XML 45 R33.htm IDEA: XBRL DOCUMENT v3.24.1.u1
Derivative Instruments and Hedging Activities (Tables)
 3 Months Ended
Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Assets and Liabilities at Fair Value
The following table summarizes the notional amounts and fair values of our derivative instruments as of March 31, 2024 and December 31, 2023, which are segregated by derivatives that are designated as accounting hedges and those that are not, and are further segregated by type of contract within those two categories. The total derivative assets and liabilities are adjusted on an aggregate basis to take into consideration the effects of legally enforceable master netting agreements and any associated cash collateral received or pledged. Derivative assets and liabilities are included in other assets and other liabilities, respectively, on our consolidated balance sheets, and their related gains or losses are included in operating activities as changes in other assets and other liabilities in the consolidated statements of cash flows.
Table 9.1: Derivative Assets and Liabilities at Fair Value
March 31, 2024December 31, 2023
Notional or Contractual Amount
Derivative(1)
Notional or Contractual Amount
Derivative(1)
(Dollars in millions)AssetsLiabilitiesAssetsLiabilities
Derivatives designated as accounting hedges:
Interest rate contracts:
Fair value hedges$69,607 $4 $26 $68,987 $18 $26 
Cash flow hedges79,300 134 20 70,350 216 23 
Total interest rate contracts148,907 138 46 139,337 234 49 
Foreign exchange contracts:
Fair value hedges1,349 0 135 1,380 0 113 
Cash flow hedges2,431 11 1 2,488 0 66 
Net investment hedges4,814 18 41 4,870 1 89 
Total foreign exchange contracts8,594 29 177 8,738 1 268 
Total derivatives designated as accounting hedges157,501 167 223 148,075 235 317 
Derivatives not designated as accounting hedges:
Customer accommodation:
Interest rate contracts101,903 1,224 1,474 103,489 1,188 1,382 
Commodity contracts34,638 1,174 1,172 33,495 1,161 1,147 
Foreign exchange and other contracts5,108 43 28 5,153 50 47 
Total customer accommodation141,649 2,441 2,674 142,137 2,399 2,576 
Other interest rate exposures(2)
1,878 21 30 872 21 31 
Other contracts3,074 20 7 2,955 20 8 
Total derivatives not designated as accounting hedges146,601 2,482 2,711 145,964 2,440 2,615 
Total derivatives$304,102 $2,649 $2,934 $294,039 $2,675 $2,932 
Less: netting adjustment(3)
(1,050)(440)(1,005)(597)
Total derivative assets/liabilities$1,599 $2,494 $1,670 $2,335 
__________
(1)Does not reflect $1 million and $2 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of March 31, 2024 and December 31, 2023, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and other liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.
(2)Other interest rate exposures include commercial mortgage-related derivatives and interest rate swaps.
(3)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty.
Hedged Item in Fair Value Hedging Relationship
The following table summarizes the carrying value of our hedged assets and liabilities in fair value hedges and the associated cumulative basis adjustments included in those carrying values, excluding basis adjustments related to foreign currency risk, as of March 31, 2024 and December 31, 2023.
Table 9.2: Hedged Items in Fair Value Hedging Relationships
March 31, 2024December 31, 2023
Carrying Amount Assets/(Liabilities)Cumulative Amount of Basis Adjustments Included in the Carrying AmountCarrying Amount Assets/(Liabilities)Cumulative Amount of Basis Adjustments Included in the Carrying Amount
(Dollars in millions)Total Assets/(Liabilities)Discontinued-Hedging RelationshipsTotal Assets/(Liabilities)Discontinued-Hedging Relationships
Line item on our consolidated balance sheets in which the hedged item is included:
Investment securities available for sale(1)(2)
$6,022 $(48)$109 $6,108$(8)$126
Interest-bearing deposits(16,991)348 0 (17,374)2770
Securitized debt obligations(13,358)523 0 (13,375)5030
Senior and subordinated notes(31,758)1,325 (332)(30,899)971(372)
__________
(1)These amounts include the amortized cost basis of our investment securities designated in hedging relationships for which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. The amortized cost basis of this portfolio was $1.9 billion and $2.2 billion as of March 31, 2024 and December 31, 2023, respectively. The amount of the designated hedged items was $1.3 billion and $1.5 billion as of March 31, 2024 and December 31, 2023, respectively. The cumulative basis adjustments associated with these hedges was $10 million and $33 million as of March 31, 2024 and December 31, 2023, respectively.
