Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value Inputs, Assets, Quantitative Information

The following table presents additional information about significant unobservable inputs used in the valuation of assets measured at fair value on a nonrecurring basis that were categorized in Level 3 of the fair value hierarchy:



	Unobservable Inputs	Average		Range
December 31, 2019:
Loans receivable:
One- to four-family	Appraised value	$	815,900	$92,000 - $2,700,000
Home equity	Appraised value	$	437,300	$75,000 - $1,440,000
Real estate owned	Appraised value	$	391,700	$80,000 - $897,000

December 31, 2018:
Loans receivable:
One- to four-family	Appraised value	$	594,700	$17,000 - $2,000,000
Home equity	Appraised value	$	397,700	$73,000 - $1,060,000
Real estate owned	Appraised value	$	329,500	$57,900 - $900,000

Fair Value Measurements, Recurring and Nonrecurring

The following tables present the significant components of assets and liabilities measured at fair value (dollars in millions):



	Level 1		Level 2		Level 3		Total Fair Value
December 31, 2019:
Recurring fair value measurements:
Assets
Available-for-sale securities:
Agency mortgage-backed securities	$	—	$	17,035	$	—	$	17,035
Agency debentures	—		659		—		659
US Treasuries	—		1,227		—		1,227
Non-agency asset-backed securities	—		417		—		417
Non-agency mortgage-backed securities	—		163		—		163
Total available-for-sale securities	—		19,501		—		19,501
Total assets measured at fair value on a recurring basis⁽¹⁾	$	—	$	19,501	$	—	$	19,501
Nonrecurring fair value measurements:
Loans receivable, net:
One- to four-family	$	—	$	—	$	14	$	14
Home equity	—		—		4		4
Total loans receivable	—		—		18		18
Other assets:
Real estate owned	—		—		12		12
Total assets measured at fair value on a nonrecurring basis⁽²⁾	$	—	$	—	$	30	$	30


(1)	Assets measured at fair value on a recurring basis represented 32% of the Company’s total assets at December 31, 2019.

(2)

Represents the fair value of assets prior to deducting estimated selling costs that were carried on the consolidated balance sheet at December 31, 2019, and for which a fair value measurement was recorded during the period.



	Level 1		Level 2		Level 3		Total Fair Value
December 31, 2018:
Recurring fair value measurements:
Assets
Available-for-sale securities:
Agency mortgage-backed securities	$	—	$	22,162	$	—	$	22,162
Agency debentures	—		839		—		839
Agency debt securities	—		139		—		139
Municipal bonds	—		12		—		12
Other	—		1		—		1
Total available-for-sale securities	—		23,153		—		23,153
Derivative assets⁽¹⁾	—		1		—		1
Total assets measured at fair value on a recurring basis⁽²⁾	$	—	$	23,154	$	—	$	23,154
Nonrecurring fair value measurements:
Loans receivable, net:
One- to four-family	$	—	$	—	$	17	$	17
Home equity	—		—		6		6
Total loans receivable	—		—		23		23
Other assets:
Real estate owned	—		—		10		10
Total assets measured at fair value on a nonrecurring basis⁽³⁾	$	—	$	—	$	33	$	33


(1)	All derivative assets were interest rate contracts at December 31, 2018. Information related to derivative instruments is detailed in Note 8—Derivative Instruments and Hedging Activities.


(2)	Assets measured at fair value on a recurring basis represented 36% of the Company’s total assets at December 31, 2018.

(3)

Represents the fair value of assets prior to deducting estimated selling costs that were carried on the consolidated balance sheet at December 31, 2018, and for which a fair value measurement was recorded during the period.

