Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2020

Schedule Of Assets And Liabilities At Fair Value Measured On A Recurring Basis And Non-Recurring Basis

The following table presents assets and liabilities measured at estimated fair value on a recurring basis and non-recurring basis as of December 31:


	2020								2019
	Level 1		Level 2		Level 3 (1)		Total Estimated Fair Value		Level 1		Level 2		Level 3 (1)		Total Estimated Fair Value
	(In millions)
Recurring fair value measurements
Debt securities available for sale:
U.S. Treasury securities	$	183	$	—	$	—	$	183	$	182	$	—	$	—	$	182
Federal agency securities	—		105		—		105		—		43		—		43
Mortgage-backed securities (MBS):
Residential agency	—		19,076		—		19,076		—		15,516		—		15,516
Residential non-agency	—		—		1		1		—		—		1		1
Commercial agency	—		5,999		—		5,999		—		4,766		—		4,766
Commercial non-agency	—		586		—		586		—		647		—		647
Corporate and other debt securities	—		1,200		4		1,204		—		1,450		1		1,451
Total debt securities available for sale	$	183	$	26,966	$	5	$	27,154	$	182	$	22,422	$	2	$	22,606
Loans held for sale	$	—	$	1,446	$	—	$	1,446	$	—	$	436	$	3	$	439
Marketable equity securities	$	388	$	—	$	—	$	388	$	450	$	—	$	—	$	450
Residential mortgage servicing rights	$	—	$	—	$	296	$	296	$	—	$	—	$	345	$	345
Derivative assets (2):
Interest rate swaps	$	—	$	2,750	$	—	$	2,750	$	—	$	1,064	$	—	$	1,064
Interest rate options	—		477		43		520		—		227		8		235
Interest rate futures and forward commitments	—		11		—		11		—		4		6		10
Other contracts	2		65		1		68		—		47		1		48
Total derivative assets	$	2	$	3,303	$	44	$	3,349	$	—	$	1,342	$	15	$	1,357
Equity investments	$	—	$	74	$	—	$	74	$	—	$	—	$	—	$	—
Derivative liabilities (2):
Interest rate swaps	$	—	$	1,464	$	—	$	1,464	$	—	$	739	$	—	$	739
Interest rate options	—		28		—		28		—		9		—		9
Interest rate futures and forward commitments	—		26		—		26		—		11		—		11
Other contracts	2		72		6		80		—		53		5		58
Total derivative liabilities	$	2	$	1,590	$	6	$	1,598	$	—	$	812	$	5	$	817
Non-recurring fair value measurements
Loans held for sale	$	—	$	—	$	4	$	4	$	—	$	—	$	14	$	14
Equity investments without a readily determinable fair value	—		—		12		12		—		—		32		32
Foreclosed property and other real estate	—		—		5		5		—		—		42		42

_________

(1)All following disclosures related to Level 3 recurring and non-recurring assets do not include those deemed to be immaterial.

(2)As permitted under U.S. GAAP, variation margin collateral payments made or received for derivatives that are centrally cleared are legally characterized as settled. As such, these derivative assets and derivative liabilities and the related variation margin collateral are presented on a net basis on the balance sheet.

Rollforward For Assets And Liabilities Measured At Fair Value On A Recurring Basis With Level 3 Significant Unobservable Inputs

The following tables illustrate rollforwards for residential mortgage servicing rights, which are the only material assets or liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2020, 2019 and 2018, respectively.


	Residential mortgage servicing rights
	For the Years Ended December 31
	2020		2019		2018
	(In millions)
Carrying value, beginning of period	$	345	$	418	$	336
Total realized/unrealized gains (losses) included in earnings (1)	(157)		(115)		(29)
Purchases	108		42		111
Carrying value, end of period	$	296	$	345	$	418

_______

(1) Included in mortgage income. Amounts presented exclude offsetting impact from related derivatives.

Schedule Of Fair Value Adjustments Related To Non-Recurring Fair Value Measurements

The following table presents the fair value adjustments related to non-recurring fair value measurements for the years ended December 31:



	2020		2019
	(In millions)
Loans held for sale	$	(8)	$	(12)
Equity investments without a readily determinable fair value	2		1
Foreclosed property and other real estate	(10)		(30)

Summary Of Quantitative Information About Level 3 Measurements

The following tables present detailed information regarding material assets and liabilities measured at fair value using significant unobservable inputs (Level 3) as of December 31, 2020, 2019 and 2018. The tables include the valuation techniques and the significant unobservable inputs utilized. The range of each significant unobservable input as well as the weighted-average within the range utilized at December 31, 2020, 2019 and 2018 are included. Following the tables are descriptions of the valuation techniques and the sensitivity of the techniques to changes in the significant unobservable inputs.

