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Derivative and Hedging Activities (Tables) | 9 Months Ended
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Sep. 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:
| September 30, 2023
|  |  | Fair Value
(in millions) | Notional Amount |  | Other Assets |  | Other Liabilities
Derivatives designated as cash flow hedging instruments: |  |  |  |  |
Interest rate swaps on FHLB advances | $ | 5,500 |  |  | $ | — |  |  | $ | 5 |
Total | $ | 5,500 |  |  | $ | — |  |  | $ | 5 |
Derivatives designated as fair value hedging instruments: |  |  |  |  |
Interest rate swaps on multi-family loans held for investment | $ | 2,000 |  |  | $ | — |  |  | $ | 1 |
Derivatives not designated as hedging instruments: |  |  |  |  |
Assets |  |  |  |  |
Futures | $ | 2,630 |  |  | $ | 1 |  |  | $ | — |
Mortgage-backed securities forwards | 1,861 |  |  | 37 |  |  | — |
Rate lock commitments | 1,352 |  |  | 6 |  |  | — |
Interest rate swaps and swaptions | 5,937 |  |  | 140 |  |  | — |
Total | $ | 11,780 |  |  | $ | 184 |  |  | $ | — |
Liabilities |  |  |  |  |
Mortgage-backed securities forwards | $ | 710 |  |  | $ | — |  |  | $ | 16 |
Rate lock commitments | 702 |  | — |  | 12 |
Interest rate swaps and swaptions | 2,706 |  | — |  | 79 |
Total derivatives not designated as hedging instruments | $ | 4,118 |  |  | $ | — |  |  | $ | 107 |
| December 31, 2022
|  |  | Fair Value
(in millions) | Notional Amount |  | Other Assets |  | Other 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 forwards | 1,065 |  | 36 |  | —
Rate lock commitments | 1,539 |  | 9 |  | —
Interest rate swaps and swaptions | 7,594 |  | 182 |  | —
Total | $ | 11,403 |  |  | $ | 229 |  |  | $ | — |
Liabilities |  |  |  |  |
Mortgage-backed securities forwards | $ | 739 |  |  | $ | — |  |  | $ | 61 |
Rate lock commitments | 527 |  | — |  | 10
Interest rate swaps and swaptions | 2,445 |  | — |  | 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:
| September 30, 2023
|  |  |  |  |  |  | Gross Amounts Not Offset in the Statements of Condition
(in millions) | Gross Amount |  | Gross Amounts Netted in the Statements of Condition |  | Net Amount Presented in the Statements of Condition |  | Financial Instruments |  | Cash Collateral Pledged (Received)
Derivatives designated hedging instruments: |  |  |  |  |  |  |  |  |
Interest rate swaps on FHLB advances | $ | 5 |  |  | $ | — |  |  | $ | 5 |  |  | $ | 4 |  |  | $ | 80 |
Interest rate swaps on multi-family loans held for investment(1) | $ | 1 |  |  | $ | — |  |  | $ | 1 |  |  | $ | — |  |  | $ | 31 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |
Mortgage-backed securities forwards | $ | 37 |  |  | $ | — |  |  | $ | 37 |  |  | $ | — |  |  | $ | (6) |
Interest rate swaptions | 140 |  |  | — |  |  | 140 |  |  | — |  |  | (37) |
Futures | 1 |  |  | — |  |  | 1 |  |  | — |  |  | 1 |
Total derivative assets | $ | 178 |  |  | $ | — |  |  | $ | 178 |  |  | $ | — |  |  | $ | (42) |
Liabilities |  |  |  |  |  |  |  |  |
Futures | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Mortgage-backed securities forwards | 16 |  |  | — |  |  | 16 |  |  | — |  |  | 15 |
Interest rate swaps (1) | 79 |  |  | — |  |  | 79 |  |  | — |  |  | 42 |
Total derivative liabilities | $ | 95 |  |  | $ | — |  |  | $ | 95 |  |  | $ | — |  |  | $ | 57 |
(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 Amount |  | Gross Amounts Netted in the Statements of Condition |  | Net Amount Presented in the Statements of Condition |  | Financial Instruments |  | Cash 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 swaptions | 182 |  |  | — |  |  | 182 |  |  | — |  |  | (36) |
Futures | 2 |  |  |  |  | 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 Nine Months Ended September 30, 2023 |  | For the Year Ended December 31, 2022 |  | For the Nine Months Ended September 30, 2022
Amount of gain (loss) recognized in AOCL | $ | 98 |  |  | $ | 88 |  |  | $ | 64 |
Amount of reclassified from AOCL to interest expense | $ | (19) |  |  | $ | (4) |  |  | $ | 4 |
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 September 30, 2023 | Nine months ended September 30, 2023
Derivatives not designated as hedging instruments | Location of Gain (Loss) |  |  |
Futures | Net return on mortgage servicing rights | $ | — |  |  | $ | 3 |
Interest rate swaps and swaptions | Net return on mortgage servicing rights | (61) |  |  | (83) |
Mortgage-backed securities forwards | Net return on mortgage servicing rights | (12) |  |  | (25) |
Rate lock commitments and US Treasury futures | Net gain on loan sales | 1 |  |  | 39 |
Interest rate swaps (1) | Other non-interest income | — |  |  | 1 |
Total derivative (loss) gain |  | $ | (72) |  |  | $ | (65) |
(1) Includes customer-initiated commercial interest rate swaps.

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