Fair Value, by Balance Sheet Grouping



	December 31, 2018
	Carrying Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Cash and equivalents	$	2,333	$	2,333	$	—	$	—	$	2,333
Cash segregated under federal or other regulations	$	1,011	$	1,011	$	—	$	—	$	1,011
Held-to-maturity securities:
Agency mortgage-backed securities	$	18,085	$	—	$	17,748	$	—	$	17,748
Agency debentures	1,824		—		1,808		—		1,808
Agency debt securities	1,975		—		1,935		—		1,935
Total held-to-maturity securities	$	21,884	$	—	$	21,491	$	—	$	21,491
Margin receivables⁽¹⁾	$	9,560	$	—	$	9,560	$	—	$	9,560
Loans receivable, net:
One- to four-family	$	1,069	$	—	$	—	$	1,099	$	1,099
Home equity	810		—		—		825		825
Consumer	117		—		—		115		115
Securities-based lending	107		—		107		—		107
Total loans receivable, net⁽²⁾	$	2,103	$	—	$	107	$	2,039	$	2,146
Receivables from brokers, dealers and clearing organizations⁽¹⁾	$	760	$	—	$	760	$	—	$	760
Other assets⁽¹⁾⁽³⁾	$	36	$	—	$	36	$	—	$	36
Liabilities
Deposits	$	45,313	$	—	$	45,313	$	—	$	45,313
Customer payables	$	10,117	$	—	$	10,117	$	—	$	10,117
Payables to brokers, dealers and clearing organizations	$	948	$	—	$	948	$	—	$	948
Corporate debt	$	1,409	$	—	$	1,372	$	—	$	1,372

(1)

The fair value of securities that the Company received as collateral in connection with margin receivables and securities borrowing activities, including the fully paid lending program, where the Company is permitted to sell or re-pledge the securities, was $12.9 billion at December 31, 2018. Of this amount, $2.3 billion had been pledged or sold in connection with securities loaned and deposits with clearing organizations at December 31, 2018.


(2)	The carrying value of loans receivable, net includes the allowance for loan losses of $37 million and loans that are recorded at fair value on a nonrecurring basis at December 31, 2018.

(3)

The $36 million in other assets at December 31, 2018 represents securities borrowing from customers under the fully paid lending program.

The following tables present the carrying values, fair values and fair value hierarchy level classification of financial instruments that are not carried at fair value on the consolidated balance sheet (dollars in millions):



	December 31, 2019
	Carrying Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Cash and equivalents	$	750	$	750	$	—	$	—	$	750
Cash segregated under federal or other regulations	$	1,879	$	1,879	$	—	$	—	$	1,879
Held-to-maturity securities:
Agency mortgage-backed securities	$	20,085	$	—	$	20,329	$	—	$	20,329
Agency debentures	267		—		271		—		271
Agency debt securities	1,617		—		1,646		—		1,646
Total held-to-maturity securities	$	21,969	$	—	$	22,246	$	—	$	22,246
Margin receivables⁽¹⁾	$	9,675	$	—	$	9,675	$	—	$	9,675
Loans receivable, net:
One- to four-family	$	802	$	—	$	—	$	835	$	835
Home equity	624		—		—		659		659
Securities-based lending	169		—		169		—		169
Total loans receivable, net⁽²⁾	$	1,595	$	—	$	169	$	1,494	$	1,663
Receivables from brokers, dealers and clearing organizations⁽¹⁾	$	1,395	$	—	$	1,395	$	—	$	1,395
Other assets⁽¹⁾⁽³⁾	$	313	$	—	$	313	$	—	$	313
Liabilities
Deposits	$	38,606	$	—	$	38,605	$	—	$	38,605
Customer payables	$	12,849	$	—	$	12,849	$	—	$	12,849
Payables to brokers, dealers and clearing organizations	$	893	$	—	$	893	$	—	$	893
Corporate debt	$	1,410	$	—	$	1,485	$	—	$	1,485

(1)

The fair value of securities that the Company received as collateral in connection with margin receivables and securities borrowing activities, including the fully paid lending program, where the Company is permitted to sell or re-pledge the securities, was $14.0 billion at December 31, 2019. Of this amount, $2.1 billion had been pledged or sold in connection with securities loaned and deposits with clearing organizations at December 31, 2019.


(2)	The carrying value of loans receivable, net includes the allowance for loan losses of $17 million and loans that are recorded at fair value on a nonrecurring basis at December 31, 2019.

(3)

Includes $200 million of securities purchased under agreements to resell and $113 million of securities borrowing from customers under the fully paid lending program. The fair value of the securities that the Company received as collateral for securities purchased under agreements to resell was $206 million at December 31, 2019

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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