XML 44 R33.htm IDEA: XBRL DOCUMENT v3.21.2
Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2021
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of September 30, 2021 and December 31, 2020.
Table 11.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2021
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Securities available for sale:
U.S. Treasury securities$9,109 $0 $0 — $9,109 
RMBS0 75,428 253 — 75,681 
CMBS0 10,188 9 — 10,197 
Other securities152 3,010 0 — 3,162 
Total securities available for sale9,261 88,626 262 — 98,149 
Loans held for sale0 1,707 0 — 1,707 
Other assets:
Derivative assets(2)
955 3,758 191 $(975)3,929 
Other(3)
514 16 43 — 573 
Total assets$10,730 $94,107 $496 $(975)$104,358 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$1,904 $1,407 $152 $(904)$2,559 
Total liabilities$1,904 $1,407 $152 $(904)$2,559 
December 31, 2020
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Securities available for sale:
U.S. Treasury securities$9,318 $$— $9,318 
RMBS76,375 328 — 76,703 
CMBS11,624 111 — 11,735 
Other securities142 2,547 — 2,689 
Total securities available for sale9,460 90,546 439 — 100,445 
Loans held for sale596 — 596 
Other assets:
Derivative assets(2)
268 3,006 141 $(1,148)2,267 
Other(3)
430 552 55 — 1,037 
Total assets$10,158 $94,700 $635 $(1,148)$104,345 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$271 $1,137 $110 $(739)$779 
Total liabilities$271 $1,137 $110 $(739)$779 
__________
(1)Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See “Note 8—Derivative Instruments and Hedging Activities” for additional information.
(2)Does not reflect $17 million and $31 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of September 30, 2021 and December 31, 2020, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and other liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.
(3)As of September 30, 2021 and December 31, 2020, other includes retained interests in securitizations of $43 million and $55 million, deferred compensation plan assets of $463 million and $414 million, and equity securities of $67 million and $568 million including unrealized gains of $43 million and $535 million, respectively.
Schedule of Level 3 Inputs Reconciliation
The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2021 and 2020. Generally, transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these financial instruments as evidenced by wider pricing variations among pricing vendors and transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing among multiple pricing sources.
Table 11.2: Level 3 Recurring Fair Value Rollforward
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three Months Ended September 30, 2021
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of
September 30, 2021(1)
(Dollars in millions)Balance, July 1, 2021
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3
Transfers
Out of
Level 3
Balance, September 30, 2021
Securities available for sale:(2)
RMBS$289 $4 $(1)$0 $0 $0 $(23)$4 $(20)$253 $4 
CMBS0 1 0 0 0 (1)0 0 9 0 
Total securities available for sale298 4 0 0 0 0 (24)4 (20)262 4 
Other assets:
Retained interests in securitizations46 (3)0 0 0 0 0 0 0 43 (3)
Net derivative assets (liabilities)(4)
19 (31)0 0 0 44 6 0 1 39 (29)
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Nine Months Ended September 30, 2021
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of
September 30, 2021(1)
(Dollars in millions)Balance, January 1, 2021
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3
Transfers
Out of
Level 3
Balance, September 30, 2021
Securities available for sale:(2)
RMBS$328 $15 $3 $0 $0 $0 $(74)$88 $(107)$253 $11 
CMBS111 0 (1)0 0 0 (7)0 (94)9 0 
Total securities available for sale439 15 2 0 0 0 (81)88 (201)262 11 
Other assets:
Retained interests in securitizations55 (12)0 0 0 0 0 0 0 43 (12)
Net derivative assets (liabilities)(4)
31 (41)0 0 0 66 (23)6 0 39 (32)
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three Months Ended September 30, 2020
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of
September 30, 2020(1)
(Dollars in millions)Balance, July 1, 2020
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3
Transfers
Out of
Level 3
Balance, September 30, 2020
Securities available for sale:(2)
RMBS$474 $10 $$$$$(22)$56 $(47)$474 $10 
CMBS282 (1)(8)98 372 (1)
Total securities available for sale756 (30)154 (47)846 
Other assets:
Retained interests in securitizations56 56 
Net derivative assets (liabilities)(4)
34 13 (2)(9)44 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Nine Months Ended September 30, 2020
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of
September 30, 2020(1)
(Dollars in millions)Balance, January 1, 2020
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3
Transfers
Out of
Level 3
Balance, September 30, 2020
Securities available for sale:(2)(3)
RMBS$433 $19 $(21)$$$$(55)$196 $(98)$474 $20 
CMBS13 (1)(11)371 372 (4)
Total securities available for sale446 18 (21)(66)567 (98)846 16 
Other assets:
Retained interests in securitizations66 (10)56 (10)
Net derivative assets (liabilities)(4)
26 20 39 (30)(11)44 18 
__________
(1)Realized gains (losses) on securities available for sale are included in net securities gains (losses) and retained interests in securitizations are reported as a component of non-interest income in our consolidated statements of income. Gains (losses) on derivatives are included as a component of net interest income or non-interest income in our consolidated statements of income.
(2)For the three and nine months ended September 30, 2021, included in OCI related to Level 3 securities available for sale still held as of September 30, 2021 were no net unrealized gains and $3 million of net unrealized gains, respectively. For the three and nine months ended September 30, 2020, included in OCI related to Level 3 securities available for sale still held as of September 30, 2020 were net unrealized gains of $5 million and net unrealized losses of $16 million, respectively.
