| LOANS AND ALLOWANCE FOR CREDIT LOSSES | =640 7,287,090 4,720,566 3,111,366 847,553 149,072 148,087 16,263,734 37.9 % Total $ 17,128,061 $ 11,676,305 $ 7,780,293 $ 3,472,103 $ 1,287,011 $ 1,608,680 $ 42,952,453 100.0 % (1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model. (2) Loans originated during the year-to-date ended September 30, 2021. (3) Excludes LHFS. As of December 31, 2020 RICs and auto loans (dollars in thousands) Amortized Cost by Origination Year (3) Credit Score Range 2020 (2) 2019 2018 2017 2016 Prior Total Percent No FICO (1) $ 1,326,026 $ 839,412 $ 450,539 $ 484,975 $ 230,382 $ 142,746 $ 3,474,080 8.5 % <600 6,056,260 4,373,991 2,648,215 1,126,742 685,830 634,480 15,525,518 38.2 % 600-639 2,782,566 1,912,731 1,001,985 335,111 229,690 173,501 6,435,584 15.8 % >=640 8,427,478 4,832,173 1,382,133 264,635 200,430 156,611 15,263,460 37.5 % Total $ 18,592,330 $ 11,958,307 $ 5,482,872 $ 2,211,463 $ 1,346,332 $ 1,107,338 $ 40,698,642 100.0 % (1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model. (2) Loans originated during the year ended December 31, 2020. (3) Excludes LHFS. Consumer Lending Asset Quality Indicators-FICO and LTV Ratio For both residential and home equity loans, loss severity assumptions are incorporated in the loan and lease loss reserve models to estimate loan balances that will ultimately charge off. These assumptions are based on recent loss experience within various current LTV bands within these portfolios. LTVs are refreshed quarterly by applying Federal Housing Finance Agency Home price index changes at a state-by-state level to the last known appraised value of the property to estimate the current LTV. The Company's CECL loss calculation incorporates the refreshed LTV information to update the distribution of defaulted loans by LTV as well as the associated LGD for each LTV band. Reappraisals on a recurring basis at the individual property level are not considered cost-effective or necessary; however, reappraisals are performed on certain higher risk accounts to support line management activities, default servicing decisions, or when other situations arise for which the Company believes the additional expense is warranted. FICO scores are refreshed quarterly, where possible. The indicators disclosed represent the credit scores for loans as of the date presented based on the most recent assessment performed. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Residential mortgage and home equity financing receivables by LTV and FICO range are summarized as follows: As of September 30, 2021 Residential Mortgages (1)(3) (dollars in thousands) Amortized Cost by Origination Year FICO Score 2021 (4) 2020 2019 2018 2017 Prior Grand Total N/A (2) LTV <= 70% $ — $ 724 $ — $ — $ 489 $ 2,599 $ 3,812 70.01-80% — — — — — — — 80.01-90% — — — — — — — 90.01-100% — — — — — — — 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A (2) 24,542 3,211 2,397 1,194 1,661 6,827 39,832 <600 LTV <= 70% $ 303 $ 1,820 $ 8,684 $ 7,022 $ 12,684 $ 88,637 $ 119,150 70.01-80% 443 1,600 6,042 10,375 5,587 1,014 25,061 80.01-90% 271 2,250 3,167 607 — 406 6,701 90.01-100% 391 — — — — 70 461 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A(2) — — — — — 69 69 600-639 LTV <= 70% $ 747 $ 4,214 $ 10,821 $ 5,123 $ 9,309 $ 72,888 $ 103,102 70.01-80% 1,235 1,905 5,924 6,462 1,160 409 17,095 80.01-90% 882 2,820 3,290 — — 624 7,616 90.01-100% 1,548 — — — — 634 2,182 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A (2) — — — — — — — 640-679 LTV <= 70% $ 5,134 $ 19,573 $ 22,500 $ 16,731 $ 26,099 $ 129,752 $ 219,789 70.01-80% 3,429 7,325 15,019 11,572 3,818 1,097 42,260 80.01-90% 3,401 11,427 7,939 — — 609 23,376 90.01-100% 4,311 — — — — 395 4,706 100.01-110% — — — — — 65 65 LTV>110% — — — — — 151 151 LTV - N/A (2) — — — — — — — 680-719 LTV <= 70% $ 36,616 $ 47,378 $ 63,985 $ 30,568 $ 59,576 $ 223,345 $ 461,468 70.01-80% 18,685 10,144 21,765 15,028 5,495 1,619 72,736 80.01-90% 6,793 20,699 14,308 — — 1,428 43,228 90.01-100% 15,600 — — — — 988 16,588 100.01-110% — — — — — 124 124 LTV>110% — — — — — 1,496 1,496 LTV - N/A(2) — — — — — 73 73 720-759 LTV <= 70% $ 128,411 $ 125,712 $ 111,006 $ 69,477 $ 102,655 $ 312,501 $ 849,762 70.01-80% 77,977 33,441 42,009 30,662 6,214 2,006 192,309 80.01-90% 10,703 40,860 27,872 — — 841 80,276 90.01-100% 19,676 99 — — — 100 19,875 100.01-110% — — — — — 450 450 LTV>110% — — — — — 94 94 LTV - N/A (2) — — — — — 172 172 >=760 LTV <= 70% $ 361,688 $ 550,188 $ 332,476 $ 150,815 $ 306,095 $ 1,140,650 $ 2,841,912 70.01-80% 143,389 136,002 75,253 45,085 15,981 4,450 420,160 80.01-90% 17,019 56,004 29,765 — — 1,204 103,992 90.01-100% 18,804 — — — 561 574 19,939 100.01-110% — — — — — — — LTV>110% — — — — — 1,517 1,517 LTV - N/A (2) — — — — — 249 249 Total - All FICO Bands LTV <= 70% $ 532,899 $ 749,609 $ 549,472 $ 279,736 $ 516,907 $ 1,970,372 $ 4,598,995 70.01-80% 245,158 190,417 166,012 119,184 38,255 10,595 769,621 80.01-90% 39,069 134,060 86,341 607 — 5,112 265,189 90.01-100% 60,330 99 — — 561 2,761 63,751 100.01-110% — — — — — 639 639 LTV>110% — — — — — 3,258 3,258 LTV - N/A (2) 24,542 3,211 2,397 1,194 1,661 7,390 40,395 Grand Total $ 901,998 $ 1,077,396 $ 804,222 $ 400,721 $ 557,384 $ 2,000,127 $ 5,741,848 (1) Excludes LHFS. (2) Balances in the "N/A" range for LTV or FICO score primarily represent loans serviced by others, in run-off portfolios or for which a current LTV or FICO score is unavailable. (3) The ALLL model considers LTV for financing receivables in first lien position and CLTV for financing receivables in second lien position for the Company. (4) Loans originated during the year-to-date ended September 30, 2021. