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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Disclosures [Abstract]

Fair Value, Assets Measured on Recurring Basis [Table Text Block]

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

			September 30, 2023																											December 31, 2022
			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			$	1,186					$	—					$	—					$	1,186								$	1,187					$	—					$	—					$	1,187
Federal agency securities			—						1,004						—						1,004									—						836						—						836
Obligations of states and political subdivisions			—						2						—						2									—						2						—						2
Mortgage-backed securities:
Residential agency			—						15,740						—						15,740									—						16,954						—						16,954
Residential non-agency			—						—						—						—									—						—						1						1
Commercial agency			—						7,158						—						7,158									—						7,613						—						7,613
Commercial non-agency			—						78						—						78									—						186						—						186
Corporate and other debt securities			—						1,059						1						1,060									—						1,153						1						1,154
Total debt securities available for sale			$	1,186					$	25,041					$	1					$	26,228								$	1,187					$	26,744					$	2					$	27,933
Loans held for sale			$	—					$	217					$	62					$	279								$	—					$	177					$	19					$	196
Marketable equity securities in other earning assets			$	745					$	—					$	—					$	745								$	529					$	—					$	—					$	529
Residential mortgage servicing rights			$	—					$	—					$	932					$	932								$	—					$	—					$	812					$	812
Derivative assets (2):
Interest rate swaps			$	—					$	2,728					$	—					$	2,728								$	—					$	2,335					$	—					$	2,335
Interest rate options			—						91						8						99									—						91						3						94
Interest rate futures and forward commitments			—						8						—						8									—						8						—						8
Other contracts			—						144						—						144									3						169						—						172
Total derivative assets			$	—					$	2,971					$	8					$	2,979								$	3					$	2,603					$	3					$	2,609
Derivative liabilities (2):
Interest rate swaps			$	—					$	3,996					$	—					$	3,996								$	—					$	3,161					$	—					$	3,161
Interest rate options			—						93						—						93									—						85						—						85
Interest rate futures and forward commitments			—						7						—						7									—						5						—						5
Other contracts			11						118						1						130									2						124						1						127
Total derivative liabilities			$	11					$	4,214					$	1					$	4,226								$	2					$	3,375					$	1					$	3,378

_________

(1)All following disclosures related to Level 3 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.

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

The following tables present an analysis of residential MSRs for the three and nine months ended September 30, 2023 and 2022, respectively.

.

			Residential mortgage servicing rights
			Three Months Ended September 30												Nine Months Ended September 30
			2023						2022						2023						2022
			(In millions)
Carrying value, beginning of period			$	801					$	770					$	812					$	418
Total realized/unrealized gains (losses) included in earnings (1)			17						5						(38)						72
Additions			8						9						20						38
Purchases			106						25						138						281
Carrying value, end of period			$	932					$	809					$	932					$	809

_________

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

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 September 30, 2023, and December 31, 2022. 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 September 30, 2023 and December 31, 2022 are included. Following the tables are descriptions of the valuation techniques and the sensitivity of the techniques to changes in the significant unobservable inputs.

September 30, 2023

Level 3 Estimated Fair Value

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)

$932

Discounted cash flow

Weighted-average CPR (%)

5.5% - 13.3% (7.7%)

OAS (%)

4.5% - 8.2% (4.8%)

_________

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

December 31, 2022

Level 3 Estimated Fair Value

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)

$812

Discounted cash flow

Weighted-average CPR (%)

6.1% - 15.1% (7.4%)

OAS (%)

4.8% -8.2% (5.1%)

_______

(1)See Note 6 to the consolidated financial statements of the Annual Report on Form 10-K for the year ended December 31, 2022 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

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 September 30, 2023 are as follows:

			September 30, 2023
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	9,016					$	9,016					$	9,016					$	—					$	—
Debt securities held to maturity			763						703						—						703						—
Debt securities available for sale			26,228						26,228						1,186						25,041						1
Loans held for sale			459						459						—						397						62
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			95,753						90,849						—						—						90,849
Other earning assets			1,552						1,552						745						807						—
Derivative assets			2,979						2,979						—						2,971						8
Financial liabilities:
Derivative liabilities			4,226						4,226						11						4,214						1
Deposits with no stated maturity(4)			113,006						113,006						—						113,006						—
Time deposits(4)			13,193						13,095						—						13,095						—
Short-term borrowings			2,000						2,000						—						2,000						—
Long-term borrowings			4,290						4,256						—						4,255						1
Loan commitments and letters of credit			157						157						—						—						157

_________

(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 discount on the loan portfolio's net carrying amount at September 30, 2023 was $4.9 billion or 5.1 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.6 billion at September 30, 2023.

(4)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, and money market accounts is the amount payable on demand at the reporting date (i.e., the carrying amount) as these instruments have an indeterminate maturity date. Fair values for time deposits are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.

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, 2022 are as follows:

			December 31, 2022
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	11,227					$	11,227					$	11,227					$	—					$	—
Debt securities held to maturity			801						751						—						751						—
Debt securities available for sale			27,933						27,933						1,187						26,744						2
Loans held for sale			354						354						—						335						19
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			94,044						89,540						—						—						89,540
Other earning assets			1,308						1,308						529						779						—
Derivative assets			2,609						2,609						3						2,603						3
Financial liabilities:
Derivative liabilities			3,378						3,378						2						3,375						1
Deposits with no stated maturity(4)			125,971						125,971						—						125,971						—
Time deposits(4)			5,772						5,697						—						5,697						—
Long-term borrowings			2,284						2,376						—						2,375						1
Loan commitments and letters of credit			153						153						—						—						153

_________

(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 discount on the loan portfolio's net carrying amount at December 31, 2022 was $4.5 billion or 4.8 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.5 billion at December 31, 2022.

(4)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, and money market accounts is the amount payable on demand at the reporting date (i.e., the carrying amount) as these instruments have an indeterminate maturity date. Fair values for time deposits are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

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Tabular disclosure of assets, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, by class 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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Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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