Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2026

Schedule of Assets and Liabilities Measured at Fair Value on 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 1		Level 2		Level 3				Total
Assets:
Investment securities available for sale:
U.S. Treasury securities	$	8,966	$	0	$	0	$	0	$	8,966
RMBS	0		69,459		154		0		69,613
CMBS	0		7,341		130		0		7,471
Other securities	156		4,414		0		0		4,570
Total investment securities available for sale	9,122		81,214		284		0		90,620
Loans held for sale	0		169		0		0		169
Other assets:
Derivative assets(2)	1,484		1,507		421		(520)		2,892
Other(3)	852		0		27		0		879
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 1		Level 2		Level 3				Total
Assets:
Investment securities available for sale:
U.S. Treasury securities	$	10,013	$	0	$	0	$	0	$	10,013
RMBS	0		69,602		126		0		69,728
CMBS	0		7,870		22		0		7,892
Other securities	134		3,284		0		0		3,418
Total investment securities available for sale	10,147		80,756		148		0		91,051
Loans held for sale	0		755		0		0		755
Other assets:
Derivative assets(2)	918		839		444		(408)		1,793
Other(3)	837		0		28		0		865
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.

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 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 OCI		Purchases		Sales		Issuances		Settlements		Transfers 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
CMBS	22		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 securitizations	28		(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 OCI		Purchases		Sales		Issuances		Settlements		Transfers 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
CMBS	2		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 securitizations	34		(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.

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 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%

55%

CMBS

130

Discounted cash flows (vendor pricing)

Yield

4-5%

Other assets:

Retained interests in securitizations(2)

Discounted cash flows

Life of receivables (months)

Voluntary prepayment rate

Discount rate

Default rate

Loss severity

33-64

5-12%

Less than 1%

65%

N/A

Net derivative assets (liabilities)

Discounted cash flows

Swap rates

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%

55%

CMBS

Discounted cash flows (vendor pricing)

Yield

Other assets:

Retained interests in securitizations(2)

Discounted cash flows

Life of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity

35-64

5-12%

49%

N/A

Net derivative assets (liabilities)

110

Discounted cash flows

Swap rates

3-4%

__________

(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 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, 2026						December 31, 2025
	Estimated Fair Value Hierarchy				Total		Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3				Level 2		Level 3
Loans held for investment	$	0	$	267	$	267	$	0	$	662	$	662
Loans held for sale	0		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.

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 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)	2026		2025
Loans held for investment	$	(224)	$	(123)
Loans held for sale	0		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.

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 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 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	76,494	$	76,494	$	4,555	$	71,939	$	0
Restricted cash for securitization investors	2,762		2,762		2,762		0		0
Investment securities held to maturity	1,694		1,684		393		1,291		0

Net loans held for investment	424,124		434,534		0		0		434,534
Loans held for sale	17		17		0		17		0
Interest receivable	3,460		3,460		0		3,460		0
Other investments(1)	2,664		2,664		0		2,664		0
Financial liabilities:
Deposits with defined maturities	105,312		105,435		0		105,435		0
Securitized debt obligations	11,283		11,357		0		11,357		0
Senior and subordinated notes	38,421		39,190		0		39,190		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	626		626		0		626		0
Other borrowings(2)	1,536		1,523		0		1,523		0
Interest payable	827		827		0		827		0


	December 31, 2025
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	57,434	$	57,434	$	3,031	$	54,403	$	0
Restricted cash for securitization investors	4,659		4,659		4,659		0		0
Net loans held for investment	430,213		438,783		0		0		438,783
Loans held for sale	5		5		0		5		0
Interest receivable	3,492		3,492		0		3,492		0
Other investments(1)	2,683		2,683		0		2,683		0
Financial liabilities:
Deposits with defined maturities	105,010		105,309		0		105,309		0
Securitized debt obligations	12,853		12,955		0		12,955		0
Senior and subordinated notes	36,001		37,243		0		37,243		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	587		587		0		587		0
Other borrowings(2)	1,537		1,524		0		1,524		0
Interest payable	844		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.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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