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Fair Value (Tables)

12 Months Ended

Dec. 31, 2022

Fair Value Measurements - Recurring Basis Summary

The following table summarizes our assets and liabilities measured at fair value on a recurring basis, including instruments for which we have elected the fair value option:

Table 86: Fair Value Measurements – Recurring Basis Summary


	December 31, 2022								December 31, 2021
In millions	Level 1		Level 2		Level 3		Total Fair Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Residential mortgage loans held for sale			$	411	$	243	$	654			$	1,221	$	81	$	1,302
Commercial mortgage loans held for sale			243		33		276				526		49		575
Securities available for sale
U.S. Treasury and government agencies	$	8,108	262				8,370		$	41,873	4,291				46,164
Residential mortgage-backed
Agency			28,823				28,823				67,632				67,632
Non-agency					819		819				61		1,097		1,158
Commercial mortgage-backed
Agency			1,675				1,675				1,773				1,773
Non-agency			1,253		3		1,256				3,433		3		3,436
Asset-backed			5		124		129				6,246		163		6,409
Other			3,032		55		3,087				4,895		69		4,964


Total securities available for sale	8,108		35,050		1,001		44,159		41,873		88,331		1,332		131,536
Loans			541		769		1,310				617		884		1,501
Equity investments (a)	1,173				1,778		3,147		1,373				1,680		3,231
Residential mortgage servicing rights					2,310		2,310						1,078		1,078
Commercial mortgage servicing rights					1,113		1,113						740		740
Trading securities (b)	798		1,168				1,966		250		1,601				1,851
Financial derivatives (b) (c)	16		3,747		5		3,768		5		5,109		38		5,152
Other assets	352		80				432		404		114				518
Total assets (d)	$	10,447	$	41,240	$	7,252	$	59,135	$	43,905	$	97,519	$	5,882	$	147,484
Liabilities
Other borrowed funds	$	1,230	$	232	$	4	$	1,466	$	725	$	45	$	3	$	773
Financial derivatives (c) (e)	4		7,491		123		7,618				3,285		285		3,570
Other liabilities					294		294						175		175
Total liabilities (f)	$	1,234	$	7,723	$	421	$	9,378	$	725	$	3,330	$	463	$	4,518

(a)Certain investments that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.

(b)Included in Other assets on the Consolidated Balance Sheet.

(c)Amounts at December 31, 2022 and 2021 are presented gross and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See Note 16 Financial Derivatives for additional information related to derivative offsetting.

(d)Total assets at fair value as a percentage of total consolidated assets was 11% and 26% at December 31, 2022 and 2021, respectively. Level 3 assets as a percentage of total assets at fair value was 12% and 4% as of December 31, 2022 and 2021, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both December 31, 2022 and 2021.

(e)Included in Other liabilities on the Consolidated Balance Sheet.

(f)Total liabilities at fair value as a percentage of total consolidated liabilities was 2% and 1% at December 31, 2022 and 2021, respectively. Level 3 liabilities as a percentage of total liabilities at fair value was 4% and 10% as of December 31, 2022 and 2021, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both December 31, 2022 and 2021.

Reconciliation of Level 3 Assets and Liabilities

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for 2022 and 2021 are as follows

Table 87: Reconciliation of Level 3 Assets and Liabilities

Year Ended December 31, 2022


			Total realized / unrealized gains or losses for the period (a)																					Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at Dec. 31, 2022 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2021		Included in Earnings			Included in Other comprehensive income (b)		Purchases		Sales		Issuances		Settlements		Transfers into Level 3			Transfers out of Level 3			Fair Value Dec. 31, 2022
Assets
Residential mortgage loans held for sale	$	81	$	(5)				$	226	$	(34)			$	(13)	$	29		$	(41)	(d)	$	243	$	(5)
Commercial mortgage loans held for sale	49		(6)											(10)								33		(6)

Securities available for sale
Residential mortgage- backed non-agency	1,097		22			$	(108)							(192)								819
Commercial mortgage- backed non-agency	3																					3
Asset-backed	163		2			(18)								(23)								124
Other	69							6						(20)								55
Total securities available for sale	1,332		24			(126)		6						(235)								1,001
Loans	884		23					55		(10)				(164)					(19)		(d)	769		23
Equity investments	1,680		445					291		(772)						134		(e)				1,778		237
Residential mortgage servicing rights	1,078		509					897				$	57	(231)								2,310		509
Commercial mortgage servicing rights	740		473					46				62		(208)								1,113		473

