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Fair Value (Tables)

12 Months Ended

Dec. 31, 2023

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 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.

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 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)

(Continued from previous page)

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.

Fair Value Measurements - Recurring Quantitative Information

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

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

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

7.8% weighted-average

Loans - Home equity - First-lien

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

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)

Total Level 3 assets, net of liabilities (e)

7,050

(Continued from previous page)

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

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

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.

Fair Value Measurements - Nonrecurring

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 Value Option - Fair Value and Principal Balances

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.

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 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 Other Financial Instruments

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