(2)Carrying value represents amortized cost.
Offsetting Assets
The following table presents the gross and net fair values of our derivative assets, derivative liabilities, resale and repurchase agreements and the related offsetting amounts permitted under U.S. GAAP as of March 31, 2024 and December 31, 2023. The table also includes cash and non-cash collateral received or pledged in accordance with such arrangements. The amount of collateral presented, however, is limited to the amount of the related net derivative fair values or outstanding balances; therefore, instances of over-collateralization are excluded.
Table 9.3: Offsetting of Financial Assets and Financial Liabilities
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Held Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Received
As of March 31, 2024
Derivative assets(1)
$2,649 $(268)$(782)$1,599 $(19)$1,580 
As of December 31, 2023
Derivative assets(1)
2,675 (433)(572)1,670 (22)1,648 
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Pledged Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Pledged
As of March 31, 2024
Derivative liabilities(1)
$2,934 $(268)$(172)$2,494 $(24)$2,470 
Repurchase agreements(2)
568 0 0 568 (568)0 
As of December 31, 2023
Derivative liabilities(1)
2,932 (433)(164)2,335 (13)2,322 
Repurchase agreements(2)
538 0 0 538 (538)0 
__________
(1)We received cash collateral from derivative counterparties totaling $1.1 billion and $858 million as of March 31, 2024 and December 31, 2023, respectively. We also received securities from derivative counterparties with a fair value of approximately $13 million and $16 million as of March 31, 2024 and December 31, 2023, respectively, which we have the ability to re-pledge. We posted $1.6 billion and $1.7 billion of cash collateral as of March 31, 2024 and December 31, 2023, respectively.
(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $579 million and $549 million as of March 31, 2024 and December 31, 2023, respectively, primarily consisting of agency RMBS securities.
Offsetting Liabilities
The following table presents the gross and net fair values of our derivative assets, derivative liabilities, resale and repurchase agreements and the related offsetting amounts permitted under U.S. GAAP as of March 31, 2024 and December 31, 2023. The table also includes cash and non-cash collateral received or pledged in accordance with such arrangements. The amount of collateral presented, however, is limited to the amount of the related net derivative fair values or outstanding balances; therefore, instances of over-collateralization are excluded.
Table 9.3: Offsetting of Financial Assets and Financial Liabilities
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Held Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Received
As of March 31, 2024
Derivative assets(1)
$2,649 $(268)$(782)$1,599 $(19)$1,580 
As of December 31, 2023
Derivative assets(1)
2,675 (433)(572)1,670 (22)1,648 
Gross AmountsGross Amounts Offset in the Balance SheetNet Amounts as RecognizedSecurities Collateral Pledged Under Master Netting AgreementsNet Exposure
(Dollars in millions)Financial InstrumentsCash Collateral Pledged
As of March 31, 2024
Derivative liabilities(1)
$2,934 $(268)$(172)$2,494 $(24)$2,470 
Repurchase agreements(2)
568 0 0 568 (568)0 
As of December 31, 2023
Derivative liabilities(1)
2,932 (433)(164)2,335 (13)2,322 
Repurchase agreements(2)
538 0 0 538 (538)0 
__________
(1)We received cash collateral from derivative counterparties totaling $1.1 billion and $858 million as of March 31, 2024 and December 31, 2023, respectively. We also received securities from derivative counterparties with a fair value of approximately $13 million and $16 million as of March 31, 2024 and December 31, 2023, respectively, which we have the ability to re-pledge. We posted $1.6 billion and $1.7 billion of cash collateral as of March 31, 2024 and December 31, 2023, respectively.
(2)Under our customer repurchase agreements, which mature the next business day, we pledged collateral with a fair value of $579 million and $549 million as of March 31, 2024 and December 31, 2023, respectively, primarily consisting of agency RMBS securities.