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) As of September 30, 2021 Home Equity Loans and Lines of Credit (2) (in thousands) Amortized Cost by Origination Year FICO Score 2021 (4) 2020 2019 2018 2017 Prior Total Revolving N/A (2) LTV <= 70% $ — $ 562 $ 116 $ 299 $ 421 $ 996 $ 2,394 $ 2,394 70.01-90% — — — — — 45 45 45 90.01-110% — — — — — — — — LTV>110% — — — — — — — — LTV - N/A (2) 1,542 3,173 4,148 5,115 4,865 69,967 88,810 49,855 <600 LTV <= 70% $ 124 $ 620 $ 3,645 $ 9,914 $ 12,290 $ 114,231 $ 140,824 $ 122,844 70.01-90% 1 — 557 558 359 3,726 5,201 4,727 90.01-110% — — — — — 787 787 726 LTV>110% — — — — — 1,060 1,060 1,059 LTV - N/A (2) — — — — 115 — 115 115 600-639 LTV <= 70% $ 289 $ 1,903 $ 4,973 $ 10,285 $ 11,263 $ 94,386 $ 123,099 $ 112,785 70.01-90% 13 95 798 658 392 4,673 6,629 5,986 90.01-110% — — — — — 1,936 1,936 1,770 LTV>110% — — — — — 807 807 770 LTV - N/A (2) — — — — — 520 520 520 640-679 LTV <= 70% $ 1,597 $ 5,573 $ 15,241 $ 27,201 $ 22,875 $ 159,398 $ 231,885 $ 223,027 70.01-90% 296 713 2,066 1,660 628 9,564 14,927 14,171 90.01-110% — — — — — 2,731 2,731 2,496 LTV>110% — — — — — 1,274 1,274 1,259 LTV - N/A (2) — — 25 — — 177 202 183 680-719 LTV <= 70% $ 11,184 $ 28,844 $ 37,291 $ 51,241 $ 53,239 $ 265,031 $ 446,830 $ 433,930 70.01-90% 3,853 3,962 5,308 2,630 1,305 13,274 30,332 29,438 90.01-110% — — — — — 4,072 4,072 3,884 LTV>110% 219 36 — — — 4,729 4,984 4,820 LTV - N/A (2) — — 51 — — 61 112 112 720-759 LTV <= 70% $ 20,770 $ 42,665 $ 60,782 $ 74,017 $ 83,775 $ 361,248 $ 643,257 $ 631,838 70.01-90% 7,016 5,546 6,098 3,480 1,439 15,545 39,124 38,020 90.01-110% 394 — — — — 4,511 4,905 4,546 LTV>110% 163 — — — — 2,968 3,131 3,065 LTV - N/A (2) — 24 — — 5 147 176 167 >=760 LTV <= 70% $ 58,845 $ 135,150 $ 169,879 $ 213,693 $ 187,656 $ 934,891 $ 1,700,114 $ 1,669,288 70.01-90% 13,044 16,395 13,194 4,666 1,906 47,204 96,409 94,126 90.01-110% 1,149 266 116 — — 8,451 9,982 9,206 LTV>110% 1,524 973 — — — 4,306 6,803 6,764 LTV - N/A (2) 218 — 8 111 65 593 995 995 Total - All FICO Bands LTV <= 70% $ 92,809 $ 215,317 $ 291,927 $ 386,650 $ 371,519 $ 1,930,181 $ 3,288,403 $ 3,196,106 LTV 70.0" id="sjs-B4">LOANS AND ALLOWANCE FOR CREDIT LOSSES Overall The Company's LHFI are generally reported at their outstanding principal balances net of any cumulative charge-offs, unamortized deferred fees and costs and unamortized premiums or discounts. Certain LHFI are accoun ted for at fair value under the FVO. Certain loans are pledged as collateral for borrowings, securitizations, or SPEs. These loans totaled $46.4 billion at September 30, 2021 and $52.0 billion at December 31, 2020. Loans that the Company intends to sell are classified as LHFS. The LHFS portfolio balance at September 30, 2021 was $690.6 million, compared to $2.2 billion at December 31, 2020. For a discussion on the valuation of LHFS at fair value, see Note 13 to these Condensed Consolidated Financial Statements. LHFS in the residential mortgage portfolio that were originated with the intent to sell were $194.1 million as of September 30, 2021 and are reported at either estimated fair value (if the FVO is elected) or the lower of cost or fair value. Interest on loans is credited to income as it is earned. Loan origination fees and certain direct loan origination costs are deferred and recognized as adjustments to interest income in the Condensed Consolidated Statements of Operations over the contractual life of the loan utilizing the interest method. Loan origination costs and fees and premiums and discounts on RICs are deferred and recognized in interest income over their estimated lives using estimated prepayment speeds, which are updated on a monthly basis. At September 30, 2021 and December 31, 2020, accrued interest receivable on the Company's loans was $478.9 million and $589.2 million, respectively. During the nine-month periods ended September 30, 2021 and 2020, SC originated $11.1 billion and $11.1 billion, respectively, in CCAP loans (including through the SBNA originations program), which represented 53% and 61%, respectively, of the UPB of SC's total RIC originations (including the SBNA originations program). Purchased receivables During the nine months ended September 30, 2021, SBNA approved and completed purchases of performing personal unsecured loans with a UPB of approximately $641.0 million. During the three and nine months ended September 30, 2021, SC purchased financial receivables from third party lenders for $67.0 million. The UPB of these loans as of the acquisition date was $112.1 million. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Sales of receivables During the first quarter of 2021, SC completed the sale of $1.3 billion in UPB of its Bluestem personal lending portfolio to a third party. In addition, SC executed a forward flow sale agreement with a third party to purchase all personal lending receivables that SC purchases from Bluestem through the term of the agreement with Bluestem. Prior to the sale, these loans were classified as LHFS. During the second quarter of 2021, SFS sold the majority of its commercial and consumer loan and REO HFS portfolios to third parties at their approximate fair values with no material gain or loss. In addition, during the second quarter of 2021, SC sold RICs with a UPB of approximately $310 million to a third party. During the nine months ended September 30, 2021 , SC sold RICs with a UPB of approximately $3.0 billion to third-parties in three separate transactions. Two of these transactions were accounted for as off-balance sheet securitizations. Loan and Lease Portfolio Composition The following presents the composition of gross loans and leases HFI by portfolio and by rate type: September 30, 2021 December 31, 2020 (dollars in thousands) Amount Percent Amount Percent Commercial LHFI: CRE loans $ 7,453,398 8.1 % $ 7,327,853 8.0 % C&I loans 14,950,498 16.3 % 16,537,899 17.9 % Multifamily loans 7,325,464 8.0 % 8,367,147 9.1 % Other commercial (2)(4) 8,082,374 8.8 % 7,455,504 8.1 % Total commercial LHFI 37,811,734 41.2 % 39,688,403 43.1 % Consumer loans secured by real estate: Residential mortgages 5,741,848 6.3 % 6,590,168 7.2 % Home equity loans and lines of credit 3,614,472 3.9 % 4,108,505 4.5 % Total consumer loans secured by real estate 9,356,320 10.2 % 10,698,673 11.7 % Consumer loans not secured by real estate: RICs and auto loans 42,952,453 46.8 % 40,698,642 44.1 % Personal unsecured loans 1,542,315 1.7 % 824,430 0.9 % Other consumer (3) 158,883 0.1 % 223,034 0.2 % Total consumer loans 54,009,971 58.8 % 52,444,779 56.9 % Total LHFI (1) $ 91,821,705 100.0 % $ 92,133,182 100.0 % Total LHFI: Fixed rate $ 64,095,444 69.8 % $ 64,036,154 69.5 % Variable rate 27,726,261 30.2 % 28,097,028 30.5 % Total LHFI (1) $ 91,821,705 100.0 % $ 92,133,182 100.0 % (1) Total LHFI includes deferred loan fees, net of deferred origination costs and unamortized purchase premiums, net of discounts as well as purchase accounting adjustments. These items resulted in a net increase in the loan balances o f $3.0 billion a nd $3.1 billion as of September 30, 2021 and December 31, 2020, respectively. (2) Other commercial includes CEVF leveraged leases and loans. (3) Other consumer primarily includes RV and marine loans. (4) Includes loans with a carrying value of $39.3 million for which a fair value hedge resulting in a fair value adjustment of $0.2 million. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Portfolio segments and classes The Company discloses information about the credit quality of its financing receivables at disaggregated levels, specifically defined as “portfolio segments” and “classes,” based on management’s systematic methodology for determining the ACL. The Company utilizes similar categorization compared to the financial statement categorization of loans to model and calculate the ACL and track the credit quality, delinquency and impairment status of the underlying loan populations. In disaggregating its financing receivables portfolio, the Company’s methodology begins with the commercial and consumer segments. The commercial segmentation reflects line of business distinctions. The CRE line of business includes C&I owner-occupied real estate and specialized lending for investment real estate. C&I includes non-real estate-related commercial loans. "Multifamily" represents loans for multifamily residential housing units. “Other commercial” includes loans to global customer relationships in Latin America which are not defined as commercial or consumer for regulatory purposes. The remainder of the portfolio primarily represents the CEVF portfolio. The Company's portfolio classes are substantially the same as its financial statement categorization of loans for consumer loan populations. “Residential mortgages” includes mortgages on residential property, including single family and 1-4 family units. "Home equity loans and lines of credit" include all organic home equity contracts and purchased home equity portfolios. "RICs and auto loans" includes the Company's direct automobile loan portfolios, but excludes RV and marine RICs. "Personal unsecured loans" includes personal revolving loans and credit cards. “Other consumer” includes an acquired portfolio of marine RICs and RV contracts as well as indirect auto loans. ACL Rollforward by Portfolio Segment The ACL is comprised of the ALLL and the reserve for unfunded lending commitments. The activity in the ACL by portfolio segment for the