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DERIVATIVES (Tables) | 9 Months Ended
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Sep. 30, 2022
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, 2022 |  | December 31, 2021
(in millions) | Notional Amount | Derivative Assets | Derivative Liabilities |  | Notional Amount | Derivative Assets | Derivative Liabilities
Derivatives designated as hedging instruments: |  |  |  |  |  |  |
Interest rate contracts | $39,687 |  | $14 |  | $131 |  |  | $23,450 |  | $12 |  | $2 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |
Interest rate contracts | 190,631 |  | 371 |  | 1,699 |  |  | 142,987 |  | 680 |  | 174 |
Foreign exchange contracts | 28,509 |  | 907 |  | 879 |  |  | 21,336 |  | 263 |  | 231 |
Commodities contracts | 1,024 |  | 1,382 |  | 1,380 |  |  | 514 |  | 508 |  | 505 |
TBA contracts | 4,381 |  | 95 |  | 23 |  |  | 7,776 |  | 8 |  | 8 |
Other contracts | 1,627 |  | 2 |  | 35 |  |  | 3,555 |  | 38 |  | 2 |
Total derivatives not designated as hedging instruments |  | 2,757 |  | 4,016 |  |  |  | 1,497 |  | 920 |
Gross derivative fair values |  | 2,771 |  | 4,147 |  |  |  | 1,509 |  | 922 |
Less: Gross amounts offset in the Consolidated Balance Sheets(1) |  | (775) |  | (775) |  |  |  | (235) |  | (235) |
Less: Cash collateral applied(1) |  | (644) |  | (1,145) |  |  |  | (58) |  | (490) |
Total net derivative fair values presented in the Consolidated Balance Sheets |  | $1,352 |  | $2,227 |  |  |  | $1,216 |  | $197 |
(1) 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) | 2022 |  | 2021 |  | 2022 |  | 2021 | Affected Line Item in the Consolidated Statements of Operations
Interest rate swaps hedging borrowed funds | ($19) |  |  | ($13) |  |  | ($71) |  |  | ($51) |  | Interest expense - long-term borrowed funds
Hedged long-term borrowed funds attributable to the risk being hedged | 19 |  |  | 13 |  |  | 70 |  |  | 50 |  | Interest expense - long-term borrowed funds
Interest rate swaps hedging loans held for sale | 18 |  |  | — |  |  | 15 |  |  | — |  | Interest and fees on loans and leases
Hedged loans held for sale attributable to the risk being hedged | (19) |  |  | — |  |  | (15) |  |  | — |  | Interest and fees on loans and leases
Interest rate swaps hedging debt securities available for sale | — |  |  | 7 |  |  | 29 |  |  | 39 |  | Interest income - investment securities
Hedged debt securities available for sale attributable to risk being hedged | — |  |  | (7) |  |  | (29) |  |  | (39) |  | 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, 2022 |  | December 31, 2021
(in millions) | Debt securities available for sale | Long-term borrowed funds | Loans and leases held for sale |  | Debt securities available for sale(1) | Long-term borrowed funds
Carrying amount of hedged assets | $— |  | $— |  | $484 |  |  | $6,042 |  | $— |
Carrying amount of hedged liabilities | — |  | 970 |  | — |  |  | — |  | 2,239 |
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items | — |  | (29) |  | (15) |  |  | 29 |  | 42 |
(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 $6.0 billion as of December 31, 2021) in a last-of-layer hedging relationship, which commenced in the third quarter of 2019 and was terminated in the first quarter of 2022.
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 related to derivative instruments designated as cash flow hedges:
| Three Months Ended September 30, |  | Nine Months Ended September 30,
(in millions) | 2022 |  | 2021 |  | 2022 |  | 2021
Amount of pre-tax net gains (losses) recognized in OCI | ($996) |  |  | ($15) |  |  | ($1,901) |  |  | $19 |
Amount of pre-tax net gains (losses) reclassified from OCI into interest income | (48) |  |  | 46 |  |  | 1 |  |  | 141 |
Amount of pre-tax net gains (losses) reclassified from OCI into interest expense | 2 |  |  | (13) |  |  | (4) |  |  | (37) |
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) | 2022 |  | 2021 |  | 2022 |  | 2021
Economic hedge type: |  |  |  |  |  |  |  |
Customer interest rate contracts | ($840) |  |  | ($10) |  |  | ($2,015) |  |  | ($225) |  | Foreign exchange and derivative products
Derivatives hedging interest rate risk | 852 |  |  | 17 |  |  | 2,073 |  |  | 244 |  | Foreign exchange and derivative products
Customer foreign exchange contracts | (174) |  |  | (61) |  |  | (297) |  |  | (158) |  | Foreign exchange and derivative products
Derivatives hedging foreign exchange risk | 271 |  |  | 95 |  |  | 520 |  |  | 234 |  | Foreign exchange and derivative products
Customer commodity contracts | (71) |  |  | 468 |  |  | 1,453 |  |  | 881 |  | Foreign exchange and derivative products
Derivatives hedging commodity price risk | 77 |  |  | (465) |  |  | (1,436) |  |  | (874) |  | Foreign exchange and derivative products
Residential loan commitments | (66) |  |  | (13) |  |  | (289) |  |  | (184) |  | Mortgage banking fees
Derivatives hedging residential loan commitments and mortgage loans held for sale, at fair value | 105 |  |  | 4 |  |  | 502 |  |  | 138 |  | Mortgage banking fees
Derivative contracts used to hedge residential MSRs | (68) |  |  | (20) |  |  | (310) |  |  | (149) |  | Mortgage banking fees
Total | $86 |  |  | $15 |  |  | $201 |  |  | ($93) |  |

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