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FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 2021
Fair Value Disclosures [Abstract]  
Fair value option
Citizens elected to account for residential mortgage LHFS and certain commercial and industrial, and commercial real estate LHFS at fair value. The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:
June 30, 2021December 31, 2020
(in millions)Aggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Aggregate Unpaid PrincipalAggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value$3,499 $3,388 $111 $3,416 $3,260 $156 
Commercial and industrial, and commercial real estate loans held for sale, at fair value117 119 (2)148 153 (5)
Assets and liabilities measured on recurring basis
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities, on a recurring basis at June 30, 2021:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$24,392 $— $24,392 $— 
Collateralized loan obligations177 — 177 — 
State and political subdivisions3 — 3 — 
U.S. Treasury and other11 11 — — 
Total debt securities available for sale24,583 11 24,572 — 
Loans held for sale, at fair value:
Residential loans held for sale3,499 — 3,499 — 
Commercial loans held for sale117 — 117 — 
Total loans held for sale, at fair value3,616 — 3,616 — 
Mortgage servicing rights902 — — 902 
Derivative assets:
Interest rate contracts1,134 — 1,134 — 
Foreign exchange contracts273 — 273 — 
Commodities contracts424 — 424 — 
TBA contracts5 — 5 — 
Other contracts89 — — 89 
Total derivative assets1,925 — 1,836 89 
Equity securities, at fair value80 80 — — 
Total assets$31,106 $91 $30,024 $991 
Derivative liabilities:
Interest rate contracts$197 $— $197 $— 
Foreign exchange contracts209 — 209 — 
Commodities contracts427 — 427 — 
TBA contracts28 — 28 — 
Total derivative liabilities861 — 861 — 
Total liabilities$861 $— $861 $— 
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities, on a recurring basis at December 31, 2020:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$22,928 $— $22,928 $— 
State and political subdivisions3 — 3 — 
U.S. Treasury and other11 11 — — 
Total debt securities available for sale22,942 11 22,931 — 
Loans held for sale, at fair value:
Residential loans held for sale3,416 — 3,416 — 
Commercial loans held for sale148 — 148 — 
Total loans held for sale, at fair value3,564 — 3,564 — 
Mortgage servicing rights658 — — 658 
Derivative assets:
Interest rate contracts1,566 — 1,566 — 
Foreign exchange contracts320 — 320 — 
Commodities contracts62 — 62 — 
TBA contracts8 — 8 — 
Other contracts197 — — 197 
Total derivative assets2,153 — 1,956 197 
Equity securities, at fair value66 66 — — 
Total assets$29,383 $77 $28,451 $855 
Derivative liabilities:
Interest rate contracts$217 $— $217 $— 
Foreign exchange contracts291 — 291 — 
Commodities contracts61 — 61 — 
TBA contracts65 — 65 — 
Total derivative liabilities634 — 634 — 
Total liabilities$634 $— $634 $— 
Assets measured at fair value on recurring basis and classified as Level 3
The following tables present a roll forward of the balance sheet amounts for assets measured at fair value on a recurring basis and classified as Level 3:
Three Months Ended June 30, 2021Six Months Ended June 30, 2021
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$893 $38 $658 $197 
Issuances122 81 209 243 
Settlements (2)
(47)(97)(105)(180)
Changes in fair value during the period recognized in earnings (3)
(66)67 140 (171)
Ending balance$902 $89 $902 $89 

Three Months Ended June 30, 2020Six Months Ended June 30, 2020
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$577 $143 $642 $19 
Transfers upon election of fair value method (1)
— — 190 — 
Beginning balance, adjusted577 143 832 19 
Issuances86 234 153 405 
Settlements (2)
(46)(344)(86)(420)
Changes in fair value during the period recognized in earnings (3)
(49)140 (331)169 
Ending balance$568 $173 $568 $173 
(1) Effective January 1, 2020, the Company elected to account for all MSRs previously accounted for under the amortization method under the fair value method.
(2) Represents changes in value of the MSRs due to i) passage of time including the impact from both regularly scheduled loan principal payments and partial
paydowns, and ii) loans that paid off during the period.
(3) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.
Fair value measurement inputs and valuation techniques
The following table presents quantitative information about the Company’s Level 3 assets, including the range and weighted-average of the significant unobservable inputs used to fair value these assets, as well as valuation techniques used.
As of June 30, 2021
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
10.56-29.54% CPR (11.9% CPR)
Option adjusted spread
(1490)-1,060 bps (581 bps)
Other derivative contractsInternal ModelPull through rate
10.38-99.90% (81.66%)
MSR value
(0.21)-154.76 bps (99.01 bps)
Gains (losses) on assets and liabilities measured on a nonrecurring basis included in earnings
The following table presents losses on assets measured at fair value on a nonrecurring basis and recorded in earnings:
Three Months Ended June 30,Six Months Ended June 30,
(in millions)2021202020212020
Collateral-dependent loans $— ($22)($19)($44)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
June 30, 2021December 31, 2020
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $620 $— $620 $— $758 $— $758 $— 
Assets and liabilities measured at fair value
The following tables present the estimated fair value for financial instruments not recorded at fair value in the unaudited interim Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
June 30, 2021
TotalLevel 1Level 2Level 3
(in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$2,711 $2,790 $— $— $1,887 $1,964 $824 $826 
Other loans held for sale82 82 — — — — 82 82 
Loans and leases122,581 123,022 — — 620 620 121,961 122,402 
Other assets602 602 — — 594 594 8 8 
Financial liabilities:
Deposits150,636 150,658 — — 150,636 150,658 — — 
Short-term borrowed funds62 62 — — 62 62 — — 
Long-term borrowed funds6,957 7,307 — — 6,957 7,307 — — 
December 31, 2020
TotalLevel 1Level 2Level 3
(in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity $3,235 $3,357 $— $— $2,342 $2,464 $893 $893 
Other loans held for sale439 439 — — — — 439 439 
Loans and leases123,090 123,678 — — 758 758 122,332 122,920 
Other assets604 604 — — 596 596 8 8 
Financial liabilities:
Deposits147,164 147,223 — — 147,164 147,223 — — 
Short-term borrowed funds243 243 — — 243 243 — — 
Long-term borrowed funds8,346 8,850 — — 8,346 8,850 — —