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Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2021

Fair Value Disclosures [Abstract]

Schedule Of Assets And Liabilities At Fair Value Measured On A Recurring Basis And Non-Recurring Basis

The following table presents assets and liabilities measured at estimated fair value on a recurring basis and non-recurring basis:

			June 30, 2021																											December 31, 2020
			Level 1						Level 2						Level 3(1)						Total Estimated Fair Value									Level 1						Level 2						Level 3(1)						Total Estimated Fair Value
			(In millions)
Recurring fair value measurements
Debt securities available for sale:
U.S. Treasury securities			$	737					$	—					$	—					$	737								$	183					$	—					$	—					$	183
Federal agency securities			—						99						—						99									—						105						—						105
Mortgage-backed securities (MBS):
Residential agency			—						19,860						—						19,860									—						19,076						—						19,076
Residential non-agency			—						—						1						1									—						—						1						1
Commercial agency			—						6,464						—						6,464									—						5,999						—						5,999
Commercial non-agency			—						553						—						553									—						586						—						586
Corporate and other debt securities			—						1,572						4						1,576									—						1,200						4						1,204
Total debt securities available for sale			$	737					$	28,548					$	5					$	29,290								$	183					$	26,966					$	5					$	27,154
Loans held for sale			$	—					$	991					$	—					$	991								$	—					$	1,446					$	—					$	1,446
Marketable equity securities			$	447					$	—					$	—					$	447								$	388					$	—					$	—					$	388
Residential mortgage servicing rights			$	—					$	—					$	392					$	392								$	—					$	—					$	296					$	296
Derivative assets(2):
Interest rate swaps			$	—					$	1,631					$	—					$	1,631								$	—					$	2,750					$	—					$	2,750
Interest rate options			—						234						26						260									—						477						43						520
Interest rate futures and forward commitments			—						13						—						13									—						11						—						11
Other contracts			1						156						—						157									2						65						1						68
Total derivative assets			$	1					$	2,034					$	26					$	2,061								$	2					$	3,303					$	44					$	3,349
Equity investments			$	—					$	—					$	—					$	—								$	—					$	74					$	—					$	74
Derivative liabilities(2):
Interest rate swaps			$	—					$	1,067					$	—					$	1,067								$	—					$	1,464					$	—					$	1,464
Interest rate options			—						23						—						23									—						28						—						28
Interest rate futures and forward commitments			—						4						—						4									—						26						—						26
Other contracts			1						155						4						160									2						72						6						80
Total derivative liabilities			$	1					$	1,249					$	4					$	1,254								$	2					$	1,590					$	6					$	1,598
Non-recurring fair value measurements(3)
Loans held for sale(4)			$	—					$	—					$	128					$	128								$	—					$	—					$	4					$	4
Equity investments without a readily determinable fair value			—						—						6						6									—						—						12						12
Foreclosed property and other real estate			—						—						12						12									—						—						5						5

_________

(1)All following disclosures related to Level 3 recurring and non-recurring assets do not include those deemed to be immaterial.

(2)As permitted under U.S. GAAP, variation margin collateral payments made or received for derivatives that are centrally cleared are legally characterized as settled. As such, these derivative assets and derivative liabilities and the related variation margin collateral are presented on a net basis on the balance sheet.

(3)From time to time, certain assets may be recorded at fair value on a non-recurring basis, and the related fair value adjustments disclosed are typically a result of the application of lower of cost or fair value accounting or a write-down occurring during the periods indicated.

(4)Loans held for sale measured at fair value on a non-recurring basis as of June 30, 2021 includes a single IRE loan of $97 million that was reclassified into loans held for sale during the second quarter of 2021 and sold subsequent to June 30, 2021.

Rollforward For Assets And Liabilities Measured At Fair Value On A Recurring Basis With Level 3 Significant Unobservable Inputs

The following tables illustrate rollforwards for residential mortgage servicing rights, which are the only material assets or liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and six months ended June 30, 2021 and 2020, respectively.

			Residential mortgage servicing rights
			Three Months Ended June 30												Six Months Ended June 30
			2021						2020						2021						2020
			(In millions)
Carrying value, beginning of period			$	401					$	254					$	296					$	345
Total realized/unrealized gains (losses) included in earnings (1)			(54)						(29)						19						(131)
Purchases			45						24						77						35
Carrying value, end of period			$	392					$	249					$	392					$	249

_________

(1)Included in mortgage income. Amounts presented exclude offsetting impact from related derivatives.

