Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2026

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

The table below presents our assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis subsequent to initial recognition, including instruments where we have elected the fair value option.

Table 13.1 - Assets and Liabilities Measured at Fair Value on a Recurring Basis


	March 31, 2026
(In millions)	Level 1	Level 2	Level 3	Netting Adjustments(1)	Total
Assets:
Investment securities:
Available-for-sale	$—	$2,263	$649	$—	$2,912
Trading:
Mortgage-related securities	—	8,551	2,676	—	11,227
Non-mortgage-related securities	61,551	249	—	—	61,800
Total trading securities	61,551	8,800	2,676	—	73,027
Total investment securities	61,551	11,063	3,325	—	75,939

Mortgage loans held-for-investment	—	6,190	716	—	6,906
Other assets:
Guarantee assets	—	—	4,495	—	4,495
Derivative assets, net	31	5,243	60	(3,773)	1,561
Other assets	—	—	238	—	238
Total other assets	31	5,243	4,793	(3,773)	6,294
Total assets carried at fair value on a recurring basis	$61,582	$22,496	$8,834	($3,773)	$89,139
Liabilities:

Debt issued by consolidated trusts	$—	$5,936	$35	$—	$5,971
Long-term debt	—	122	67	—	189
Other liabilities:
Derivative liabilities, net	3	4,879	96	(3,995)	983


Total liabilities carried at fair value on a recurring basis	$3	$10,937	$198	($3,995)	$7,143


	December 31, 2025
(In millions)	Level 1	Level 2	Level 3	Netting Adjustments(1)	Total
Assets:
Investment securities:
Available-for-sale	$—	$2,616	$700	$—	$3,316
Trading:
Mortgage-related securities	—	8,146	2,786	—	10,932
Non-mortgage-related securities	70,916	248	—	—	71,164
Total trading securities	70,916	8,394	2,786	—	82,096
Total investment securities	70,916	11,010	3,486	—	85,412
Mortgage loans held-for-investment	—	5,587	1,418	—	7,005
Other assets:
Guarantee assets	—	—	4,728	—	4,728
Derivative assets, net	5	5,261	74	(3,874)	1,466
Other assets	—	—	227	—	227
Total other assets	5	5,261	5,029	(3,874)	6,421
Total assets carried at fair value on a recurring basis	$70,921	$21,858	$9,933	($3,874)	$98,838
Liabilities:

Debt issued by consolidated trusts	$—	$5,808	$33	$—	$5,841
Long-term debt	—	125	70	—	195
Other liabilities:
Derivative liabilities, net	—	4,708	52	(3,979)	781
Total liabilities carried at fair value on a recurring basis	$—	$10,641	$155	($3,979)	$6,817

(1) Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.

Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs

The table below presents a reconciliation of all assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis using significant unobservable inputs (Level 3), including transfers into and out of Level 3. The table also presents gains and losses due to changes in fair value, including both realized and unrealized gains and losses, recognized on our condensed consolidated statements of income for Level 3 assets and liabilities.

Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs


	1Q 2026
(In millions)	Investment Securities	Mortgage Loans Held-for-Investment	Other Assets	Total Liabilities
Balance at January 1, 2026	$3,486	$1,418	$5,029	$155
Total realized/unrealized gains/losses(1)
Included in earnings	(84)	(6)	(27)	24
Included in other comprehensive income	(22)	—	—	—
Purchases	21	—	(11)	—
Issues	—	—	20	21
Sales	—	—	—	—
Settlements, net	(76)	(57)	(218)	(2)
Transfers into Level 3	—	39	—	—
Transfers out of Level 3	—	(678)	—	—
Balance at March 31, 2026	$3,325	$716	$4,793	$198
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2026(2)	($19)	($11)	($28)	$14
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2026	(18)	—	—	—


	1Q 2025
(In millions)	Investment Securities	Mortgage Loans Held-for-Sale	Mortgage Loans Held-for-Investment	Other Assets	Total Liabilities
Balance at January 1, 2025	$3,610	$1,295	$841	$5,439	$241
Total realized/unrealized gains/losses(1)
Included in earnings	(17)	3	10	79	(36)
Included in other comprehensive income	5	—	—	—	—
Purchases	88	32	—	—	—
Issues	—	—	—	153	3
Sales	—	—	—	(6)	—
Settlements, net	(42)	—	(55)	(274)	(3)
Transfers into Level 3	—	—	31	—	17
Transfers out of Level 3	—	(1,175)	(90)	—	(18)
Balance at March 31, 2025	$3,644	$155	$737	$5,391	$204
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2025(2)	$109	$3	$6	$79	($36)
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2025	4	—	—	—	—

(1)For assets, increase and decrease in earnings and other comprehensive income is shown as gains and (losses), respectively. For liabilities, increase and decrease in earnings and comprehensive income is shown as (gains) and losses, respectively.

