Fair Value

12 Months Ended

Dec. 31, 2023

Fair Value [Abstract]

Fair Value

FAIR VALUE

Fair Value Measurement

We measure certain financial assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or the price that would be paid to transfer a liability on the measurement date and is determined using an exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. The fair value hierarchy established by GAAP requires us to maximize the use of observable inputs when measuring fair value. The three levels of the fair value hierarchy are:

•Level 1: Fair value is determined using a quoted price in an active market for identical assets or liabilities. Level 1 assets and liabilities may include debt securities, equity securities and listed derivative contracts that are traded in an active exchange market, and certain U.S. Treasury securities that are actively traded in over-the-counter markets.

•Level 2: Fair value is estimated using inputs other than quoted prices included within Level 1 that are observable for assets or liabilities, either directly or indirectly. The majority of Level 2 assets and liabilities include debt securities and listed derivative contracts with quoted prices that are traded in markets that are not active, and certain debt and equity securities and over-the-counter derivative contracts whose fair value is determined using a pricing model without significant unobservable inputs.

•Level 3: Fair value is estimated using unobservable inputs that are significant to the fair value of the assets or liabilities. Level 3 assets and liabilities include financial instruments whose value is determined using pricing models and discounted cash flow methodologies, or similar techniques for which the significant valuation inputs are not observable and the determination of fair value requires significant management judgment or estimation.

We characterize active markets as those where transaction volumes are sufficient to provide objective pricing information, with reasonably narrow bid/ask spreads, and where dealer quotes received do not vary widely and are based on current information. Inactive markets are typically characterized by low transaction volumes, price quotations that vary substantially among market participants or are not based on current information, wide bid/ask spreads, a significant increase in implied liquidity risk premiums, yields, or performance indicators for observed transactions or quoted prices compared to historical periods, a significant decline or absence of a market for new issuance, or any combination of the above factors. We also consider nonperformance risks, including credit risk, as part of our valuation methodology for all assets and liabilities measured at fair value.

Assets and liabilities measured at fair value, by their nature, result in a higher degree of financial statement volatility. Assets and liabilities classified within Level 3 inherently require the use of various assumptions, estimates and judgments when measuring their fair value. As observable market activity is commonly not available to use when estimating the fair value of Level 3 assets and liabilities, we must estimate fair value using various modeling techniques. These techniques include the use of a variety of inputs/assumptions including credit quality, liquidity, interest rates or other relevant inputs across the entire population of our Level 3 assets

and liabilities. Changes in the significant underlying factors or assumptions (either an increase or a decrease) in any of these areas underlying our estimates may have resulted in a significant increase/decrease in the Level 3 fair value measurement of a particular asset and/or liability from period to period.

Any models used to determine fair values or to validate dealer quotes are subject to review and independent testing as part of our model validation and internal control testing processes. Our Model Risk Management Group reviews significant models on at least an annual basis. In addition, the Valuation Committee approves valuation methodologies and reviews the results of independent valuation reviews and processes for assets and liabilities measured at fair value on a recurring basis.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Residential Mortgage Loans Held for Sale

We account for certain residential mortgage loans originated for sale at fair value on a recurring basis. The election of the fair value option aligns the accounting for the residential mortgages with the related hedges. Residential mortgage loans are valued based on quoted market prices, where available, prices for other traded mortgage loans with similar characteristics, and purchase commitments and bid information received from market participants. The prices are adjusted as necessary to include the embedded servicing value in the loans and to take into consideration the specific characteristics of certain loans that are priced based on the pricing of similar loans. These adjustments represent unobservable inputs to the valuation but are not considered significant given the relative insensitivity of the value to changes in these inputs to the fair value of the loans. Accordingly, the majority of residential mortgage loans held for sale are classified as Level 2.

Commercial Mortgage Loans Held for Sale

We account for certain commercial mortgage loans classified as held for sale in whole loan transactions at fair value. We determine the fair value of commercial mortgage loans held for sale based upon discounted cash flows. Fair value is determined using sale valuation assumptions that management believes a market participant would use in pricing the loans.

For loans to be sold to agencies with servicing retained, the fair value is adjusted for the estimated servicing cash flows, which is an unobservable input. This adjustment is not considered significant given the relative insensitivity of the value to changes in the input to the fair value of the loans. Accordingly, commercial mortgage loans held for sale to agencies are classified as Level 2.

