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Fair Value Measurement | 9 Months Ended
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Sep. 30, 2024
Fair Value Disclosures [Abstract] |
Fair Value Measurement |
NOTE 12—FAIR VALUE MEASUREMENT
Fair value, also referred to as an exit price, is defined as the price that would be received for an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The fair value accounting guidance provides a three-level fair value hierarchy for classifying financial instruments. This hierarchy is based on the markets in which the assets or liabilities trade and whether the inputs to the valuation techniques used to measure fair value are observable or unobservable. The fair value measurement of a financial asset or liability is assigned a level based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are described below:
Level 1: |  | Valuation is based on quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2: |  | Valuation is based on observable market-based inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3: |  | Valuation is generated from techniques that use significant assumptions not observable in the market. Valuation techniques include pricing models, discounted cash flow (“DCF”) methodologies or similar techniques.
The accounting guidance for fair value measurements requires that we maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. We consider all available information, including observable market data, indications of market liquidity and orderliness, and our understanding of the valuation techniques and significant inputs. Based upon the specific facts and circumstances of each instrument or instrument category, judgments are made regarding the significance of the observable or unobservable inputs to the instruments’ fair value measurement in its entirety. If unobservable inputs are considered significant, the instrument is classified as Level 3. The process for determining fair value using unobservable inputs is generally more subjective and involves a high degree of management judgment and assumptions. The accounting guidance provides for the irrevocable option to elect, on a contract-by-contract basis, to measure certain financial assets and liabilities at fair value at inception of the contract and record any subsequent changes in fair value in earnings. The determination and classification of financial instruments in the fair value hierarchy is performed at the end of each reporting period. For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring basis, see “Part II—Item 8. Financial Statements and Supplementary Data—Note 16—Fair Value Measurement” in our 2023 Form 10-K. Assets and Liabilities Measured at Fair Value on a 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 September 30, 2024 and December 31, 2023. Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
|  | September 30, 2024
|  | 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 |  | $ | 6,032 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 6,032 |
RMBS |  | 0 |  |  | 66,127 |  |  | 180 |  |  | 0 |  | 66,307 |
CMBS |  | 0 |  |  | 8,181 |  |  | 2 |  |  | 0 |  | 8,183 |
Other securities |  | 131 |  |  | 2,847 |  |  | 0 |  |  | 0 |  | 2,978 |
Total securities available for sale |  | 6,163 |  |  | 77,155 |  |  | 182 |  |  | 0 |  | 83,500 |
Loans held for sale |  | 0 |  |  | 77 |  |  | 0 |  |  | 0 |  | 77 |
Other assets: |  |  |  |  |  |  |  |  |  |
Derivative assets(2) |  | 866 |  |  | 929 |  |  | 613 |  |  | (725) |  |  | 1,683 |
Other(3) |  | 675 |  |  | 0 |  |  | 34 |  |  | 0 |  | 709 |
Total assets |  | $ | 7,704 |  |  | $ | 78,161 |  |  | $ | 829 |  |  | $ | (725) |  |  | $ | 85,969 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Other liabilities: |  |  |  |  |  |  |  |  |  |
Derivative liabilities(2) |  | $ | 574 |  |  | $ | 1,515 |  |  | $ | 568 |  |  | $ | (622) |  |  | $ | 2,035 |
Total liabilities |  | $ | 574 |  |  | $ | 1,515 |  |  | $ | 568 |  |  | $ | (622) |  |  | $ | 2,035 |
|  | December 31, 2023
|  | 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 |  | $ | 5,282 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 5,282 |
RMBS |  | 0 |  |  | 63,492 |  |  | 146 |  |  | 0 |  | 63,638 |
CMBS |  | 0 |  |  | 8,191 |  |  | 132 |  |  | 0 |  | 8,323 |
Other securities |  | 126 |  |  | 1,748 |  |  | 0 |  |  | 0 |  | 1,874 |