(2)Represents the amount of total gains or losses for the period, included in earnings, attributable to the change in unrealized gains and losses related to assets and liabilities classified as Level 3 that were still held at March 31, 2026 and March 31, 2025, respectively.

Table - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs

Table 13.2 - Fair Value Measurements of Assets and Liabilities Using Significant Unobservable Inputs


	1Q 2026
(In millions)	Investment Securities	Mortgage Loans Held-for-Investment	Other Assets	Total Liabilities
Balance at January 1, 2026	$3,486	$1,418	$5,029	$155
Total realized/unrealized gains/losses(1)
Included in earnings	(84)	(6)	(27)	24
Included in other comprehensive income	(22)	—	—	—
Purchases	21	—	(11)	—
Issues	—	—	20	21
Sales	—	—	—	—
Settlements, net	(76)	(57)	(218)	(2)
Transfers into Level 3	—	39	—	—
Transfers out of Level 3	—	(678)	—	—
Balance at March 31, 2026	$3,325	$716	$4,793	$198
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2026(2)	($19)	($11)	($28)	$14
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2026	(18)	—	—	—


	1Q 2025
(In millions)	Investment Securities	Mortgage Loans Held-for-Sale	Mortgage Loans Held-for-Investment	Other Assets	Total Liabilities
Balance at January 1, 2025	$3,610	$1,295	$841	$5,439	$241
Total realized/unrealized gains/losses(1)
Included in earnings	(17)	3	10	79	(36)
Included in other comprehensive income	5	—	—	—	—
Purchases	88	32	—	—	—
Issues	—	—	—	153	3
Sales	—	—	—	(6)	—
Settlements, net	(42)	—	(55)	(274)	(3)
Transfers into Level 3	—	—	31	—	17
Transfers out of Level 3	—	(1,175)	(90)	—	(18)
Balance at March 31, 2025	$3,644	$155	$737	$5,391	$204
Change in unrealized gains/losses(1) included in net income related to assets and liabilities still held as of March 31, 2025(2)	$109	$3	$6	$79	($36)
Change in unrealized gains/losses(1), net of tax, included in OCI related to assets and liabilities still held as of March 31, 2025	4	—	—	—	—

Table - Quantitative Information about Recurring Level 3 Fair Value Measurements

The table below provides the valuation technique, range, and weighted average of significant unobservable inputs for Level 3 assets and liabilities measured on our condensed consolidated balance sheets at fair value on a recurring basis.

Table 13.3 - Quantitative Information about Recurring Level 3 Fair Value Measurements

March 31, 2026

Level 3

Fair

Value

Predominant

Valuation

Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities

$2,402

External pricing sources

Price

$0.0 - $3,138.1

$77.2

923

Other

Mortgage loans held-for-investment

716

External pricing sources

Price

$25.3 - $104.9

$83.2

Other assets

4,197

Discounted cash flows

OAS

20 - 840 bps

49 bps

596

Other

Total Level 3 assets

$8,834

Liabilities

Total Level 3 liabilities

$198

December 31, 2025

Level 3
Fair
Value

Predominant
Valuation
Technique(s)

Unobservable Inputs

(Dollars in millions, except for certain unobservable inputs as shown)

Type

Range

Weighted

Average(1)

Assets

Investment securities

$2,532

External pricing sources

Price

$0.0 - $3,520.6

$82.1

954

Other

Mortgage loans held-for-investment

1,418

External pricing sources

Price

$48.4 - $105.8

$89.0

Other assets

4,424

Discounted cash flows

OAS

17 - 8,850 bps

50 bps

605

Other

Total Level 3 assets

$9,933

Liabilities

Total Level 3 liabilities

$155

(1) Unobservable inputs were weighted primarily by the relative fair value of the financial instruments.