Effects of Fair Value and Cash Flow Hedge Accounting
The net gains (losses) recognized in our consolidated statements of income related to derivatives in fair value and cash flow hedging relationships are presented below for the three months ended March 31, 2024 and 2023.
Table 9.4: Effects of Fair Value and Cash Flow Hedge Accounting
Three Months Ended March 31, 2024
Net Interest IncomeNon-Interest Income
(Dollars in millions)Investment SecuritiesLoans, Including Loans Held for SaleOtherInterest-bearing DepositsSecuritized Debt ObligationsSenior and Subordinated NotesOther
Total amounts presented in our consolidated statements of income
$687 $9,920 $570 $(2,812)$(261)$(606)$307 
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives$45 $0 $0 $(107)$(118)$(267)$0 
Gains (losses) recognized on derivatives21 0 0 (71)(19)(316)(31)
Gains (losses) recognized on hedged items(1)
(39)0 0 71 19 356 31 
Excluded component of fair value hedges(2)
0 0 0 0 0 (1)0 
Net income (expense) recognized on fair value hedges$27 $0 $0 $(107)$(118)$(228)$0 
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income$0 $(309)$0 $0 $0 $0 $0 
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)
0 0 2 0 0 0 0 
Net income (expense) recognized on cash flow hedges$0 $(309)$2 $0 $0 $0 $0 
Three Months Ended March 31, 2023
Net Interest IncomeNon-Interest Income
(Dollars in millions)Investment SecuritiesLoans, Including Loans Held for SaleOtherInterest-bearing DepositsSecuritized Debt ObligationsSenior and Subordinated NotesOther
Total amounts presented in our consolidated statements of income$615 $8,723 $416 $(1,856)$(211)$(489)$199 
Fair value hedging relationships:
Interest rate and foreign exchange contracts:
Interest recognized on derivatives$33 $0 $0 $(78)$(84)$(220)$0 
Gains (losses) recognized on derivatives(49)0 0 178 148 387 17 
Gains (losses) recognized on hedged items(1)
31 0 0 (180)(149)(355)(17)
Excluded component of fair value hedges(2)
0 0 0 0 0 (1)0 
Net income (expense) recognized on fair value hedges$15 $0 $0 $(80)$(85)$(189)$0 
Cash flow hedging relationships:(3)
Interest rate contracts:
Realized gains (losses) reclassified from AOCI into net income$0 $(262)$0 $0 $0 $0 $0 
Foreign exchange contracts:
Realized gains (losses) reclassified from AOCI into net income(4)
0 0 3 0 0 0 0 
Net income (expense) recognized on cash flow hedges$0 $(262)$3 $0 $0 $0 $0 
_________
(1)Includes amortization benefit of $23 million and $15 million for the three months ended March 31, 2024 and 2023, respectively, related to basis adjustments on discontinued hedges.
(2)Changes in fair values 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”). The initial value of the excluded component is recognized in earnings over the life of the swap under the amortization approach.
(3)See “Note 10—Stockholders’ Equity” for the effects of cash flow and net investment hedges on AOCI and amounts reclassified to net income, net of tax.
(4)We recognized a gain of $73 million and loss of $8 million for the three months ended March 31, 2024 and 2023, respectively, on foreign exchange contracts reclassified from AOCI. These amounts were largely offset by the foreign currency transaction gains (losses) on our foreign currency denominated intercompany funding included in other non-interest income on our consolidated statements of income.
Gains (Losses) on Free-Standing Derivatives
The net impacts to our consolidated statements of income related to free-standing derivatives are presented below for the three months ended March 31, 2024 and 2023. These gains or losses are recognized in other non-interest income on our consolidated statements of income.
Table 9.5: Gains (Losses) on Free-Standing Derivatives
Three Months Ended March 31,
(Dollars in millions)20242023
Gains (losses) recognized in other non-interest income:
Customer accommodation:
Interest rate contracts$7 $8 
Commodity contracts4 8 
Foreign exchange and other contracts6 3 
Total customer accommodation17 19 
Other interest rate exposures68 52 
Other contracts(11)(5)
Total$74 $66