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FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2021
Fair Value Disclosures [Abstract]  
Summary of difference between aggregated fair value and unpaid principal balance of loans held for sale
The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:
December 31, 2021December 31, 2020
(in millions)Aggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Than Aggregate Unpaid PrincipalAggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value$2,657 $2,591 $66 $3,416 $3,260 $156 
Commercial and industrial, and commercial real estate loans held for sale, at fair value76 79 (3)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 December 31, 2021:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$24,847 $— $24,847 $— 
Collateralized loan obligations1,207 — 1,207 — 
State and political subdivisions2 — 2 — 
U.S. Treasury and other11 11 — — 
Total debt securities available for sale26,067 11 26,056 — 
Loans held for sale, at fair value:
Residential loans held for sale2,657 — 2,657 — 
Commercial loans held for sale76 — 76 — 
Total loans held for sale, at fair value2,733 — 2,733 — 
Mortgage servicing rights1,029 — — 1,029 
Derivative assets:
Interest rate contracts692 — 692 — 
Foreign exchange contracts263 — 263 — 
Commodities contracts508 — 508 — 
TBA contracts8 — 8 — 
Other contracts38 — — 38 
Total derivative assets1,509 — 1,471 38 
Equity securities, at fair value(1)
102 95 7 — 
Total assets$31,440 $106 $30,267 $1,067 
Derivative liabilities:
Interest rate contracts$176 $— $176 $— 
Foreign exchange contracts231 — 231 — 
Commodities contracts505 — 505 — 
TBA contracts8 — 8 — 
Other contracts2 — 2 — 
Total derivative liabilities922 — 922 — 
Total liabilities$922 $— $922 $— 
(1) Excludes investments of $7 million that are measured at fair value using the net asset value per share (or its equivalent) practical expedient.
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
The following table presents a roll forward of the balance sheet amounts for assets measured at fair value on a recurring basis and classified as Level 3:
For the Year Ended December 31,
20212020
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsAsset-Backed SecuritiesOther Derivative Contracts
Beginning balance$658 $197 $642 $— $19 
Transfers upon election of fair value method(1)
— — 190 — — 
Beginning balance, adjusted658 197 832 — 19 
Purchases— — — 813 — 
Issuances419 377 324 — 900 
Settlements(2)
(212)(328)(196)— (1,133)
Changes in fair value during the period recognized in earnings(3)
164 (208)(302)— 411 
Transfer from AFS to HTM(4)
— — — (813)— 
Ending balance$1,029 $38 $658 $— $197 
(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.
(4) In October 2020, Citizens concluded that it has the ability and intent to hold these assets to maturity and transferred them to HTM. Refer to Note 11 for additional information.
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 December 31, 2021
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
9.40-26.32% CPR (10.70% CPR)
Option adjusted spread
370-1,228 bps (596 bps)
Other derivative contractsInternal ModelPull through rate
9.39-100.00% (77.51%)
MSR value
(17.00)-168.75 bps (96.13 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:
Year Ended December 31,
(in millions)202120202019
Collateral-dependent loans ($27)($82)($34)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
December 31, 2021December 31, 2020
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $645 $— $645 $— $758 $— $758 $— 
Assets and liabilities measured at fair value
The following table presents the estimated fair value for financial instruments not recorded at fair value in the Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
December 31, 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$2,242 $2,289 $— $— $1,505 $1,557 $737 $732 
Other loans held for sale735 735 — — — — 735 735 
Loans and leases128,163 128,156 — — 645 645 127,518 127,511 
Other assets624 624 — — 609 609 15 15 
Financial liabilities:
Deposits154,361 154,366 — — 154,361 154,366 — — 
Short-term borrowed funds74 74 — — 74 74 — — 
Long-term borrowed funds6,932 7,188 — — 6,932 7,188 — — 
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 — —