Derivative and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2024

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Financial Instruments

The following tables set forth information regarding the Company’s derivative financial instruments:

	June 30, 2024
			Fair Value
(in millions)	Notional Amount		Other Assets		Other Liabilities		Expiration Dates
Derivatives not designated as hedging instruments:
Assets
Futures	$	765	$	—	$	—	2024
Mortgage-backed securities forwards	1,823		9		—		2024
Rate lock commitments	1,951		9		—		2024
Interest rate swaps and swaptions	5,335		111		—		2024-2041
Liabilities
Mortgage-backed securities forwards	$	958	$	—	$	9	2024
Rate lock commitments	563		—		5		2024
Interest rate swaps and swaptions	3,310		—		63		2024-2054

	December 31, 2023
			Fair Value
(in millions)	Notional Amount		Other Assets		Other Liabilities		Expiration Date
Derivatives designated as cash flow hedging instruments:
Interest rate swaps on FHLB advances	$	5,500	$	—	$	2	2025-2028
Derivatives designated as fair value hedging instruments:
Interest rate swaps on multi-family loans held for investment	$	2,000	—		1		2025-2027
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	1,012		11		—		2024
Rate lock commitments	1,490		12		—		2024
Interest rate swaps and swaptions	5,431		115		—		2024-2041
Liabilities
Futures	2,235		—		1		2024
Mortgage-backed securities forwards	1,048		—		32		2024
Rate lock commitments	77		—		3		2024
Interest rate swaps and swaptions	2,720		—		59		2024-2054

Schedule of Derivatives Subject to a Master Netting Arrangement

The following table presents the derivatives subject to a master netting agreement, including the cash pledged as collateral:

	June 30, 2024
							Gross Amounts Not Offset in the Statements of Condition
(in millions)	Gross Amount		Gross Amounts Netted in the Statements of Condition		Net Amount Presented in the Statements of Condition		Financial Instruments		Cash Collateral Pledged (Received)
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	9	$	—	$	9	$	—	$	—
Interest rate swaptions	111		—		111		—		(3)
Futures	—		—		—		—		—
Total derivative assets	$	120	$	—	$	120	$	—	$	(3)
Liabilities
Futures	$	—	$	—	$	—	$	—	$	1
Mortgage-backed securities forwards	9		—		9		—		8
Interest rate swaps (1)	63		—		63		—		97
Total derivative liabilities	$	72	$	—	$	72	$	—	$	106

(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.

The following table presents the derivatives subject to a master netting agreement, including the cash pledged as collateral:

	December 31, 2023
							Gross Amounts Not Offset in the Statements of Condition
(in millions)	Gross Amount		Gross Amounts Netted in the Statements of Condition		Net Amount Presented in the Statements of Condition		Financial Instruments		Cash Collateral Pledged (Received)
Derivatives designated hedging instruments:
Interest rate swaps on FHLB advances	$	2	$	—	$	2	$	—	$	75
Interest rate swaps on multi-family loans held for investment(1)	1		—		1		—		27
Derivatives not designated as hedging instruments:
Assets
Mortgage-backed securities forwards	$	11	$	—	$	11	$	—	$	(1)
Interest rate swaptions	115		—		115		—		(34)
Futures			—		—		—		—
Total derivative assets	$	126	$	—	$	126	$	—	$	(35)
Liabilities
Futures	$	1	$	—	$	1			$	3
Mortgage-backed securities forwards	32		—		32		—		57
Interest rate swaps (1)	59		—		59		—		42
Total derivative liabilities	$	92	$	—	$	92	$	—	$	102

(1)Variation margin pledged to, or received from, a Central Counterparty Clearing House to cover the prior days fair value of open positions is considered settlement of the derivative position for accounting purposes.

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The following table presents the effect of the Company’s cash flow derivative instruments on accumulated other comprehensive loss:

	Three Months Ended,				Six Months Ended,
(in millions)	June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
Amount of gain (loss) recognized in accumulated other comprehensive loss	$	52	$	124	$	143	$	34
Amount of reclassified from accumulated other comprehensive loss to interest expense	$	(16)	$	(6)	$	(39)	$	(12)

Schedule of Net Gain (Loss) Recognized in Income on Derivative Instruments

The following table presents the net gain (loss) recognized in income on derivatives not designated as hedging instruments, net of the impact of offsetting positions:

		Three Months Ended,				Six Months Ended,
(dollars in millions)		June 30, 2024		June 30, 2023		June 30, 2024		June 30, 2023
Derivatives not designated as hedging instruments	Location of Gain (Loss)
Futures	Net return on mortgage servicing rights	$	1	$	5	$	3	$	3
Interest rate swaps and swaptions	Net return on mortgage servicing rights	(3)		(29)		(37)		(22)
Mortgage-backed securities forwards	Net return on mortgage servicing rights	(9)		(11)		(21)		(13)
Rate lock commitments and US Treasury futures	Net gain on loan sales	1		18		23		38
Interest rate swaps (1)	Other non-interest income	(2)		1		(5)		1
Total derivative (loss) gain		$	(12)	$	(16)	$	(37)	$	7

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