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Fair Value Measurement (Tables)
 6 Months Ended
Jun. 30, 2023
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, 2023 and December 31, 2022.
Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2023
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Securities available for sale:
U.S. Treasury securities$5,110 $0 $0 0$5,110 
RMBS0 63,312 206 063,518 
CMBS0 7,879 133 08,012 
Other securities125 1,647 0 01,772 
Total securities available for sale5,235 72,838 339 078,412 
Loans held for sale0 542 0 0542 
Other assets:
Derivative assets(2)
545 988 1,212 $(1,250)1,495 
Other(3)
540 3 36 0579 
Total assets$6,320 $74,371 $1,587 $(1,250)$81,028 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$482 $1,926 $1,148 $(717)$2,839 
Total liabilities$482 $1,926 $1,148 $(717)$2,839 
December 31, 2022
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Securities available for sale:
U.S. Treasury securities$5,041 $0 $0 0$5,041 
RMBS0 62,353 236 062,589 
CMBS0 7,728 142 07,870 
Other securities186 1,233 0 01,419 
Total securities available for sale5,227 71,314 378 076,919 
Loans held for sale0 191 0 0191 
Other assets:
Derivative assets(2)
474 2,545 79 $(1,134)1,964 
Other(3)
464 3 36 0503 
Total assets$6,165 $74,053 $493 $(1,134)$79,577 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$823 $3,653 $74 $(1,235)$3,315 
Total liabilities$823 $3,653 $74 $(1,235)$3,315 
__________
(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 $2 million and $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2023 and December 31, 2022, respectively. Non-performance risk is included in the measurement of derivative assets and liabilities on our consolidated balance sheets, and is recorded through non-interest income in the consolidated statements of income.
(3)As of June 30, 2023 and December 31, 2022, other includes retained interests in securitizations of $36 million and $36 million, deferred compensation plan assets of $536 million and $453 million, and equity securities of $7 million (including unrealized losses of $1 million) and $14 million (including unrealized losses of $23 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, 2023 and 2022. 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, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(1)
(Dollars in millions)Balance, April 1, 2023
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3		Transfers
Out of
Level 3		    Balance, June 30, 2023
Securities available for sale:(2)
RMBS$247 $3 $(2)$0 $0 $0 $(6)$11 $(47)$206 $2 
CMBS145 0 (11)0 0 0 (1)0 0 133 0 
Total securities available for sale392 3 (13)0 0 0 (7)11 (47)339 2 
Other assets:
Retained interests in securitizations36 0 0 0 0 0 0 0 0 36 0 
Net derivative assets (liabilities)(3)(4)
18 (13)0 0 0 69 45 (55)0 64 6 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Six Months Ended June 30, 2023
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2023(1)
(Dollars in millions)Balance, January 1, 2023
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3		Transfers
Out of
Level 3		Balance, June 30, 2023    
Securities available for sale:(2)
RMBS$236 $4 $1 $0 $0 $0 $(11)$45 $(69)$206 $4 
CMBS142 0 (6)0 0 0 (3)0 0 133 0 
Total securities available for sale378 4 (5)0 0 0 (14)45 (69)339 4 
Other assets:
Retained interests in securitizations36 0 0 0 0 0 0 0 0 36 0 
Net derivative assets (liabilities)(3)(4)
5 (18)0 0 0 173 57 (152)(1)64 51 
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 OCIPurchasesSalesIssuancesSettlementsTransfers
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 
CMBS21 0 (1)0 0 0 (4)0 (3)13 0 
Total securities available for sale232 3 (9)0 0 0 (19)72 (26)253 2 
Other assets:
Retained interests in securitizations39 (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 OCIPurchasesSalesIssuancesSettlementsTransfers
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 
CMBS9 0 (1)0 0 0 (5)13 (3)13 (1)
Total securities available for sale267 13 (21)0 0 0 (48)97 (55)253 4 
Other assets:
Retained interests in securitizations41 (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)
_________
(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, 2023, included in OCI related to Level 3 securities available for sale still held as of June 30, 2023 were net unrealized losses of $13 million and $5 million. 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.
(3)Includes derivative assets and liabilities of $1.2 billion and $1.1 billion, respectively, as of June 30, 2023 and $131 million and $143 million, respectively, as of June 30, 2022.
(4)Transfers into Level 3 primarily consist of term SOFR-indexed interest rate derivatives.