Valuation assumptions may include observable inputs based on the benchmark interest rate swap curve, whole loan sales and agency sales transactions. The significant unobservable input for commercial mortgage loans held for sale, excluding those to be sold to agencies, is management’s assumption of the spread applied to the benchmark rate. The spread over the benchmark curve includes management’s assumptions of the impact of credit and liquidity risk. Significant increases (decreases) in the spread applied to the benchmark would have resulted in a significantly lower (higher) asset value. The wide range of the spread over the benchmark curve is due to the varying risk and underlying property characteristics within our portfolio. Based on the significance of the unobservable input, we classified this portfolio as Level 3.

Securities Available for Sale and Trading Securities

Securities accounted for at fair value include both the available for sale and trading portfolios. We primarily use prices obtained from pricing services, dealer quotes or recent trades to determine the fair value of securities. The majority of securities were priced by third-party vendors. The third-party vendors use a variety of methods when pricing securities that incorporate relevant market data to arrive at an estimate of what a buyer in the marketplace would pay for a security under current market conditions. We monitor and validate the reliability of vendor pricing on an ongoing basis through pricing methodology reviews, including detailed reviews of the assumptions and inputs used by the vendor to price individual securities, and through price validation testing. Securities not priced by one of our pricing vendors may be valued using a dealer quote, which are also subject to price validation testing. Price validation testing is performed independent of the risk-taking function and involves corroborating the prices received from third-party vendors and dealers with prices from another third party or through other sources, such as internal valuations or sales of similar securities. Security prices are also validated through actual cash settlement upon sale of a security.

Securities are classified within the fair value hierarchy after considering the activity level in the market for the security type and the observability of the inputs used to determine the fair value. When a quoted price in an active market exists for the identical security, this price is used to determine fair value and the security is classified within Level 1 of the hierarchy. Level 1 securities include U.S. Treasury securities.

When a quoted price in an active market for the identical security is not available, fair value is estimated using either an alternative market approach, such as a recent trade or matrix pricing, or an income approach, such as a discounted cash flow pricing model. If the inputs to the valuation are based primarily on market observable information, then the security is classified within Level 2 of the hierarchy. Level 2 securities include agency debt securities, agency residential mortgage-backed securities, agency and non-agency commercial mortgage-backed securities, certain non-agency residential mortgage-backed securities, asset-backed securities

collateralized by non-mortgage-related corporate and consumer loans, and other debt securities. Level 2 securities are predominantly priced by third parties, either by a pricing vendor or dealer.

In certain cases where there is limited activity or less transparency around the inputs to the valuation, securities are classified within Level 3 of the hierarchy. Securities classified as Level 3 consist primarily of non-agency residential mortgage-backed and asset-backed securities collateralized by first- and second-lien residential mortgage loans. Fair value for these securities is primarily estimated using pricing obtained from third-party vendors. In some cases, fair value is estimated using a dealer quote, by reference to prices of securities of a similar vintage and collateral type or by reference to recent sales of similar securities. Market activity for these security types is limited with little price transparency. As a result, these securities are generally valued by the third-party vendor using a discounted cash flow approach that incorporates significant unobservable inputs and observable market activity where available. Significant inputs to the valuation include prepayment projections and credit loss assumptions (default rate and loss severity) and discount rates that are deemed representative of current market conditions. Significant increases (decreases) in any of those assumptions in isolation would have resulted in a significantly lower (higher) fair value measurement.

Certain infrequently traded debt securities within other debt securities available for sale and trading securities are also classified in Level 3 and are included in the Insignificant Level 3 assets, net of liabilities line item in Table 80. The significant unobservable inputs used to estimate the fair value of these securities include an estimate of expected credit losses and a discount for liquidity risk. These inputs are incorporated into the fair value measurement by either increasing the spread over the benchmark curve or by applying a credit and liquidity discount to the par value of the security. Significant increases (decreases) in credit and/or liquidity risk could have resulted in a significantly lower (higher) fair value estimate.

