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Derivative and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Financial Instruments
The following tables set forth information regarding the Company’s derivative financial instruments:

June 30, 2023
Fair Value
(in millions)Notional AmountOther AssetsOther Liabilities
Derivatives designated as cash flow hedging instruments:
Interest rate swaps on FHLB advances$5,500 $1 $— 
Total$5,500 $1 $— 
Derivatives designated as fair value hedging instruments:
Interest rate swaps on multi-family loans held for investment$2,000 $— $— 
Derivatives not designated as hedging instruments:
Assets
Futures$2,530 $3 $— 
Mortgage-backed securities forwards2,372 21 — 
Rate lock commitments1,954 10 — 
Interest rate swaps and swaptions7,414 136 — 
Foreign currency swaps19,825 — — 
Total$34,095 $170 $— 
Liabilities
Mortgage-backed securities forwards$727 $— $7 
Rate lock commitments543—10 
Interest rate swaps and swaptions1,442—61 
Foreign currency swaps$18,213 $— $— 
Total derivatives not designated as hedging instruments$20,925 $— $78 


December 31, 2022
Fair Value
(in millions)Notional AmountOther AssetsOther Liabilities
Derivatives designated as cash flow hedging instruments:
Interest rate swaps$3,750 $5 $— 
Total$3,750 $5 $— 
Derivatives not designated as hedging instruments:
Assets
Futures$1,205 $2 $— 
Mortgage-backed securities forwards1,06536—
Rate lock commitments1,5399—
Interest rate swaps and swaptions7,594182—
Total$11,403 $229 $— 
Liabilities
Mortgage-backed securities forwards$739 $— $61 
Rate lock commitments527—10
Interest rate swaps and swaptions2,445—65
Total derivatives not designated as hedging instruments$3,711 $— $136 
Schedule of Derivatives Subject to a Master Netting Arrangement
The following table presents the derivative subject to a master netting agreement, including the cash pledged as collateral:

June 30, 2023
Gross Amounts Not Offset in the Statements of Condition
(in millions)Gross AmountGross Amounts Netted in the Statements of ConditionNet Amount Presented in the Statements of ConditionFinancial InstrumentsCash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances $1 $— $1 $— $92 
Interest rate swaps on multi-family loans held for investment(1)
$— $— $— $— $34 
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards$21 $— $21 $— $(4)
Interest rate swaptions136 — 136 — (15)
Futures3 — 3 — — 
Total derivative assets$160 $— $160 $— $(19)
Liabilities
Futures$— $— $— $— $— 
Mortgage-backed securities forwards7 — 7 — 6 
Interest rate swaps (1)
61 — 61 — 26 
Total derivative liabilities$68 $— $68 $— $32 
(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.

The following table presents the derivative subject to a master netting agreement, including the cash pledged as collateral:

December 31, 2022
Gross Amounts Not Offset in the Statements of Condition
(in millions)Gross AmountGross Amounts Netted in the Statements of ConditionNet Amount Presented in the Statements of ConditionFinancial InstrumentsCash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances $5 $— $5 $4 $27 
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards$36 $— $36 $— $(9)
Interest rate swaptions182 — 182 — (36)
Futures2 2 1 
Total derivative assets$220 $— $220 $— $(44)
Liabilities
Mortgage-backed securities forwards$61 $— $61 $— $54 
Interest rate swaps (1)
65 — 65 — 29 
Total derivative liabilities$126 $— $126 $— $83 
(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table presents the effect of the Company’s cash flow derivative instruments on AOCL:

(in millions)For the Six Months Ended June 30, 2023For the Year Ended December 31, 2022For the Six Months Ended June 30, 2022
Amount of gain (loss) recognized in AOCL$34 $88 $25 
Amount of reclassified from AOCL to interest expense$(12)$(4)$7 
Schedule of Net Gain (Loss) Recognized in Income on Derivative Instruments
The following table presents the net gain (loss) recognized in income on derivative instruments, net of the impact of offsetting positions:

(dollars in millions)Three months ended June 30, 2023Six months ended June 30, 2023
Derivatives not designated as hedging instrumentsLocation of Gain (Loss)
FuturesNet return on mortgage servicing rights$5 $3 
Interest rate swaps and swaptionsNet return on mortgage servicing rights(29)(22)
Mortgage-backed securities forwardsNet return on mortgage servicing rights(11)(13)
Rate lock commitments and US Treasury futuresNet gain on loan sales18 38 
Interest rate swaps (1)
Other non-interest income1 1 
Total derivative (loss) gain$(16)$7 
(1) Includes customer-initiated commercial interest rate swaps.