v3.26.1
Fair Value Measurement
 3 Months Ended
Mar. 31, 2026
Fair Value Disclosures [Abstract]  
Fair Value Measurement
NOTE 12—FAIR VALUE MEASUREMENT
Fair value, also referred to as an exit price, is defined as the price that would be received for an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The fair value accounting guidance provides a three-level fair value hierarchy for classifying financial instruments. This hierarchy is based on the markets in which the assets or liabilities trade and whether the inputs to the valuation techniques used to measure fair value are observable or unobservable. The fair value measurement of a financial asset or liability is assigned a level based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are described below:
Level 1:Valuation is based on quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2:Valuation is based on observable market-based inputs other than Level 1 prices, such as quoted prices for similar assets or liabilities, quoted prices in markets that are not active, or other inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities.
Level 3:
Valuation is generated from techniques that use significant assumptions not observable in the market. Valuation techniques include pricing models, DCF methodologies or similar techniques.
The accounting guidance for fair value measurements requires that we maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. We consider all available information, including observable market data, indications of market liquidity and orderliness, and our understanding of the valuation techniques and significant inputs. Based upon the specific facts and circumstances of each instrument or instrument category, judgments are made regarding the significance of the observable or unobservable inputs to the instruments’ fair value measurement in its entirety. If unobservable inputs are considered significant, the instrument is classified as Level 3. The process for determining fair value using unobservable inputs is generally more subjective and involves a high degree of management judgment and assumptions. The accounting guidance provides for the irrevocable option to elect, on a contract-by-contract basis, to measure certain financial assets and liabilities at fair value at inception of the contract and record any subsequent changes in fair value in earnings.
The determination and classification of financial instruments in the fair value hierarchy is performed at the end of each reporting period. For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring basis, see “Part II—Item 8. Financial Statements and Supplementary Data—Note 17—Fair Value Measurement” in our 2025 Form 10-K.
Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table displays our assets and liabilities of continuing operations measured on our consolidated balance sheets at fair value on a recurring basis as of March 31, 2026 and December 31, 2025.
Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2026
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Investment securities available for sale:
U.S. Treasury securities$8,966 $0 $0 $0 $8,966 
RMBS0 69,459 154 069,613 
CMBS0 7,341 130 07,471 
Other securities156 4,414 0 04,570 
Total investment securities available for sale
9,122 81,214 284 090,620 
Loans held for sale0 169 0 0169 
Other assets:
Derivative assets(2)
1,484 1,507 421 (520)2,892 
Other(3)
852 0 27 0879 
Total assets$11,458 $82,890 $732 $(520)$94,560 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$1,459 $1,133 $333 $(338)$2,587 
Total liabilities$1,459 $1,133 $333 $(338)$2,587 
December 31, 2025
Fair Value Measurements Using
Netting Adjustments(1)
(Dollars in millions)Level 1Level 2Level 3Total
Assets:
Investment securities available for sale:
U.S. Treasury securities$10,013 $0 $0 $0 $10,013 
RMBS0 69,602 126 069,728 
CMBS0 7,870 22 07,892 
Other securities134 3,284 0 03,418 
Total investment securities available for sale
10,147 80,756 148 091,051 
Loans held for sale0 755 0 0755 
Other assets:
Derivative assets(2)
918 839 444 (408)1,793 
Other(3)
837 0 28 0865 
Total assets$11,902 $82,350 $620 $(408)$94,464 
Liabilities:
Other liabilities:
Derivative liabilities(2)
$500 $1,295 $334 $(501)$1,628 
Total liabilities$500 $1,295 $334 $(501)$1,628 
__________
(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 9—Derivative Instruments and Hedging Activities” for additional information.
(2)Does not reflect approximately $5 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of both March 31, 2026 and December 31, 2025. Non-performance risk is included in the measurement of derivative assets and liabilities on our consolidated balance sheets, and is recorded through non-interest income in the consolidated statements of income.
(3)As of March 31, 2026 and December 31, 2025, other includes retained interests in securitizations of $27 million and $28 million, deferred compensation plan assets of $850 million and $835 million, equity securities of $2 million (including unrealized gains of $1 million) and $2 million (including unrealized gains of $2 million), respectively.
