Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 2022

Fair Value Disclosures [Abstract]

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of June 30, 2022 and December 31, 2021.

Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

	June 30, 2022
	Fair Value Measurements Using						Netting Adjustments(1)
(Dollars in millions)	Level 1		Level 2		Level 3				Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	8,624	$	0	$	0	—		$	8,624
RMBS	0		65,287		240		—		65,527
CMBS	0		7,561		13		—		7,574
Other securities	191		1,106		0		—		1,297
Total securities available for sale	8,815		73,954		253		—		83,022
Loans held for sale	0		767		0		—		767
Other assets:
Derivative assets(2)	792		3,577		131		$	(1,067)	3,433
Other(3)	441		3		37		—		481
Total assets	$	10,048	$	78,301	$	421	$	(1,067)	$	87,703
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	1,416	$	3,104	$	143	$	(1,395)	$	3,268
Total liabilities	$	1,416	$	3,104	$	143	$	(1,395)	$	3,268

	December 31, 2021
	Fair Value Measurements Using						Netting Adjustments(1)
(Dollars in millions)	Level 1		Level 2		Level 3				Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	9,442	$	0	$	0	—		$	9,442
RMBS	0		73,358		258		—		73,616
CMBS	0		9,360		9		—		9,369
Other securities	206		2,628		0		—		2,834
Total securities available for sale	9,648		85,346		267		—		95,261
Loans held for sale	0		1,026		0		—		1,026
Other assets:
Derivative assets(2)	406		2,200		84		$	(542)	2,148
Other(3)	526		6		41		—		573
Total assets	$	10,580	$	88,578	$	392	$	(542)	$	99,008
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	838	$	965	$	65	$	(544)	$	1,324
Total liabilities	$	838	$	965	$	65	$	(544)	$	1,324

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(1)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See “Note 8—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $8 million and $11 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2022 and December 31, 2021, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and other liabilities on the consolidated balance sheets, and is recorded through non-interest income in the consolidated statements of income.

(3)As of June 30, 2022 and December 31, 2021, other includes retained interests in securitizations of $37 million and $41 million, deferred compensation plan assets of $432 million and $490 million, and equity securities of $12 million (including unrealized loss of $19 million) and $42 million (including unrealized loss of $36 million), respectively.

Schedule of Level 3 Inputs Reconciliation

The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2022 and 2021. Generally, transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these financial instruments as evidenced by wider pricing variations among pricing vendors and transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing among multiple pricing sources.

Table 11.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2022
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(1)
(Dollars in millions)	Balance, April 1, 2022		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2022
Securities available for sale:(2)
RMBS	$	211	$	3	$	(8)	$	0	$	0	$	0	$	(15)	$	72	$	(23)	$	240	$	2
CMBS	21		0		(1)		0		0		0		(4)		0		(3)		13		0
Total securities available for sale	232		3		(9)		0		0		0		(19)		72		(26)		253		2

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2022
		Total Gains (Losses) (Realized/Unrealized)									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(1)
(Dollars in millions)	Balance, April 1, 2022	Included in Net Income(1)	Included in OCI	Purchases	Sales	Issuances	Settlements	Transfers Into Level 3	Transfers Out of Level 3	Balance, June 30, 2022
Other assets:
Retained interests in securitizations	39	(2)	0	0	0	0	0	0	0	37	(2)
Net derivative assets (liabilities)(3)	22	(46)	0	0	0	8	4	0	0	(12)	(18)

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2022
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2022(1)
(Dollars in millions)	Balance, January 1, 2022		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2022
Securities available for sale:(2)
RMBS	$	258	$	13	$	(20)	$	0	$	0	$	0	$	(43)	$	84	$	(52)	$	240	$	5
CMBS	9		0		(1)		0		0		0		(5)		13		(3)		13		(1)
Total securities available for sale	267		13		(21)		0		0		0		(48)		97		(55)		253		4
Other assets:
Retained interests in securitizations	41		(4)		0		0		0		0		0		0		0		37		(4)
Net derivative assets (liabilities)(3)	19		(41)		0		0		0		36		2		(28)		0		(12)		(38)

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, April 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	326	$	4	$	2	$	0	$	0	$	0	$	(25)	$	45	$	(63)	$	289	$	4
CMBS	10		0		0		0		0		0		0		0		(1)		9		0
Total securities available for sale	336		4		2		0		0		0		(25)		45		(64)		298		4
Other assets:
Retained interests in securitizations	50		(4)		0		0		0		0		0		0		0		46		(4)
Net derivative assets (liabilities)(3)	34		11		0		0		0		(16)		(15)		6		(1)		19		11

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2021
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2021(1)
(Dollars in millions)	Balance, January 1, 2021		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2021
Securities available for sale:(2)
RMBS	$	328	$	11	$	4	$	0	$	0	$	0	$	(51)	$	84	$	(87)	$	289	$	8
CMBS	111		0		(2)		0		0		0		(6)		0		(94)		9		0
Total securities available for sale	439		11		2		0		0		0		(57)		84		(181)		298		8
Other assets:
Retained interests in securitizations	55		(9)		0		0		0		0		0		0		0		46		(9)
Net derivative assets (liabilities)(3)	31		(10)		0		0		0		22		(29)		6		(1)		19		8

_________

(1)Realized gains (losses) on securities available for sale are included in net securities gains (losses) and retained interests in securitizations are reported as a component of non-interest income in our consolidated statements of income. Gains (losses) on derivatives are included as a component of net interest income or non-interest income in our consolidated statements of income.