Financial derivatives	38		(6)					8						(35)								5		19

Total assets	$	5,882	$	1,457		$	(126)	$	1,529	$	(816)	$	119	$	(896)	$	163		$	(60)		$	7,252	$	1,250
Liabilities
Other borrowed funds	$	3										$	7	$	(6)							$	4
Financial derivatives	285		$	49						$	14			(225)								123		$	62
Other liabilities	175		77					$	32			876		(866)								294		66
Total liabilities	$	463	$	126				$	32	$	14	$	883	$	(1,097)							$	421	$	128
Net gains (losses)			$	1,331	(f)																			$	1,122	(g)

(Continued from previous page)

Year Ended December 31, 2021


			Total realized / unrealized gains or losses for the period (a)																						Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at Dec. 31, 2021 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2020		Included in Earnings		Included in Other comprehensive income (b)			Purchases		Sales		Issuances		Settlements		Transfers into Level 3		Transfers out of Level 3			Impact from BBVA Acquisition		Fair Value Dec. 31, 2021
Assets
Residential mortgage loans held for sale	$	163	$	(1)				$	47	$	(83)			$	(41)	$	18	$	(22)	(d)			$	81	$	(1)
Commercial mortgage loans held for sale	57									(6)				(2)									49		(1)
Other consumer loans held for sale										(256)											$	256
Securities available for sale
Residential mortgage- backed non-agency	1,365		37			$	6							(311)									1,097
Commercial mortgage- backed non-agency	11					(8)																	3
Asset-backed	199		2			9								(47)									163
Other	72					1		6						(10)									69
Total securities available for sale	1,647		39			8		6						(368)									1,332
Loans	647		45					124		(15)				(194)				(14)		(d)	291		884		44
Equity investments	1,263		627					573		(783)													1,680		338
Residential mortgage servicing rights	673		192					411				$	87	(320)							35		1,078		192
Commercial mortgage servicing rights	569		162					41				87		(119)									740		162

Financial derivatives	118		83					5						(174)							6		38		113

Total assets	$	5,137	$	1,147		$	8	$	1,207	$	(1,143)	$	174	$	(1,218)	$	18	$	(36)		$	588	$	5,882	$	847
Liabilities
Other borrowed funds	$	2										$	5	$	(4)								$	3
Financial derivatives	273		$	145						$	6			(146)							$	7	285		$	158
Other liabilities	43		151									321		(340)									175		111
Total liabilities	$	318	$	296						$	6	$	326	$	(490)						$	7	$	463	$	269
Net gains (losses)			$	851	(f)																				$	578	(g)

(a)Losses for assets are bracketed while losses for liabilities are not.

(b)The difference in unrealized gains and losses for the period included in Other comprehensive income and changes in unrealized gains and losses for the period included in Other comprehensive income for securities available for sale held at the end of the reporting period were insignificant.

(c)The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.

(d)Residential mortgage loan transfers out of Level 3 are primarily driven by residential mortgage loans transferring to OREO as well as reclassification of mortgage loans held for sale to held for investment.

(e)Transfers into Level 3 were due to certain private company investments valued using significant unobservable inputs during the current period.

(f)Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.

(g)Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.

Fair Value Measurements - Recurring Quantitative Information

Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities is as follows:

Table 88: Fair Value Measurements – Recurring Quantitative Information

December 31, 2022

Level 3 Instruments Only
Dollars in millions

Fair Value

Valuation Techniques

Unobservable Inputs

Range (Weighted-Average) (a)

Commercial mortgage loans held for sale

Discounted cash flow

Spread over the benchmark curve (b)

585bps - 2,465bps (959bps)

Residential mortgage-backed
non-agency securities

819

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 27.9% (9.9%)

Constant default rate

0.0% - 13.0% (4.0%)

Loss severity

15.0% - 80.0% (46.1%)

Spread over the benchmark curve (b)

289bps weighted-average

Asset-backed securities

124

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 40.0% (7.5%)

Constant default rate

0.0% - 7.3% (2.1%)

Loss severity

20.0% - 100.0% (49.0%)

Spread over the benchmark curve (b)

296bps weighted-average

Loans - Residential real estate - Uninsured

570

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (66.2%)

