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Derivative and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Schedule of Cumulative Basis Adjustment for Fair Value Hedges

As of June 30, 2021, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(dollars in millions)

 

June 30, 2021

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying
Amount of
the Hedged
Assets

 

 

Cumulative
Amount of
Fair Value
Hedging
Adjustments
Included in
the Carrying
Amount of
the Hedged
Assets

 

Total loans and leases, net (1)

 

$

2,050

 

 

$

50

 

 

(1) These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At June 30, 2021, the amortized cost basis of the closed portfolios used in these hedging relationships was $3.1 billion; the cumulative basis adjustments associated with these hedging relationships was $50 million; and the amount of the designated hedged items was $2.0 billion.

As of December 31, 2020, the following amounts were recorded on the balance sheet related to cumulative basis adjustment for fair value hedges:

 

(dollars in millions)

 

December 31, 2020

 

Line Item in the Consolidated Statements of Condition in which the Hedge Item is Included

 

Carrying
Amount of
the Hedged
Assets

 

 

Cumulative
Amount of
Fair Value
Hedging
Adjustments
Included in
the Carrying
Amount of
the Hedged
Assets

 

Total loans and leases, net (1)

 

$

2,073

 

 

$

73

 

 

(1) These amounts include the amortized cost basis of closed portfolios used to designate hedging relationships in which the hedged item is the last layer expected to be remaining at the end of the hedging relationship. At December 31, 2020 the amortized cost basis of the closed portfolios used in these hedging relationships was $3.6 billion; the cumulative basis adjustments associated with these hedging relationships was $73 million; and the amount of the designated hedged items was $2.0 billion.

Information Regarding Derivative Financial Instruments

The following table sets forth information regarding the Company’s derivative financial instruments at June 30, 2021 and December 31, 2020:

 

 

 

Notional
Amount

 

 

Other
Assets

 

 

Other
Liabilities

 

Derivatives designated as fair value hedging
   instruments:

 

 

 

 

 

 

 

 

 

Interest rate swap

 

$

2,000

 

 

$

—

 

 

$

—

 

Total derivatives designated as fair value hedging
   instruments

 

$

2,000

 

 

$

—

 

 

$

—

 
Effect of Derivative Instruments on Consolidated Statements of Income and Comprehensive Income

The following table sets forth the effect of derivative instruments on the Consolidated Statements of Income and Comprehensive Income for the periods indicated.

 

(dollars in millions)

 

For the Three
Months
Ended
June 30, 2021

 

 

For the Six
Months
Ended
June 30, 2021

 

 

For the Three
Months
Ended
June 30, 2020

 

 

For the Six
Months
Ended
June 30, 2020

 

Derivative – interest rate swap:

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

(2

)

 

$

24

 

 

$

(9

)

 

$

(37

)

Hedged item – loans:

 

 

 

 

 

 

 

 

 

 

 

 

Interest income

 

$

2

 

 

$

(24

)

 

$

9

 

 

$

37

 
Information about Interest Rate Swaps Designated as Cash Flow Hedges The following table summarizes information about the interest rate swaps designated as cash flow hedges at June 30, 2021 and December 31, 2020:

 

(dollars in millions)

 

June 30,
2021

 

 

December 31,
2020

 

Notional amounts

 

$

2,250

 

 

$

2,250

 

Cash collateral posted

 

 

30

 

 

 

46

 

Weighted average pay rates

 

 

1.27

%

 

 

1.27

%

Weighted average receive rates

 

 

0.15

%

 

 

0.23

%

Weighted average maturity

 

1.4 years

 

 

1.9 years

 
Effect of Cash Flow Derivative Instruments on AOCL

The following table presents the effect of the Company’s cash flow derivative instruments on AOCL for the six months ended June 30, 2021 and 2020:

 

(dollars in millions)

 

For the Six
Months
Ended
June 30, 2021

 

 

For the Six
Months
Ended
June 30, 2020

 

Amount of gain (loss) recognized in AOCL

 

$

4

 

 

$

57

 

Amount of gain (loss) reclassified from AOCL to interest expense

 

 

11

 

 

 

1