Fair Value Measurement (Tables)

6 Months Ended

Jun. 30, 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 June 30, 2026 and December 31, 2025.

Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis


	June 30, 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	$	9,176	$	—	$	—	$	—	$	9,176
RMBS	—		68,261		145		—		68,406
CMBS	—		7,445		127		—		7,572
Other securities	158		4,729		—		—		4,887
Total investment securities available for sale	9,334		80,435		272		—		90,041
Loans held for sale	—		206		—		—		206
Other assets:
Derivative assets(2)	943		1,070		430		(518)		1,925
Other(3)	935		8		27		—		970
Total assets	$	11,212	$	81,719	$	729	$	(518)	$	93,142
Liabilities:
Other liabilities:
Derivative liabilities(2)	$	779	$	1,295	$	449	$	(300)	$	2,223
Total liabilities	$	779	$	1,295	$	449	$	(300)	$	2,223


	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	$	—	$	—	$	—	$	10,013
RMBS	—		69,602		126		—		69,728
CMBS	—		7,870		22		—		7,892
Other securities	134		3,284		—		—		3,418
Total investment securities available for sale	10,147		80,756		148		—		91,051
Loans held for sale	—		755		—		—		755
Other assets:
Derivative assets(2)	918		839		444		(408)		1,793
Other(3)	837		—		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 $3 million and $5 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2026 and December 31, 2025, respectively. 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 June 30, 2026 and December 31, 2025, Other primarily includes deferred compensation plan assets of $934 million and $835 million and retained interests in securitizations of $27 million and $28 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 six months ended June 30, 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 June 30, 2026
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2026(1)
(Dollars in millions)	Balance, April 1, 2026		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2026
Securities available for sale:(2)
RMBS	$	154	$	2	$	—	$	—	$	—	$	—	$	(5)	$	1	$	(7)	$	145	$	2
CMBS	130		—		—		—		—		—		(2)		—		(1)		127		—

Total securities available for sale	284		2		—		—		—		—		(7)		1		(8)		272		2
Other assets:

Retained interests in securitizations	27		—		—		—		—		—		—		—		—		27		—
Net derivative assets (liabilities)(3)	88		(88)		—		—		—		(10)		(9)		—		—		(19)		(85)


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2026
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 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, June 30, 2026
Investment securities available for sale:(2)
RMBS	$	126	$	4	$	(2)	$	—	$	—	$	—	$	(9)	$	37	$	(11)	$	145	$	4
CMBS	22		—		—		—		—		—		(2)		129		(22)		127		—

Total investment securities available for sale	148		4		(2)		—		—		—		(11)		166		(33)		272		4
Other assets:

Retained interests in securitizations	28		(1)		—		—		—		—		—		—		—		27		(1)
Net derivative assets (liabilities)(3)	110		(104)		—		—		—		(18)		(8)		1		—		(19)		(114)


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended June 30, 2025
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 2025(1)
(Dollars in millions)	Balance, April 1, 2025		Included in Net Income(1)		Included in OCI		Purchases		Sales		Issuances		Settlements		Transfers Into Level 3		Transfers Out of Level 3		Balance, June 30, 2025
Investment securities available for sale:(2)
RMBS	$	143	$	2	$	—	$	—	$	—	$	—	$	(4)	$	1	$	—	$	142	$	2
CMBS	2		—		—		—		(1)		—		(1)		—		—		—		—

Total investment securities available for sale	145		2		—		—		(1)		—		(5)		1		—		142		2
Other assets:

Retained interests in securitizations	32		(3)		—		—		—		—		—		—		—		29		(2)
Net derivative assets (liabilities)(3)	89		3		—		—		—		10		6		—		—		108		3


	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Six Months Ended June 30, 2025
			Total Gains (Losses) (Realized/Unrealized)																		Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of June 30, 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, June 30, 2025
Investment securities available for sale:(2)
RMBS	$	116	$	4	$	3	$	—	$	—	$	—	$	(7)	$	26	$	—	$	142	$	4
CMBS	2		—		—		—		(1)		—		(1)		—		—		—		—

