Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Notional Amount, Estimated Fair Value and Maturity and Net Gain (Loss) Recognized on Designated Instruments

The following tables present the notional amount, estimated fair value and maturity of our derivative financial instruments:

	September 30, 2020 (1)
	Notional Amount		Fair Value (2)		Expiration Dates
	(Dollars in millions)
Derivatives in cash flow hedge relationships:
Assets
Interest rate swaps on custodial deposits	$	800	$	1	2026-2027
Derivatives in fair value hedge relationships:
Assets
Interest rate swaps on AFS securities	$	450	$	—	2022-2025
Interest rate swaps on HFI residential first mortgages	100		—		2024
Total derivative assets	$	550	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,132	$	—	2020-2023
Mortgage-backed securities forwards	3,471		9		2020
Rate lock commitments	12,015		257		2020-2021
Interest rate swaps	724		65		2020-2030
Total derivative assets	$	17,342	$	331
Liabilities
Mortgage-backed securities forwards	$	8,008	$	37	2020
Rate lock commitments	169		—		2020-2021
Interest rate swaps and swaptions	2,030		9		2020-2050
Total derivative liabilities	$	10,207	$	46

(1)Variation margin pledged to or received from a Central Counterparty Clearing House is considered settlement of the derivative position for accounting purposes.

(2)Derivative assets and liabilities are included in other assets and other liabilities on the Consolidated Statements of Financial Condition, respectively.

	December 31, 2019 (1)
	Notional Amount		Fair Value (2)		Expiration Dates
	(Dollars in millions)
Derivatives in fair value hedge relationships:
Assets
Interest rate swaps on FHLB advances	$	200	$	—	2020
Interest rate swaps on AFS securities	100		—		2022
Total derivative assets	$	300	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	550	$	—	2020-2023
Mortgage-backed securities forwards	1,918		2		2020
Rate lock commitments	3,870		34		2020
Interest rate swaps	799		26		2020-2029
Total derivative assets	$	7,137	$	62
Liabilities
Mortgage-backed securities forwards	$	5,749	$	9	2020
Rate lock commitments	229		1		2020
Interest rate swaps and swaptions	1,662		8		2020-2050
Total derivative liabilities	$	7,640	$	18

(1)Variation margin pledged to or received from a Central Counterparty Clearing House to cover the prior day's fair value of open positions, is considered settlement of the derivative position for accounting purposes.

(2)Derivative assets and liabilities are included in other assets and other liabilities on the Consolidated Statements of Financial Condition, respectively.

Derivatives Subject to a Master Netting Arrangement

The following tables present the derivatives subject to a master netting arrangement, including the cash pledged as collateral:

			Gross Amounts Netted in the Statements of Financial Condition		Net Amount Presented in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
	Gross Amount						Financial Instruments		Cash Collateral
	(Dollars in millions)
September 30, 2020
Derivatives designated as hedging instruments:
Assets
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	4
Interest rate swaps on custodial deposits	1		—		1		—		7
Interest rate swaps on HFI residential first mortgages	—		—		—		—		1
Total derivative assets	$	1	$	—	$	1	$	—	$	12
Liabilities
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	—
Total derivative liabilities	$	—	$	—	$	—	$	—	$	—
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	9	$	—	$	9	$	—	$	—
Interest rate swaps	65		—		65		—		—
Futures	—		—		—		—		—
Total derivative assets	$	74	$	—	$	74	$	—	$	—
Liabilities
Mortgage-backed securities forwards	$	37	$	—	$	37	$	—	$	39
Interest rate swaps and swaptions (1)	9		—		9		—		31
Total derivative liabilities	$	46	$	—	$	46	$	—	$	70
December 31, 2019
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	2	$	—	$	2	$	—	$	—
Interest rate swaps	26		—		26		—		—
Total derivative assets	$	28	$	—	$	28	$	—	$	—
Liabilities
Mortgage-backed securities forwards	$	9	$	—	$	9	$	—	$	24
Interest rate swaps and swaptions (1)	8		—		8		—		39
Total derivative liabilities	$	17	$	—	$	17	$	—	$	63

(1)Variation margin pledged to or received from a Central Counterparty Clearing House to cover the prior day's fair value of open positions, is considered settlement of the derivative position for accounting purposes.

Net Gain (Loss) Recognized in Income on Derivative Instruments

The following table presents net gain recognized in income on derivative instruments, net of the impact of offsetting positions:

		Three Months Ended September 30,				Nine Months Ended September 30,
		2020		2019		2020		2019
		(Dollars in millions)
Derivatives not designated as hedging instruments:	Location of gain (loss)
Futures	Net loss on mortgage servicing rights	$	—	$	—	$	1	$	(2)
Interest rate swaps and swaptions	Net gain (loss) on mortgage servicing rights	(2)		28		39		71
Mortgage-backed securities forwards	Net gain (loss) on mortgage servicing rights	5		3		28		23
Rate lock commitments and MSR forwards	Net gain (loss) on loan sales	70		27		190		57
Forward commitments	Other noninterest income	—		—		—		2
Interest rate swaps (1)	Other noninterest income	—		2		1		3
Total derivative (loss) gain		$	73	$	60	$	259	$	154

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