Total securities available for sale |  | 5,408 |  |  | 73,431 |  |  | 278 |  |  | 0 |  | 79,117 |
Loans held for sale |  | 0 |  |  | 347 |  |  | 0 |  |  | 0 |  | 347 |
Other assets: |  |  |  |  |  |  |  |  |  |
Derivative assets(2) |  | 788 |  |  | 1,001 |  |  | 886 |  |  | (1,005) |  |  | 1,670 |
Other(3) |  | 589 |  |  | 3 |  |  | 35 |  |  | 0 |  | 627 |
Total assets |  | $ | 6,785 |  |  | $ | 74,782 |  |  | $ | 1,199 |  |  | $ | (1,005) |  |  | $ | 81,761 |
Liabilities: |  |  |  |  |  |  |  |  |  |
Other liabilities: |  |  |  |  |  |  |  |  |  |
Derivative liabilities(2) |  | $ | 449 |  |  | $ | 1,655 |  |  | $ | 828 |  |  | $ | (597) |  |  | $ | 2,335 |
Total liabilities |  | $ | 449 |  |  | $ | 1,655 |  |  | $ | 828 |  |  | $ | (597) |  |  | $ | 2,335 |
__________ (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 reflec t approximate ly $3 million and $2 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2024 and December 31, 2023, 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 September 30, 2024 and December 31, 2023, other includes retained interests in securitizations o f $34 million and $35 million, deferred compensation plan assets of $670 million and $578 million and equity securities of $5 million (including unrealized gains of $5 million) and $14 million (including unrealized gains of $5 million), respectively. Level 3 Recurring Fair Value Rollforward 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 nine months ended September 30, 2024 and 2023. 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 12.2: Level 3 Recurring Fair Value Rollforward
|  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|  | Three Months Ended September 30, 2024
|  |  |  | Total Gains (Losses) (Realized/Unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(1)
(Dollars in millions) |  | Balance, July 1, 2024 |  | Included in Net Income(1) |  | Included in OCI |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Balance, September 30, 2024 |
Securities available for sale:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 304 |  |  | $ | 2 |  |  | $ | 11 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (4) |  |  | $ | 2 |  |  | $ | (135) |  |  | $ | 180 |  |  | $ | 2 |
CMBS |  | 2 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 2 |  |  | 0 |
Total securities available for sale |  | 306 |  |  | 2 |  |  | 11 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (4) |  |  | 2 |  |  | (135) |  |  | 182 |  |  | 2 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations |  | 34 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 34 |  |  | 0 |
Net derivative assets (liabilities)(3) |  | 69 |  |  | (20) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 4 |  |  | (8) |  |  | 0 |  |  | 0 |  |  | 45 |  |  | (15) |
|  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|  | Nine Months Ended September 30, 2024
|  |  |  | Total Gains (Losses) (Realized/Unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2024(1)
(Dollars in millions) |  | Balance, January 1, 2024 |  | Included in Net Income(1) |  | Included in OCI |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Balance, September 30, 2024 |
Securities available for sale:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 146 |  |  | $ | 6 |  |  | $ | 8 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (9) |  |  | $ | 187 |  |  | $ | (158) |  |  | $ | 180 |  |  | $ | 5 |
CMBS |  | 132 |  |  | 0 |  |  | (3) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (3) |  |  | 0 |  |  | (124) |  |  | 2 |  |  | 0 |
Total securities available for sale |  | 278 |  |  | 6 |  |  | 5 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (12) |  |  | 187 |  |  | (282) |  |  | 182 |  |  | 5 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations |  | 35 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 34 |  |  | (1) |
Net derivative assets (liabilities)(3) |  | 58 |  |  | (17) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 1 |  |  | 3 |  |  | 0 |  |  | 0 |  |  | 45 |  |  | (18) |
|  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|  | Three Months Ended September 30, 2023
|  |  |  | Total Gains (Losses) (Realized/Unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(1)
(Dollars in millions) |  | Balance, July 1, 2023 |  | Included in Net Income(1) |  | Included in OCI |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Balance, September 30, 2023 |
