Derivative Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021 (1)
	Notional Amount		Fair Value (2)		Expiration Dates
	(Dollars in millions)
Derivatives in cash flow hedge relationships:
Liabilities
Interest rate swaps on custodial deposits	$	800	$	1	2026-2027
Derivatives in fair value hedge relationships:
Assets
Interest rate swaps on AFS securities	$	100	$	—	2022
Liabilities
Interest rate swaps on AFS securities	$	350	$	—	2024-2025
Interest rate swaps on HFI residential first mortgages	100		—		2024
Total	$	450	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,042	$	—	2021-2023
Mortgage-backed securities forwards	7,097		51		2021
Rate lock commitments	7,192		86		2021-2022
Interest rate swaps and swaptions	3,238		67		2021-2051
Total	$	18,569	$	204
Liabilities
Mortgage-backed securities forwards	$	3,242	$	24	2021
Rate lock commitments	444		1		2021-2022
Interest rate swaps	1,482		5		2020-2050
Total	$	5,168	$	30

(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 a 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, 2020 (1)
	Notional Amount		Fair Value (2)		Expiration Dates
	(Dollars in millions)
Derivatives in cash flow hedge relationships:
Liabilities
Interest rate swaps on custodial deposits	$	800	1		2026-2027
Derivatives in fair value hedge relationships:
Liabilities
Interest rate swaps on HFI residential first mortgages	$	100	$	—	2024
Interest rate swaps on AFS securities	450		—		2022-2025
Total	$	1,350	$	1
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,346	$	—	2021-2023
Mortgage-backed securities forwards	749		14		2021
Rate lock commitments	10,587		208		2021
Interest rate swaps and swaptions	1,481		59		2021-2051
Total	$	14,163	$	281
Liabilities
Mortgage-backed securities forwards	$	11,194	$	98	2021
Rate lock commitments	115		—		2021
Interest rate swaps and swaptions	1,305		4		2021-2030
Total	$	12,614	$	102

(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 a 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, 2021
Derivatives designated as hedging instruments:
Assets
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	1
Total derivative assets	$	—	$	—	$	—	$	—	$	1
Liabilities
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	3
Interest rate swaps on custodial deposits	1		—		1		—		7
Interest rate swaps on HFI residential first mortgages	—		—		—		—		1
Total derivative liabilities	$	1	$	—	$	1	$	—	$	11
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	51	$	—	$	51	$	—	$	45
Interest rate swaps and swaptions (1)	67		—		67		—		6
Total derivative assets	$	118	$	—	$	118	$	—	$	51
Liabilities
Mortgage-backed securities forwards	$	24	$	—	$	24	$	—	$	10
Interest rate swaps	5		—		5		—		31
Total derivative liabilities	$	29	$	—	$	29	$	—	$	41
December 31, 2020
Derivatives designated as hedging instruments:
Liabilities
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	5
Interest rate swaps on HFI residential first mortgages	—		—		—		—		1
Interest rate swaps on custodial deposits	1		—		1		—		8
Total derivative liabilities	$	1	$	—	$	1	$	—	$	14
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	14	$	—	$	14	$	—	$	—
Interest rate swaps	59		—		59		—		6
Total derivative assets	$	73	$	—	$	73	$	—	$	6
Liabilities
Mortgage-backed securities forwards	$	98	$	—	$	98	$	—	$	68
Interest rate swaps and swaptions (1)	4		—		4		—		26
Total derivative liabilities	$	102	$	—	$	102	$	—	$	94

(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,
		2021		2020		2021		2020
		(Dollars in millions)
Derivatives not designated as hedging instruments:	Location of gain (loss)
Futures	Net return on mortgage servicing rights	$	—	$	—	$	—	$	1
Interest rate swaps and swaptions	Net return on mortgage servicing rights	(3)		(2)		(30)		39
Mortgage-backed securities forwards	Net return on mortgage servicing rights	(1)		5		(12)		28
Rate lock commitments and MSR forwards	Net gain on loan sales	23		70		8		190
Interest rate swaps (1)	Other noninterest income	—		—		2		1
Total derivative gain (loss)		$	19	$	73	$	(32)	$	259

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