three-month and nine-month periods ended September 30, 2021 and 2020 was as follows: Three-Month Period Ended September 30, 2021 (in thousands) Commercial Consumer Total ALLL, beginning of period (1) $ 641,515 $ 6,247,801 $ 6,889,316 Credit loss expense / (benefit) (37,806) 46,120 8,314 Charge-offs (28,835) (660,488) (689,323) Recoveries 15,636 491,145 506,781 Charge-offs, net of recoveries (13,199) (169,343) (182,542) ALLL, end of period $ 590,510 $ 6,124,578 $ 6,715,088 Reserve for unfunded lending commitments, beginning of period (1) $ 101,477 $ 22,807 $ 124,284 Credit loss expense / (benefit) on unfunded lending commitments 12,953 (1,774) 11,179 Reserve for unfunded lending commitments, end of period 114,430 21,033 135,463 Total ACL, end of period $ 704,940 $ 6,145,611 $ 6,850,551 Nine-Month Period Ended September 30, 2021 (in thousands) Commercial Consumer Total ALLL, beginning of period $ 752,196 $ 6,586,297 $ 7,338,493 Credit loss expense / (benefit) (107,265) (103,466) (210,731) Charge-offs (108,523) (2,049,202) (2,157,725) Recoveries 54,102 1,690,949 1,745,051 Charge-offs, net of recoveries (54,421) (358,253) (412,674) ALLL, end of period $ 590,510 $ 6,124,578 $ 6,715,088 Reserve for unfunded lending commitments, beginning of period $ 119,129 $ 27,326 $ 146,455 Credit loss expense / (benefit) on unfunded lending commitments (4,699) (6,293) (10,992) Reserve for unfunded lending commitments, end of period 114,430 21,033 135,463 Total ACL, end of period $ 704,940 $ 6,145,611 $ 6,850,551 NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Three-Month Period Ended September 30, 2020 (in thousands) Commercial Consumer Unallocated Total ALLL, beginning of period $ 759,599 $ 6,353,139 $ — $ 7,112,738 Credit loss expense / (benefit) 14,797 365,799 — 380,596 Charge-offs (28,962) (577,179) — (606,141) Recoveries 7,843 504,562 — 512,405 Charge-offs, net of recoveries (21,119) (72,617) — (93,736) ALLL, end of period $ 753,277 $ 6,646,321 $ — $ 7,399,598 Reserve for unfunded lending commitments, beginning of period $ 95,022 $ 27,721 $ — $ 122,743 Credit loss expense / (benefit) on unfunded lending commitments 24,752 477 — 25,229 Reserve for unfunded lending commitments, end of period 119,774 28,198 — 147,972 Total ACL, end of period $ 873,051 $ 6,674,519 $ — $ 7,547,570 Nine-Month Period Ended September 30, 2020 (in thousands) Commercial Consumer Unallocated Total ALLL, beginning of period $ 399,829 $ 3,199,612 $ 46,748 $ 3,646,189 Day 1: Adjustment to allowance for adoption of ASU 2016-13 198,919 2,383,711 (46,748) 2,535,882 Credit loss expense / (benefit) 254,262 2,268,811 — 2,523,073 Charge-offs (125,871) (2,721,664) — (2,847,535) Recoveries 26,138 1,515,851 — 1,541,989 Charge-offs, net of recoveries (99,733) (1,205,813) — (1,305,546) ALLL, end of period $ 753,277 $ 6,646,321 $ — $ 7,399,598 Reserve for unfunded lending commitments, beginning of period $ 85,934 $ 5,892 $ — $ 91,826 Day 1: Adjustment to allowance for adoption of ASU 2016-13 10,081 330 — 10,411 Credit loss expense / (benefit) on unfunded lending commitments 23,759 21,976 — 45,735 Reserve for unfunded lending commitments, end of period 119,774 28,198 — 147,972 Total ACL, end of period $ 873,051 $ 6,674,519 $ — $ 7,547,570 The credit risk in the Company’s loan portfolios is driven by credit and collateral quality, and is affected by borrower-specific and economy-wide factors. In general, there is an inverse relationship between the credit quality of loans and projections of impairment losses so that loans with better credit quality require a lower expected loss reserve. The Company manages this risk through its underwriting, pricing strategies, credit policy standards, and servicing guidelines and practices, as well as the application of geographic and other concentration limits. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) The Company estimates CECL based on prospective information as well as account-level models based on historical data. Unemployment, HPI, GDP, CRE price index and used vehicle index growth rates, along with loan level characteristics, are the key inputs used in the models for prediction of the likelihood that the borrower will default in the forecasted period (the PD). To estimate the LGD, the models use unemployment, HPI, CRE and used vehicle indices, along with loan level characteristics as key inputs. The Company has determined the reasonable and supportable period to be three years, at which time the economic forecasts generally tend to revert to historical averages. The Company utilizes qualitative factors to capture any additional risks that may not be captured in either the economic forecasts or in the historical data, including consideration of the portfolio metrics and collateral value. The Company generally uses a third-party vendor's consensus baseline macroeconomic scenario for the quantitative estimate and additional positive and negative macroeconomic scenarios to make qualitative adjustments for macroeconomic uncertainty and considers adjustments to macroeconomic