Securities available for sale:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 206 |  |  | $ | 2 |  |  | $ | (5) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (6) |  |  | $ | 2 |  |  | $ | (50) |  |  | $ | 149 |  |  | $ | 2 |
CMBS |  | 133 |  |  | 0 |  |  | (6) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | 126 |  |  | 0 |
Total securities available for sale |  | 339 |  |  | 2 |  |  | (11) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (7) |  |  | 2 |  |  | (50) |  |  | 275 |  |  | 2 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations |  | 36 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 35 |  |  | (1) |
Net derivative assets (liabilities)(3) |  | 64 |  |  | (2) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 3 |  |  | 18 |  |  | (15) |  |  | 0 |  |  | 68 |  |  | 4 |
|  | Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
|  | Nine Months Ended September 30, 2023
|  |  |  | Total Gains (Losses) (Realized/Unrealized) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2023(1)
(Dollars in millions) |  | Balance, January 1, 2023 |  | Included in Net Income(1) |  | Included in OCI |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers Into Level 3 |  | Transfers Out of Level 3 |  | Balance, September 30, 2023 |
Securities available for sale:(2) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 236 |  |  | $ | 6 |  |  | $ | (4) |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | 0 |  |  | $ | (17) |  |  | $ | 47 |  |  | $ | (119) |  |  | $ | 149 |  |  | $ | 5 |
CMBS |  | 142 |  |  | 0 |  |  | (12) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (4) |  |  | 0 |  |  | 0 |  |  | 126 |  |  | 0 |
Total securities available for sale |  | 378 |  |  | 6 |  |  | (16) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | (21) |  |  | 47 |  |  | (119) |  |  | 275 |  |  | 5 |
Other assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations |  | 36 |  |  | (1) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 35 |  |  | (1) |
Net derivative assets (liabilities)(3)(4) |  | 5 |  |  | (20) |  |  | 0 |  |  | 0 |  |  | 0 |  |  | 176 |  |  | 75 |  |  | (167) |  |  | (1) |  |  | 68 |  |  | 71 |
_________ (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 both the three and nine months ended September 30, 2024, included in OCI related to Level 3 securities available for sale still held as of September 30, 2024 were net unrealized losses of $2 million. For the three and nine months ended September 30, 2023, included in OCI related to Level 3 securities available for sale still held as of September 30, 2023 were net unrealized losses of $9 million and $14 million, respectively. (3)Includes derivative assets and liabilities of $613 million and $568 million, respectively, as of September 30, 2024 and $1.3 billion and $1.3 billion, respectively, as of September 30, 2023. (4)Transfers into Level 3 primarily consist of term Secured Overnight Financing Rate (“SOFR”)-indexed interest rate derivatives. Significant Level 3 Fair Value Asset and Liability Inputs Generally, uncertainties in fair value measurements of financial instruments, such as changes in unobservable inputs, may have a significant impact on fair value. Certain of these unobservable inputs will, in isolation, have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. In general, an increase in the discount rate, default rates, loss severity or credit spreads, in isolation, would result in a decrease in the fair value measurement. In addition, an increase in default rates would generally be accompanied by a decrease in recovery rates, slower prepayment rates and an increase in liquidity spreads, and would lead to a decrease in the fair value measurement. Techniques and Inputs for Level 3 Fair Value Measureme nts 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 12.3: Quantitative Information about Level 3 Fair Value Measurements
|  | Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions) |  | Fair Value at September 30, 2024 |  | Significant Valuation Techniques |  | Significant Unobservable Inputs |  | Range |  | Weighted Average(1)
Securities available for sale: |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 180 |  |  | Discounted cash flows (vendor pricing) |  | Yield Voluntary prepayment rate Default rate Loss severity |  | 4-14% 0-12% 0-6% 25-80% |  | 6% 7% 1% 61%
