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Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2020

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 December 31, 2020 and 2019.

Table 16.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

						December 31, 2020
						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						$	9,318					$	0					$	0					—						$	9,318
RMBS						0						76,375						328						—						76,703
CMBS						0						11,624						111						—						11,735
Other securities						142						2,547						0						—						2,689
Total securities available for sale						9,460						90,546						439						—						100,445
Loans held for sale						0						596						0						—						596
Other assets:
Derivative assets(2)						268						3,006						141						$	(1,148)					2,267
Other(3)						430						552						55						—						1,037
Total assets						$	10,158					$	94,700					$	635					$	(1,148)					$	104,345
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	271					$	1,137					$	110					$	(739)					$	779
Total liabilities						$	271					$	1,137					$	110					$	(739)					$	779

						December 31, 2019
						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						$	4,124					$	0					$	0					—						$	4,124
RMBS						0						63,909						429						—						64,338
CMBS						0						9,413						13						—						9,426
Other securities						231						1,094						0						—						1,325
Total securities available for sale						4,355						74,416						442						—						79,213
Loans held for sale						0						251						0						—						251
Other assets:
Derivative assets(2)						84						1,568						77						$	(633)					1,096
Other(3)						344						0						66						—						410
Total assets						$	4,783					$	76,235					$	585					$	(633)					$	80,970
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	17					$	1,129					$	51					$	(523)					$	674
Total liabilities						$	17					$	1,129					$	51					$	(523)					$	674

__________

(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 9—Derivative Instruments and Hedging Activities” for additional information.

(2)Does not reflect $31 million and $12 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2020 and 2019, 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 offset through non-interest income in the consolidated statements of income.

(3)As of December 31, 2020 and 2019, other includes retained interests in securitizations of $55 million and $66 million, deferred compensation plan assets of $414 million and $343 million, and equity securities of $568 million (including unrealized gains of $535 million) and $1 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 years ended December 31, 2020, 2019 and 2018. 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 16.2: Level 3 Recurring Fair Value Rollforward

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Year Ended December 31, 2020
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2020(1)
(Dollars in millions)						Balance, January 1, 2020						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, December 31, 2020
Securities available for sale:(2)(4)
RMBS						$	433					$	22					$	(19)					$	0					$	0					$	0					$	(72)					$	206					$	(242)					$	328					$	16
CMBS						13						(3)						(9)						0						0						0						(32)						371						(229)						111						0
Total securities available for sale						446						19						(28)						0						0						0						(104)						577						(471)						439						16
Other assets:
Retained interests in securitizations						66						(11)						0						0						0						0						0						0						0						55						(11)
Net derivative assets (liabilities)(3)						26						10						0						0						0						43						(37)						0						(11)						31						10

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Year Ended December 31, 2019
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019(1)
(Dollars in millions)						Balance, January 1, 2019						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, December 31, 2019
Securities available for sale:(2)
RMBS						$	433					$	35					$	5					$	0					$	0					$	0					$	(63)					$	177					$	(158)					$	429					$	34
CMBS						10						0						0						0						0						0						(2)						5						0						13						0
Total securities available for sale						443						35						5						0						0						0						(65)						182						(158)						442						34
Other assets:
Retained interests in securitizations						158						18						0						0						0						0						(110)						0						0						66						(19)
Net derivative assets (liabilities)(3)						(10)						6						0						0						0						(16)						52						0						(6)						26						1

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Year Ended December 31, 2018
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018(1)
(Dollars in millions)						Balance, January 1, 2018						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, December 31, 2018
Securities available for sale:(2)
RMBS						$	614					$	32					$	(8)					$	0					$	0					$	0					$	(74)					$	203					$	(334)					$	433					$	28
CMBS						14						0						0						0						0						0						(4)						0						0						10						0
Other securities						5						0						0						0						0						0						(5)						0						0						0						0
Total securities available for sale						633						32						(8)						0						0						0						(83)						203						(334)						443						28
Other assets:
Consumer MSRs						92						3						0						0						(97)						2						0						0						0						0						0
Retained interests in securitizations						172						(14)						0						0						0						0						0						0						0						158						(14)
Net derivative assets (liabilities)(3)						13						(20)						0						0						0						13						(17)						0						1						(10)						(20)

__________

(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)Net unrealized losses included in other comprehensive income related to Level 3 securities available for sale still held as of December 31, 2020 were $21 million. Net unrealized losses included in other comprehensive income related to Level 3 securities available for sale still held as of December 31, 2019 were $4 million. Net unrealized losses included in other comprehensive income related to Level 3 securities available for sale still held as of December 31, 2018 were $17 million.