Table - Assets Measured at Fair Value on a Nonrecurring Basis

We may be required, from time to time, to measure certain assets at fair value on a non-recurring basis. These adjustments usually result from the application of lower-of-cost-or-fair-value accounting or an allowance for credit losses based on the fair value of the underlying collateral.

The table below presents assets measured on our condensed consolidated balance sheets at fair value on a non-recurring basis.

Table 13.4 - Assets Measured at Fair Value on a Non-Recurring Basis


(In millions)	March 31, 2026	December 31, 2025
Mortgage loans held-for-investment:(1)

Level 2	—	109
Level 3(2)	754	508
Total	$754	$617

(1)Includes loans that are classified as held-for-investment where we recognize credit losses, either through an allowance for credit losses or charge-off, based on the fair value of the underlying collateral and held-for-sale loans where the fair value is below cost. The valuation date for certain items may occur during the period and not at period end.

(2)The predominant valuation technique used for Level 3 non-recurring fair value measurement at both March 31, 2026 and December 31, 2025 was external pricing sources. The unobservable inputs included a range of $77.2 - $104.5 and weighted average of $87.9 at March 31, 2026 and a range of $24.0 - $104.3 and weighted average of $85.7 at December 31, 2025.

Table - Fair Value of Financial Instruments

The table below presents the carrying value and estimated fair value of our financial instruments. For certain types of financial instruments, such as cash and cash equivalents, securities purchased under agreements to resell, secured lending, and certain debt, the carrying value on our condensed consolidated balance sheets approximates fair value, as these assets and liabilities are short-term in nature and have limited fair value volatility.

Table 13.5 - Fair Value of Financial Instruments


		March 31, 2026
	GAAP Measurement Category(1)	Carrying Amount(2)	Fair Value
(In millions)			Level 1	Level 2	Level 3	Netting Adjustments(3)	Total
Financial assets
Cash and cash equivalents	Amortized cost	$4,469	$4,469	$—	$—	$—	$4,469
Securities purchased under agreements to resell	Amortized cost	74,804	—	79,128	—	(4,324)	74,804
Investment securities:
Available-for-sale	FV - OCI	2,912	—	2,263	649	—	2,912
Trading	FV - NI	73,027	61,551	8,800	2,676	—	73,027
Total investment securities		75,939	61,551	11,063	3,325	—	75,939
Mortgage loans held-for-sale	Lower-of-cost-or fair -value	1,225	—	19	1,272	—	1,291
Mortgage loans held-for-investment, net of allowance for credit losses	Various(4)	3,302,306	—	2,614,200	390,594	—	3,004,794
Other assets:
Guarantee assets	FV - NI	4,495	—	—	4,497	—	4,497
Derivative assets, net	FV - NI	1,561	31	5,243	60	(3,773)	1,561
Other assets(5)	Various(6)	3,356	—	504	3,073	—	3,577
Total other assets		9,412	31	5,747	7,630	(3,773)	9,635
Total financial assets		$3,468,155	$66,051	$2,710,157	$402,821	($8,097)	$3,170,932
Financial liabilities
Debt issued by consolidated trusts	Various(7)	$3,214,995	$—	$2,914,620	$376	$—	$2,914,996
Short-term debt	Amortized cost	24,408	—	24,405	—	—	24,405
Long-term debt	Various(8)	169,850	—	167,673	2,669	—	170,342
Securities sold under agreements to repurchase	Amortized cost	—	—	4,324	—	(4,324)	—
Other liabilities:
Guarantee obligations	Amortized cost	4,258	—	91	5,799	—	5,890
Derivative liabilities, net	FV - NI	983	3	4,879	96	(3,995)	983
Other liabilities(5)	FV - NI	—	—	291	54	—	345
Total other liabilities		5,241	3	5,261	5,949	(3,995)	7,218
Total financial liabilities		$3,414,494	$3	$3,116,283	$8,994	($8,319)	$3,116,961