Level 3 Recurring Fair Value Rollforward
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 months ended March 31, 2026 and 2025. 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 12.2: Level 3 Recurring Fair Value Rollforward
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three Months Ended March 31, 2026
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2026(1)
(Dollars in millions)Balance,
January 1, 2026
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3		Transfers
Out of
Level 3
Balance,
March 31, 2026
Investment securities available for sale:(2)
RMBS$126 $2 $(2)$0 $0 $0 $(4)$36 $(4)$154 $2 
CMBS22 0 0 0 0 0 0 129 (21)130 0 
Total investment securities available for sale
148 2 (2)0 0 0 (4)165 (25)284 2 
Other assets:
Retained interests in securitizations28 (1)0 0 0 0 0 0 0 27 (1)
Net derivative assets (liabilities)(3)
110 (16)0 0 0 (8)1 1 0 88 (29)

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
Three Months Ended March 31, 2025
Total Gains (Losses)
(Realized/Unrealized)
Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2025(1)
(Dollars in millions)
Balance, January 1, 2025
Included
in Net
Income(1)
Included in OCIPurchasesSalesIssuancesSettlementsTransfers
Into
Level 3		Transfers
Out of
Level 3
Balance,
 March 31,
2025
Investment securities available for sale:(2)
RMBS$116 $2 $3 $0 $0 $0 $(3)$25 $0 $143 $2 
CMBS2 0 0 0 0 0 0 0 0 2 0 
Total investment securities available for sale
118 2 3 0 0 0 (3)25 0 145 2 
Other assets:
Retained interests in securitizations34 (2)0 0 0 0 0 0 0 32 (2)
Net derivative assets (liabilities)(3)
69 13 0 0 0 14 (7)0 0 89 11 
__________
(1)Realized gains (losses) on investment 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)Net unrealized losses included in OCI related to Level 3 investment securities available for sale still held were $4 million for March 31, 2026 and net unrealized gains included in OCI related to Level 3 securities available for sale still held were $4 million as of March 31, 2025.
(3)Includes derivative assets and liabilities of $421 million and $333 million, respectively, as of March 31, 2026, and $570 million and $481 million, respectively, as of March 31, 2025.
Significant Level 3 Fair Value Asset and Liability Inputs
Generally, uncertainties in fair value measurements of financial instruments, such as changes in unobservable inputs, may have a significant impact on fair value. Certain of these unobservable inputs will, in isolation, have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. In general, an increase in the discount rate, default rates, loss severity or credit spreads, in isolation, would result in a decrease in the fair value measurement. In addition, an increase in default rates would generally be accompanied by a decrease in recovery rates, slower prepayment rates and an increase in liquidity spreads, and would lead to a decrease in the fair value measurement.
Techniques and Inputs for Level 3 Fair Value Measurements
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 12.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
Fair Value at
March 31,
2026
Significant
Valuation
Techniques		Significant
Unobservable
Inputs		Range
Weighted
Average(1)
Investment securities available for sale:
RMBS$154 Discounted cash flows (vendor pricing)
Yield
Voluntary prepayment rate
Default rate
Loss severity
5-10%
0-16%
0-6%
25-75%
6%
7%
1%
55%
CMBS130 Discounted cash flows (vendor pricing)Yield
4-5%
5%
Other assets:
Retained interests in securitizations(2)
27 Discounted cash flows
Life of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
33-64
9%
5-12%
Less than 1%
65%
N/A
Net derivative assets (liabilities)88 Discounted cash flowsSwap rates
4%
4%
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
Fair Value at
December 31,
2025
Significant
Valuation
Techniques		Significant
Unobservable
Inputs		Range
Weighted
Average(1)
Investment securities available for sale:
RMBS$126 Discounted cash flows (vendor pricing)Yield
Voluntary prepayment rate
Default rate
Loss severity
5-10%
0-16%
0-6%
25-75%
6%
7%
1%
55%
CMBS22 Discounted cash flows (vendor pricing)Yield
4%
4%
Other assets:
Retained interests in securitizations(2)
28 Discounted cash flowsLife of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
35-64
8%
5-12%
1%
49%
N/A
Net derivative assets (liabilities)110 Discounted cash flowsSwap rates
3-4%
3%
__________
(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.
