XML 42 R33.htm IDEA: XBRL DOCUMENT

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present assets and liabilities that were measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021, and that were included in the Company’s Consolidated Statements of Condition at those dates:


	Fair Value Measurements at September 30, 2022
(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
Assets:
Mortgage-related Debt Securities Available for Sale:
GSE certificates	$	—	$	944	$	—	$	944
GSE CMOs		—		1,286		—		1,286
Total mortgage-related debt securities	$	—	$	2,230	$	—	$	2,230
Other Debt Securities Available for Sale:
U. S. Treasury obligations	$	1,672	$	—	$	—	$	1,672
GSE debentures		—		1,406		—		1,406
Asset-backed securities		—		391		—		391
Municipal bonds		—		18		—		18
Corporate bonds		—		855		—		855
Foreign notes		—		25		—		25
Capital trust notes		—		92		—		92
Total other debt securities	$	1,672	$	2,787	$	—	$	4,459
Total debt securities available for sale	$	1,672	$	5,017	$	—	$	6,689
Equity securities:
Preferred stock	$	—	$	—	$	—	$	—
Mutual funds and common stock		—		14		—		14
Total equity securities	$	—	$	14	$	—	$	14
Total securities	$	1,672	$	5,031	$	—	$	6,703


	Fair Value Measurements at December 31, 2021
(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
Assets:
Mortgage-Related Debt Securities Available for Sale:
GSE certificates	$	—	$	1,107	$	—	$	1,107
GSE CMOs		—		1,683		—		1,683
Total mortgage-related debt securities	$	—	$	2,790	$	—	$	2,790
Other Debt Securities Available for Sale:
U.S. Treasury obligations	$	45	$	—	$	—	$	45
GSE debentures		—		1,480		—		1,480
Asset-backed securities		—		479		—		479
Municipal bonds		—		25		—		25
Corporate bonds		—		838		—		838
Foreign notes		—		26		—		26
Capital trust notes		—		97		—		97
Total other debt securities	$	45	$	2,945	$	—	$	2,990
Total debt securities available for sale	$	45	$	5,735	$	—	$	5,780
Equity securities:						—
Preferred stock	$	—	$	—	$	—	$	—
Mutual funds and common stock		—		16		—		16
Total equity securities	$	—	$	16	$	—	$	16
Total securities	$	45	$	5,751	$	—	$	5,796

Summary of Carrying Values, Estimated Fair Values and Fair Value Measurement Levels of Financial Instruments

The following tables present assets and liabilities that were

measured at fair value on a non-recurring basis as of September 30, 2022 and December 31, 2021, and that were included in the Company’s Consolidated Statements of Condition at those dates:


	Fair Value Measurements at September 30, 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 loans (1)	$	—	$	—	$	25	$	25
Other assets(2)		—		—		38		38
Total	$	—	$	—	$	63	$	63

(1)

Represents the fair value based on the value of the collateral.

(2)

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 investments without readily determinable fair values. These equity investments 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, 2021 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 loans (1)	$	—	$	—	$	32	$	32
Other assets (2)		—		—		32		32
Total	$	—	$	—	$	64	$	64

(1)

Represents the fair value based on the value of the collateral.

(2)

Assets and Liabilities Measured at Fair Value on Non-Recurring Basis

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 September 30, 2022 and December 31, 2021:


		September 30, 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, cash equivalents and due from banks	$		1,700	$		1,700	$		1,700		$		—		$	—
FHLB stock (1)			630			630			—				630			—
Loans and leases, net			48,766			45,725			—				—			45,725
Financial Liabilities:
Deposits	$		41,705	$		41,448	$		32,596	(2)	$		8,852	(3)	$	—
Borrowed funds			13,798			13,615			—				13,615			—

(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, 2021
					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, cash equivalents and due from banks	$	2,211	$	2,211	$	2,211		$	—		$	—
FHLB stock (1)		734		734		—			734			—
Loans and leases, net		45,539		44,748		—			—			44,748
Financial Liabilities:
Deposits	$	35,059	$	35,051	$	26,635	(2)	$	8,416	(3)	$	—
Borrowed funds		16,562		17,169		—			17,169			—

(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.