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DERIVATIVES (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments in consolidated balance sheets

The following table presents derivative instruments included in the Consolidated Balance Sheets:

			September 30, 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			$23,450			$18			$2						$22,300			$1			$3
Derivatives not designated as hedging instruments:
Interest rate contracts			142,109			912			167						149,021			1,565			214
Foreign exchange contracts			16,342			249			205						16,789			320			291
Commodities contracts			539			822			822						246			62			61
TBA contracts			9,284			44			9						11,149			8			65
Other contracts			5,604			53			—						8,051			197			—
Total derivatives not designated as hedging instruments						2,080			1,203									2,152			631
Gross derivative fair values						2,098			1,205									2,153			634
Less: Gross amounts offset in the Consolidated Balance Sheets(2)						(233)			(233)									(182)			(182)
Less: Cash collateral applied(2)						(96)			(785)									(56)			(324)
Total net derivative fair values presented in the Consolidated Balance Sheets						$1,769			$187									$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 September 30,												Nine Months Ended September 30,
(in millions)			2021						2020						2021						2020			Affected Line Item in the Consolidated Statements of Operations
Interest rate swaps hedging borrowed funds			($13)						($16)						($51)						$82			Interest expense - long-term borrowed funds
Hedged long-term debt attributable to the risk being hedged			13						17						50						(78)			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			7						7						39						(114)			Interest income - investment securities
Hedged debt securities available for sale attributable to risk being hedged			(7)						(7)						(39)						114			Interest income - investment securities

The following table reflects amounts recorded in the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:    

			September 30, 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			$7,287			$—						$10,869			$—
Carrying amount of hedged liabilities			—			2,259						—			3,307
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items			57			63						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 $7.3 billion and $10.9 billion as of September 30, 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 September 30,												Nine Months Ended September 30,
(in millions)			2021						2020						2021						2020
Amount of pre-tax net gains (losses) recognized in OCI			($15)						$—						$19						$118
Amount of pre-tax net gains (losses) reclassified from OCI into interest income			46						68						141						128
Amount of pre-tax net gains (losses) reclassified from OCI into interest expense			(13)						(11)						(37)						(22)

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 September 30,												Nine Months Ended September 30,									Affected Line Item in the Consolidated Statements of Operations
(in millions)			2021						2020						2021						2020
Economic hedge type:
Customer interest rate contracts			($10)						$7						($225)						$1,276			Foreign exchange and interest rate products
Derivatives hedging interest rate risk			17						1						244						(1,245)			Foreign exchange and interest rate products
Customer foreign exchange contracts			(61)						80						(158)						73			Foreign exchange and interest rate products
Derivatives hedging foreign exchange risk			95						(126)						234						(77)			Foreign exchange and interest rate products
Customer commodity contracts			468						26						881						(30)			Foreign exchange and interest rate products
Derivatives hedging commodity price risk			(465)						(25)						(874)						32			Foreign exchange and interest rate products
Residential loan commitments			(13)						36						(184)						190			Mortgage banking fees
Derivatives hedging residential loan commitments and mortgage loans held for sale, at fair value			4						6						138						(13)			Mortgage banking fees
Derivative contracts used to hedge residential MSRs			(20)						2						(149)						335			Mortgage banking fees
Total			$15						$7						($93)						$541

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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.

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-Publisher FASB
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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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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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