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Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present assets and liabilities that were measured at fair value on a recurring basis as of December 31, 2022 and 2021, and that were included in the Company’s Consolidated Statements of Condition at those dates:

	Fair Value Measurements at December 31, 2022
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Netting Adjustments				Total Fair Value
Assets:
Mortgage-related Debt Securities    Available for Sale:
GSE certificates	$	—			$	1,297			$	—			$	—			$	1,297
GSE CMOs		—				3,301				—				—				3,301
Private Label CMOs		—				191				—				—				191
Total mortgage-related debt securities	$	—			$	4,789			$	—			$	—			$	4,789
Other Debt Securities Available for Sale:
U. S. Treasury obligations	$	1,487			$	—			$	—			$	—			$	1,487
GSE debentures		—				1,398				—				—				1,398
Asset-backed securities		—				361				—				—				361
Municipal bonds		—				30				—				—				30
Corporate bonds		—				885				—				—				885
Foreign notes		—				20				—				—				20
Capital trust notes		—				90				—				—				90
Total other debt securities	$	1,487			$	2,784			$	—			$	—			$	4,271
Total debt securities available for sale	$	1,487			$	7,573			$	—			$	—			$	9,060
Equity securities:
Mutual funds and common stock		—				14				—				—				14
Total equity securities	$	—			$	14			$	—			$	—			$	14
Total securities	$	1,487			$	7,587			$	—			$	—			$	9,074
Loans held-for-sale
Residential first mortgage loans	$	—			$	1,115			$	—			$	—			$	1,115
Derivative assets
Interest rate swaps and swaptions		—				182				—				—				182
Futures		—				2				—				—				2
Rate lock commitments (fallout-adjusted)		—				—				9				—				9
Mortgage-backed securities forwards		—				36				—				—				36
Mortgage servicing rights		—				—				1,033				—				1,033
Total assets at fair value	$	1,487			$	8,922			$	1,042			$	—			$	11,451
Derivative liabilities
Mortgage-backed securities forwards		—				61				—				—				61
Interest rate swaps and swaptions		—				65				—				—				65
Rate lock commitments (fallout-adjusted)		—				—				10				—				10
Total liabilities at fair value	$	—			$	126			$	10			$	—			$	136

	Fair Value Measurements at December 31, 2021
(in millions)	Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Netting Adjustments				Total Fair Value
Assets:
Mortgage-Related Debt Securities    Available for Sale:
GSE certificates	$	—			$	1,107			$	—			$	—			$	1,107
GSE CMOs		—				1,683				—				—				1,683
Total mortgage-related debt securities	$	—			$	2,790			$	—			$	—			$	2,790
Other Debt Securities Available    for Sale:
U.S. Treasury obligations	$	45			$	—			$	—			$	—			$	45
GSE debentures		—				1,480				—				—				1,480
Asset-backed securities		—				479				—				—				479
Municipal bonds		—				25				—				—				25
Corporate bonds		—				838				—				—				838
Foreign notes		—				26				—				—				26
Capital trust notes		—				97				—				—				97
Total other debt securities	$	45			$	2,945			$	—			$	—			$	2,990
Total debt securities available for sale	$	45			$	5,735			$	—			$	—			$	5,780
Equity securities:										—				—
Mutual funds and common stock		—				16				—				—				16
Total equity securities	$	—			$	16			$	—			$	—			$	16
Total securities	$	45			$	5,751			$	—			$	—			$	5,796

Assets Measured by using Significant Unobservable Inputs

The following tables include a roll forward of the Consolidated Statements of Condition amounts (including the change in fair value) for financial instruments classified by us within Level 3 of the valuation hierarchy:

	Balance at Beginning of Year			Total Gains / (Losses) Recorded in Earnings (1)			Purchases / Originations			Sales			Settlement			Transfers In (Out)			Balance at End of Year
(dollars in millions)
Year-Ended December 31, 2022
Assets
Mortgage servicing rights (1)	$	1,012		$	2		$	19			—		—			—			$	1,033
Rate lock commitments (net) (1)(2)		21			(12	)		5		—			—				(15	)		(1	)
Totals	$	1,033		$	(10	)	$	24		$	—		$	—		$	(15	)	$	1,032

1.We utilized swaptions, futures, forward agency and loan sales and interest rate swaps to manage the risk associated with mortgage servicing rights and rate lock commitments. Gains and losses for individual lines do not reflect the effect of our risk management activities related to such Level 3 instruments.

2. Rate lock commitments are reported on a fallout-adjusted basis. Transfers out of Level 3 represent the settlement value of the commitments that are transferred to LHFS, which are classified as Level 2 assets.