CMBS |  | 2 |  |  | Discounted cash flows (vendor pricing) |  | Yield |  | 5-7% |  | 7%
Other assets: |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations(2) |  | 34 |  |  | Discounted cash flows |  | Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity |  | 31-73 7-9% 5-14% 1-2% 46-155% |  | N/A
Net derivative assets (liabilities) |  | 45 |  |  | Discounted cash flows |  | Swap rates |  | 3-5% |  | 3%
|  | Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions) |  | Fair Value at December 31, 2023 |  | Significant Valuation Techniques |  | Significant Unobservable Inputs |  | Range |  | Weighted Average(1)
Securities available for sale: |  |  |  |  |  |  |  |  |  |
RMBS |  | $ | 146 |  |  | Discounted cash flows (vendor pricing) |  | Yield Voluntary prepayment rate Default rate Loss severity |  | 2-19% 0-12% 0-10% 30-80% |  | 7% 7% 1% 61%
CMBS |  | 132 |  |  | Discounted cash flows (vendor pricing) |  | Yield |  | 5-7% |  | 5%
Other assets: |  |  |  |  |  |  |  |  |  |
Retained interests in securitizations(2) |  | 35 |  |  | Discounted cash flows |  | Life of receivables (months) Voluntary prepayment rate Discount rate Default rate Loss severity |  | 33-69 9% 5-14% 2% 53-163% |  | N/A
Net derivative assets (liabilities) |  | 58 |  |  | Discounted cash flows |  | Swap rates |  | 3-5% |  | 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. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis We are required to measure and recognize certain assets at fair value on a nonrecurring basis on the consolidated balance sheets. These assets are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, from the application of lower of cost or fair value accounting or when we evaluate for impairment). The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2024 and December 31, 2023, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended. Table 12.4: Nonrecurring Fair Value Measurements
|  | September 30, 2024
|  | Estimated Fair Value Hierarchy |  | Total
(Dollars in millions) |  | Level 2 |  | Level 3 |
Loans held for investment |  | $ | 0 |  |  | $ | 738 |  |  | $ | 738 |
Loans held for sale |  | 10 |  |  | 0 |  |  | 10 |
Other assets(1) |  | 0 |  |  | 100 |  |  | 100 |
Total |  | $ | 10 |  |  | $ | 838 |  |  | $ | 848 |
|  | December 31, 2023
|  | Estimated Fair Value Hierarchy |  | Total
(Dollars in millions) |  | Level 2 |  | Level 3 |
Loans held for investment |  | $ | 0 |  |  | $ | 545 |  |  | $ | 545 |
Loans held for sale |  | 37 |  |  | 0 |  |  | 37 |
Other assets(1) |  | 0 |  |  | 214 |  |  | 214 |
Total |  | $ | 37 |  |  | $ | 759 |  |  | $ | 796 |
__________ (1)As of September 30, 2024, other assets includes investments accounted for under measurement alternative of $47 million, cost method investments of $1 million and repossessed assets of $52 million. As of December 31, 2023, other assets included investments accounted for under measurement alternative of $46 million, repossessed assets of $45 million and long-lived assets held for sale and right-of-use assets totaling $123 million. In the above table, loans held for investment are generally valued based in part on the estimated fair value of the underlying collateral and the non-recoverable rate, which is considered to be a significant unobservable input. The non-recoverable rate ranged from 7% to 61%, with a weighted average of 19%, and from 0% to 100%, wi th a weighted average of 18%, as of September 30, 2024 and December 31, 2023, respectively. The weighted average non-recoverable rate is calculated based on the estimated market value of the underlying collateral. The significant unobservable inputs and related quantitative information related to fair value of the other assets are not meaningful to disclose as they vary significantly across properties and collateral. 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 September 30, 2024 and 2023. Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings
|  | Total Gains (Losses)
|  | Nine Months Ended September 30,
(Dollars in millions) |  | 2024 |  | 2023
Loans held for investment |  | $ | (224) |  |  | $ | (315) |
Loans held for sale |  | (6) |  |  | 0 |
Other assets(1) |  | (64) |  |  | (52) |
Total |  | $ | (294) |  |  | $ | (367) |
