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(Tables)
 3 Months Ended
Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of derivative instruments in consolidated balance sheets
The following table presents derivative instruments included on the Consolidated Balance Sheets:
 
March 31, 2020
 
December 31, 2019
(in millions)
Notional Amount(1)
Derivative Assets
Derivative Liabilities
 
Notional Amount(1)
Derivative Assets
Derivative Liabilities
Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
Interest rate contracts

$30,050


$9


$4

 

$29,846


$1


$—

Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
Interest rate contracts
146,035

1,790

205

 
142,386

772

133

Foreign exchange contracts
15,974

413

361

 
15,101

174

166

TBA contracts
14,568

42

202

 
—

—

—

Other contracts
6,706

232

88

 
6,868

37

23

Total derivatives not designated as hedging instruments
 
2,477

856

 
 
983

322

Gross derivative fair values
 
2,486

860

 
 
984

322

Less: Gross amounts offset in the Consolidated Balance Sheets (2)
 
(286
)
(286
)
 
 
(107
)
(107
)
Less: Cash collateral applied (2)
 
(232
)
(340
)
 
 
(70
)
(95
)
Total net derivative fair values presented in the Consolidated Balance Sheets
 

$1,968


$234

 
 

$807


$120

(1) The notional or contractual amount of interest rate derivatives and foreign exchange contracts is the amount upon which interest and other payments under the contract are based. For interest rate contracts, the notional amount is typically not exchanged. Therefore, notional amounts should not be taken as the measure of credit or market risk, as they do not measure the true economic risk of these contracts.
(2) Amounts represent the impact of enforceable master netting agreements that allow the Company to net settle positive and negative positions.
Schedule of fair value hedges
The following table presents the change in fair value of interest rate contracts, designated as fair value hedges, as well as the change in fair value of the related hedged items attributable to the risk being hedged, included in the Consolidated Statements of Operations:
 
Three Months Ended March 31,
 
(in millions)
2020

 
2019

Affected Line Item in the Consolidated Statements of Operations
Change in fair value of interest rate swaps hedging borrowed funds

$93

 

$39

Interest expense - borrowed funds
Change in fair value of hedged long-term debt attributable to the risk being hedged
(92
)
 
(39
)
Interest expense - borrowed funds
Change in fair value of interest rate swaps hedging fixed rate loans
17

 
—

Interest and fees on loans and leases
Change in fair value of hedged fixed rate loans attributable to the risk being hedged
(17
)
 
—

Interest and fees on loans and leases
Change in fair value of interest rate swaps hedging debt securities available for sale
(107
)
 
—

Interest income - investment securities
Change in fair value of hedged debt securities available for sale attributable to risk being hedged
107

 
—

Interest income - investment securities

The following table reflects amounts recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:    
 
March 31, 2020
 
December 31, 2019
(in millions)
Debt securities available for sale(1)
Long-term borrowed funds
 
Debt securities available for sale(1)
Residential mortgages
Long-term borrowed funds
Carrying amount of hedged assets

$14,995


$—

 

$15,798


$976


$—

Carrying amount of hedged liabilities
—

4,083

 
—

—

4,689

Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items
100

142

 
(8
)
17

50

(1) The Company designated $2.0 billion as the hedged amount (from a closed portfolio of prepayable financial assets with a carrying value of $15.0 billion as of March 31, 2020) in a last-of-layer hedging relationship, which commenced in the third quarter of 2019.
Schedule of effect of cash flow hedges on net income and stockholders' equity
The following table presents the pre-tax net gains (losses) recorded in the Consolidated Statements of Operations and in the Consolidated Statements of Comprehensive Income relating to derivative instruments designated as cash flow hedges:
 
Three Months Ended March 31,
(in millions)
2020
 
2019
Amount of pre-tax net gains recognized in OCI

$129

 

$51

Amount of pre-tax net gains (losses) reclassified from OCI into interest income
5

 
(20
)
Amount of pre-tax net losses reclassified from OCI into interest expense
(1
)
 
—
Schedule of effect of derivative Instruments on net income
The following table presents the effect of economic hedges on noninterest income:
 
Amounts Recognized in
Noninterest Income for the
 
 
Three Months Ended March 31,
Affected Line Item in the Consolidated Statements of Operations
(in millions)
2020

 
2019

Economic hedge type:
 
 
 
 
Customer interest rate contracts

$1,026

 

$229

Foreign exchange and interest rate products
Customer foreign exchange contracts
(30
)
 
(34
)
Foreign exchange and interest rate products
Derivatives transactions to hedge interest rate risk
(1,021
)
 
(217
)
Foreign exchange and interest rate products
Derivatives transactions to hedge foreign exchange risk
99

 
40

Foreign exchange and interest rate products
Residential loan commitments
140

 
5

Mortgage banking fees
Forward sale contracts
(129
)
 
4

Mortgage banking fees
Derivative contracts used to hedge residential MSRs
271

 
45

Mortgage banking fees
Total

$356

 

$72