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DERIVATIVES (Tables) | 3 Months Ended
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Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of derivative instruments in consolidated balance sheets | The following table presents derivative instruments included on the Consolidated Balance Sheets:
| March 31, 2021 |  | December 31, 2020
(in millions) | Notional Amount(1) | Derivative Assets | Derivative Liabilities |  | Notional Amount(1) | Derivative Assets | Derivative Liabilities
Derivatives designated as hedging instruments: |  |  |  |  |  |  |
Interest rate contracts | $26,550 |  | $3 |  | $2 |  |  | $22,300 |  | $1 |  | $3 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Interest rate contracts | 148,086 |  | 1,122 |  | 182 |  |  | 149,021 |  | 1,565 |  | 214 |
Foreign exchange contracts | 18,731 |  | 273 |  | 213 |  |  | 16,789 |  | 320 |  | 291 |
Commodities contracts | 294 |  | 135 |  | 138 |  |  | 246 |  | 62 |  | 61 |
TBA contracts | 12,842 |  | 156 |  | 16 |  |  | 11,149 |  | 8 |  | 65 |
Other contracts | 7,527 |  | 38 |  | — |  |  | 8,051 |  | 197 |  | — |
Total derivatives not designated as hedging instruments |  | 1,724 |  | 549 |  |  |  | 2,152 |  | 631 |
Gross derivative fair values |  | 1,727 |  | 551 |  |  |  | 2,153 |  | 634 |
Less: Gross amounts offset in the Consolidated Balance Sheets (2) |  | (190) |  | (190) |  |  |  | (182) |  | (182) |
Less: Cash collateral applied (2) |  | (239) |  | (250) |  |  |  | (56) |  | (324) |
Total net derivative fair values presented in the Consolidated Balance Sheets |  | $1,298 |  | $111 |  |  |  | $1,915 |  | $128 |
(1) The notional or contractual amount of interest rate derivatives and foreign exchange contracts is the amount upon which interest and other payments under the contract are based. For interest rate contracts, the notional amount is typically not exchanged. Therefore, notional amounts should not be taken as the measure of credit or market risk, as they do not measure the true economic risk of these contracts. (2) Amounts represent the impact of enforceable master netting agreements that allow the Company to net settle positive and negative positions as well as collateral paid and received.
Schedule of fair value hedges | The following table presents the change in fair value of interest rate contracts designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Consolidated Statements of Operations:
|  |  | Three Months Ended March 31, |
(in millions) |  |  |  |  | 2021 |  | 2020 | Affected Line Item in the Consolidated Statements of Operations
Interest rate swaps hedging borrowed funds |  |  |  |  | ($28) |  |  | $93 |  | Interest expense - long-term borrowed funds
Hedged long-term debt attributable to the risk being hedged |  |  |  |  | 28 |  |  | (92) |  | Interest expense - long-term borrowed funds
Interest rate swaps hedging fixed rate loans |  |  |  |  | — |  |  | 17 |  | Interest and fees on loans and leases
Hedged fixed rate loans attributable to the risk being hedged |  |  |  |  | — |  |  | (17) |  | Interest and fees on loans and leases
Interest rate swaps hedging debt securities available for sale |  |  |  |  | 28 |  |  | (107) |  | Interest income - investment securities
Hedged debt securities available for sale attributable to risk being hedged |  |  |  |  | (28) |  |  | 107 |  | Interest income - investment securities
The following table reflects amounts recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:
| March 31, 2021 |  | December 31, 2020
(in millions) | Debt securities available for sale(1) | Long-term borrowed funds |  | Debt securities available for sale(1) | Long-term borrowed funds
Carrying amount of hedged assets | $9,549 |  | $— |  |  | $10,869 |  | $— |
Carrying amount of hedged liabilities | — |  | 3,280 |  |  | — |  | 3,307 |
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items | 68 |  | 85 |  |  | 96 |  | 112 |
(1) The Company designated $2.0 billion as the hedged amount (from a closed portfolio of prepayable financial assets with an amortized cost basis of $9.5 billion and $10.9 billion as of March 31, 2021 and December 31, 2020, respectively) in a last-of-layer hedging relationship, which commenced in the third quarter of 2019.
Schedule of effect of cash flow hedges on net income and stockholders' equity | The following table presents the pre-tax net gains (losses) recorded in the Consolidated Statements of Operations and in the Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
|  |  | Three Months Ended March 31,
(in millions) |  |  |  |  | 2021 |  | 2020
Amount of pre-tax net (losses) gains recognized in OCI |  |  |  |  | ($28) |  |  | $129 |
Amount of pre-tax net gains reclassified from OCI into interest income |  |  |  |  | 46 |  |  | 5 |
Amount of pre-tax net losses reclassified from OCI into interest expense |  |  |  |  | (12) |  |  | (1) |
Schedule of effect of derivative Instruments on net income | The following table presents the effect of economic hedges on noninterest income:
|  |  |  |  | Amounts Recognized in Noninterest Income for the |
|  |  | Three Months Ended March 31, | Affected Line Item in the Consolidated Statements of Operations
(in millions) |  |  |  |  | 2021 |  | 2020
Economic hedge type: |  |  |  |  |  |  |  |
Customer interest rate contracts |  |  |  |  | ($348) |  |  | $1,089 |  | Foreign exchange and interest rate products
Customer foreign exchange contracts |  |  |  |  | (116) |  |  | (30) |  | Foreign exchange and interest rate products
Customer commodity contracts |  |  |  |  | 94 |  |  | (63) |  | Foreign exchange and interest rate products
Derivative contracts to hedge interest rate risk |  |  |  |  | 356 |  |  | (1,084) |  | Foreign exchange and interest rate products
Derivative contracts to hedge foreign exchange risk |  |  |  |  | 150 |  |  | 99 |  | Foreign exchange and interest rate products
Derivative transactions to hedge commodity price risk |  |  |  |  | (92) |  |  | 63 |  | Foreign exchange and interest rate products
Residential loan commitments |  |  |  |  | (238) |  |  | 140 |  | Mortgage banking fees
Derivative contracts used to hedge residential loan commitments |  |  |  |  | 275 |  |  | (129) |  | Mortgage banking fees
Derivative contracts used to hedge residential MSRs |  |  |  |  | (182) |  |  | 271 |  | Mortgage banking fees
Total |  |  |  |  | ($101) |  |  | $356 |  |

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