Loans

Loans accounted for at fair value consist primarily of residential mortgage loans. These loans are generally valued similarly to residential mortgage loans held for sale and are classified as Level 2. However, similar to residential mortgage loans held for sale, if these loans are repurchased and unsalable, they are classified as Level 3. In addition, repurchased VA loans, where only a portion of the principal will be reimbursed, are classified as Level 3. The fair value is determined using a discounted cash flow calculation based on our historical loss rate. We have elected to account for certain home equity lines of credit at fair value. These loans are classified as Level 3. Significant inputs to the valuation of these loans include credit and liquidity discount, cumulative default rate, loss severity and gross discount rate and are deemed representative of current market conditions. Significant increases (decreases) in any of these assumptions would have resulted in a significantly lower (higher) fair value measurement.

Equity Investments

Equity investments includes money market mutual funds as well as direct and indirect private equity investments. Money market mutual funds are valued based on quoted prices in active markets for identical securities and classified within Level 1 of the hierarchy. The valuation of direct and indirect private equity investments requires significant management judgment due to the absence of quoted market prices, inherent lack of liquidity and the long-term nature of such investments. Various valuation techniques are used for direct investments, including multiples of adjusted earnings of the entity, independent appraisals, anticipated financing and sale transactions with third parties, or the pricing used to value the entity in a recent financing transaction. A multiple of adjusted earnings calculation is the valuation technique utilized most frequently and is the most significant unobservable input used in such calculation. Significant decreases (increases) in the multiple of earnings could have resulted in a significantly lower (higher) fair value measurement. Generally, direct equity investments are classified as Level 3.

Indirect investments are not redeemable; however, we receive distributions over the life of the partnerships from liquidation of the underlying investments by the investee, which we expect to occur over the next 12 years. We value indirect investments in private equity funds using the NAV practical expedient as provided in the financial statements that we receive from fund managers. Due to the time lag in our receipt of the financial information and based on a review of investments and valuation techniques applied, adjustments to the manager-provided value are made when available recent portfolio company information or market information indicates a significant change in value from that provided by the manager of the fund. Indirect investments valued using NAV are not classified in the fair value hierarchy.

Mortgage Servicing Rights (MSRs)

MSRs are carried at fair value on a recurring basis. Assumptions incorporated into the MSRs valuation model reflect management’s best estimate of factors that a market participant would use in valuing the MSRs. Although sales of MSRs do occur and can offer some market insight, MSRs do not trade in an active, open market with readily observable prices so the precise terms and conditions of sales are not available.

Residential MSRs

The fair value of residential MSRs is estimated by using a discounted cash flow model incorporating unobservable inputs for assumptions such as constant prepayment rates, spread over the benchmark curve, and other factors. Due to the nature of the unobservable valuation inputs, residential MSRs are classified as Level 3. The significant unobservable inputs used in the fair value measurement of residential MSRs are constant prepayment rates and spread over the benchmark curve. Significant increases

(decreases) in prepayment rates and spread over the benchmark curve would have resulted in lower (higher) fair market value of residential MSRs.

As a benchmark for the reasonableness of our residential MSRs fair value, we obtained opinions of value from independent brokers. These brokers provided a range (+/-10 bps) based upon their own discounted cash flow calculations of our portfolio that reflect conditions in the secondary market and any recently executed servicing transactions. We compare our internally-developed residential MSRs value to the ranges of values received from the brokers. If our residential MSRs fair value falls outside of the brokers’ ranges, management will assess whether a valuation adjustment is warranted. For the periods presented, our residential MSRs value did not fall outside of the brokers’ ranges.

Commercial MSRs

The fair value of commercial MSRs is estimated by using a discounted cash flow model incorporating unobservable inputs for assumptions such as constant prepayment rates, discount rates and other factors. Due to the nature of the unobservable valuation inputs and the limited availability of market pricing, commercial MSRs are classified as Level 3. Significant increases (decreases) in constant prepayment rates and discount rates would have resulted in significantly lower (higher) commercial MSR value determined based on current market conditions and expectations.

Financial Derivatives

Exchange-traded derivatives are valued using quoted market prices and are classified as Level 1. The majority of derivatives that we enter into are executed over-the-counter and are valued using internal models. These derivatives are primarily classified as Level 2, as the readily observable market inputs to these models are validated to external sources, such as industry pricing services, or are corroborated through recent trades, dealer quotes, yield curves, implied volatility or other market-related data. Level 2 financial derivatives are primarily estimated using observable benchmark interest rate swaps to construct projected discounted cash flows.

