Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value Inputs, Assets, Quantitative Information

The following table presents additional information about significant unobservable inputs used in the valuation of assets measured at fair value on a nonrecurring basis that were categorized in Level 3 of the fair value hierarchy at June 30, 2017 and December 31, 2016:



	Unobservable Inputs	Average		Range
June 30, 2017
Loans receivable:
One- to four-family	Appraised value	$	416,000	$40,000-$1,200,000
Home equity	Appraised value	$	320,500	$29,500-$1,990,000
Real estate owned	Appraised value	$	296,500	$17,000-$1,120,000

December 31, 2016
Loans receivable:
One- to four-family	Appraised value	$	408,100	$50,000-$1,490,000
Home equity	Appraised value	$	312,000	$6,000-$2,500,000
Real estate owned	Appraised value	$	342,300	$21,500-$1,800,000

Fair Value Measurements, Recurring and Nonrecurring

Assets and liabilities measured at fair value at June 30, 2017 and December 31, 2016 are summarized in the following tables (dollars in millions):



	Level 1		Level 2		Level 3		Total Fair Value
June 30, 2017:
Recurring fair value measurements:
Assets
Available-for-sale securities:
Debt securities:
Agency mortgage-backed securities	$	—	$	17,380	$	—	$	17,380
Agency debentures	—		988		—		988
U.S. Treasuries	—		451		—		451
Agency debt securities	—		33		—		33
Municipal bonds	—		31		—		31
Total debt securities	—		18,883		—		18,883
Publicly traded equity securities	7		—		—		7
Total available-for-sale securities	7		18,883		—		18,890
Receivables from brokers, dealers and clearing organizations:
U.S. Treasuries	134		—		—		134
Other assets:
Derivative assets⁽¹⁾	—		90		—		90
Total assets measured at fair value on a recurring basis⁽²⁾	$	141	$	18,973	$	—	$	19,114
Liabilities
Other liabilities:
Derivative liabilities⁽¹⁾	$	—	$	38	$	—	$	38
Total liabilities measured at fair value on a recurring basis⁽²⁾	$	—	$	38	$	—	$	38
Nonrecurring fair value measurements:
Loans receivable, net:
One- to four-family	$	—	$	—	$	14	$	14
Home equity	—		—		19		19
Total loans receivable	—		—		33		33
Other assets:
Real estate owned	—		—		20		20
Total assets measured at fair value on a nonrecurring basis⁽³⁾	$	—	$	—	$	53	$	53


(1)	All derivative assets and liabilities were interest rate contracts at June 30, 2017. Information related to derivative instruments is detailed in Note 7—Derivative Instruments and Hedging Activities.


(2)	Assets and liabilities measured at fair value on a recurring basis represented 33% and less than 1% of the Company’s total assets and total liabilities, respectively, at June 30, 2017.


(3)	Represents the fair value of assets prior to deducting estimated selling costs that were carried on the consolidated balance sheet at June 30, 2017, and for which a fair value measurement was recorded during the period.



	Level 1		Level 2		Level 3		Total Fair Value
December 31, 2016:
Recurring fair value measurements:
Assets
Available-for-sale securities:
Debt securities:
Agency mortgage-backed securities	$	—	$	12,634	$	—	$	12,634
Agency debentures	—		788		—		788
U.S. Treasuries	—		407		—		407
Agency debt securities	—		24		—		24
Municipal bonds	—		32		—		32
Total debt securities	—		13,885		—		13,885
Publicly traded equity securities	7		—		—		7
Total available-for-sale securities	7		13,885		—		13,892
Other assets:
Derivative assets⁽¹⁾	—		165		—		165
Total assets measured at fair value on a recurring basis⁽²⁾	$	7	$	14,050	$	—	$	14,057
Liabilities
Other liabilities:
Derivative liabilities⁽¹⁾	$	—	$	31	$	—	$	31
Total liabilities measured at fair value on a recurring basis⁽²⁾	$	—	$	31	$	—	$	31
Nonrecurring fair value measurements:
Loans receivable, net:
One- to four-family	$	—	$	—	$	25	$	25
Home equity	—		—		21		21
Total loans receivable	—		—		46		46
Other assets:
Real estate owned	—		—		35		35
Total assets measured at fair value on a nonrecurring basis⁽³⁾	$	—	$	—	$	81	$	81


(1)	All derivative assets and liabilities were interest rate contracts at December 31, 2016. Information related to derivative instruments is detailed in Note 7—Derivative Instruments and Hedging Activities.


(2)	Assets and liabilities measured at fair value on a recurring basis represented 29% and less than 1% of the Company’s total assets and total liabilities, respectively, at December 31, 2016.


(3)	Represents the fair value of assets prior to deducting estimated selling costs that were carried on the consolidated balance sheet at December 31, 2016, and for which a fair value measurement was recorded during the period.

