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Fair Value Measures (Tables)

3 Months Ended

Mar. 31, 2024

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, 2024 and December 31, 2023, and that were included in the Company’s Consolidated Statements of Condition at those dates:

			March 31, 2024
(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			$	—					$	1,180					$	—					$	—					$	1,180
GSE CMOs			$	—					$	5,780					$	—					$	—					$	5,780
Private Label CMOs			$	—					$	143					$	33					$	—					$	176
Total mortgage-related debt securities			$	—					$	7,103					$	33					$	—					$	7,136
Other Debt Securities Available for Sale:
U. S. Treasury obligations			$	—					$	—					$	—					$	—					$	—
GSE debentures			—						1,440						—						—						1,440
Asset-backed securities			—						287						—						—						287
Municipal bonds			—						6						—						—						6
Corporate bonds			—						340						—						—						340
Foreign notes			—						35						—						—						35
Capital trust notes			—						92						—						—						92
Total other debt securities			—						2,200						—						—						2,200
Total debt securities available for sale			—						9,303						33						—						9,336
Equity securities:
Mutual funds and common stock			$	—					$	14					$	—					$	—					$	14
Total equity securities			$	—					$	14					$	—					$	—					$	14
Total securities			$	—					$	9,317					$	33					$	—					$	9,350
Loans held-for-sale
Residential first mortgage loans			—						803						—						—						803
Acquisition, development, and construction			—						138						—						—						138
Commercial and industrial loans			—			—			40						—						—						40
Loans held-for-investment
Residential first mortgage loans									$	8																	8
Acquisition, development, and construction									$	58																	58
Derivative assets
Interest rate swaps and swaptions			—						129						—						—						129
Futures			—						1						—						—						1
Rate lock commitments (fallout-adjusted)			—						—						11						—						11
Mortgage-backed securities forwards			—						7						—						—						7
Mortgage servicing rights			—						—						1,092						—						1,092
Total assets at fair value			$	—		$	—		$	10,501		$	—		$	1,136					$	—					$	11,637
Derivative liabilities
Mortgage-backed securities forwards			$	—					$	9					$	—					$	—					$	9
Interest rate swaps and swaptions			$	—					$	61					$	—					$	—					$	61
Rate lock commitments (fallout-adjusted)			$	—					$	—					$	3					$	—					$	3
Total liabilities at fair value			$	—					$	70					$	3					$	—					$	73

			December 31, 2023
(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			$	—					$	1,221					$	—					$	—					$	1,221
GSE CMOs			—						5,162						—						—						5,162
Private Label CMOs			—						148						32						—						180
Total mortgage-related debt securities			$	—					$	6,531					$	32					$	—					$	6,563
Other Debt Securities Available for Sale:
U. S. Treasury obligations			$	198											$	—					$	—					$	198
GSE debentures			—						1,609						—						—						1,609
Asset-backed securities			—						302						—						—						302
Municipal bonds			—						6						—						—						6
Corporate bonds			—						343						—						—						343
Foreign notes			—						34						—						—						34
Capital trust notes			—						90						—						—						90
Total other debt securities			$	198					$	2,384					$	—					$	—					$	2,582
Total debt securities available for sale			$	198					$	8,915					$	32					$	—					$	9,145
Equity securities:
Mutual funds and common stock			—						14						—						—						14
Total equity securities			—						14						—						—						14
Total securities			$	198					$	8,929					$	32					$	—					$	9,159
Loans held-for-sale
Residential first mortgage loans			$	—					$	770					$	—					$	—					$	770
Acquisition, development, and construction									123																		$	123
Commercial and industrial loans									9																		$	9
Derivative assets
Interest rate swaps and swaptions			—						115						—						—						115
Futures			—						—						—						—						—
Rate lock commitments (fallout-adjusted)			—						—						12						—						12
Mortgage-backed securities forwards			—						11						—						—						11
Mortgage servicing rights			—						—						1,111						—						1,111
Total assets at fair value			$	198					$	9,957					$	1,155					$	—					$	11,310
Derivative liabilities
Mortgage-backed securities forwards			—						32						—						—						32
Futures									1																		1
Interest rate swaps and swaptions			—						59						—						—						59
Rate lock commitments (fallout-adjusted)			—						—			.			3						—						3
Total liabilities at fair value			$	—					$	92					$	3					$	—		.			$	95