Schedule Of Fair Value Adjustments Related To Non-Recurring Fair Value Measurements

The following table presents the fair value adjustments related to non-recurring fair value measurements:

			Three Months Ended June 30												Six Months Ended June 30
			2021						2020						2021						2020
			(In millions)
Loans held for sale			$	(5)					$	(2)					$	(5)					$	(5)
Equity investments without a readily determinable fair value			1						—						1						(3)
Foreclosed property and other real estate			—						(1)						(7)						(10)

Summary Of Quantitative Information About Level 3 Measurements

The following tables present detailed information regarding material assets and liabilities measured at fair value using significant unobservable inputs (Level 3) as of June 30, 2021, and December 31, 2020. The tables include the valuation techniques and the significant unobservable inputs utilized. The range of each significant unobservable input as well as the weighted-average within the range utilized at June 30, 2021, and December 31, 2020, are included. Following the tables are descriptions of the valuation techniques and the sensitivity of the techniques to changes in the significant unobservable inputs.

June 30, 2021

Level 3 Estimated Fair Value at June 30, 2021

Valuation Technique

Unobservable Input(s)

Quantitative Range of Unobservable Inputs and (Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights(1)

$392

Discounted cash flow

Weighted-average CPR (%)

6.6% - 22.2% (10.5%)

OAS (%)

4.8% - 9.4% (5.7%)

_________

(1)See Note 4 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

December 31, 2020

Level 3 Estimated Fair Value at December 31, 2020

Valuation Technique

Unobservable Input(s)

Quantitative Range of Unobservable Inputs and (Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights(1)

$296

Discounted cash flow

Weighted-average CPR (%)

8.1% - 31.2% (15.6%)

OAS (%)

4.8% - 9.5% (5.6%)

_________

(1)See Note 7 to the consolidated financial statements of the Annual Report on Form 10-K for the year ended December 31, 2020 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

Fair Value Option, Fair Value and Unpaid Principal Balance

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans held for sale measured at fair value:

			June 30, 2021																		December 31, 2020
			Aggregate Fair Value						Aggregate Unpaid Principal						Aggregate Fair Value Less Aggregate Unpaid Principal						Aggregate Fair Value						Aggregate Unpaid Principal						Aggregate Fair Value Less Aggregate Unpaid Principal
			(In millions)
Mortgage loans held for sale, at fair value			$	975					$	939					$	36					$	1,439					$	1,362					$	77

Interest income on mortgage loans held for sale is recognized based on contractual rates and is reflected in interest income on loans held for sale in the consolidated statements of income. The following table details net gains and losses resulting from changes in fair value of these loans, which were recorded in mortgage income in the consolidated statements of income during the three and six months ended June 30, 2021 and 2020. These changes in fair value are mostly offset by economic hedging activities. An immaterial portion of these amounts was attributable to changes in instrument-specific credit risk.

			Three Months Ended June 30												Six Months Ended June 30
			2021						2020						2021						2020
			(In millions)
Net gains (losses) resulting for the change in fair value of mortgage loans held for sale			$	10					$	20					$	(40)					$	30

Schedule Of Carrying Amounts And Estimated Fair Values Of Financial Instruments

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company’s financial instruments as of June 30, 2021 are as follows:

			June 30, 2021
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	25,594					$	25,594					$	25,594					$	—					$	—
Debt securities held to maturity			993						1,064						—						1,064						—
Debt securities available for sale			29,290						29,290						737						28,548						5
Loans held for sale			1,194						1,194						—						1,066						128
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			81,063						81,715						—						—						81,715
Other earning assets(4)			1,083						1,083						447						636						—
Derivative assets			2,061						2,061						1						2,034						26
Financial liabilities:
Derivative liabilities			1,254						1,254						1						1,249						4
Deposits			131,484						131,500						—						131,500						—
Long-term borrowings			2,870						3,363						—						3,019						344
Loan commitments and letters of credit			118						118						—						—						118

_________

(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value premium on the loan portfolio's net carrying amount at June 30, 2021 was $652 million or 0.8 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.4 billion at June 30, 2021.

(4)Excluded from this table is the operating lease carrying amount of $163 million at June 30, 2021.

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company's financial instruments as of December 31, 2020 are as follows:

			December 31, 2020
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	17,956					$	17,956					$	17,956					$	—					$	—
Debt securities held to maturity			1,122						1,215						—						1,215						—
Debt securities available for sale			27,154						27,154						183						26,966						5
Loans held for sale			1,905						1,905						—						1,901						4
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			81,597						82,773						—						—						82,773
Other earning assets(4)			1,017						1,017						388						629						—
Derivative assets			3,349						3,349						2						3,303						44
Equity investments			74						74						—						74						—
Financial liabilities:
Derivative liabilities			1,598						1,598						2						1,590						6
Deposits			122,479						122,511						—						122,511						—
Long-term borrowings			3,569						4,063						—						3,592						471
Loan commitments and letters of credit			151						151						—						—						151

_________

(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value premium on the loan portfolio's net carrying amount at December 31, 2020 was $1.2 billion or 1.4 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.5 billion at December 31, 2020.

(4)Excluded from this table is the operating lease carrying amount of $200 million at December 31, 2020.

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- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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