__________ (1)Other assets primarily include fair value adjustments related to repossessed assets and equity investments accounted for under the measurement alternative. 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 September 30, 2024 and December 31, 2023. Table 12.6: Fair Value of Financial Instruments
|  | September 30, 2024
|  | Carrying Value |  | Estimated Fair Value |  | Estimated Fair Value Hierarchy
(Dollars in millions) |  |  |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 49,298 |  |  | $ | 49,298 |  |  | $ | 3,976 |  |  | $ | 45,322 |  |  | $ | 0 |
Restricted cash for securitization investors |  | 421 |  |  | 421 |  |  | 421 |  |  | 0 |  |  | 0 |
Net loans held for investment |  | 303,709 |  |  | 308,901 |  |  | 0 |  |  | 0 |  |  | 308,901 |
Loans held for sale |  | 19 |  |  | 19 |  |  | 0 |  |  | 19 |  |  | 0 |
Interest receivable |  | 2,577 |  |  | 2,577 |  |  | 0 |  |  | 2,577 |  |  | 0 |
Other investments(1) |  | 1,330 |  |  | 1,330 |  |  | 0 |  |  | 1,330 |  |  | 0 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Deposits with defined maturities |  | 77,678 |  |  | 77,893 |  |  | 0 |  |  | 77,893 |  |  | 0 |
Securitized debt obligations |  | 15,881 |  |  | 15,939 |  |  | 0 |  |  | 15,939 |  |  | 0 |
Senior and subordinated notes |  | 32,911 |  |  | 33,694 |  |  | 0 |  |  | 33,694 |  |  | 0 |
Federal funds purchased and securities loaned or sold under agreements to repurchase |  | 520 |  |  | 520 |  |  | 0 |  |  | 520 |  |  | 0 |
Interest payable |  | 705 |  |  | 705 |  |  | 0 |  |  | 705 |  |  | 0 |
|  | December 31, 2023
|  | Carrying Value |  | Estimated Fair Value |  | Estimated Fair Value Hierarchy
(Dollars in millions) |  |  |  | Level 1 |  | Level 2 |  | Level 3
Financial assets: |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents |  | $ | 43,297 |  |  | $ | 43,297 |  |  | $ | 4,903 |  |  | $ | 38,394 |  |  | $ | 0 |
Restricted cash for securitization investors |  | 458 |  |  | 458 |  |  | 458 |  |  | 0 |  |  | 0 |
Net loans held for investment |  | 305,176 |  |  | 308,044 |  |  | 0 |  |  | 0 |  |  | 308,044 |
Loans held for sale |  | 507 |  |  | 515 |  |  | 0 |  |  | 515 |  |  | 0 |
Interest receivable |  | 2,478 |  |  | 2,478 |  |  | 0 |  |  | 2,478 |  |  | 0 |
Other investments(1) |  | 1,329 |  |  | 1,329 |  |  | 0 |  |  | 1,329 |  |  | 0 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |
Deposits with defined maturities |  | 83,014 |  |  | 82,990 |  |  | 0 |  |  | 82,990 |  |  | 0 |
Securitized debt obligations |  | 18,043 |  |  | 18,067 |  |  | 0 |  |  | 18,067 |  |  | 0 |
Senior and subordinated notes |  | 31,248 |  |  | 31,524 |  |  | 0 |  |  | 31,524 |  |  | 0 |
Federal funds purchased and securities loaned or sold under agreements to repurchase |  | 538 |  |  | 538 |  |  | 0 |  |  | 538 |  |  | 0 |
Interest payable |  | 649 |  |  | 649 |  |  | 0 |  |  | 649 |  |  | 0 |
__________ (1)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 107 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-107 Reference 2: http://www.xbrl.org/2003/role/exampleRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 55 -Paragraph 100 -Publisher FASB -URI https://asc.fasb.org/1943274/2147482078/820-10-55-100 Reference 3: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (c)(3) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 4: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 5: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2E -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2E Reference 6: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 7: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 8: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (e) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 9: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 6A -Subparagraph (d) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-6A Reference 10: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (h) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 11: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (g) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 12: http://www.xbrl.org/2003/role/disclosureRef -Topic 940 -SubTopic 820 -Name Accounting Standards Codification -Section 50 -Paragraph 1 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147478119/940-820-50-1 + Details
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