Gains and Losses, Fair Value Measurements, Nonrecurring

The following table presents gains and losses recognized on assets measured at fair value on a nonrecurring basis during the three and six months ended June 30, 2017 and 2016 (dollars in millions):



	Three Months Ended June 30,				Six Months Ended June 30,
	2017		2016		2017			2016
One- to four-family	$	1	$	1	$	2		$	2
Home equity	2		4		3			7
Total losses on loans receivable measured at fair value	$	3	$	5	$	5		$	9
Losses (gains) on real estate owned measured at fair value	$	—	$	1	$	(1	)	$	1

Fair Value, by Balance Sheet Grouping

The following table summarizes the carrying values, fair values and fair value hierarchy level classification of financial instruments that are not carried at fair value on the consolidated balance sheet at June 30, 2017 and December 31, 2016 (dollars in millions):



	June 30, 2017
	Carrying Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Cash and equivalents	$	1,091	$	1,091	$	—	$	—	$	1,091
Cash required to be segregated under federal or other regulations	$	889	$	889	$	—	$	—	$	889
Held-to-maturity securities:
Agency mortgage-backed securities	$	18,426	$	—	$	18,479	$	—	$	18,479
Agency debentures	291		—		291		—		291
Agency debt securities	2,778		—		2,788		—		2,788
Other non-agency debt securities	7		—		—		7		7
Total held-to-maturity securities	$	21,502	$	—	$	21,558	$	7	$	21,565
Margin receivables⁽¹⁾	$	7,773	$	—	$	7,773	$	—	$	7,773
Loans receivable, net:
One- to four-family	$	1,642	$	—	$	—	$	1,676	$	1,676
Home equity	1,204		—		—		1,175		1,175
Consumer	209		—		—		209		209
Total loans receivable, net⁽²⁾	$	3,055	$	—	$	—	$	3,060	$	3,060
Receivables from brokers, dealers and clearing organizations⁽¹⁾	$	1,103	$	—	$	1,103	$	—	$	1,103
Liabilities
Deposits	$	40,072	$	—	$	40,072	$	—	$	40,072
Customer payables	$	7,992	$	—	$	7,992	$	—	$	7,992
Payables to brokers, dealers and clearing organizations	$	1,473	$	—	$	1,473	$	—	$	1,473
Other borrowings:
Securities sold under agreements to repurchase	$	400	$	—	$	400	$	—	$	400
FHLB advances	$	200	$	—	$	200	$	—	$	200
Trust preferred securities	$	409	$	—	$	—	$	321	$	321
Total other borrowings	$	1,009	$	—	$	600	$	321	$	921
Corporate debt	$	992	$	—	$	1,040	$	—	$	1,040

(1)

The fair value of securities that the Company received as collateral in connection with margin receivables and securities borrowing activities, where the Company is permitted to sell or re-pledge the securities, was approximately $11.0 billion and $9.8 billion at June 30, 2017 and December 31, 2016, respectively. Of this amount, $2.9 billion and $2.0 billion had been pledged or sold in connection with securities loans and deposits with clearing organizations at June 30, 2017 and December 31, 2016, respectively.


(2)	The carrying value of loans receivable, net includes the allowance for loan losses of $116 million and loans that are recorded at fair value on a nonrecurring basis at June 30, 2017.



	December 31, 2016
	Carrying Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Cash and equivalents	$	1,950	$	1,950	$	—	$	—	$	1,950
Cash required to be segregated under federal or other regulations	$	1,460	$	1,460	$	—	$	—	$	1,460
Held-to-maturity securities:
Agency mortgage-backed securities	$	12,868	$	—	$	12,839	$	—	$	12,839
Agency debentures	29		—		29		—		29
Agency debt securities	2,854		—		2,848		—		2,848
Total held-to-maturity securities	$	15,751	$	—	$	15,716	$	—	$	15,716
Margin receivables	$	6,731	$	—	$	6,731	$	—	$	6,731
Loans receivable, net:
One- to four-family	$	1,918	$	—	$	—	$	1,942	$	1,942
Home equity	1,385		—		—		1,311		1,311
Consumer	248		—		—		249		249
Total loans receivable, net⁽¹⁾	$	3,551	$	—	$	—	$	3,502	$	3,502
Receivables from brokers, dealers and clearing organizations	$	1,056	$	—	$	1,056	$	—	$	1,056
Liabilities
Deposits	$	31,682	$	—	$	31,681	$	—	$	31,681
Customer Payables	$	8,159	$	—	$	8,159	$	—	$	8,159
Payables to brokers, dealers and clearing organizations	$	983	$	—	$	983	$	—	$	983
Trust preferred securities	$	409	$	—	$	—	$	288	$	288
Corporate debt	$	994	$	—	$	1,050	$	—	$	1,050


(1)	The carrying value of loans receivable, net includes the allowance for loan losses of $221 million and loans that are recorded at fair value on a nonrecurring basis at December 31, 2016.

- 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.

+ References + Details