(3)Includes derivative assets and liabilities of $141 million and $110 million, respectively, as of December 31, 2020, $77 million and $51 million, respectively, as of December 31, 2019 and $38 million and $48 million, respectively, as of December 31, 2018.

(4)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.

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 16.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2020

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

328

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

2-12% 8-15% 0-11% 30-100%

3% 10% 2% 73%

CMBS

111

Discounted cash flows (vendor pricing)

Yield

1-3%

2%

Other assets:

Retained interests in securitizations(2)

55

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

37-52 3-13% 2-12% 3-3% 55-70%

N/A

Net derivative assets (liabilities)

31

Discounted cash flows

Swap rates

1%

1%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2019

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

429

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

2-18% 0-18% 1-6% 30-95%

5% 10% 2% 67%

CMBS

13

Discounted cash flows (vendor pricing)

Yield

2-3%

2%

Other assets:

Retained interests in securitizations(2)

66

Discounted cash flows

Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity

35-51 4-14% 3-10% 2-3% 74-88%

N/A

Net derivative assets (liabilities)

26

Discounted cash flows

Swap rates

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 December 31, 2020 and 2019, and for which a nonrecurring fair value measurement was recorded during the year then ended.

Table 16.4: Nonrecurring Fair Value Measurements

						December 31, 2020
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	305					$	305
Other assets(1)						0						175						175
Total						$	0					$	480					$	480

						December 31, 2019
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	294					$	294
Other assets(1)						0						103						103
Total						$	0					$	397					$	397

__________

(1)As of December 31, 2020, other assets included equity investments accounted for under the measurement alternative of $25 million, repossessed assets of $42 million and long-lived assets held for sale of $108 million. As of December 31, 2019, other assets included equity investments accounted for under the measurement alternative of $5 million, repossessed assets of $61 million and long-lived assets held for sale of $37 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 December 31, 2020 and 2019.

Table 16.5: Nonrecurring Fair Value Measurements Included in Earnings

						Total Gains (Losses)
						Year Ended December 31,
(Dollars in millions)						2020						2019
Loans held for investment						$	198					$	(268)
Other assets(1)						(85)						(76)
Total						$	113					$	(344)

__________

(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 December 31, 2020 and 2019.

Table 16.6: Fair Value of Financial Instruments

						December 31, 2020
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	40,509					$	40,509					$	4,708					$	35,801					$	0
Restricted cash for securitization investors						262						262						262						0						0
Net loans held for investment						236,060						244,701						0						0						244,701
Loans held for sale						2,114						2,214						0						2,214						0
Interest receivable						1,471						1,471						0						1,471						0
Other investments(1)						1,341						1,341						0						1,341						0
Financial liabilities:
Deposits with defined maturities						32,746						33,111						0						33,111						0
Securitized debt obligations						12,414						12,584						0						12,584						0
Senior and subordinated notes						27,382						28,282						0						28,282						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						668						668						0						668						0
Interest payable						352						352						0						352						0

						December 31, 2019
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	13,407					$	13,407					$	4,129					$	9,278					$	0
Restricted cash for securitization investors						342						342						342						0						0
Net loans held for investment						258,601						258,696						0						0						258,696
Loans held for sale						149						149						0						149						0
Interest receivable						1,758						1,758						0						1,758						0
Other investments(1)						1,638						1,638						0						1,638						0
Financial liabilities:
Deposits with defined maturities						44,958						45,225						0						45,225						0
Securitized debt obligations						17,808						17,941						0						17,941						0
Senior and subordinated notes						30,472						31,233						0						31,233						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						314						314						0						314						0
Other borrowings(2)						7,000						7,001						0						7,001						0
Interest payable						439						439						0						439						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 excludes finance lease liabilities.

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