v3.26.1
DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
 3 Months Ended
Mar. 31, 2026
Summary of Derivative Instruments [Abstract]  
DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES
Objectives and Accounting
We utilize derivative instruments—including interest rate swaps, futures, options, foreign exchange and commodity contracts, credit derivatives, and various customer-facing products—to manage exposure to interest rate, foreign exchange, commodity, credit, and other market risks. Our objective is to reduce volatility in interest income, interest expense, earnings, and capital. These instruments allow us to adjust the sensitivity of our assets and liabilities to changes in market rates and other market conditions.
In addition, we offer derivative products to customers to support their risk management needs. The resulting exposures are generally mitigated through offsetting transactions with dealer counterparties or central clearing houses. We do not use derivatives for speculative purposes. For more information regarding our use of derivative instruments and related accounting policies, see Note 7 of our 2025 Form 10-K.
Collateral and Credit Risk
Credit risk associated with derivative instruments arises from the potential nonperformance of counterparties. No significant derivative-related losses attributable to counterparty default occurred during the first three months of 2026. For a discussion of how counterparty credit risk is incorporated into derivative valuations, see Note 3 of our 2025 Form 10-K. For additional information regarding collateral arrangements and related credit risk for derivative contracts, see Note 7 of our 2025 Form 10-K.
Certain derivative contracts contain credit risk-related contingent features, such as minimum credit rating requirements. If these features were triggered, we may be required to post additional collateral; however, counterparties have not historically exercised their rights to demand additional collateral in all instances when permitted. If our credit rating had been downgraded by one notch by Standard and Poor’s (“S&P”) or Moody’s at March 31, 2026, we do not believe that additional collateral would have been required to be pledged. Centrally cleared derivatives do not include credit risk-related contingent features that would require additional collateral in the event of a credit rating downgrade.
At March 31, 2026, the fair value of our derivative liabilities was $392 million. To satisfy variation margin requirements, we pledged $158 million in cash collateral in the ordinary course of business. Additionally, we pledged U.S. Treasuries with an aggregate face value of $200 million to satisfy initial margin requirements with certain dealer counterparties and central clearing houses.
Derivative Notional Amounts and Fair Values
The following schedule presents derivative notional amounts and recorded fair values at March 31, 2026 and December 31, 2025:
March 31, 2026December 31, 2025
Notional
amount		Fair valueNotional
amount		Fair value
(In millions)Other
assets		Other
liabilities		Other
assets		Other
liabilities
Derivatives designated as accounting hedges:
Cash flow hedges:
Hedges of floating-rate assets 1
$16,150 $3 $5 $2,750 $7 $1 
Fair value hedges:
Hedges of fixed-rate assets 1
7,953 79 — 7,653 79 — 
Hedges of fixed-rate liabilities1,500 — — 1,000 — — 
Total derivatives designated as accounting hedges25,603 82 5 11,403 86 1 
Derivatives not designated as accounting hedges2:
Customer interest rate derivatives25,103 236 226 22,428 251 241 
Customer commodity derivatives2,255 161 159 853 18 17 
Other interest rate derivatives1,695 3 1 5,571 2 — 
Foreign exchange derivatives 3
368 2 1 308 3 1 
Purchased credit derivatives43 — — 64 — — 
Total derivatives not designated as accounting hedges
29,464 402 387 29,224 274 259 
Total gross derivatives$55,067 $484 $392 $40,627 360 260 
Less: Offsetting derivative instruments(70)(70)(51)(51)
Less: Cash collateral pledged/received(228)(124)(232)(17)
Total net derivatives presented on balance sheet 4
$186 $198 $77 $192 
1 Includes forward-starting swaps that are not yet effective.
2 Notional amounts and fair values for derivatives that are not designated as accounting hedges include both the customer-facing derivatives the Bank executes to assist customers in managing their risks and the dealer-facing derivatives that economically offset the customer transactions to mitigate the Bank's exposure.
