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Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2025

Fair Value Disclosures [Abstract]

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

The following table displays our assets and liabilities of continuing operations measured on our consolidated balance sheets at fair value on a recurring basis as of September 30, 2025 and December 31, 2024.

Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

						September 30, 2025
						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						$	8,637					$	0					$	0					$	0					$	8,637
RMBS						0						68,773						126						0						68,899
CMBS						0						8,440						0						0						8,440
Other securities						132						3,625						0						0						3,757
Total securities available for sale						8,769						80,838						126						0						89,733
Loans held for sale						0						620						0						0						620
Other assets:
Derivative assets(2)						686						961						478						(481)						1,644
Other(3)						812						0						29						0						841
Total assets						$	10,267					$	82,419					$	633					$	(481)					$	92,838
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	524					$	1,077					$	370					$	(449)					$	1,522
Total liabilities						$	524					$	1,077					$	370					$	(449)					$	1,522

						December 31, 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						$	6,110					$	0					$	0					$	0					$	6,110
RMBS						0						65,212						116						0						65,328
CMBS						0						7,823						2						0						7,825
Other securities						123						3,627						0						0						3,750
Total securities available for sale						6,233						76,662						118						0						83,013
Loans held for sale						0						87						0						0						87
Other assets:
Derivative assets(2)						510						1,039						683						(1,056)						1,176
Other(3)						689						0						34						0						723
Total assets						$	7,432					$	77,788					$	835					$	(1,056)					$	84,999
Liabilities:
Other liabilities:
Derivative liabilities(2)						$	384					$	1,034					$	614					$	(304)					$	1,728
Total liabilities						$	384					$	1,034					$	614					$	(304)					$	1,728

__________

(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 approximately $6 million and $1 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2025 and December 31, 2024, 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, 2025 and December 31, 2024, other includes retained interests in securitizations of $29 million and $34 million, deferred compensation plan assets of $810 million and $688 million, equity securities of $2 million (including unrealized gains of $1 million) and $1 million, respectively.

Schedule of Level 3 Inputs Reconciliation

The table below presents a reconciliation for all assets and liabilities of continuing operations 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, 2025 and 2024. 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, 2025
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2025(1)
(Dollars in millions)						Balance, July 1, 2025						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2025
Securities available for sale:(2)
RMBS						$	142					$	1					$	0					$	0					$	0					$	0					$	(2)					$	6					$	(21)					$	126					$	2
CMBS						0						0						0						0						0						0						0						0						0						0						0
Total securities available for sale						142						1						0						0						0						0						(2)						6						(21)						126						2
Other assets:
Retained interests in securitizations						29						0						0						0						0						0						0						0						0						29						0
Net derivative assets (liabilities)(3)						108						(5)						0						0						0						9						(4)						0						0						108						(7)

						Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
						Nine Months Ended September 30, 2025
												Total Gains (Losses) (Realized/Unrealized)																																																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2025(1)
(Dollars in millions)						Balance, January 1, 2025						Included in Net Income(1)						Included in OCI						Purchases						Sales						Issuances						Settlements						Transfers Into Level 3						Transfers Out of Level 3						Balance, September 30, 2025
Securities available for sale:(2)
RMBS						$	116					$	5					$	3					$	0					$	0					$	0					$	(9)					$	32					$	(21)					$	126					$	5
CMBS						2						0						0						0						(1)						0						(1)						0						0						0						0
Total securities available for sale						118						5						3						0						(1)						0						(10)						32						(21)						126						5
Other assets:
Retained interests in securitizations						34						(5)						0						0						0						0						0						0						0						29						(5)
Net derivative assets (liabilities)(3)						69						11						0						0						0						33						(5)						0						0						108						7

						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)

__________

(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 nine months ended September 30, 2025 there were net unrealized gains of $6 million included in OCI related to Level 3 securities available for sale. For both the three and nine months ended September 30, 2024 there were net unrealized losses of $2 million included in OCI related to Level 3 securities available for sale. There were no net unrealized gains or losses for the three months ended September 30, 2025.