Summary of Quantitative Information

The following tables present the quantitative information about recurring Level 3 fair value financial instruments and the fair value measurements as of December 31, 2022:

	Fair Value			Valuation Technique	Unobservable Input	Range (Weighted Average)
	(dollars in millions)
Assets
					Option adjusted spread	5.3% - 21.6% (5.9%)
Mortgage servicing rights	$	1,033		Discounted cash flows	Constant prepayment rate	0% - 10.0% (7.9%)
					Weighted average cost to service per loan	$65 - $90 ($68)
Rate lock commitments (net)	$	(1	)	Consensus pricing	Origination pull-through rate	76.41%

(1)Unobservable inputs were weighted by their relative fair value of the instruments.

Summary of Carrying Values, Estimated Fair Values and Fair Value Measurement Levels of Financial Instruments

The following tables present assets that were measured at fair value on a non-recurring basis as of December 31, 2022 and 2021, and that were included in the Company’s Consolidated Statements of Condition at those dates:

		Fair Value Measurements at December 31, 2022 Using
(in millions)		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)					Significant Unobservable Inputs (Level 3)					Total Fair Value
Certain loans (1)		$	—			$	—				$	28				$	28
Other assets(2)			—				—					41					41
Total		$	—			$	—				$	69				$	69

(1)Represents the fair value of certain loans individually assessed for impairment, based on the value of the collateral.

(2)Represents the fair value of repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets and equity securities without readily determinable fair values. These equity securities are classified as Level 3 due to the infrequency of the observable prices and/or the restrictions on the shares.

		Fair Value Measurements at December 31, 2021 Using
(in millions)		Quoted Prices in Active Markets for Identical Assets (Level 1)				Significant Other Observable Inputs (Level 2)				Significant Unobservable Inputs (Level 3)				Total Fair Value
Certain impaired loans (1)		$	—			$	—			$	32			$	32
Other assets (2)			—				—				32				32
Total		$	—			$	—			$	64			$	64

(1)Represents the fair value of impaired loans, based on the value of the collateral.

(2)Represents the fair value of repossessed assets, based on the appraised value of the collateral subsequent to its initial classification as repossessed assets.

Assets and Liabilities Measured at Fair Value on Non-Recurring Basis

The following tables summarize the carrying values, estimated fair values, and fair value measurement levels of financial instruments that were not carried at fair value on the Company’s Consolidated Statements of Condition at December 31, 2022 and 2021:

		December 31, 2022
										Fair Value Measurement Using
(in millions)		Carrying Value				Estimated Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)					Significant Other Observable Inputs (Level 2)					Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents		$	2,032			$	2,032			$	2,032				$	—				$	—
FHLB and FRB stock (1)			1,267				1,267				—					1,267					—
Loans and leases held for investment, net			68,608				65,673				—					—					65,673
Financial Liabilities:
Deposits		$	58,721			$	58,479			$	46,211		(2)		$	12,268		(3)		$	—
Borrowed funds			21,332				21,231				—					21,231					—

(1)Carrying value and estimated fair value are at cost.

(2)Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3)Certificates of deposit.

		December 31, 2021
										Fair Value Measurement Using
(in millions)		Carrying Value				Estimated Fair Value				Quoted Prices in Active Markets for Identical Assets (Level 1)					Significant Other Observable Inputs (Level 2)					Significant Unobservable Inputs (Level 3)
Financial Assets:
Cash and cash equivalents		$	2,211			$	2,211			$	2,211				$	—				$	—
FHLB stock (1)			734				734				—					734					—
Loans and leases, net			45,539				44,748				—					—					44,748
Financial Liabilities:
Deposits		$	35,059			$	35,051			$	26,635		(2)		$	8,416		(3)		$	—
Borrowed funds			16,562				17,169				—					17,169					—

(1)Carrying value and estimated fair value are at cost.

(2)Interest-bearing checking and money market accounts, savings accounts, and non-interest-bearing accounts.

(3)Certificates of deposit.

Changes in Fair Value Included in Earnings

The following table reflects the change in fair value included in earnings of financial instruments for which the fair value option has been elected:

	Year-ended December 31,
	2022
(dollars in millions)
Assets
Loans held-for-sale
Net gain on loan sales	$	8

Differences Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding

The following table reflects the difference between the aggregate fair value and aggregate remaining contractual principal balance outstanding for assets and liabilities for which the fair value option has been elected:

	December 31, 2022
(dollars in millions)	Unpaid Principal Balance			Fair Value			Fair Value Over / (Under) UPB
Assets:
Other performing loans
Loans held-for-sale	$	1,095		$	1,115		$	20
Total other performing loans		1,095			1,115			20
Total loans
Loans held-for-sale	$	1,095		$	1,115		$	20
Total loans	$	1,095		$	1,115		$	20

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