		December 31, 2025
	GAAP Measurement Category(1)	Carrying Amount(2)	Fair Value
(In millions)			Level 1	Level 2	Level 3	Netting Adjustments(3)	Total
Financial assets
Cash and cash equivalents	Amortized cost	$5,327	$5,327	$—	$—	$—	$5,327
Securities purchased under agreements to resell	Amortized cost	71,919	—	78,378	—	(6,459)	71,919
Investment securities:
Available-for-sale	FV - OCI	3,316	—	2,616	700	—	3,316
Trading	FV - NI	82,096	70,916	8,394	2,786	—	82,096
Total investment securities		85,412	70,916	11,010	3,486	—	85,412
Mortgage loans held-for-sale	Lower-of-cost-or fair -value	1,014	—	139	939	—	1,078
Mortgage loans held-for-investment, net of allowance for credit losses	Various(4)	3,290,066	—	2,626,057	382,754	—	3,008,811
Other assets:
Guarantee assets	FV - NI	4,728	—	—	4,730	—	4,730
Derivative assets, net	FV - NI	1,466	5	5,261	74	(3,874)	1,466
Other assets(5)	Various(6)	2,607	—	445	2,442	—	2,887
Total other assets		8,801	5	5,706	7,246	(3,874)	9,083
Total financial assets		$3,462,539	$76,248	$2,721,290	$394,425	($10,333)	$3,181,630
Financial liabilities
Debt issued by consolidated trusts	Various(7)	$3,198,008	$—	$2,913,353	$434	$—	$2,913,787
Short-term debt	Amortized cost	37,718	—	37,727	—	—	37,727
Long-term debt	Various(8)	169,296	—	167,440	2,674	—	170,114
Securities sold under agreements to repurchase	Amortized cost	—	—	6,459	—	(6,459)	—
Other liabilities:
Guarantee obligations	Amortized cost	4,494	—	92	6,104	—	6,196
Derivative liabilities, net	FV - NI	781	—	4,708	52	(3,979)	781
Other liabilities(5)	FV - NI	—	—	184	78	—	262
Total other liabilities		5,275	—	4,984	6,234	(3,979)	7,239
Total financial liabilities		$3,410,297	$—	$3,129,963	$9,342	($10,438)	$3,128,867

(1)FV - NI denotes fair value through net income. FV - OCI denotes fair value through other comprehensive income.

(2)Excludes allowance for credit losses on off-balance sheet credit exposure.

(3)Represents counterparty netting and cash collateral netting, and includes accrued interest receivable and payable.

(4)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.3 trillion and $6.9 billion as of March 31, 2026, respectively, and $3.3 trillion and $7.0 billion as of December 31, 2025, respectively.

(5)For other assets, includes advances to lenders, secured lending, and loan commitments. For other liabilities, includes loan commitments.

(6)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.1 billion and $0.2 billion as of March 31, 2026, respectively, and $2.4 billion and $0.2 billion as of December 31, 2025, respectively.

(7)The GAAP carrying amounts measured at amortized cost and FV - NI were $3.2 trillion and $6.0 billion as of March 31, 2026, respectively, and $3.2 trillion and $5.8 billion as of December 31, 2025, respectively.

(8)The GAAP carrying amounts measured at amortized cost and FV - NI were $0.2 trillion and $0.2 billion as of March 31, 2026, respectively, and $0.2 trillion and $0.2 billion as of December 31, 2025, respectively.

Table - Difference between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected

The table below presents the fair value and UPB related to items for which we have elected the fair value option.

Table 13.6 - Difference Between Fair Value and UPB for Certain Financial Instruments with Fair Value Option Elected(1)


	March 31, 2026			December 31, 2025
(In millions)	Fair Value	UPB	Difference	Fair Value	UPB	Difference

Mortgage loans held-for-investment	6,906	7,073	(167)	7,005	7,148	(143)
Long-term debt	49	46	3	51	48	3
Debt issued by consolidated trusts	5,441	5,526	(85)	5,387	5,445	($58)

(1) Excludes interest-only securities related to debt issued by consolidated trusts and long-term debt with a fair value of $0.7 billion as of March 31, 2026 and $0.6 billion as of December 31, 2025.

The table below presents the changes in fair value related to items for which we have elected the fair value option. These amounts are included in investment gains, net, on our condensed consolidated statements of income.

Table 13.7 - Changes in Fair Value Under the Fair Value Option Election


	1Q 2026	1Q 2025
(In millions)	Gains (Losses)
Mortgage loans held-for-sale	$—	$227
Mortgage loans held-for-investment	(24)	48
Long-term debt	3	11
Debt issued by consolidated trusts	34	(47)
Other assets/other liabilities	—	100

Changes in fair value attributable to instrument-specific credit risk were not material for the periods presented for assets or liabilities for which we elected the fair value option.

- 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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