Fair Value Measures (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

Financial Instruments Carried at Fair Value

The following tables present assets and liabilities that were measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022, and that were included in the Company’s Consolidated Statements of Condition at those dates:

	June 30, 2023
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Netting Adjustments		Total Fair Value
Assets:
Mortgage-related Debt Securities Available for Sale:
GSE certificates	$	—		$	1,204	$	—	$	—	$	1,204
GSE CMOs	—			3,573		—		—		3,573
Private Label CMOs	—			183		—		—		183
Total mortgage-related debt securities	$	—		$	4,960	$	—	$	—	$	4,960
Other Debt Securities Available for Sale:
U. S. Treasury obligations	$	—		$	—	$	—	$	—	$	—
GSE debentures	—			1,644		—		—		1,644
Asset-backed securities	—			323		—		—		323
Municipal bonds	—			7		—		—		7
Corporate bonds	—			753		—		—		753
Foreign notes	—			8		—		—		8
Capital trust notes	—			87		—		—		87
Total other debt securities	$	—		$	2,822	$	—	$	—	$	2,822
Total debt securities available for sale	$	—		$	7,782	$	—	$	—	$	7,782
Equity securities:
Mutual funds and common stock	—			14		—		—		14
Total equity securities	—			14		—		—		14
Total securities	$	—		$	7,796	$	—	$	—	$	7,796
Loans held-for-sale
Residential first mortgage loans	$	—		$	1,406	$	—	$	—	$	1,406
Acquisition, development, and construction	—			157		—		—		157
Commercial and industrial loans	—		9	9		—		—		9
Derivative assets
Interest rate swaps and swaptions	—			137		—		—		137
Futures	—			3		—		—		3
Rate lock commitments (fallout-adjusted)	—			—		10		—		10
Mortgage-backed securities forwards	—			21		—		—		21
Mortgage servicing rights	—			—		1,031		—		1,031
Total assets at fair value	$	—		$	9,529	$	1,041	$	—	$	10,570
Derivative liabilities
Mortgage-backed securities forwards	—			7		—		—		7
Interest rate swaps and swaptions	—			61		—		—		61
Rate lock commitments (fallout-adjusted)	—			—		10		—		10
Total liabilities at fair value	$	—		$	68	$	10	$	—	$	78

	December 31, 2022
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Netting Adjustments		Total Fair Value
Assets:
Mortgage-related Debt Securities Available for Sale:
GSE certificates	$	—	$	1,297	$	—	$	—	$	1,297
GSE CMOs	—		3,301		—		—		3,301
Private Label CMOs	—		191		—		—		191
Total mortgage-related debt securities	$	—	$	4,789	$	—	$	—	$	4,789
Other Debt Securities Available for Sale:
U. S. Treasury obligations	$	1,487	$	—	$	—	$	—	$	1,487
GSE debentures	—		1,398		—		—		1,398
Asset-backed securities	—		361		—		—		361
Municipal bonds	—		30		—		—		30
Corporate bonds	—		885		—		—		885
Foreign notes	—		20		—		—		20
Capital trust notes	—		90		—		—		90
Total other debt securities	$	1,487	$	2,784	$	—	$	—	$	4,271
Total debt securities available for sale	$	1,487	$	7,573	$	—	$	—	$	9,060
Equity securities:
Mutual funds and common stock	—		14		—		—		14
Total equity securities	—		14		—		—		14
Total securities	$	1,487	$	7,587	$	—	$	—	$	9,074
Loans held-for-sale
Residential first mortgage loans	$	—	$	1,115	$	—	$	—	$	1,115
Derivative assets
Interest rate swaps and swaptions	—		182		—		—		182
Futures	—		2		—		—		2
Rate lock commitments (fallout-adjusted)	—		—		9		—		9
Mortgage-backed securities forwards	—		36		—		—		36
Mortgage servicing rights	—		—		1,033		—		1,033
Total assets at fair value	$	1,487	$	8,922	$	1,042	$	—	$	11,451
Derivative liabilities
Mortgage-backed securities forwards	—		61		—		—		61
Interest rate swaps and swaptions	—		65		—		—		65
Rate lock commitments (fallout-adjusted)	—		—		10		—		10
Total liabilities at fair value	$	—	$	126	$	10	$	—	$	136

Roll Forward of Financial Instruments

The following tables include a roll forward of the Consolidated Statements of Condition amounts (including the change in fair value) for financial instruments classified by us within Level 3 of the valuation hierarchy:

(dollars in millions)	Balance at Beginning of Year		Total Gains / (Losses) Recorded in Earnings (1)		Purchases / Originations		Sales		Settlement		Transfers In (Out)		Balance at End of Year
Three Months Ended June 30, 2023
Assets
Mortgage servicing rights (1)	$	1,034	$	5	$	43	$	(51)	—		—		$	1,031
Rate lock commitments (net) (1)(2)	8		(17)		25						(16)		—
Totals	$	1,042	$	(12)	$	68	$	(51)	$	—	$	(16)	$	1,031
Six Months Ended June 30, 2023
Assets
Mortgage servicing rights (1)	$	1,033	$	(32)	$	81	$	(51)			—		$	1,031
Rate lock commitments (net) (1)(2)	(1)		(28)		60		—		—		(31)		—
Totals	$	1,032	$	(60)	$	141	$	(51)	$	—	$	(31)	$	1,031

(1)We utilized swaptions, futures, forward agency and loan sales and interest rate swaps to manage the risk associated with mortgage servicing rights and rate lock commitments. Gains and losses for individual lines do not reflect the effect of our risk management activities related to such Level 3 instruments.

