DERIVATIVES (Tables)

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative instruments in consolidated balance sheets

The following table presents derivative instruments included in the Consolidated Balance Sheets:

	March 31, 2022			December 31, 2021
(in millions)	Notional Amount(1)	Derivative Assets	Derivative Liabilities	Notional Amount(1)	Derivative Assets	Derivative Liabilities
Derivatives designated as hedging instruments:
Interest rate contracts	$17,250	$1	$1	$23,450	$12	$2
Derivatives not designated as hedging instruments:
Interest rate contracts	158,286	172	445	142,987	680	174
Foreign exchange contracts	22,809	378	349	21,336	263	231
Commodities contracts	694	1,501	1,496	514	508	505
TBA contracts	7,650	102	22	7,776	8	8
Other contracts	3,081	9	30	3,555	38	2
Total derivatives not designated as hedging instruments		2,162	2,342		1,497	920
Gross derivative fair values		2,163	2,343		1,509	922
Less: Gross amounts offset in the Consolidated Balance Sheets(2)		(312)	(312)		(235)	(235)
Less: Cash collateral applied(2)		(176)	(1,396)		(58)	(490)
Total net derivative fair values presented in the Consolidated Balance Sheets		$1,675	$635		$1,216	$197

(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 as well as collateral paid and received.

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)	2022	2021	Affected Line Item in the Consolidated Statements of Operations
Interest rate swaps hedging borrowed funds	($37)	($28)	Interest expense - long-term borrowed funds
Hedged long-term debt attributable to the risk being hedged	37	28	Interest expense - long-term borrowed funds
Interest rate swaps hedging debt securities available for sale	29	28	Interest income - investment securities
Hedged debt securities available for sale attributable to risk being hedged	(29)	(28)	Interest income - investment securities

The following table reflects amounts recorded in the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges:    

	March 31, 2022		December 31, 2021
(in millions)	Debt securities available for sale(1)	Long-term borrowed funds	Debt securities available for sale(1)	Long-term borrowed funds
Carrying amount of hedged assets	$—	$—	$6,042	$—
Carrying amount of hedged liabilities	—	1,503	—	2,239
Cumulative amount of fair value hedging adjustments included in the carrying amount of the hedged items	—	5	29	42

(1) The Company designated $2.0 billion as the hedged amount (from a closed portfolio of prepayable financial assets with an amortized cost basis of $6.0 billion as of December 31, 2021) in a last-of-layer hedging relationship, which commenced in the third quarter of 2019 and was terminated in the first quarter of 2022.

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 related to derivative instruments designated as cash flow hedges:

	Three Months Ended March 31,
(in millions)	2022	2021
Amount of pre-tax net gains (losses) recognized in OCI	($661)	($28)
Amount of pre-tax net gains (losses) reclassified from OCI into interest income	37	46
Amount of pre-tax net gains (losses) reclassified from OCI into interest expense	(5)	(12)

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)	2022	2021
Economic hedge type:
Customer interest rate contracts	($767)	($348)	Foreign exchange and derivative products
Derivatives hedging interest rate risk	793	356	Foreign exchange and derivative products
Customer foreign exchange contracts	26	(116)	Foreign exchange and derivative products
Derivatives hedging foreign exchange risk	3	150	Foreign exchange and derivative products
Customer commodity contracts	1,152	94	Foreign exchange and derivative products
Derivatives hedging commodity price risk	(1,148)	(92)	Foreign exchange and derivative products
Residential loan commitments	(161)	(238)	Mortgage banking fees
Derivatives hedging residential loan commitments and mortgage loans held for sale, at fair value	271	275	Mortgage banking fees
Derivative contracts used to hedge residential MSRs	(146)	(182)	Mortgage banking fees
Total	$23	($101)