Derivative Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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:

	March 31, 2022 (1)
	Notional Amount		Fair Value (2)		Expiration Dates
	(Dollars in millions)
Derivatives in cash flow hedge relationships:
Assets
Interest rate swaps on commercial loans	$	2,000	$	2	2025
Derivatives in fair value hedge relationships:
Assets
Interest rate swaps on AFS securities	$	100	$	—	2022
Interest rate swaps on subordinated debt	150		—		2025
Total	$	250	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,053	$	2	2022-2023
Mortgage-backed securities forwards	11,684		200		2022
Rate lock commitments	3,259		23		2022
Interest rate swaps and swaptions	5,064		105		2022-2052
Total	$	21,060	$	330
Liabilities
Mortgage-backed securities forwards	$	4,629	$	45	2022
Rate lock commitments	2,112		27		2022
Interest rate swaps	1,771		22		2022-2032
Total	$	8,512	$	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 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, 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	—		2026-2027
Derivatives in fair value hedge relationships:
Assets
Interest rate swaps on AFS securities	$	85	$	—	2022
Total derivative assets	$	85	$	—
Liabilities
Interest rate swaps on HFI residential first mortgages	$	100	$	—	2024
Interest rate swaps on AFS securities	350		—		2024-2025
Total derivative liabilities	$	450	$	—
Derivatives not designated as hedging instruments:
Assets
Futures	$	1,117	$	—	2022-2023
Mortgage-backed securities forwards	4,008		11		2022
Rate lock commitments	5,169		54		2022
Interest rate swaps and swaptions	4,070		76		2022-2031
Total	$	14,364	$	141
Liabilities
Mortgage-backed securities forwards	$	4,023	$	14	2022
Rate lock commitments	370		1		2022
Interest rate swaps and swaptions	1,493		5		2022-2031
Total	$	5,886	$	20

(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)
March 31, 2022
Derivatives designated as hedging instruments:
Assets
Interest rate swaps on AFS securities	$	—	$	—	$	—	$	—	$	2
Interest rate swaps on subordinated debt	—		—		—		—		3
Interest rate swaps on commercial loans	2		—		2		—		31
Total derivative assets	$	2	$	—	$	2	$	—	$	36
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	200	$	—	$	200	$	—	$	142
Interest rate swaps and swaptions (1)	105		—		105		—		52
Total derivative assets	$	305	$	—	$	305	$	—	$	194
Liabilities
Mortgage-backed securities forwards	$	45	$	—	$	45	$	—	$	11
Interest rate swaps	22		—		22		—		30
Total derivative liabilities	$	67	$	—	$	67	$	—	$	41
December 31, 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	$	—	$	—	$	—	$	—	$	4
Interest rate swaps on HFI residential first mortgages	—		—		—		—		1
Interest rate swaps on custodial deposits	—		—		—		—		9
Total derivative liabilities	$	—	$	—	$	—	$	—	$	14
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	10	$	—	$	10	$	—	$	12
Interest rate swaptions (1)	77		—		77		—		17
Total derivative assets	$	87	$	—	$	87	$	—	$	29
Liabilities
Mortgage-backed securities forwards	$	14	$	—	$	14	$	—	$	9
Interest rate swaps	6		—		6		—		24
Total derivative liabilities	$	20	$	—	$	20	$	—	$	33

(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 March 31,
		2022		2021
		(Dollars in millions)
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	(13)		(47)
Mortgage-backed securities forwards	Net return on mortgage servicing rights	(31)		(18)
Rate lock commitments and MSR forwards	Net gain on loan sales	104		162
Interest rate swaps (1)	Other noninterest income	2		1
Total derivative gain (loss)		$	65	$	98

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