(2)For the three and six months ended June 30, 2022 included in OCI related to Level 3 securities available for sale still held as of June 30, 2022 were net unrealized losses of $11 million and $20 million . For the three and six months ended June 30, 2021, included in OCI related to Level 3 securities available for sale still held as of June 30, 2021 were net unrealized losses of $1 million and net unrealized gains of $2 million, respectively.

(3)Includes derivative assets and liabilities of $131 million and $143 million, respectively, as of June 30, 2022 and $129 million and $110 million, respectively, as of June 30, 2021.

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis Quantitative Information

The following table presents the significant unobservable inputs used to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple vendor pricing services to obtain fair value for our securities. Several of our vendor pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other vendor pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 11.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at June 30, 2022		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	240	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	0-14% 6-25% 0-11% 30-80%	5% 10% 2% 61%
CMBS	13		Discounted cash flows (vendor pricing)	Yield	2-4%	4%
Other assets:
Retained interests in securitizations(2)	37		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	30-37 9-18% 4-8% 1-3% 80-291%	N/A
Net derivative assets (liabilities)	(12)		Discounted cash flows	Swap rates	3%	3%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2021		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average(1)
Securities available for sale:
RMBS	$	258	Discounted cash flows (vendor pricing)	Yield Voluntary prepayment rate Default rate Loss severity	0-21% 5-40% 1-11% 30-100%	3% 11% 2% 65%
CMBS	9		Discounted cash flows (vendor pricing)	Yield	1-2%	1%
Other assets:
Retained interests in securitizations(2)	41		Discounted cash flows	Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity	29-36 9-18% 2-8% 3-4% 72-151%	N/A
Net derivative assets (liabilities)	19		Discounted cash flows	Swap rates	1-2%	2%

__________

(1)Weighted averages are calculated by using the product of the input multiplied by the relative fair value of the instruments.

(2)Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of June 30, 2022 and December 31, 2021, and for which a nonrecurring fair value measurement was recorded during the six and twelve months then ended.

Table 11.4: Nonrecurring Fair Value Measurements

	June 30, 2022
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	205	$	205
Loans held for sale	91		0		91
Other assets(1)	0		91		91
Total	$	91	$	296	$	387

	December 31, 2021
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3
Loans held for investment	$	0	$	194	$	194
Loans held for sale	118		0		118
Other assets(1)	0		325		325
Total	$	118	$	519	$	637

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(1)As of June 30, 2022, other assets included investments accounted for under measurement alternative of $1 million, repossessed assets of $52 million and long-lived assets held for sale of $38 million. As of December 31, 2021, other assets included equity method investments of $50 million, investments accounted for under measurement alternative of $29 million, repossessed assets of $40 million and long-lived assets held for sale of $206 million.

Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at June 30, 2022 and 2021.

Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings

	Total Gains (Losses)
	Six Months Ended June 30,
(Dollars in millions)	2022		2021
Loans held for investment	$	31	$	(97)
Loans held for sale	(6)		0
Other assets(1)	(28)		(61)
Total	$	(3)	$	(158)

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(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative.

Schedule of Fair Value of Financial Instruments

The following table presents the carrying value and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured at fair value on a recurring basis on our consolidated balance sheets as of June 30, 2022 and December 31, 2021.

Table 11.6: Fair Value of Financial Instruments

	June 30, 2022
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	21,553	$	21,553	$	4,825	$	16,728	$	0
Restricted cash for securitization investors	697		697		697		0		0
Net loans held for investment	284,893		287,254		0		0		287,254
Loans held for sale	108		110		0		110		0
Interest receivable	1,611		1,611		0		1,611		0
Other investments(1)	1,735		1,735		0		1,735		0
Financial liabilities:
Deposits with defined maturities	22,225		22,026		0		22,026		0
Securitized debt obligations	17,466		17,446		0		17,446		0
Senior and subordinated notes	30,489		30,152		0		30,152		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	440		440		0		440		0
Other borrowings(2)	10,500		10,501		0		10,501		0
Interest payable	333		333		0		333		0

	December 31, 2021
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	21,746	$	21,746	$	4,164	$	17,582	$	0
Restricted cash for securitization investors	308		308		308		0		0
Net loans held for investment	265,910		270,508		0		0		270,508
Loans held for sale	4,862		5,091		0		5,091		0
Interest receivable	1,460		1,460		0		1,460		0
Other investments(1)	1,344		1,344		0		1,344		0
Financial liabilities:
Deposits with defined maturities	17,923		18,062		0		18,062		0
Securitized debt obligations	14,994		15,122		0		15,122		0
Senior and subordinated notes	27,219		27,842		0		27,842		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	820		820		0		820		0
Interest payable	281		281		0		281		0

__________

(1)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.

(2)Other borrowings exclude capital lease obligations.