inputs and outputs based on market volatility. The Company's allowance for loan losses decreased by $623.4 million from December 31, 2020, primarily due to an improved macroeconomic outlook as well as improved credit quality and performance. Non-accrual loans by Class of Financing Receivable The amortized cost basis of financial instruments that are either non-accrual with related expected credit loss or nonaccrual without related expected credit loss disaggregated by class of financing receivables and other non-performing assets is as follows: Non-accrual loans as of: (1) Non-accrual loans with no allowance (in thousands) September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Non-accrual loans: Commercial: CRE $ 110,376 $ 106,751 $ 89,547 $ 84,816 C&I 85,597 107,053 47,027 60,029 Multifamily 116,605 72,392 116,441 65,936 Other commercial 10,598 20,019 6,443 3,778 Total commercial loans 323,176 306,215 259,458 214,559 Consumer: Residential mortgages 98,952 160,172 39,094 98,308 Home equity loans and lines of credit 92,998 91,606 41,921 32,130 RICs and auto loans 1,242,960 1,174,317 204,193 191,370 Personal unsecured loans — — — — Other consumer 4,848 6,325 63 34 Total consumer loans 1,439,758 1,432,420 285,271 321,842 Total non-accrual loans 1,762,934 1,738,635 544,729 536,401 OREO 3,960 29,799 — — Repossessed vehicles 232,614 204,653 — — Foreclosed and other repossessed assets 944 3,247 — — Total OREO and other repossessed assets 237,518 237,699 — — Total non-performing assets $ 2,000,452 $ 1,976,334 $ 544,729 $ 536,401 (1) Interest income recognized on nonaccrual loans was $26.3 million and $73.0 million for the three-month and nine-month periods ended September 30, 2021, respectively, compared to $21.8 million and $84.4 million for the three-month and nine-month periods ended September 30, 2020, respectively. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Age Analysis of Past Due Loans The Company generally considers an account delinquent when an obligor fails to pay substantially all (defined as 90%) of the scheduled payment by the due date. When an account is deferred, the loan is returned to accrual status during the deferral period and accrued interest related to the loan is evaluated for collectability. The age of amortized cost in past due loans and accruing loans 90 days or greater past due disaggregated by class of financing receivables is summarized as follows: As of: September 30, 2021 (in thousands) 30-89 90 Total Current Total Amortized Cost Commercial: CRE (3) $ 24,743 $ 49,067 $ 73,810 $ 7,393,232 $ 7,467,042 $ — C&I (1) 27,356 22,439 49,795 15,000,779 15,050,574 — Multifamily 36,505 25,840 62,345 7,286,327 7,348,672 — Other commercial 179,750 2,884 182,634 7,899,740 8,082,374 — Consumer: Residential mortgages (2) 75,958 72,590 148,548 5,787,378 5,935,926 — Home equity loans and lines of credit 19,914 60,829 80,743 3,533,729 3,614,472 — RICs and auto loans (4) 3,153,639 229,792 3,383,431 39,928,583 43,312,014 — Personal unsecured loans 7,977 5,554 13,531 1,528,784 1,542,315 2,214 Other consumer 3,007 306 3,313 155,570 158,883 — Total $ 3,528,849 $ 469,301 $ 3,998,150 $ 88,514,122 $ 92,512,272 $ 2,214 (1) C& I loans includes $100.1 million of LHFS at September 30, 2021. (2) Residential mortgages includes $194.1 million of LHFS at September 30, 2021. (3) CRE loans include $13.6 million of LHFS at September 30, 2021. (4) RICs and auto loans includes $359.6 million of LHFS at September 30, 2021. As of December 31, 2020 (in thousands) 30-89 90 Total Current Total Recorded Commercial: CRE $ 41,320 $ 70,304 $ 111,624 $ 7,244,247 $ 7,355,871 $ — C&I (1) 59,759 45,883 105,642 16,654,606 16,760,248 — Multifamily 47,116 66,664 113,780 8,257,122 8,370,902 — Other commercial 80,993 9,214 90,207 7,365,629 7,455,836 56 Consumer: Residential mortgages (2) 209,274 111,698 320,972 6,673,411 6,994,383 — Home equity loans and lines of credit 31,488 72,197 103,685 4,004,820 4,108,505 — RICs and auto loans 2,944,376 284,985 3,229,361 38,143,329 41,372,690 — Personal unsecured loans (3) 56,041 56,582 112,623 1,605,286 1,717,909 52,807 Other consumer 5,358 1,688 7,046 215,988 223,034 — Total $ 3,475,725 $ 719,215 $ 4,194,940 $ 90,164,438 $ 94,359,378 $ 52,863 (1) C&I loans included $222.3 million of LHFS at December 31, 2020. (2) Residential mortgages included $404.2 million of LHFS at December 31, 2020. (3) Personal unsecured loans included $893.5 million of LHFS at December 31, 2020. (4) RICs and auto loans includes $674.0 million of LHFS at December 31, 2020. (5) Multifamily loans includes $3.8 million of LHFS at December 31, 2020. (6) Other Commercial loans includes $0.3 million of LHFS at December 31, 2020. (7) CRE loans include $28.0 million of LHFS at December 31, 2020. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Commercial Lending Asset Quality Indicators The Company's Risk Department performs a credit analysis and classifies certain loans over an internal threshold based on the commercial lending classifications described below: PASS. Asset is well-protected by the current net worth and paying capacity of the obligor or guarantors, if any, or by the fair value less costs to acquire and sell any underlying collateral in a timely manner. SPECIAL MENTION. Asset has potential weaknesses that deserve management’s close attention, which, if left uncorrected, may result in deterioration of the repayment prospects for an asset at some future date. Special mention assets are not adversely classified. SUBSTANDARD. Asset is inadequately protected by the current net worth and paying capacity of the obligor or by the collateral pledged, if any. A well-defined weakness or weaknesses exist that jeopardize the liquidation of the debt. The loans are characterized by the distinct possibility that the Company will sustain some loss if deficiencies are not corrected. DOUBTFUL. Exhibits the inherent weaknesses of a substandard credit. Additional characteristics exist that make collection or liquidation in full highly questionable and improbable, on the basis of currently known facts, conditions and values. Possibility of loss is extremely high, but because of certain important and reasonable specific pending factors which may work to the advantage and strengthening of the credit, an estimated loss cannot yet be determined. LOSS. Credit is considered uncollectible and of such little value that it does not warrant consideration as an active asset. There may be some recovery or salvage value, but there is doubt as to whether, how much or when the recovery would occur. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Each commercial loan is evaluated to determine its risk rating at least annually. The indicators represent the rating for loans as of the date presented based on the most recent assessment performed. Amortized cost basis of loans in the commercial portfolio segment by credit quality indicator, class of financing receivable, and year of origination are summarized as follows: September 30, 2021 Commercial Loan Portfolio (1) (dollars in thousands) Amortized Cost by Origination Year Regulatory Rating: 2021 (3) 2020 2019 2018 2017 Prior Total CRE Pass $ 532,153 $ 1,162,932 $ 1,649,972 $ 1,081,959 $ 508,030 $ 1,662,006 $ 6,597,052 Special mention — 11,066 2,374 94,256 113,481 49,668 270,845 Substandard — 5,285 123,962 180,459 47,017 242,422 599,145 Doubtful — — — — — — — N/A — — — — — — — Total CRE $ 532,153 $ 1,179,283 $ 1,776,308 $ 1,356,674 $ 668,528 $ 1,954,096 $ 7,467,042 C&I Pass $ 2,804,360 $ 3,543,973 $ 2,250,445 $ 1,557,532 $ 663,272 $ 2,269,634 $ 13,089,216 Special mention 38,417 22,186 176,902 97,231 54,970 103,840 493,546 Substandard 20,631 73,811 15,206 110,128 28,208 249,871 497,855 Doubtful — — — — — — — N/A (2) 399,089 299,470 206,636 47,936 7,860 8,966 969,957 Total C&I $ 3,262,497 $ 3,939,440 $ 2,649,189 $ 1,812,827 $ 754,310 $ 2,632,311 $ 15,050,574 Multifamily Pass $ 790,294 $ 785,282 $ 1,459,687 $ 929,974 $ 839,620 $ 1,119,423 $ 5,924,280 Special mention — 10,128 86,128 101,569 15,931 75,389 289,145 Substandard 4,075 79,534 245,272 389,024 185,282 232,060 1,135,247 Doubtful — — — — — — — N/A — — — — — — — Total Multifamily $ 794,369 $ 874,944 $ 1,791,087 $ 1,420,567 $ 1,040,833 $ 1,426,872 $ 7,348,672 Remaining commercial Pass $ 3,001,967 $ 2,252,908 $ 1,039,187 $ 510,508 $ 288,220 $ 949,740 $ 8,042,530 Special mention 37 — 3,157 5,509 657 4,150 13,510 Substandard 475 654 7,757 2,647 2,162 12,483 26,178 Doubtful 81 — — 75 — — 156 N/A — — — — — — — Total Remaining commercial $ 3,002,560 $ 2,253,562 $ 1,050,101 $ 518,739 $ 291,039 $ 966,373 $ 8,082,374 Total Commercial loans Pass $ 7,128,774 $ 7,745,095 $ 6,399,291 $ 4,079,973 $ 2,299,142 $ 6,000,803 $ 33,653,078 Special mention 38,454 43,380 268,561 298,565 185,039 233,047 1,067,046 Substandard 25,181 159,284 392,197 682,258 262,669 736,836 2,258,425 Doubtful 81 — — 75 — — 156 N/A (2) 399,089 299,470 206,636 47,936 7,860 8,966 969,957 Total commercial loans $ 7,591,579 $ 8,247,229 $ 7,266,685 $ 5,108,807 $ 2,754,710 $ 6,979,652 $ 37,948,662 (1) Includes $136.9 million of LHFS at September 30, 2021. (2) Consists of loans that have not been assigned a regulatory rating. (3) Loans originated during the year-to-date ended September 30, 2021. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) December 31, 2020 Commercial Loan Portfolio (1) (dollars in thousands) Amortized Cost by Origination Year Regulatory Rating: 2020 (3) 2019 2018 2017 2016 Prior Total CRE Pass $ 722,210 $ 1,424,392 $ 1,656,560 $ 816,607 $ 542,979 $ 1,536,812 $ 6,699,560 Special mention 28,876 15,480 81,167 43,368 79,555 83,751 332,197 Substandard 8,259 16,609 29,761 33,833 45,936 189,716 324,114 Doubtful — — — — — — — N/A — — — — — — — Total CRE $ 759,345 $ 1,456,481 $ 1,767,488 $ 893,808 $ 668,470 $ 1,810,279 $ 7,355,871 C&I Pass $ 4,661,409 $ 3,365,828 $ 2,798,209 $ 868,373 $ 585,083 $ 2,305,305 $ 14,584,207 Special mention 11,000 136,413 134,388 49,601 99,042 254,102 684,546 Substandard 60,034 15,309 173,900 59,814 84,642 213,908 607,607 Doubtful 3,153 145 80 1,616 1,282 11,226 