(3)Includes derivative assets and liabilities of $478 million and $370 million, respectively, as of September 30, 2025 and $613 million and $568 million, respectively, as of September 30, 2024.

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 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, 2025

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

126

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

5-10% 0-16% 0-6% 25-75%

6% 7% 1% 56%

CMBS

0

Discounted cash flows (vendor pricing)

Yield

4%

4%

Other assets:

Retained interests in securitizations(2)

29

Discounted cash flows

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

34-68 8% 5-13% 1% 49%

N/A

Net derivative assets (liabilities)

108

Discounted cash flows

Swap rates

3-4%

3%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2024

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

116

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

6-10% 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

31-81 7-9% 5-15% 1% 44-155%

N/A

Net derivative assets (liabilities)

69

Discounted cash flows

Swap rates

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 September 30, 2025 and December 31, 2024, 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, 2025
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	525					$	525
Loans held for sale						8						0						8
Other assets(1)						0						122						122
Total						$	8					$	647					$	655

						December 31, 2024
						Estimated Fair Value Hierarchy												Total
(Dollars in millions)						Level 2						Level 3
Loans held for investment						$	0					$	827					$	827
Loans held for sale						4						0						4
Other assets(1)						0						133						133
Total						$	4					$	960					$	964

__________

(1)As of September 30, 2025, other assets included investments accounted for under measurement alternative of $41 million, repossessed assets of $76 million, and long-lived assets held for sale and right-of-use assets totaling $5 million. As of December 31, 2024, other assets included investments accounted for under measurement alternative of $71 million and repossessed assets of $62 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 September 30, 2025 and 2024.

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings

						Total Gains (Losses)
						Nine Months Ended September 30,
(Dollars in millions)						2025						2024
Loans held for investment						$	(270)					$	(224)
Loans held for sale						(1)						(6)
Other assets(1)						(116)						(64)
Total						$	(387)					$	(294)

__________

(1)Other assets primarily 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 September 30, 2025 and December 31, 2024.

Table 12.6: Fair Value of Financial Instruments

						September 30, 2025
						Carrying Value						Estimated Fair Value						Estimated Fair Value Hierarchy
(Dollars in millions)																		Level 1						Level 2						Level 3
Financial assets:
Cash and cash equivalents						$	55,279					$	55,279					$	4,606					$	50,673					$	0
Restricted cash for securitization investors						3,248						3,248						3,248						0						0
Net loans held for investment						420,056						428,593						0						0						428,593
Loans held for sale						50						50						0						50						0
Interest receivable						3,456						3,456						0						3,456						0
Other investments(1)						2,625						2,625						0						2,625						0
Financial liabilities:
Deposits with defined maturities						104,981						105,244						0						105,244						0
Securitized debt obligations						13,642						13,713						0						13,713						0
Senior and subordinated notes						36,662						37,743						0						37,743						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						616						616						0						616						0
Other borrowings(2)						538						523						0						523						0
Interest payable						826						826						0						826						0

						December 31, 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						$	43,230					$	43,230					$	3,028					$	40,202					$	0
Restricted cash for securitization investors						441						441						441						0						0
Net loans held for investment						311,517						316,467						0						0						316,467
Loans held for sale						115						115						0						115						0
Interest receivable						2,532						2,532						0						2,532						0
Other investments(1)						1,329						1,329						0						1,329						0
Financial liabilities:
Deposits with defined maturities						78,944						79,091						0						79,091						0
Securitized debt obligations						14,264						14,335						0						14,335						0
Senior and subordinated notes						30,696						31,636						0						31,636						0
Federal funds purchased and securities loaned or sold under agreements to repurchase						562						562						0						562						0
Interest payable						666						666						0						666						0

__________

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

(2)Other borrowings exclude capital lease obligations.

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Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

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-URI https://asc.fasb.org/1943274/2147482106/820-10-50-2

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