Total investment securities available for sale	118		4		3		—		(1)		—		(8)		26		—		142		4
Other assets:

Retained interests in securitizations	34		(5)		—		—		—		—		—		—		—		29		(5)
Net derivative assets (liabilities)(3)	69		16		—		—		—		24		(1)		—		—		108		14

__________

(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)For the three and six months ended June 30, 2026 included in OCI related to Level 3 investment securities available for sale still held as of June 30, 2026 were net unrealized loss of $1 million and $4 million, respectively. For both the three and six months ended June 30, 2025 included in OCI related to Level 3 investment securities available for sale still held as of June 30, 2025 were net unrealized gain of $4 million.

(3)Includes derivative assets and liabilities of $430 million and $449 million, respectively, as of June 30, 2026, and $518 million and $410 million, respectively, as of June 30, 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
June 30,
2026

Significant
Valuation
Techniques

Significant
Unobservable
Inputs

Range

Weighted

Average(1)

Investment securities available for sale:

RMBS

145

Discounted cash flows (vendor pricing)

Yield

Voluntary prepayment rate

Default rate

Loss severity

5-10%

0-16%

0-6%

25-75%

55%

CMBS

127

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

33-65

5-11%

Less than 1%

N/A

Net derivative assets (liabilities)

(19)

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 June 30, 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


	June 30, 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	$	—	$	473	$	473	$	—	$	662	$	662
Loans held for sale	—		—		—		5		—		5
Other assets(1)	—		99		99		—		131		131
Total	$	—	$	572	$	572	$	5	$	793	$	798

__________

(1)As of June 30, 2026, other assets included investments accounted for under the measurement alternative of $17 million and repossessed assets of $82 million. As of December 31, 2025, other assets included investments accounted for under the 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 June 30, 2026 and 2025.

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings


	Total Gains (Losses)
	Six Months Ended June 30,
(Dollars in millions)	2026		2025
Loans held for investment	$	(375)	$	(210)

Other assets(1)	(120)		(63)
Total	$	(495)	$	(273)

__________

(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 June 30, 2026 and December 31, 2025.

Table 12.6: Fair Value of Financial Instruments


	June 30, 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	$	54,714	$	54,714	$	4,834	$	49,880	$	—
Restricted cash for securitization investors	1,167		1,167		1,167		—		—
Investment securities held to maturity	2,737		2,713		390		2,323		—

Net loans held for investment	434,202		444,126		—		—		444,126
Loans held for sale	58		58		—		58		—
Interest receivable	3,432		3,432		—		3,432		—
Other investments(1)	2,617		2,617		—		2,617		—
Financial liabilities:
Deposits with defined maturities	101,957		101,886		—		101,886		—
Securitized debt obligations	8,502		8,573		—		8,573		—
Senior and subordinated notes	35,620		36,716		—		36,716		—
Federal funds purchased and securities loaned or sold under agreements to repurchase	694		694		—		694		—
Other borrowings(2)	535		523		—		523		—
Interest payable	816		816		—		816		—


	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	$	—
Restricted cash for securitization investors	4,659		4,659		4,659		—		—
Net loans held for investment	430,213		438,783		—		—		438,783
Loans held for sale	5		5		—		5		—
Interest receivable	3,492		3,492		—		3,492		—
Other investments(1)	2,683		2,683		—		2,683		—
Financial liabilities:
Deposits with defined maturities	105,010		105,309		—		105,309		—
Securitized debt obligations	12,853		12,955		—		12,955		—
Senior and subordinated notes	36,001		37,243		—		37,243		—
Federal funds purchased and securities loaned or sold under agreements to repurchase	587		587		—		587		—
Other borrowings(2)	1,537		1,524		—		1,524		—
Interest payable	844		844		—		844		—

__________

(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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