17,502 N/A(2) 411,319 294,652 75,091 15,101 15,388 54,835 866,386 Total C&I $ 5,146,915 $ 3,812,347 $ 3,181,668 $ 994,505 $ 785,437 $ 2,839,376 $ 16,760,248 Multifamily Pass $ 880,199 $ 1,938,271 $ 1,361,178 $ 1,198,819 $ 503,267 $ 1,365,066 $ 7,246,800 Special mention — 39,433 147,872 110,906 31,348 59,072 388,631 Substandard 5,355 104,945 203,437 148,251 49,445 224,038 735,471 Doubtful — — — — — — — N/A — — — — — — — Total Multifamily $ 885,554 $ 2,082,649 $ 1,712,487 $ 1,457,976 $ 584,060 $ 1,648,176 $ 8,370,902 Remaining commercial Pass $ 3,530,625 $ 1,416,704 $ 766,454 $ 443,244 $ 199,297 $ 1,038,584 $ 7,394,908 Special mention 53 11,096 11,271 105 83 8,102 30,710 Substandard 2,115 3,974 4,181 4,246 5,983 9,160 29,659 Doubtful 351 — 99 — 101 8 559 N/A — — — — — — — Total Remaining commercial $ 3,533,144 $ 1,431,774 $ 782,005 $ 447,595 $ 205,464 $ 1,055,854 $ 7,455,836 Total Commercial loans Pass $ 9,794,443 $ 8,145,195 $ 6,582,401 $ 3,327,043 $ 1,830,626 $ 6,245,767 $ 35,925,475 Special mention 39,929 202,422 374,698 203,980 210,028 405,027 1,436,084 Substandard 75,763 140,837 411,279 246,144 186,006 636,822 1,696,851 Doubtful 3,504 145 179 1,616 1,383 11,234 18,061 N/A(2) 411,319 294,652 75,091 15,101 15,388 54,835 866,386 Total commercial loans $ 10,324,958 $ 8,783,251 $ 7,443,648 $ 3,793,884 $ 2,243,431 $ 7,353,685 $ 39,942,857 (1) Includes $254.5 million of LHFS at December 31, 2020. (2) Consists of loans that have not been assigned a regulatory rating. (3) Loans originated during the year ended December 31, 2020. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Consumer Lending Asset Quality Indicators-Credit Score Consumer financing receivables for which either an internal or external credit score is a core component of the allowance model are summarized by credit score determined at origination as follows: As of September 30, 2021 RICs and auto loans (dollars in thousands) Amortized Cost by Origination Year (3) Credit Score Range 2021 (2) 2020 2019 2018 2017 Prior Total Percent No FICO (1) $ 1,180,058 $ 855,656 $ 520,721 $ 284,251 $ 254,373 $ 149,940 $ 3,244,999 7.6 % <600 5,850,839 4,280,234 2,935,090 1,716,119 685,895 655,324 16,123,501 37.5 % 600-639 2,810,074 1,819,849 1,213,116 624,180 197,671 655,329 7,320,219 17.0 % >=640 7,287,090 4,720,566 3,111,366 847,553 149,072 148,087 16,263,734 37.9 % Total $ 17,128,061 $ 11,676,305 $ 7,780,293 $ 3,472,103 $ 1,287,011 $ 1,608,680 $ 42,952,453 100.0 % (1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model. (2) Loans originated during the year-to-date ended September 30, 2021. (3) Excludes LHFS. As of December 31, 2020 RICs and auto loans (dollars in thousands) Amortized Cost by Origination Year (3) Credit Score Range 2020 (2) 2019 2018 2017 2016 Prior Total Percent No FICO (1) $ 1,326,026 $ 839,412 $ 450,539 $ 484,975 $ 230,382 $ 142,746 $ 3,474,080 8.5 % <600 6,056,260 4,373,991 2,648,215 1,126,742 685,830 634,480 15,525,518 38.2 % 600-639 2,782,566 1,912,731 1,001,985 335,111 229,690 173,501 6,435,584 15.8 % >=640 8,427,478 4,832,173 1,382,133 264,635 200,430 156,611 15,263,460 37.5 % Total $ 18,592,330 $ 11,958,307 $ 5,482,872 $ 2,211,463 $ 1,346,332 $ 1,107,338 $ 40,698,642 100.0 % (1) Consists primarily of loans for which credit scores are not available or are not considered in the ALLL model. (2) Loans originated during the year ended December 31, 2020. (3) Excludes LHFS. Consumer Lending Asset Quality Indicators-FICO and LTV Ratio For both residential and home equity loans, loss severity assumptions are incorporated in the loan and lease loss reserve models to estimate loan balances that will ultimately charge off. These assumptions are based on recent loss experience within various current LTV bands within these portfolios. LTVs are refreshed quarterly by applying Federal Housing Finance Agency Home price index changes at a state-by-state level to the last known appraised value of the property to estimate the current LTV. The Company's CECL loss calculation incorporates the refreshed LTV information to update the distribution of defaulted loans by LTV as well as the associated LGD for each LTV band. Reappraisals on a recurring basis at the individual property level are not considered cost-effective or necessary; however, reappraisals are performed on certain higher risk accounts to support line management activities, default servicing decisions, or when other situations arise for which the Company believes the additional expense is warranted. FICO scores are refreshed quarterly, where possible. The indicators disclosed represent the credit scores for loans as of the date presented based on the most recent assessment performed. