287
Credit derivatives	19,021		16,710
Other contracts(1)	1,452		1,416
Total	$	1,371,460	$	1,301,082

(1)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.

- 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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