Financial derivatives that are priced using significant management judgment or assumptions are classified as Level 3. Unobservable inputs related to interest rate contracts include probability of funding of residential mortgage loan commitments and estimated servicing cash flows of commercial and residential mortgage loan commitments. Probability of default and loss severity are the significant unobservable inputs used in the valuation of risk participation agreements. The fair values of Level 3 assets and liabilities related to these interest rate contract financial derivatives as of December 31, 2023 and 2022 are included in the Insignificant Level 3 assets, net of liabilities line item in Table 80 of this Note 14.

In connection with the sales of portions of our Visa Class B common shares, we entered into swap agreements with the purchasers of those shares to retain any future risk of decreases in the conversion rate of Class B common shares to Class A common shares resulting from increases in the escrow funded by Visa to pay for the costs of resolution of the pending interchange litigation (see Note 20 Legal Proceedings). These swaps also require PNC to make periodic payments based on the market price of the Class A common shares at a fixed rate of interest (in certain cases subject to step-up provisions) until the Visa litigation is resolved. An increase in the estimated length of litigation resolution date, a decrease in the estimated conversion rate or an increase in the estimated growth rate of the Class A share price would have had a negative impact on the fair value of the swaps and vice versa.

The fair values of our derivatives include a credit valuation adjustment to reflect our own and our counterparties’ nonperformance risk. Our credit valuation adjustment is computed using credit default swap spreads, in conjunction with internal historical recovery observations.

Other Assets and Liabilities

Other assets held at fair value on a recurring basis primarily include assets related to PNC’s deferred compensation and supplemental incentive savings plans.

The assets related to PNC’s deferred compensation and supplemental incentive savings plans primarily consist of a prepaid forward contract referencing an amount of shares of PNC stock, equity mutual funds and fixed income funds, and are valued based on the underlying investments. These assets are valued either by reference to the market price of PNC’s stock or by using the quoted market prices for investments other than PNC’s stock and are included in Levels 1 and 2.

All Level 3 other assets and liabilities are included in the Insignificant Level 3 assets, net of liabilities line item in Table 80 in this Note 14.

Other Borrowed Funds

Other borrowed funds primarily consist of U.S. Treasury securities sold short which are classified as Level 1. Other borrowed funds also includes the related liability for certain repurchased loans for which we have elected the fair value option and are classified as either Level 2 or Level 3, consistent with the level classification of the corresponding loans. All Level 3 amounts are included in the Insignificant Level 3 assets, net of liabilities line item in Table 80 in this Note 14.

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 78: Fair Value Measurements – Recurring Basis Summary

	December 31, 2023								December 31, 2022
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			$	371	$	103	$	474			$	411	$	243	$	654
Commercial mortgage loans held for sale			227		11		238				243		33		276
Securities available for sale
U.S. Treasury and government agencies	$	6,292	659				6,951		$	8,108	262				8,370
Residential mortgage-backed
Agency			27,880				27,880				28,823				28,823
Non-agency					696		696						819		819
Commercial mortgage-backed
Agency			1,546				1,546				1,675				1,675
Non-agency			766		103		869				1,253		3		1,256
Asset-backed			1,014		102		1,116				5		124		129
Other			2,672		55		2,727				3,032		55		3,087
Total securities available for sale	6,292		34,537		956		41,785		8,108		35,050		1,001		44,159
Loans			512		726		1,238				541		769		1,310
Equity investments (a)	574				1,952		2,717		1,173				1,778		3,147
Residential mortgage servicing rights					2,654		2,654						2,310		2,310
Commercial mortgage servicing rights					1,032		1,032						1,113		1,113
Trading securities (b)	377		2,422				2,799		798		1,168				1,966
Financial derivatives (b) (c)	29		3,394		6		3,429		16		3,747		5		3,768
Other assets	403		85		8		496		352		80				432
Total assets (d)	$	7,675	$	41,548	$	7,448	$	56,862	$	10,447	$	41,240	$	7,252	$	59,135
Liabilities
Other borrowed funds	$	724	$	84	$	9	$	817	$	1,230	$	232	$	4	$	1,466
Financial derivatives (c) (e)	11		5,736		152		5,899		4		7,491		123		7,618
Other liabilities					237		237						294		294
Total liabilities (f)	$	735	$	5,820	$	398	$	6,953	$	1,234	$	7,723	$	421	$	9,378

(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, 2023 and 2022 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 15 Financial Derivatives for additional information related to derivative offsetting.