Loss severity

0.0% - 100.0% (6.2%)

Discount rate

5.5% - 7.5% (5.9%)

Loans - Residential real estate - Government insured

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

7.9% weighted-average

Loans - Home equity - First-lien

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (72.5%)

Loss severity

0.0% - 100.0% (15.3%)

Discount rate

5.5% - 7.5% (6.5%)

Loans - Home equity - Second-lien

Consensus pricing (c)

Credit and liquidity discount

0.4% - 100.0% (46.2%)

Equity investments

1,778

Multiple of adjusted earnings

Multiple of earnings

4.5x - 25.0x (9.1x)

Residential mortgage servicing rights

2,310

Discounted cash flow

Constant prepayment rate

0.0% - 34.5% (6.7%)

Spread over the benchmark curve (b)

254bps - 1,653bps (766bps)

Commercial mortgage servicing rights

1,113

Discounted cash flow

Constant prepayment rate

3.9% - 9.8% (4.3%)

Discount rate

7.8% - 10.1% (9.8%)

Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares

(107)

Discounted cash flow

Estimated conversion factor of Visa Class B shares into Class A shares

160.6% weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated length of litigation resolution date

Q2 2023

Insignificant Level 3 assets, net of
liabilities (d)

(8)

Total Level 3 assets, net of liabilities (e)

6,831

(Continued from previous page)

December 31, 2021

Level 3 Instruments Only
Dollars in millions

Fair Value

Valuation Techniques

Unobservable Inputs

Range (Weighted-Average) (a)

Commercial mortgage loans held for sale

Discounted cash flow

Spread over the benchmark curve (b)

555bps - 15,990bps (9,996bps)

Residential mortgage-backed
non-agency securities

1,097

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 30.7% (11.3%)

Constant default rate

0.0% - 16.9% (4.6%)

Loss severity

20.0% - 96.4% (47.6%)

Spread over the benchmark curve (b)

163bps weighted-average

Asset-backed securities

163

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 40.0% (11.1%)

Constant default rate

1.4% - 20.0% (3.2%)

Loss severity

8.0% - 100.0% (57.4%)

Spread over the benchmark curve (b)

182bps weighted-average

Loans - Residential real estate - Uninsured

622

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (74.2%)

Loss severity

0.0% - 100.0% (6.9%)

Discount rate

4.8% - 6.8% (5.2%)

Loans - Residential real estate - Government insured

109

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

3.5% weighted-average

Loans - Home equity - First-lien

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (75.8%)

Loss severity

0.0% - 98.4% (17.7%)

Discount rate

4.8% - 6.8% (6.0%)

Loans - Home equity - Second-lien

125

Consensus pricing (c)

Credit and liquidity discount

0.5% - 100.0% (47.3%)

Equity investments

1,680

Multiple of adjusted earnings

Multiple of earnings

5.0x - 14.4x (8.8x)

Residential mortgage servicing rights

1,078

Discounted cash flow

Constant prepayment rate

0.0% - 41.0% (12.6%)

Spread over the benchmark curve (b)

249bps - 2,218bps (857bps)

Commercial mortgage servicing rights

740

Discounted cash flow

Constant prepayment rate

5.0% - 15.5% (5.5%)

Discount rate

5.4% - 8.0% (7.8%)

Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares

(277)

Discounted cash flow

Estimated conversion factor of Visa Class B shares into Class A shares

161.8% weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated length of litigation resolution date

Q2 2023

Insignificant Level 3 assets, net of
liabilities (d)

Total Level 3 assets, net of liabilities (e)

5,419

(a)Unobservable inputs were weighted by the relative fair value of the instruments.

(b)The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks.

(c)Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.

(d)Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.

(e)Consisted of total Level 3 assets of $7.3 billion and total Level 3 liabilities of $0.4 billion as of December 31, 2022 and $5.9 billion and $0.5 billion as of December 31, 2021, respectively.

Fair Value Measurements - Nonrecurring

Assets measured at fair value on a nonrecurring basis are as follows:

Table 89: Fair Value Measurements – Nonrecurring (a) (b) (c)


Year ended December 31 In millions	Fair Value				Gains (Losses)
	2022		2021			2022		2021		2020
Assets
Nonaccrual loans	$	280	$	348		$	(287)	$	(4)	$	(111)
Equity investments	135					(1)
OREO and foreclosed assets	10		6							(2)
Long-lived assets	23		103			(15)		(45)		(27)

Total assets	$	448	$	457		$	(303)	$	(49)	$	(140)

(a)All Level 3 for the periods presented, except for $42 million included in Equity investments which was categorized as Level 1 as of December 31, 2022.

