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Fair Value Measures (Tables) | 3 Months Ended
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Mar. 31, 2023
Fair Value Disclosures [Abstract] |
Financial Instruments Carried at Fair Value | The following tables present assets and liabilities that were measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, and that were included in the Company’s Consolidated Statements of Condition at those dates:
(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 | $ | — |  |  | $ | 1,246 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,246 |
GSE CMOs | — |  | 3,282 |  | — |  | — |  | 3,282
Private Label CMOs | — |  | 188 |  | — |  | — |  | 188
Total mortgage-related debt securities | $ | — |  |  | $ | 4,716 |  |  | $ | — |  |  | $ | — |  |  | $ | 4,716 |
Other Debt Securities Available for Sale: |  |  |  |  |  |  |  |  |
GSE debentures | $ | — |  |  | $ | 1,589 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,589 |
Asset-backed securities | — |  | 335 |  | — |  | — |  | 335
Municipal bonds | — |  | 18 |  | — |  | — |  | 18
Corporate bonds | — |  | 833 |  | — |  | — |  | 833
Foreign notes | — |  | 19 |  | — |  | — |  | 19
Capital trust notes | — |  | 89 |  | — |  | — |  | 89
Total other debt securities | $ | — |  |  | $ | 2,883 |  |  | $ | — |  |  | $ | — |  |  | $ | 2,883 |
Total debt securities available for sale | $ | — |  |  | $ | 7,599 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,599 |
Equity securities: |  |  |  |  |  |  |  |  |
Mutual funds and common stock | — |  | 14 |  | — |  | — |  | 14
Total equity securities | — |  | 14 |  | — |  | — |  | 14
Total securities | $ | — |  |  | $ | 7,613 |  |  | $ | — |  |  | $ | — |  |  | $ | 7,613 |
Loans held-for-sale |  |  |  |  |  |  |  |  |
Residential first mortgage loans | $ | — |  |  | $ | 1,305 |  |  | $ | — |  |  | $ | — |  |  | $ | 1,305 |
Derivative assets |  |  |  |  |  |  |  |  |
Interest rate swaps and swaptions | — |  | 159 |  | — |  | — |  | 159
Futures | — |  | — |  | — |  | — |  | —
Rate lock commitments (fallout-adjusted) | — |  | — |  | 15 |  | — |  | 15
Mortgage-backed securities forwards | — |  | 5 |  | — |  | — |  | 5
Mortgage servicing rights | — |  | — |  | 1,034 |  | — |  | 1,034
Total assets at fair value | $ | — |  |  | $ | 9,082 |  |  | $ | 1,049 |  |  | $ | — |  |  | $ | 10,131 |
Derivative liabilities |  |  |  |  |  |  |  |  |
Mortgage-backed securities forwards | — |  | 14 |  | — |  | — |  | 14
Interest rate swaps and swaptions | — |  | 49 |  | — |  | — |  | 49
Rate lock commitments (fallout-adjusted) | — |  | — |  | 7 |  | — |  | 7
Total liabilities at fair value | $ | — |  |  | $ | 63 |  |  | $ | 7 |  |  | $ | — |  |  | $ | 70 |
(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 |
Roll Forward of Financial Instruments | 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:
(dollars in millions) | Balance at Beginning of Year | Total Gains / (Losses) Recorded in Earnings (1) | Purchases / Originations | Sales | Settlement | Transfers In (Out) | Balance at End of Year
Three Months Ended March 31, 2023 |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |
Mortgage servicing rights (1) | $ | 1,033 |  | $ | (37) |  | $ | 38 |  | $ | — |  | — | — | $ | 1,034 |
Rate lock commitments (net) (1)(2) | (1) |  | (11) |  | 35 |  |  |  | (15) |  | 8 |
Totals | $ | 1,032 |  | $ | (48) |  | $ | 73 |  | $ | — |  | $ | — |  | $ | (15) |  | $ | 1,042 |
(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.
Quantitative Information about Recurring Level 3 Fair Value Financial Instruments | The following tables present the quantitative information about recurring Level 3 fair value financial instruments and the fair value measurements as of March 31, 2023:
| Fair Value | Valuation Technique | Unobservable Input (1) | Range (Weighted Average)
| (dollars in millions)
Assets |  |  |  |
|  |  | Option adjusted spread | 4.9% - 22.5% (5.8)%
Mortgage servicing rights | $ | 1,034 |  | Discounted cash flows | Constant prepayment rate | 0% - 10.5% (8.1)%
|  |  | Weighted average cost to service per loan | $65 - $90 $(68)
Rate lock commitments (net) | $ | 7 |  | Consensus pricing | Origination pull-through rate | 77.20%
(1)Unobservable inputs were weighted by their relative fair value of the instruments.
Assets Measured at Fair Value on a Nonrecurring Basis | The following tables present assets that were measured at fair value on a non-recurring basis as of March 31, 2023 and December 31, 2022, and that were included in the Company’s Consolidated Statements of Condition at those dates:
| Fair Value Measurements at March 31, 2023 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
Other assets(1) | $ | — |  |  | $ | — |  |  | $ | 42 |  |  | $ | 42 |
Total | $ | — |  |  | $ | — |  |  | $ | 42 |  |  | $ | 42 |
(1)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, 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 impaired loans (1) | $ | — |  |  | $ | — |  |  | $ | 28 |  |  | $ | 28 |
Other assets (2) | — |  |  | — |  |  | 41 |  |  | 41 |
Total | $ | — |  |  | $ | — |  |  | $ | 69 |  |  | $ | 69 |
(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.
Carrying Amount and Estimated Fair Value of Financial Instruments | 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 March 31, 2023 and December 31, 2022:
| March 31, 2023
|  |  |  |  | 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 | $ | 22,250 |  |  | $ | 22,250 |  |  | $ | 22,250 |  |  |  | $ | — |  |  |  | $ | — |
FHLB and FRB stock (1) | 1,356 |  |  | 1,356 |  |  | — |  |  |  | 1,356 |  |  |  | — |
Loans and leases held for investment, net | 81,997 |  |  | 78,913 |  |  | — |  |  |  | — |  |  |  | 78,913 |
Financial Liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | $ | 84,800 |  |  | $ | 84,631 |  |  | $ | 65,445 |  | (2) |  | $ | 19,186 |  | (3) |  | $ | — |
Borrowed funds | 21,360 |  |  | 21,235 |  |  | — |  |  |  | 21,235 |  |  |  | — |
(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, 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 |  |  | 0
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.
Changes in Fair Value Included in Earnings - Fair Value Option | The following table reflects the change in fair value included in earnings of financial instruments for which the fair value option has been elected:
| For the Three Months Ended March 31,
(dollars in millions) | 2023
Assets |
Loans held-for-sale |
Net gain on loan sales | $ | 28 |
Differences Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding - Fair Value Option | 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:
| March 31, 2023
(dollars in millions) | Unpaid Principal Balance | Fair Value | Fair Value Over / (Under) UPB
Assets: |  |  |
Other performing loans: |  |  |
Loans held-for-sale | $ | 926 |  | $ | 945 |  | $ | 19 |
Total other performing loans | $ | 926 |  | $ | 945 |  | $ | 19 |
Total loans: |  |  |
Loans held-for-sale | $ | 926 |  | $ | 945 |  | $ | 19 |
Total loans | $ | 926 |  | $ | 945 |  | $ | 19 |
| 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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- Definition 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). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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