(d)Total assets at fair value as a percentage of total consolidated assets was 10% and 11% at December 31, 2023 and 2022, respectively. Level 3 assets as a percentage of total assets at fair value was 13% and 12% as of December 31, 2023 and 2022, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both December 31, 2023 and 2022.

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

(f)Total liabilities at fair value as a percentage of total consolidated liabilities was 1% and 2% at December 31, 2023 and 2022, respectively. Level 3 liabilities as a percentage of total liabilities at fair value was 6% and 4% as of December 31, 2023 and 2022, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both December 31, 2023 and 2022.

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for 2023 and 2022 are as follows:

Table 79: Reconciliation of Level 3 Assets and Liabilities

Year Ended December 31, 2023

			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, 2023 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2022		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, 2023
Assets
Residential mortgage    loans held for sale	$	243	$	1				$	15	$	(131)			$	(10)	$	7	$	(22)	(d)	$	103	$	1
Commercial mortgage     loans held for sale	33		1											(23)							11
Securities available for sale
Residential mortgage-     backed non-agency	819		15			$	(11)							(127)							696
Commercial mortgage-     backed non-agency	3					8										92					103
Asset-backed	124		1			(1)								(22)							102
Other	55		(1)			(3)		6						(5)		3					55
Total securities     available for sale	1,001		15			(7)		6						(154)		95					956
Loans	769		15					47		(2)				(98)		21		(26)		(d)	726		15
Equity investments	1,778		140					768		(600)								(134)		(e)	1,952		92
Residential mortgage     servicing rights	2,310		115					444		(1)		$	23	(237)							2,654		115
Commercial mortgage     servicing rights	1,113		157					44				50		(332)							1,032		157
Financial derivatives	5		19					4						(22)							6		24
Other assets			1					7													8
Total assets	$	7,252	$	464		$	(7)	$	1,335	$	(734)	$	73	$	(876)	$	123	$	(182)		$	7,448	$	404
Liabilities
Other borrowed funds	$	4										$	13	$	(8)						$	9
Financial derivatives	123		$	266						$	5			(242)							152		$	272
Other liabilities	294		56									442		(555)							237		41
Total liabilities	$	421	$	322						$	5	$	455	$	(805)						$	398	$	313
Net gains (losses)			$	142	(f)																		$	91	(g)

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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		(h)				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)

(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 out of Level 3 during the current period were due to valuation methodology changes for certain private company investments. See Note 1 Accounting Policies for more information on our accounting for private company investments.

(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.

(h)Transfers into Level 3 were due to certain private company investments valued using significant unobservable inputs. See Note 1 Accounting Policies for more information on our accounting for private company investments.

An instrument’s categorization within the hierarchy is based on the lowest level of input that is significant to the fair value measurement. Changes from one quarter to the next related to the observability of inputs to a fair value measurement may result in a reclassification (transfer) of assets or liabilities between hierarchy levels.

