Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2023

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Gross Fair Values of Derivatives

The table below presents the gross fair values of the Company’s interest rate swaps designated as hedging instruments on the condensed consolidated balance sheet:

	June 30, 2023
	Assets		Liabilities
Interest rate swaps (1,2)	$	1	$	—

(1) Derivative assets are included in other assets and derivative liabilities are included in accrued expenses and other liabilities on the condensed consolidated balance sheet.

(2) Includes a $121 million reduction of derivative assets related to variation margin settlements on derivatives cleared through CCPs. Settlements on derivative positions cleared through CCPs are reflected as reductions to the associated derivative asset and liability balances.

Schedule of Fair Value Hedge Derivatives

The following amounts were recorded in AFS securities on the condensed consolidated balance sheet related to fair value hedges:

	June 30, 2023
Carrying amount of hedged AFS securities (1,2)	$	8,863
Cumulative fair value hedging adjustment included in the carrying amount of hedged AFS securities (1,2)	(122)

(1) Includes the amortized cost basis of closed portfolios of AFS securities used to designate hedging relationships in which the hedged item is the stated amount of assets in the closed portfolios anticipated to be outstanding for the designated hedge period. The amortized cost basis of the closed portfolios used in these hedging relationships is $1.6 billion and the notional amount of the designated hedged items is $1.6 billion. The cumulative basis adjustments associated with these hedges is an unrealized loss of $26 million.

(2) Excludes the carrying amount and fair value hedging adjustment of AFS securities for which hedge accounting has been discontinued. The cumulative amount of fair value hedging adjustments remaining for these securities is an unrealized loss of less than $500 thousand, which is recorded in AFS securities on the condensed consolidated balance sheet.

The table below presents the effect of the Company’s interest rate swaps designated as fair value hedges on the condensed consolidated statement of income:

	Three Months Ended June 30,		Six Months Ended June 30,
	2023		2023
Gain (loss) on fair value hedging relationships recognized in interest revenue:
Hedged items	$	(126)	$	(122)
Derivatives designated as hedging instruments	126		122