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,
2023		Significant
Valuation
Techniques		Significant
Unobservable
Inputs		Range
Weighted
Average(1)
Securities available for sale:
RMBS$206 Discounted cash flows (vendor pricing)Yield
Voluntary prepayment rate
Default rate
Loss severity
3-17%
5-12%
0-12%
30-80%
7%
8%
2%
57%
CMBS133 Discounted cash flows (vendor pricing)Yield
4-6%
5%
Other assets:
Retained interests in securitizations(2)
36 Discounted cash flowsLife of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
33-60
9-13%
5-12%
1-2%
23-163%
N/A
Net derivative assets (liabilities)64 Discounted cash flowsSwap rates
3-5%
4%
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)Fair Value at
December 31,
2022		Significant
Valuation
Techniques		Significant
Unobservable
Inputs		Range
Weighted
Average(1)
Securities available for sale:
RMBS$236 Discounted cash flows (vendor pricing)Yield
Voluntary prepayment rate
Default rate
Loss severity
3-12%
4-20%
0-11%
30-80%
7%
8%
2%
58%
CMBS142 Discounted cash flows (vendor pricing)Yield
4-5%
5%
Other assets:
Retained interests in securitizations(2)
36 Discounted cash flowsLife of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
30-43
9-18%
4-7%
1%
62-291%
N/A
Net derivative assets (liabilities)5 Discounted cash flowsSwap rates
3-4%
4%
__________
(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, 2023 and December 31, 2022, 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, 2023
Estimated Fair Value HierarchyTotal
(Dollars in millions)Level 2Level 3
Loans held for investment$0 $391 $391 
Loans held for sale0 0 0 
Other assets(1)
0 85 85 
Total$0 $476 $476 
December 31, 2022
Estimated Fair Value HierarchyTotal
(Dollars in millions)Level 2Level 3
Loans held for investment$0 $284 $284 
Loans held for sale11 0 11 
Other assets(1)
0 220 220 
Total$11 $504 $515 
__________
(1)As of June 30, 2023, other assets included investments accounted for under measurement alternative of $33 million, repossessed assets of $50 million, and long-lived assets held for sale and right-of-use assets totaling $2 million. As of December 31, 2022, other assets included investments accounted for under
measurement alternative of $4 million, cost method investments of $3 million, repossessed assets of $55 million and long-lived assets held for sale and right-of-use assets totaling $158 million.
Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at June 30, 2023 and 2022.
Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings
Total Gains (Losses)
Six Months Ended June 30,
(Dollars in millions)20232022
Loans held for investment$(275)$31 
Loans held for sale0 (6)
Other assets(1)
(45)(28)
Total$(320)$(3)
__________
(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and right-of-use assets, 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, 2023 and December 31, 2022.
Table 11.6: Fair Value of Financial Instruments
June 30, 2023
Carrying
Value		Estimated
Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$41,596 $41,596 $3,360 $38,236 $0 
Restricted cash for securitization investors452 452 452 0 0 
Net loans held for investment296,677 299,206 0 0 299,206 
Loans held for sale(1)
669 669 0 669 0 
Interest receivable2,297 2,297 0 2,297 0 
Other investments(2)
1,326 1,326 0 1,326 0 
Financial liabilities:
Deposits with defined maturities78,336 77,924 0 77,924 0 
Securitized debt obligations17,861 17,811 0 17,811 0 
Senior and subordinated notes31,627 31,334 0 31,334 0 
Federal funds purchased and securities loaned or sold under agreements to repurchase649 649 0 649 0 
Interest payable637 637 0 637 0 
 December 31, 2022
Carrying
Value		Estimated
Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$30,856 $30,856 $5,193 $25,663 $0 
Restricted cash for securitization investors400 400 400 0 0 
Net loans held for investment299,091 302,920 0 0 302,920 
Loans held for sale11 11 0 11 0 
Interest receivable2,104 2,104 0 2,104 0 
Other investments(2)
1,326 1,326 0 1,326 0 
Financial liabilities:
Deposits with defined maturities45,858 45,531 0 45,531 0 
Securitized debt obligations16,973 16,918 0 16,918 0 
Senior and subordinated notes30,826 30,744 0 30,744 0 
Federal funds purchased and securities loaned or sold under agreements to repurchase883 883 0 883 0 
Interest payable527 527 0 527 0 
__________
(1)Represents individual loans and loan portfolios we have made the decision to sell, including a commercial office real estate loan portfolio.
(2)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.