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) Residential mortgage and home equity financing receivables by LTV and FICO range are summarized as follows: As of September 30, 2021 Residential Mortgages (1)(3) (dollars in thousands) Amortized Cost by Origination Year FICO Score 2021 (4) 2020 2019 2018 2017 Prior Grand Total N/A (2) LTV <= 70% $ — $ 724 $ — $ — $ 489 $ 2,599 $ 3,812 70.01-80% — — — — — — — 80.01-90% — — — — — — — 90.01-100% — — — — — — — 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A (2) 24,542 3,211 2,397 1,194 1,661 6,827 39,832 <600 LTV <= 70% $ 303 $ 1,820 $ 8,684 $ 7,022 $ 12,684 $ 88,637 $ 119,150 70.01-80% 443 1,600 6,042 10,375 5,587 1,014 25,061 80.01-90% 271 2,250 3,167 607 — 406 6,701 90.01-100% 391 — — — — 70 461 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A(2) — — — — — 69 69 600-639 LTV <= 70% $ 747 $ 4,214 $ 10,821 $ 5,123 $ 9,309 $ 72,888 $ 103,102 70.01-80% 1,235 1,905 5,924 6,462 1,160 409 17,095 80.01-90% 882 2,820 3,290 — — 624 7,616 90.01-100% 1,548 — — — — 634 2,182 100.01-110% — — — — — — — LTV>110% — — — — — — — LTV - N/A (2) — — — — — — — 640-679 LTV <= 70% $ 5,134 $ 19,573 $ 22,500 $ 16,731 $ 26,099 $ 129,752 $ 219,789 70.01-80% 3,429 7,325 15,019 11,572 3,818 1,097 42,260 80.01-90% 3,401 11,427 7,939 — — 609 23,376 90.01-100% 4,311 — — — — 395 4,706 100.01-110% — — — — — 65 65 LTV>110% — — — — — 151 151 LTV - N/A (2) — — — — — — — 680-719 LTV <= 70% $ 36,616 $ 47,378 $ 63,985 $ 30,568 $ 59,576 $ 223,345 $ 461,468 70.01-80% 18,685 10,144 21,765 15,028 5,495 1,619 72,736 80.01-90% 6,793 20,699 14,308 — — 1,428 43,228 90.01-100% 15,600 — — — — 988 16,588 100.01-110% — — — — — 124 124 LTV>110% — — — — — 1,496 1,496 LTV - N/A(2) — — — — — 73 73 720-759 LTV <= 70% $ 128,411 $ 125,712 $ 111,006 $ 69,477 $ 102,655 $ 312,501 $ 849,762 70.01-80% 77,977 33,441 42,009 30,662 6,214 2,006 192,309 80.01-90% 10,703 40,860 27,872 — — 841 80,276 90.01-100% 19,676 99 — — — 100 19,875 100.01-110% — — — — — 450 450 LTV>110% — — — — — 94 94 LTV - N/A (2) — — — — — 172 172 >=760 LTV <= 70% $ 361,688 $ 550,188 $ 332,476 $ 150,815 $ 306,095 $ 1,140,650 $ 2,841,912 70.01-80% 143,389 136,002 75,253 45,085 15,981 4,450 420,160 80.01-90% 17,019 56,004 29,765 — — 1,204 103,992 90.01-100% 18,804 — — — 561 574 19,939 100.01-110% — — — — — — — LTV>110% — — — — — 1,517 1,517 LTV - N/A (2) — — — — — 249 249 Total - All FICO Bands LTV <= 70% $ 532,899 $ 749,609 $ 549,472 $ 279,736 $ 516,907 $ 1,970,372 $ 4,598,995 70.01-80% 245,158 190,417 166,012 119,184 38,255 10,595 769,621 80.01-90% 39,069 134,060 86,341 607 — 5,112 265,189 90.01-100% 60,330 99 — — 561 2,761 63,751 100.01-110% — — — — — 639 639 LTV>110% — — — — — 3,258 3,258 LTV - N/A (2) 24,542 3,211 2,397 1,194 1,661 7,390 40,395 Grand Total $ 901,998 $ 1,077,396 $ 804,222 $ 400,721 $ 557,384 $ 2,000,127 $ 5,741,848 (1) Excludes LHFS. (2) Balances in the "N/A" range for LTV or FICO score primarily represent loans serviced by others, in run-off portfolios or for which a current LTV or FICO score is unavailable. (3) The ALLL model considers LTV for financing receivables in first lien position and CLTV for financing receivables in second lien position for the Company. (4) Loans originated during the year-to-date ended September 30, 2021. NOTE 3. LOANS AND ALLOWANCE FOR CREDIT LOSSES (continued) As of September 30, 2021 Home Equity Loans and Lines of Credit (2) (in thousands) Amortized Cost by Origination Year FICO Score 2021 (4) 2020 2019 2018 2017 Prior Total Revolving N/A (2) LTV <= 70% $ — $ 562 $ 116 $ 299 $ 421 $ 996 $ 2,394 $ 2,394 70.01-90% — — — — — 45 45 45 90.01-110% — — — — — — — — LTV>110% — — — — — — — — LTV - N/A (2) 1,542 3,173 4,148 5,115 4,865 69,967 88,810 49,855 <600 LTV <= 70% $ 124 $ 620 $ 3,645 $ 9,914 $ 12,290 $ 114,231 $ 140,824 $ 122,844 70.01-90% 1 — 557 558 359 3,726 5,201 4,727 90.01-110% — — — — — 787 787 726 LTV>110% — — — — — 1,060 1,060 1,059 LTV - N/A (2) — — — — 115 — 115 115 600-639 LTV <= 70% $ 289 $ 1,903 $ 4,973 $ 10,285 $ 11,263 $ 94,386 $ 123,099 $ 112,785 70.01-90% 13 95 798 658 392 4,673 6,629 5,986 90.01-110% — — — — — 1,936 1,936 1,770 LTV>110% — — — — — 807 807 770 LTV - N/A (2) — — — — — 520 520 520 640-679 LTV <= 70% $ 1,597 $ 5,573 $ 15,241 $ 27,201 $ 22,875 $ 159,398 $ 231,885 $ 223,027 70.01-90% 296 713 2,066 1,660 628 9,564 14,927 14,171 90.01-110% — — — — — 2,731 2,731 2,496 LTV>110% — — — — — 1,274 1,274 1,259 LTV - N/A (2) — — 25 — — 177 202 183 680-719 LTV <= 70% $ 11,184 $ 28,844 $ 37,291 $ 51,241 $ 53,239 $ 265,031 $ 446,830 $ 433,930 70.01-90% 3,853 3,962 5,308 2,630 1,305 13,274 30,332 29,438 90.01-110% — — — — — 4,072 4,072 3,884 LTV>110% 219 36 — — — 4,729 4,984 4,820 LTV - N/A (2) — — 51 — — 61 112 112 720-759 LTV <= 70% $ 20,770 $ 42,665 $ 60,782 $ 74,017 $ 83,775 $ 361,248 $ 643,257 $ 631,838 70.01-90% 7,016 5,546 6,098 3,480 1,439 15,545 39,124 38,020 90.01-110% 394 — — — — 4,511 4,905 4,546 LTV>110% 163 — — — — 2,968 3,131 3,065 LTV - N/A (2) — 24 — — 5 147 176 167 >=760 LTV <= 70% $ 58,845 $ 135,150 $ 169,879 $ 213,693 $ 187,656 $ 934,891 $ 1,700,114 $ 1,669,288 70.01-90% 13,044 16,395 13,194 4,666 1,906 47,204 96,409 94,126 90.01-110% 1,149 266 116 — — 8,451 9,982 9,206 LTV>110% 1,524 973 — — — 4,306 6,803 6,764 LTV - N/A (2) 218 — 8 111 65 593 995 995 Total - All FICO Bands LTV <= 70% $ 92,809 $ 215,317 $ 291,927 $ 386,650 $ 371,519 $ 1,930,181 $ 3,288,403 $ 3,196,106 LTV 70.0 |