(2)Rate lock commitments are reported on a fallout-adjusted basis. Transfers out of Level 3 represent the settlement value of the commitments that are transferred to LHFS, which are classified as Level 2 assets.

Quantitative Information about Recurring Level 3 Fair Value Financial Instruments

The following tables present the quantitative information about recurring Level 3 fair value financial instruments and the fair value measurements as of June 30, 2023:

	Fair Value		Valuation Technique	Unobservable Input (1)	Range (Weighted Average)
	(dollars in millions)
Assets
				Option adjusted spread	5.3% - 21.5% (5.6)%
Mortgage servicing rights	$	1,031	Discounted cash flows	Constant prepayment rate	0% - 9.8% (8.2)%
				Weighted average cost to service per loan	$65 - $90 $(69)
Rate lock commitments (net)	$	—	Consensus pricing	Origination pull-through rate	80.20%

(1)Unobservable inputs were weighted by their relative fair value of the instruments.

Assets Measured at Fair Value on a Nonrecurring Basis

The following tables present assets that were measured at fair value on a non-recurring basis as of June 30, 2023 and December 31, 2022, and that were included in the Company’s Consolidated Statements of Condition at those dates:

	Fair Value Measurements at June 30, 2023 Using
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
Other assets(1)	$	—	$	—	$	45	$	45
Total	$	—	$	—	$	45	$	45

(1)Represents the fair value of repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets and equity securities without readily determinable fair values. These equity securities are classified as Level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

	Fair Value Measurements at December 31, 2022 Using
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Fair Value
Certain impaired loans (2)	$	—	$	—	$	28	$	28
Other assets (1)	—		—		41		41
Total	$	—	$	—	$	69	$	69

(1)Represents the fair value of repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets and equity securities without readily determinable fair values. These equity securities are classified as Level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

(2)Represents the fair value of impaired loans, based on the value of the collateral.

Carrying Amount and Estimated Fair Value of Financial Instruments

The following tables summarize the carrying values, estimated fair values, and fair value measurement levels of financial instruments that were not carried at fair value on the Company’s Consolidated Statements of Condition at June 30, 2023 and December 31, 2022:

	June 30, 2023
					Fair Value Measurement Using
(in millions)	Carrying Value		Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents	$	15,806	$	15,806	$	15,806
FHLB and FRB stock (1)	1,136		1,136		—			1,136
Loans and leases held for investment, net	82,684		79,144		—						79,144
Financial Liabilities:
Deposits	$	88,497	$	88,245	$	70,309	(2)	$	17,936	(3)
Borrowed funds	16,412		16,161					16,161

(1)Carrying value and estimated fair value are at cost.

(2)Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3)Certificates of deposit.

	December 31, 2022
					Fair Value Measurement Using
(in millions)	Carrying Value		Estimated Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)			Significant Other Observable Inputs (Level 2)			Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents	$	2,032	$	2,032	$	2,032		$	—		$	—
FHLB and FRB stock (1)	1,267		1,267		—			1,267			0
Loans and leases held for investment, net	68,608		65,673		—			—			65,673
Financial Liabilities:
Deposits	$	58,721	$	58,479	$	46,211	(2)	$	12,268	(3)	$	—
Borrowed funds	21,332		21,231		—			21,231			—

(1)Carrying value and estimated fair value are at cost.

(2)Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3)Certificates of deposit.

Changes in Fair Value Included in Earnings - Fair Value Option

The following table reflects the change in fair value included in earnings of financial instruments for which the fair value option has been elected:

	For the Three Months ended June 30,		For the Six Months Ended June 30,
(dollars in millions)	2023		2023
Assets
Loans held-for-sale	$	—	$	—
Net gain on loan sales	$	29	$	57

Differences Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding - Fair Value Option

The following table reflects the difference between the aggregate fair value and aggregate remaining contractual principal balance outstanding for assets and liabilities for which the fair value option has been elected:

	June 30, 2023
(dollars in millions)	Unpaid Principal Balance		Fair Value		Fair Value Over / (Under) UPB
Assets:
Nonaccrual loans:
Loans held-for-sale	$	1	$	1	$	—
Loans held-for-investment	—		—		—
Total non-accrual loans	$	1	$	1	$	—
Other performing loans:
Loans held-for-sale	$	1,556	$	1,571	$	15
Total other performing loans	$	1,556	$	1,571	$	15
Total loans:
Loans held-for-sale	$	1,557	$	1,572	$	15
Total loans	$	1,557	$	1,572	$	15

	December 31, 2022
(dollars in millions)	Unpaid Principal Balance		Fair Value		Fair Value Over / (Under) UPB
Assets:
Other performing loans:
Loans held-for-sale	1,095		1,115		20
Total other performing loans	$	1,095	$	1,115	$	20
Total loans:
Loans held-for-sale	1,095		1,115		20
Total loans	$	1,095	$	1,115	$	20