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

Table 80: Fair Value Measurements – Recurring Quantitative Information

December 31, 2023

Level 3 Instruments Only Dollars in millions	Fair Value		Valuation Techniques	Unobservable Inputs	Range (Weighted-Average) (a)
Commercial mortgage loans held for sale	$	11	Discounted cash flow	Spread over the benchmark curve (b)	575bps - 3,610bps (1,647bps)
Residential mortgage-backed     non-agency securities	696		Priced by a third-party vendor using a discounted cash flow pricing model	Constant prepayment rate	1.0% - 27.9% (3.7%)
				Constant default rate	0.0% - 12.0% (2.7%)
				Loss severity	10.0% - 69.0% (41.2%)
				Spread over the benchmark curve (b)	285bps weighted-average
Asset-backed securities	102		Priced by a third-party vendor using a discounted cash flow pricing model	Constant prepayment rate	1.0% - 28.0% (5.1%)
				Constant default rate	0.0% - 4.3% (1.7%)
				Loss severity	20.0% - 100.0% (49.5%)
				Spread over the benchmark curve (b)	248bps weighted-average
Loans - Residential real estate - Uninsured	546		Consensus pricing (c)	Cumulative default rate	3.6% - 100.0% (59.1%)
				Loss severity	0.0% - 100.0% (5.4%)
				Discount rate	5.5% - 7.5% (5.8%)
Loans - Residential real estate	75		Discounted cash flow	Loss severity	6.0% weighted-average
				Discount rate	7.8% weighted-average
Loans - Home equity - First-lien	18		Consensus pricing (c)	Cumulative default rate	3.6% - 100.0% (60.9%)
				Loss severity	0.0% - 100.0% (14.4%)
				Discount rate	5.5% - 7.5% (6.2%)
Loans - Home equity	87		Consensus pricing (c)	Credit and liquidity discount	0.3% - 100.0% (43.8%)
Equity investments	1,952		Multiple of adjusted earnings	Multiple of earnings	4.5x - 26.7x (10.1x)
Residential mortgage servicing rights	2,654		Discounted cash flow	Constant prepayment rate	0.0% - 33.6% (6.4%)
				Spread over the benchmark curve (b)	337bps - 1,668bps (765bps)
Commercial mortgage servicing rights	1,032		Discounted cash flow	Constant prepayment rate	5.3% - 9.7% (5.5%)
				Discount rate	7.6% - 10.0% (9.6%)
Financial derivatives - Swaps related to     sales of certain Visa Class B     common shares	(145)		Discounted cash flow	Estimated conversion factor of Visa Class B shares into Class A shares	1.59 weighted-average
				Estimated annual growth rate of Visa Class A share price	16.0%
				Estimated length of litigation resolution date	Q3 2024
Insignificant Level 3 assets, net of     liabilities (d)	22
Total Level 3 assets, net of liabilities (e)	$	7,050

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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	$	33	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	76		Discounted cash flow	Loss severity	6.0% weighted-average
				Discount rate	7.9% weighted-average
Loans - Home equity - First-lien	25		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	98		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	1.61 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

(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 $7.4 billion and total Level 3 liabilities of $0.4 billion as of December 31, 2023 and $7.3 billion and $0.4 billion as of December 31, 2022, respectively.

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

Table 81: Fair Value Measurements – Nonrecurring (a) (b) (c)

Year ended December 31 In millions	Fair Value				Gains (Losses)
	2023		2022			2023		2022		2021
Assets
Nonaccrual loans	$	578	$	280		$	(410)	$	(287)	$	(4)
Equity investments	203		135					(1)
OREO and foreclosed assets	12		10			(1)
Long-lived assets	9		23			(29)		(15)		(45)
Total assets	$	802	$	448		$	(440)	$	(303)	$	(49)

(a)All Level 3 for the periods presented, except for $30 million and $42 million included in Equity investments which was categorized as Level 1 as of December 31, 2023 and 2022, respectively.

(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 values and aggregate unpaid principal balances of items for which we elected the fair value option are as follows:

Table 82: Fair Value Option – Fair Value and Principal Balances

	December 31, 2023						December 31, 2022
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	$	432	$	429	$	3	$	609	$	633	$	(24)
Accruing loans 90 days or more past due	6		6				5		5
Nonaccrual loans	36		43		(7)		40		49		(9)
Total	$	474	$	478	$	(4)	$	654	$	687	$	(33)
Commercial mortgage loans held for sale (a)
Accruing loans less than 90 days past due	$	238	$	228	$	10	$	261	$	256	$	5
Nonaccrual loans							15		44		(29)
Total	$	238	$	228	$	10	$	276	$	300	$	(24)
Loans
Accruing loans less than 90 days past due	$	507	$	520	$	(13)	$	509	$	521	$	(12)
Accruing loans 90 days or more past due	146		156		(10)		155		167		(12)
Nonaccrual loans	585		793		(208)		646		880		(234)
Total	$	1,238	$	1,469	$	(231)	$	1,310	$	1,568	$	(258)
Other assets	$	85	$	69	$	16	$	80	$	80
Liabilities
Other borrowed funds	$	39	$	40	$	(1)	$	31	$	32	$	(1)
Other liabilities	$	124			$	124	$	196			$	196

(a)There were no accruing loans 90 days or more past due within this category at December 31, 2023 or December 31, 2022.