(b)Valuation techniques applied were fair value of property or collateral.

(c)Unobservable inputs used were appraised value/sales price, broker opinions or projected income/required improvement costs. Additional quantitative information was not meaningful for the periods presented.

Fair Value Option - Fair Value and Principal Balances

Table 90: Fair Value Option – Fair Value and Principal Balances


	December 31, 2022				December 31, 2021
In millions	Fair Value		Aggregate Unpaid Principal Balance		Difference		Fair Value		Aggregate Unpaid Principal Balance		Difference
Assets
Residential mortgage loans held for sale
Accruing loans less than 90 days past due	$	609	$	633	$	(24)	$	1,249	$	1,219	$	30
Accruing loans 90 days or more past due	5		5				6		6
Nonaccrual loans	40		49		(9)		47		57		(10)
Total	$	654	$	687	$	(33)	$	1,302	$	1,282	$	20
Commercial mortgage loans held for sale (a)
Accruing loans less than 90 days past due	$	261	$	256	$	5	$	575	$	580	$	(5)
Nonaccrual loans	15		44		(29)
Total	$	276	$	300	$	(24)	$	575	$	580	$	(5)
Loans
Accruing loans less than 90 days past due	$	509	$	521	$	(12)	$	487	$	498	$	(11)
Accruing loans 90 days or more past due	155		167		(12)		262		278		(16)
Nonaccrual loans	646		880		(234)		752		1,028		(276)
Total	$	1,310	$	1,568	$	(258)	$	1,501	$	1,804	$	(303)
Other assets	$	80	$	80			$	105	$	107	$	(2)
Liabilities
Other borrowed funds	$	31	$	32	$	(1)	$	30	$	30
Other liabilities	$	196			$	196

(a)There were no accruing loans 90 days or more past due within this category at December 31, 2022 or December 31, 2021.

Fair Value Option - Changes in Fair Value

The changes in fair value for items for which we elected the fair value option are as follows:Table 91: Fair Value Option – Changes in Fair Value (a)


Year ended December 31 In millions	Gains (Losses)
	2022		2021		2020
Assets
Residential mortgage loans held for sale	$	(80)	$	152	$	198
Commercial mortgage loans held for sale	$	52	$	115	$	128
Loans	$	42	$	80	$	44
Other assets	$	(16)	$	28	$	(3)
Liabilities
Other liabilities	$	(67)

(a)The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.

Additional Fair Value Information Related to Other Financial Instruments

Table 92: Additional Fair Value Information Related to Other Financial Instruments


In millions	Carrying Amount		Fair Value
			Total		Level 1		Level 2		Level 3
December 31, 2022
Assets
Cash and due from banks	$	7,043	$	7,043	$	7,043
Interest-earning deposits with banks	27,320		27,320				$	27,320
Securities held to maturity	95,183		90,279		30,748		59,377		$	154
Net loans (excludes leases)	313,460		310,864						310,864
Other assets	6,022		6,022				6,020		2
Total assets	$	449,028	$	441,528	$	37,791	$	92,717	$	311,020
Liabilities
Time deposits	$	18,470	$	18,298			$	18,298
Borrowed funds	57,182		57,557				55,922		$	1,635
Unfunded lending related commitments	694		694						694
Other liabilities	660		660				660
Total liabilities	$	77,006	$	77,209			$	74,880	$	2,329
December 31, 2021
Assets
Cash and due from banks	$	8,004	$	8,004	$	8,004
Interest-earning deposits with banks	74,250		74,250				$	74,250
Securities held to maturity	1,429		1,522		890		456		$	176
Net loans (excludes leases)	275,874		280,498						280,498
Other assets	4,205		4,204				4,141		63
Total assets	$	363,762	$	368,478	$	8,894	$	78,847	$	280,737
Liabilities
Time deposits	$	17,366	$	17,180			$	17,180
Borrowed funds	30,011		30,616				28,936		$	1,680
Unfunded lending related commitments	662		662						662
Other liabilities	449		449				449
Total liabilities	$	48,488	$	48,907			$	46,565	$	2,342