3 Includes both spot and forward FX trades.
4 See Note 1 for a discussion of the change in derivative presentation effective in the first quarter of 2026.
Hedge Accounting Gains/Losses Recognized in Earnings and Deferred in AOCI
The following schedule present the gains and losses from derivative instruments designated as cash flow and fair value hedges, either deferred in accumulated other comprehensive income (“AOCI”) or recognized in earnings for the three months ended March 31, 2026 and 2025:
Three Months Ended March 31, 2026Three Months Ended March 31, 2025
(In millions)Effective portion of derivative gain/(loss) deferred in AOCIAmount of gain/(loss) reclassified from AOCI into incomeInterest on fair value hedgesEffective portion of derivative gain/(loss) deferred in AOCIAmount of gain/(loss) reclassified from AOCI into incomeInterest on fair value hedges
Cash flow hedges1:
Hedges of floating-rate assets$(29)$(11)$— $6 $(20)$— 
Hedges of floating-rate liabilities— — — — 1 — 
Fair value hedges2:
Hedges of fixed-rate assets— — 5 — — 13 
Hedges of fixed-rate liabilities— — (2)— — (2)
Total derivatives designated as accounting hedges
$(29)$(11)$3 $6 $(19)$11 
1 For the 12-month period following March 31, 2026, we estimate that approximately $42 million of net losses from both active and terminated cash flow hedges will be reclassified from AOCI into interest income, compared with an estimate of $54 million at March 31, 2025. At March 31, 2026, approximately $27 million of losses related to terminated cash flow hedges remained deferred in AOCI, which are expected to be fully reclassified into earnings by October 2027.
2 We recorded cumulative unamortized basis adjustments from terminated fair value hedges of debt totaling $30 million and $38 million at March 31, 2026 and 2025, respectively. Additionally, we had $2 million and $3 million of cumulative unamortized basis adjustments from terminated fair value hedges of assets at March 31, 2026 and 2025, respectively. Interest on fair value hedges presented above includes the amortization of the remaining unamortized basis adjustments.
Gains/Losses Recognized in Earnings from Derivatives Not Designated as Accounting Hedges
The following schedule presents the amount of gains (losses) recognized in “Capital markets fees and income” under noninterest income from derivatives not designated as accounting hedges:
Other Noninterest Income/(Expense)
(In millions)Three Months Ended March 31, 2026Three Months Ended March 31, 2025
Derivatives not designated as accounting hedges:
Customer-facing interest rate derivatives
$8 $7 
Customer-facing commodity derivatives
1 — 
Other interest rate derivatives 1
1 — 
Foreign exchange derivatives7 6 
Purchased credit derivatives— — 
Total derivatives not designated as accounting hedges
$17 $13 
1 Includes gains and losses from mortgage derivative instruments, which were recognized in “Loan-related fees and income” within noninterest income.
Fair Value Hedges and Hedged Items Gains/Losses
The following schedule presents derivatives used in fair value hedge accounting relationships, including the pre-tax gains and losses recognized on both the derivatives and the corresponding hedged items for the periods presented:
Gains (losses) recorded in income
Three Months Ended March 31, 2026Three Months Ended March 31, 2025
(In millions)
Derivatives
Hedged itemsTotal income statement impact
Derivatives
Hedged itemsTotal income statement impact
Hedges of fixed-rate assets 1, 2
$32 $(32)$— $(80)$80 $— 
Hedges of fixed-rate liabilities 1, 2
(8)8 — 12 (12)— 
1 Includes hedges of benchmark interest rate risk related to fixed-rate long-term debt, AFS securities, and commercial loans. Gains and losses were recognized in interest income or interest expense, consistent with the accounting treatment of the respective hedged items.
2 Income (expense) from derivative instruments excludes interest income and interest expense associated with periodic accruals and settlements in order to align with the presentation of gains and losses on the related hedged items.
Fair Value Hedges and Basis Adjustments
The following schedule presents information regarding basis adjustments for hedged items in fair value hedging relationships:
Par value of hedged itemsCarrying amount of the hedged itemsCumulative amount of fair value hedging adjustment included in the carrying amount of the hedged items
(In millions)March 31,
2026		December 31, 2025March 31,
2026		December 31, 2025March 31,
2026		December 31, 2025
Hedges of fixed-rate assets 1, 2
$11,510 $11,566 $11,296 $11,383 $(214)$(183)
Hedges of fixed-rate liabilities 1
(1,500)(1,000)(1,501)(1,009)(1)(9)
1 Carrying amounts exclude (i) issuance and purchase discounts or premiums, (ii) unamortized issuance and acquisition costs, and (iii) amounts related to terminated fair value hedging relationships.
2 Hedged items include defined portfolios of AFS securities and commercial loans, as well as specifically identified AFS securities. Related basis adjustments were recorded in the same balance-sheet line items as the corresponding hedged assets. At March 31, 2026, the amortized cost basis of assets designated under the portfolio layer method was $9.2 billion, the cumulative basis adjustment associated with these hedging relationships was $3 million, and the notional amount of the designated accounting hedges was $5.7 billion.