The changes in fair value for items for which we elected the fair value option are as follows:

Table 83: Fair Value Option – Changes in Fair Value (a)

Year ended December 31 In millions	Gains (Losses)
	2023		2022		2021
Assets
Residential mortgage loans held for sale	$	32	$	(80)	$	152
Commercial mortgage loans held for sale	$	53	$	52	$	115
Loans	$	26	$	42	$	80
Other assets	$	7	$	(16)	$	28
Liabilities
Other liabilities	$	(41)	$	(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 Financial Instruments Not Recorded at Fair Value

This section presents fair value information for all other financial instruments that are not recorded on the Consolidated Balance Sheet at fair value. We used the following methods and assumptions to estimate the fair value amounts for these financial instruments.

Cash and Due from Banks and Interest-earning Deposits with Banks

Due to their short-term nature, the carrying amounts for Cash and due from banks and Interest-earning deposits with banks reported on our Consolidated Balance Sheet approximate fair value.

Securities Held to Maturity

We primarily use prices obtained from pricing services, dealer quotes or recent trades to determine the fair value of securities. Refer to the Fair Value Measurement section of this Note 14 for additional information relating to our pricing processes and procedures.

Net Loans

Fair values are estimated based on the discounted value of expected net cash flows incorporating assumptions about prepayment rates, net credit losses and servicing fees. Nonaccrual loans are valued at their estimated recovery value. The carrying value of Net loans are presented net of the ALLL.

Other Assets

The carrying value of Other assets, which include accrued interest receivable, cash collateral, federal funds sold and resale agreements, certain loans held for sale, and FHLB and FRB stock, approximates fair value. The aggregate carrying value of our FHLB and FRB stock was $2.7 billion and $2.5 billion at December 31, 2023 and 2022, respectively.

Deposits

For time deposits, fair values are estimated by discounting contractual cash flows using current market rates for instruments with similar maturities. For deposits with no defined maturity, such as noninterest-bearing and interest-bearing demand and interest-bearing money market and savings deposits, carrying values approximate fair values.

Borrowed Funds

For short-term borrowed funds, including federal funds purchased, commercial paper, repurchase agreements and certain other short-term borrowings and payables, carrying value approximates fair value. For long-term borrowed funds, quoted market prices are used, when available, to estimate fair value. When quoted market prices are not available, fair value is estimated based on current market interest rates and credit spreads for debt with similar terms and maturities.

Unfunded Lending Related Commitments

The fair value of unfunded lending related commitments is determined by market participant assumptions and takes into consideration the impact of changes in interest rates and credit. We establish a liability on these facilities based on the creditworthiness of our counterparty.

Other Liabilities

Other liabilities includes interest-bearing cash collateral held related to derivatives and other accrued liabilities. Due to its short-term nature, the carrying value of Other liabilities reported on our Consolidated Balance Sheet approximates fair value.

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of these financial instruments as of December 31, 2023 and 2022 are as follows:    

Table 84: Additional Fair Value Information Related to Other Financial Instruments 

In millions	Carrying Amount		Fair Value
			Total		Level 1		Level 2		Level 3
December 31, 2023
Assets
Cash and due from banks	$	6,921	$	6,921	$	6,921
Interest-earning deposits with banks	43,804		43,804				$	43,804
Securities held to maturity	90,790		86,948		30,943		55,850		$	155
Net loans (excludes leases)	308,936		299,645						299,645
Other assets	5,872		5,872				5,872
Total assets	$	456,323	$	443,190	$	37,864	$	105,526	$	299,800
Liabilities
Time deposits	$	31,569	$	31,602			$	31,602
Borrowed funds	71,816		72,369				71,194		$	1,175
Unfunded lending related commitments	663		663						663
Other liabilities	1,091		1,091				1,091
Total liabilities	$	105,139	$	105,725			$	103,887	$	1,838
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

The aggregate fair values in Table 84 represent only a portion of the total market value of our assets and liabilities as, in accordance with the guidance related to fair values about financial instruments, we exclude the following:

•financial instruments recorded at fair value on a recurring basis (as they are disclosed in Table 78),

•investments accounted for under the equity method,

•equity securities without a readily determinable fair value that apply for the alternative measurement approach to fair value under ASU 2016-01,

•real and personal property,

•lease financing,

•loan customer relationships,

•deposit customer intangibles,

•MSRs,

•retail branch networks,

•fee-based businesses, such as asset management and brokerage,

•trademarks and brand names,

•trade receivables and payables due in one year or less,

•deposit liabilities with no defined or contractual maturities under ASU 2016-01, and

•insurance contracts.