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DERIVATIVES (Tables)

3 Months Ended

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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Tabular disclosure of gain (loss) on derivative and nonderivative instruments designated and qualifying as cash flow hedge recorded in accumulated other comprehensive income (AOCI) and reclassified into earnings.

+ References

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4C
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Tabular disclosure of the location and amount of derivative instruments and nonderivative instruments designated as hedging instruments reported before netting adjustments, and the amount of gain (loss) on derivative instruments and nonderivative instruments designated and qualified as hedging instruments.

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-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 10
-Section 50
-Paragraph 4E
-URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5624181-113959

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Tabular disclosure of the location and fair value amounts of derivative instruments (and nonderivative instruments that are designated and qualify as hedging instruments) reported in the statement of financial position.

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Tabular disclosure for fair value hedging instruments of (a) the location and amount of gains and losses reported in the statement of financial performance and (b) the location and fair value amounts of the instruments reported in the statement of financial position.

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