December 31, 2020

Level 3
Estimated Fair Value at
December 31, 2020

Valuation
Technique

Unobservable
Input(s)

Quantitative Range of
Unobservable Inputs and
(Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights (1)

$296

Discounted cash flow

Weighted-average CPR (%)

8.1% - 31.2% (15.6%)

OAS (%)

4.8% - 9.5% (5.6%)

December 31, 2019

Level 3
Estimated Fair Value at
December 31, 2019

Valuation
Technique

Unobservable
Input(s)

Quantitative Range of
Unobservable Inputs and
(Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights (1)

$345

Discounted cash flow

Weighted-average CPR (%)

7.4% - 26.1% (12.0%)

OAS (%)

5.2% - 10.2% (6.2%)

December 31, 2018

Level 3
Estimated Fair Value at
December 31, 2018

Valuation
Technique

Unobservable
Input(s)

Quantitative Range of
Unobservable Inputs and
(Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights (1)

$418

Discounted cash flow

Weighted-average CPR (%)

4.4% -42.6% (9.0%)

OAS (%)

5.7% - 15.0% (7.6%)

_________

(1)See Note 7 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

Fair Value Option, Fair Value and Unpaid Principal Balance

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans held for sale measured at fair value at December 31:


	2020						2019
	Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Aggregate Unpaid Principal		Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Aggregate Unpaid Principal
	(In millions)
Mortgage loans held for sale, at fair value	$	1,439	$	1,362	$	77	$	439	$	425	$	14

Interest income on mortgage loans held for sale is recognized based on contractual rates and is reflected in interest income on loans held for sale in the consolidated statements of income. The following table details net gains and losses resulting from changes in fair value of these loans, which were recorded in mortgage income in the consolidated statements of income for the years presented. These changes in fair value are mostly offset by economic hedging activities. An immaterial portion of these amounts was attributable to changes in instrument-specific credit risk.


	2020		2019
	(In millions)
Net gains (losses) resulting from changes in fair value of mortgage loans held for sale	$	63	$	4

Schedule Of Carrying Amounts And Estimated Fair Values Of Financial Instruments

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company’s financial instruments as of December 31, 2020 are as follows:


	2020
	Carrying Amount		Estimated Fair Value(1)		Level 1		Level 2		Level 3
	(In millions)
Financial assets:
Cash and cash equivalents	$	17,956	$	17,956	$	17,956	$	—	$	—
Debt securities held to maturity	1,122		1,215		—		1,215		—
Debt securities available for sale	27,154		27,154		183		26,966		5
Loans held for sale	1,905		1,905		—		1,901		4
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)	81,597		82,773		—		—		82,773
Other earning assets(4)	1,017		1,017		388		629		—
Derivative assets	3,349		3,349		2		3,303		44
Equity investments	74		74		—		74		—
Financial liabilities:
Derivative liabilities	1,598		1,598		2		1,590		6
Deposits	122,479		122,511		—		122,511		—

Long-term borrowings	3,569		4,063		—		3,592		471
Loan commitments and letters of credit	151		151		—		—		151

_________

(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value premium on the loan portfolio's net carrying amount at December 31, 2020 was $1.2 billion or 1.4 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.5 billion at December 31, 2020.

(4)Excluded from this table is the operating lease carrying amount of $200 million at December 31, 2020.

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company's financial instruments as of December 31, 2019 are as follows:


	2019
	Carrying Amount		Estimated Fair Value(1)		Level 1		Level 2		Level 3
	(In millions)
Financial assets:
Cash and cash equivalents	$	4,114	$	4,114	$	4,114	$	—	$	—
Debt securities held to maturity	1,332		1,372		—		1,372		—
Debt securities available for sale	22,606		22,606		182		22,422		2
Loans held for sale	637		637		—		620		17
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)	80,841		80,799		—		—		80,799
Other earning assets (4)	1,221		1,221		450		771		—
Derivative assets	1,357		1,357		—		1,342		15
Financial liabilities:
Derivative liabilities	817		817		—		812		5
Deposits	97,475		97,516		—		97,516		—
Short-term borrowings	2,050		2,050		—		2,050		—
Long-term borrowings	7,879		8,275		—		7,442		833
Loan commitments and letters of credit	67		67		—		—		67

_________

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value discount on the loan portfolio's net carrying amount at December 31, 2019 was $42 million or 0.1 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.3 billion at December 31, 2019.

(4)Excluded from this table is the operating lease carrying amount of $297 million at December 31, 2019.

- 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.

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