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FAIR VALUE MEASUREMENTS (Tables)
 3 Months Ended
Mar. 31, 2022
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:
March 31, 2022December 31, 2021
(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$1,595 $1,610 ($15)$2,657 $2,591 $66 
Commercial and industrial, and commercial real estate loans held for sale, at fair value122 127 (5)76 79 (3)
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 March 31, 2022:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$23,899 $— $23,899 $— 
Collateralized loan obligations1,264 — 1,264 — 
State and political subdivisions2 — 2 — 
U.S. Treasury and other154 154 — — 
Total debt securities available for sale25,319 154 25,165 — 
Loans held for sale, at fair value:
Residential loans held for sale1,595 — 1,595 — 
Commercial loans held for sale122 — 122 — 
Total loans held for sale, at fair value1,717 — 1,717 — 
Mortgage servicing rights1,241 — — 1,241 
Derivative assets:
Interest rate contracts173 — 173 — 
Foreign exchange contracts378 — 378 — 
Commodities contracts1,501 — 1,501 — 
TBA contracts102 — 102 — 
Other contracts9 — — 9 
Total derivative assets2,163 — 2,154 9 
Equity securities, at fair value(1)
108 101 7 — 
Total assets$30,548 $255 $29,043 $1,250 
Derivative liabilities:
Interest rate contracts$446 $— $446 $— 
Foreign exchange contracts349 — 349 — 
Commodities contracts1,496 — 1,496 — 
TBA contracts22 — 22 — 
Other contracts30 — — 30 
Total derivative liabilities2,343 — 2,313 30 
Total liabilities$2,343 $— $2,313 $30 
(1) Excludes investments of $22 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, 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.
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 March 31, 2022
(in millions)Mortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,029 $38 
Issuances95 41 
Settlements(1)
(39)61 
Changes in fair value during the period recognized in earnings(2)
156 (161)
Ending balance$1,241 ($21)
Three Months Ended March 31, 2021
(in millions)Mortgage Servicing RightsOther Derivative Contracts
Beginning balance$658 $197 
Issuances87 162 
Settlements(1)
(58)(83)
Changes in fair value during the period recognized in earnings(2)
206 (238)
Ending balance$893 $38 
(1) 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.
(2) 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 March 31, 2022
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
7.74-22.35% CPR (8.8% CPR)
Option adjusted spread
400-1,060 bps (621 bps)
Other derivative contractsInternal ModelPull through rate
18.62-100.06% (82.66%)
MSR value
4.37-177.45 bps (100.00 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 March 31,
(in millions)20222021
Collateral-dependent loans ($2)($19)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
March 31, 2022December 31, 2021
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $600 $— $600 $— $645 $— $645 $— 
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:
March 31, 2022
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$2,056 $2,011 $— $— $1,370 $1,355 $686 $656 
Other loans held for sale99 98 — — — — 99 98 
Loans and leases131,305 129,134 — — 600 600 130,705 128,534 
Other assets611 611 — — 595 595 16 16 
Financial liabilities:
Deposits158,776 158,746 — — 158,776 158,746 — — 
Short-term borrowed funds25 25 — — 25 25 — — 
Long-term borrowed funds5,894 5,853 — — 5,894 5,853 — — 
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 — —