(3)The fair value of RMBS as of January 1, 2020 includes a cumulative adjustment of $4 million from the adoption of the CECL standard.
(4)Includes derivative assets and liabilities of $191 million and $152 million, respectively, as of September 30, 2021 and $153 million and $109 million, respectively, as of September 30, 2020.
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis Quantitative Information The following table presents the significant unobservable inputs used to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple vendor pricing services to obtain fair value for our securities. Several of our vendor pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other vendor pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 11.3: Quantitative Information about Level 3 Fair Value Measurements
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)Fair Value at
September 30,
2021
Significant
Valuation
Techniques
Significant
Unobservable
Inputs
Range
Weighted
Average(1)
Securities available for sale:
RMBS$253 Discounted cash flows (vendor pricing)Yield
Voluntary prepayment rate
Default rate
Loss severity
0-17%
5-20%
1-11%
30-100%
3%
11%
2%
68%
CMBS9 Discounted cash flows (vendor pricing)Yield
1%
1%
Other assets:
Retained interests in securitizations(2)
43 Discounted cash flowsLife of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
30-36
9-17%
2-8%
2-4%
56-151%
N/A
Net derivative assets (liabilities)39 Discounted cash flowsSwap rates
1-2%
1%
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)Fair Value at
December 31,
2020
Significant
Valuation
Techniques
Significant
Unobservable
Inputs
Range
Weighted
Average(1)
Securities available for sale:
RMBS$328 Discounted cash flows (vendor pricing)Yield
Voluntary prepayment rate
Default rate
Loss severity
2-12%
8-15%
0-11%
30-100%
3%
10%
2%
73%
CMBS111 Discounted cash flows (vendor pricing)Yield
1-3%
2%
Other assets:
Retained interests in securitizations(2)
55 Discounted cash flowsLife of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
37-52
3-13%
2-12%
3-3%
55-70%
N/A
Net derivative assets (liabilities)31 Discounted cash flowsSwap rates1%1%
__________
(1)Weighted averages are calculated by using the product of the input multiplied by the relative fair value of the instruments.
(2)Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.
Schedule of Assets Measured at Fair Value on Nonrecurring Basis
The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2021 and December 31, 2020, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended.
Table 11.4: Nonrecurring Fair Value Measurements
September 30, 2021
Estimated Fair Value HierarchyTotal
(Dollars in millions)Level 2Level 3
Loans held for investment$0 $126 $126 
Other assets(1)
0 175 175 
Total$0 $301 $301 
December 31, 2020
Estimated Fair Value HierarchyTotal
(Dollars in millions)Level 2Level 3
Loans held for investment$$305 $305 
Other assets(1)
175 175 
Total$$480 $480 
__________
(1)As of September 30, 2021, other assets included equity method investments subject to impairment of $53 million, investments accounted for under measurement alternative of $15 million, repossessed assets of $39 million and long-lived assets held for sale of $68 million. As of December 31, 2020, other assets included equity investments accounted for under the measurement alternative of $25 million, repossessed assets of $42 million and long-lived assets held for sale of $108 million.
Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2021 and December 31, 2020.
Table 11.5: Nonrecurring Fair Value Measurements Included in Earnings
Total Gains (Losses)
Nine Months Ended September 30,
(Dollars in millions)20212020
Loans held for investment$12 $187 
Other assets(1)
(65)(42)
Total$(53)$145 
__________
(1)Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative.
Schedule of Fair Value of Financial Instruments
The following table presents the carrying value and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured at fair value on a recurring basis on our consolidated balance sheets as of September 30, 2021 and December 31, 2020.
Table 11.6: Fair Value of Financial Instruments
September 30, 2021
Carrying
Value
Estimated
Fair Value
Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$26,624 $26,624 $5,444 $21,180 $0 
Restricted cash for securitization investors234 234 234 0 0 
Net loans held for investment249,817 254,878 0 0 254,878 
Loans held for sale4,593 4,880 0 4,880 0 
Interest receivable1,418 1,418 0 1,418 0 
Other investments(1)
1,344 1,344 0 1,344 0 
Financial liabilities:
Deposits with defined maturities19,283 19,483 0 19,483 0 
Securitized debt obligations12,635 12,782 0 12,782 0 
Senior and subordinated notes23,983 24,754 0 24,754 0 
Federal funds purchased and securities loaned or sold under agreements to repurchase825 825 0 825 0 
Interest payable241 241 0 241 0 
 December 31, 2020
Carrying
Value
Estimated
Fair Value
Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$40,509 $40,509 $4,708 $35,801 $
Restricted cash for securitization investors262 262 262 
Net loans held for investment236,060 244,701 244,701 
Loans held for sale2,114 2,214 2,214 
Interest receivable1,471 1,471 1,471 
Other investments(1)
1,341 1,341 1,341 
Financial liabilities:
Deposits with defined maturities32,746 33,111 33,111 
Securitized debt obligations12,414 12,584 12,584 
Senior and subordinated notes27,382 28,282 28,282 
Federal funds purchased and securities loaned or sold under agreements to repurchase668 668 668 
Interest payable352 352 352 
__________
(1)Other investments include FHLB and Federal Reserve stock. These investments are included in other assets on our consolidated balance sheets.