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
We are required to measure and recognize certain assets at fair value on a nonrecurring basis on the consolidated balance sheets. These assets are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, from the application of lower of cost or fair value accounting or when we evaluate for impairment).
The following table presents the carrying value of the assets measured at fair value on a nonrecurring basis and still held as of March 31, 2026 and December 31, 2025, and for which a nonrecurring fair value measurement was recorded during the three and twelve months then ended.
Table 12.4: Nonrecurring Fair Value Measurements
March 31, 2026December 31, 2025
Estimated Fair Value HierarchyTotalEstimated Fair Value HierarchyTotal
(Dollars in millions)Level 2Level 3Level 2Level 3
Loans held for investment$0 $267 $267 $0 $662 $662 
Loans held for sale0 0 0 5 0 5 
Other assets(1)
0 87 87 0 131 131 
Total$0 $354 $354 $5 $793 $798 
__________
(1)As of March 31, 2026, other assets included investments accounted for under measurement alternative of $11 million and repossessed assets of $76 million. As of December 31, 2025, other assets included investments accounted for under measurement alternative of $44 million and repossessed assets of $82 million and long-lived assets held for sale and right-of-use assets totaling $5 million.
In the above table, loans held for investment are generally valued based in part on the estimated fair value of the underlying collateral and the non-recoverable rate, which is considered to be a significant unobservable input. The non-recoverable rate ranged from 0% to 63%, with a weighted average of 40%, and from 0% to 62%, with a weighted average of 22%, as of March 31, 2026 and December 31, 2025, respectively. The weighted average non-recoverable rate is calculated based on the estimated market value of the underlying collateral. The significant unobservable inputs and related quantitative information related to fair value of the other assets are not meaningful to disclose as they vary significantly across properties and collateral.
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at March 31, 2026 and 2025.
Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings
Total Gains (Losses)
Three Months Ended March 31,
(Dollars in millions)20262025
Loans held for investment$(224)$(123)
Loans held for sale0 6 
Other assets(1)
(109)(67)
Total$(333)$(184)
__________
(1)Other assets primarily include fair value adjustments related to repossessed assets, long-lived assets held for sale and right-of-use assets and equity investments accounted for under the measurement alternative.
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 March 31, 2026 and December 31, 2025.
Table 12.6: Fair Value of Financial Instruments
March 31, 2026
Carrying
Value		Estimated
Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$76,494 $76,494 $4,555 $71,939 $0 
Restricted cash for securitization investors2,762 2,762 2,762 0 0 
Investment securities held to maturity
1,694 1,684 393 1,291 0 
Net loans held for investment424,124 434,534 0 0 434,534 
Loans held for sale
17 17 0 17 0 
Interest receivable3,460 3,460 0 3,460 0 
Other investments(1)
2,664 2,664 0 2,664 0 
Financial liabilities:
Deposits with defined maturities105,312 105,435 0 105,435 0 
Securitized debt obligations11,283 11,357 0 11,357 0 
Senior and subordinated notes38,421 39,190 0 39,190 0 
Federal funds purchased and securities loaned or sold under agreements to repurchase626 626 0 626 0 
Other borrowings(2)
1,536 1,523 0 1,523 0 
Interest payable827 827 0 827 0 
 December 31, 2025
Carrying
Value		Estimated
Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)Level 1Level 2Level 3
Financial assets:
Cash and cash equivalents$57,434 $57,434 $3,031 $54,403 $0 
Restricted cash for securitization investors4,659 4,659 4,659 0 0 
Net loans held for investment430,213 438,783 0 0 438,783 
Loans held for sale5 5 0 5 0 
Interest receivable3,492 3,492 0 3,492 0 
Other investments(1)
2,683 2,683 0 2,683 0 
Financial liabilities:
Deposits with defined maturities105,010 105,309 0 105,309 0 
Securitized debt obligations12,853 12,955 0 12,955 0 
Senior and subordinated notes36,001 37,243 0 37,243 0 
Federal funds purchased and securities loaned or sold under agreements to repurchase587 587 0 587 0 
Other borrowings(2)
1,537 1,524 0 1,524 0 
Interest payable844 844 0 844 0 
__________
(1)Other investments include FHLB and Federal Reserve Bank stock. These investments are included in other assets on our consolidated balance sheets.
(2)Other borrowings exclude capital lease obligations.