Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Value and Outstanding Notional Amounts of Derivative Instruments and Related Collateral Balances

The following table summarizes the fair value (including accrued interest) and outstanding notional amounts of derivative instruments and related collateral balances (dollars in millions):
	June 30, 2020								December 31, 2019
	Notional Amount		Number of Outstanding Derivative Contracts	Derivative Assets		Derivative Liabilities			Notional Amount		Derivative Assets		Derivative Liabilities
Derivatives designated as hedges
Interest rate swaps—cash flow hedge	$	900	3	$	—	$	5		$	900	$	—	$	2
Interest rate swaps—fair value hedge	$	13,475	17	—		2			$	14,275	—		4
Derivatives not designated as hedges
Foreign exchange forward contracts(1)	$	23	6	—		—			$	38	—		1
Total gross derivative assets/liabilities(2)				—		7					—		7
Less: collateral held/posted(3)				—		(7		)			—		(7		)
Total net derivative assets/liabilities				$	—	$	—				$	—	$	—

(1) The foreign exchange forward contracts have notional amounts of EUR 6 million, GBP 6 million, SGD 1 million and INR 596 million as of June 30, 2020 and notional amounts of EUR 9 million, GBP 14 million, SGD 1 million and INR 596 million as of December 31, 2019.

(2) In addition to the derivatives disclosed in the table, the Company enters into forward contracts to purchase when-issued mortgage-backed securities as part of its community reinvestment initiatives. At June 30, 2020, the Company had one outstanding contracts with a total notional amount of $13 million and immaterial fair value. At December 31, 2019, the Company had two outstanding contracts with a total notional amount of $42 million and immaterial fair value.

(3)

Collateral amounts, which consist of both cash and investment securities, are limited to the related derivative asset/liability balance and do not include excess collateral received/pledged.

Schedule of Hedged Items in Fair Value Hedging Relationship

The following amounts were recorded on the statements of financial condition related to cumulative basis adjustment for fair value hedges (dollars in millions):
	June 30, 2020				December 31, 2019
	Carrying Amount of Hedged Assets/Liabilities		Cumulative Amount of Fair Value Hedging Adjustment Increasing (Decreasing) the Carrying Amount of Hedged Assets/Liabilities		Carrying Amount of Hedged Assets/Liabilities		Cumulative Amount of Fair Value Hedging Adjustment Increasing (Decreasing) the Carrying Amount of Hedged Assets/Liabilities
Long-term borrowings	$	13,836	$	398	$	14,244	$	13

Schedule of Impact of the Derivative Instruments on Income

The following table summarizes the impact of the derivative instruments on income and indicates where within the condensed consolidated financial statements such impact is reported (dollars in millions):
	Location and Amount of (Losses) Gains Recognized in Income
	Interest Expense
	Deposits			Long-Term Borrowings			Other Income
For the Three Months Ended June 30, 2020
Total amounts of income and expense line items presented in the statements of income in which the effects of fair value or cash flow hedges are recorded	$	(340	)	$	(142	)	$	14
The effects of cash flow and fair value hedging
Losses on cash flow hedging relationship
Amounts reclassified from OCI into earnings	$	(4	)	$	(1	)	$	—
Gains on fair value hedging relationship
Gains on hedged items	$	—		$	11		$	—
Gains on interest rate swaps	—			38			—
Total gains on fair value hedges	$	—		$	49		$	—
For the Three Months Ended June 30, 2019
Total amounts of income and expense line items presented in the statements of income in which the effects of fair value or cash flow hedges are recorded	$	(401	)	$	(244	)	$	22
The effects of cash flow and fair value hedging
Gains on cash flow hedging relationship
Amounts reclassified from OCI into earnings	$	1		$	1		$	—
(Losses) gains on fair value hedging relationship
Losses on hedged items	$	—		$	(85	)	$	—
Gains on interest rate swaps	—			74			—
Total losses on fair value hedges	$	—		$	(11	)	$	—

The following table summarizes the impact of the derivative instruments on income and indicates where within the condensed consolidated financial statements such impact is reported (dollars in millions):
	Location and Amount of (Losses) Gains Recognized in Income
	Interest Expense
	Deposits			Long-Term Borrowings			Other Income
For the Six Months Ended June 30, 2020
Total amounts of income and expense line items presented in the statements of income in which the effects of fair value or cash flow hedges are recorded	$	(713	)	$	(353	)	$	42
The effects of cash flow and fair value hedging
Losses on cash flow hedging relationship
Amounts reclassified from OCI into earnings	$	(5	)	$	(2	)	$	—
(Losses) gains on fair value hedging relationship
Losses on hedged items	$	—		$	(385	)	$	—
Gains on interest rate swaps	—			443			—
Total gains on fair value hedges	$	—		$	58		$	—
The effects of derivatives not designated in hedging relationships
Gains on derivatives not designated as hedges	$	—		$	—		$	1
For the Six Months Ended June 30, 2019
Total amounts of income and expense line items presented in the statements of income in which the effects of fair value or cash flow hedges are recorded	$	(787	)	$	(490	)	$	50
The effects of cash flow and fair value hedging
Gains on cash flow hedging relationship
Amounts reclassified from OCI into earnings	$	2		$	3		$	—
(Losses) gains on fair value hedging relationship
Losses on hedged items	$	—		$	(140	)	$	—
Gains on interest rate swaps	—			116			—
Total losses on fair value hedges	$	—		$	(24	)	$	—