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, 2024
Assets
Mortgage servicing rights (1)			$	1,111		$	8		$	42		$	(69)		—			—			$	1,092
Private Label CMOs			—			—			—			—			—			33			33
Rate lock commitments (net) (1)(2)			9			(1)			12									(12)			8
Totals			$	1,120		$	7		$	54		$	(69)		$	—		$	21		$	1,133

(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, 2024:

			Fair Value			Valuation Technique			Unobservable Input (1)			Range (Weighted Average)
			(dollars in millions)
Assets
Mortgage servicing rights			$	1,092		Discounted cash flows			Option adjusted spread			4.9% - 21.7% 5.3%
									Constant prepayment rate			—% - 10.0% 7.7%
									Weighted average cost to service per loan			$65 - $90 $68
Private Label CMOs			$	33		Discounted cash flows			Constant default rates			0.10% - 0.30%
									Weighted average life			7.96 - 11.50
Rate lock commitments (net)			$	8		Consensus pricing			Origination pull-through rate			71.80%

(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, 2024 and December 31, 2023, and that were included in the Company’s Consolidated Statements of Condition at those dates:

			Fair Value Measurements at March 31, 2024 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 (2)															$	236					$	236
Other assets(1)			$	—					$	—					$	50					$	50
Total			$	—					$	—					$	286					$	286

(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.

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

			Fair Value Measurements at December 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
Certain impaired loans (2)			$	—					$	—					$	197					$	197
Other assets (1)			—						—						50						50
Total			$	—					$	—					$	247					$	247

(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.

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

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, 2024 and December 31, 2023:

			March 31, 2024
															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			$	12,890					$	12,890					$	12,890								$	—								$	—
FHLB and FRB stock (1)			1,550						1,550						—									1,550									—
Loans and leases held for investment, net			81,112						76,458						—									—									76,458
Financial Liabilities:
Deposits			$	74,858					$	74,755					$	48,095		(2)						$	26,660		(3)						$	—
Borrowed funds			26,727						26,651						—									26,651									—

(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, 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			$	11,475					$	11,475					$	11,475								$	—								$	—
FHLB and FRB stock (1)			1,392						1,392						—									1,392									—
Loans and leases held for investment, net			83,627						79,333						—									—									79,333
Financial Liabilities:
Deposits			$	81,526					$	81,247					$	59,972		(2)						$	21,275		(3)						$	—
Borrowed funds			21,267						21,082						—									21,082									—

(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)			2024			2023
Assets
Loans held-for-sale
Net gain on loan sales			$	3		$	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, 2024
(dollars in millions)			Unpaid Principal Balance			Fair Value			Fair Value Over / (Under) UPB
Assets:
Nonaccrual loans:
Loans held-for-sale			$	—		$	—		$	—
Loans held-for-investment			—			—			—
Total non-accrual loans			—			—			—
Other performing loans:
Loans held-for-sale			923			941			18
Loans held-for-investment			67			66			(1)
Total other performing loans			990			1,007			17
Total loans:
Loans held-for-sale			923			941			18
Loans held-for-investment			67			66			(1)
Total loans			$	990		$	1,007		$	17

			December 31, 2023
(dollars in millions)			Unpaid Principal Balance			Fair Value			Fair Value Over / (Under) UPB
Assets:
Nonaccrual loans:
Loans held-for-sale			$	2		$	2		$	—
Total non-accrual loans			2			2			—
Other performing loans:
Loans held-for-sale			869			894			25
Total other performing loans			869			894			25
Total loans:
Loans held-for-sale			871			896			25
Total loans			$	871		$	896		$	25

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