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Derivative and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024
									Fair Value
(in millions)			Notional Amount						Other Assets						Other Liabilities						Expiration Dates
Derivatives not designated as hedging instruments:
Assets
Futures			$	870					$	—					$	—					2024
Mortgage-backed securities forwards			1,469						6						—						2024
Rate lock commitments			1,996						11						—						2024
Interest rate swaps and swaptions			1,505						23						—						2024-2041
Liabilities
Mortgage-backed securities forwards			$	742					$	—					$	12					2024
Rate lock commitments			464						—						3						2024
Interest rate swaps and swaptions			2,646						—						31						2024-2054

			December 31, 2023
									Fair Value
(in millions)			Notional Amount						Other Assets						Other Liabilities						Expiration Date
Derivatives designated as cash flow hedging instruments:
Interest rate swaps on FHLB advances			$	5,500					$	—					$	2					2025-2028
Derivatives designated as fair value hedging instruments:
Interest rate swaps on multi-family loans held for investment			$	2,000					—						1						2025-2027
Derivatives not designated as hedging instruments:
Assets
Futures			$	—					$	—					$	—
Mortgage-backed securities forwards			1,012						11						—						2024
Rate lock commitments			1,490						12						—						2024
Interest rate swaps and swaptions			5,431						115						—						2024-2041
Liabilities
Futures			2,235						—						1						2024
Mortgage-backed securities forwards			1,048						—						32						2024
Rate lock commitments			77						—						3						2024
Interest rate swaps and swaptions			2,720						—						59						2024-2054

Schedule of Derivatives Subject to a Master Netting Arrangement

The table below presents the gross derivative assets and liabilities and the related cash pledged as collateral at September 30, 2024. No amounts were netted in the Statement of Condition.

						September 30, 2024
						Gross Amounts Not Offset in the Statements of Condition
(in millions)						Financial Instruments						Cash Collateral Pledged (Received)
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards						$	6					$	—
Interest rate swaptions						23						—
Total derivative assets						$	29					$	—
Liabilities
Mortgage-backed securities forwards						12						14
Interest rate swaps (1)						31						110
Total derivative liabilities						$	43					$	124

(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 table below presents the gross derivative assets and liabilities and the related cash pledged as collateral at December 31, 2023. No amounts were netted in the Statement of Condition.

						December 31, 2023
						Gross Amounts Not Offset in the Statements of Condition
(in millions)						Financial Instruments						Cash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances						$	2					$	75
Interest rate swaps on multi-family loans held for investment(1)						1						27
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards						$	11					$	(1)
Interest rate swaptions						115						(34)
Total derivative assets						$	126					$	(35)
Liabilities
Futures						$	1					$	3
Mortgage-backed securities forwards						32						57
Interest rate swaps (1)						59						42
Total derivative liabilities						$	92					$	102

(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 accumulated other comprehensive loss:

			Three Months Ended September 30,												Nine Months Ended September 30,
(in millions)			2024						2023						2024						2023
Amount of gain (loss) recognized in accumulated other comprehensive loss			$	(1)					$	64					$	142					$	98
Amount of reclassified from accumulated other comprehensive loss to interest expense			$	(18)					$	(7)					$	(57)					$	(19)

Schedule of Net Gain (Loss) Recognized in Income on Derivative Instruments

The following table presents the net gain (loss) recognized in income on derivatives not designated as hedging instruments, net of the impact of offsetting positions:

						Three Months Ended September 30,												Nine Months Ended September 30,
(dollars in millions)						2024						2023						2024						2023
Derivatives not designated as hedging instruments			Location of Gain (Loss)
Futures			Net return on mortgage servicing rights			$	(1)					$	—					$	2					$	3
Interest rate swaps and swaptions			Net return on mortgage servicing rights			45						(61)						8						(83)
Mortgage-backed securities forwards			Net return on mortgage servicing rights			3						(12)						(18)						(25)
Rate lock commitments and US Treasury futures			Net gain on loan sales			(3)						1						20						39
Interest rate swaps (1)			Other non-interest income			1						—						(4)						1
Total derivative (loss) gain						$	45					$	(72)					$	8					$	(65)

(1) Includes customer-initiated commercial interest rate swaps.

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