XML 54 R41.htm IDEA: XBRL DOCUMENT v3.22.2
FAIR VALUE MEASUREMENTS (Tables)
 6 Months Ended
Jun. 30, 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:
June 30, 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$1,278 $1,266 $12 $2,657 $2,591 $66 
Commercial and industrial, and commercial real estate loans held for sale, at fair value99 118 (19)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 June 30, 2022:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$20,350 $— $20,350 $— 
Collateralized loan obligations1,200 — 1,200 — 
State and political subdivisions3 — 3 — 
U.S. Treasury and other3,408 3,408 — — 
Total debt securities available for sale24,961 3,408 21,553 — 
Loans held for sale, at fair value:
Residential loans held for sale1,278 — 1,278 — 
Commercial loans held for sale99 — 99 — 
Total loans held for sale, at fair value1,377 — 1,377 — 
Mortgage servicing rights1,411 — — 1,411 
Derivative assets:
Interest rate contracts179 — 179 — 
Foreign exchange contracts523 — 523 — 
Commodities contracts1,630 — 1,630 — 
TBA contracts21 — 21 — 
Other contracts18 — — 18 
Total derivative assets2,371 — 2,353 18 
Equity securities, at fair value(1)
114 108 6 — 
Total assets$30,234 $3,516 $25,289 $1,429 
Derivative liabilities:
Interest rate contracts$858 $— $858 $— 
Foreign exchange contracts494 — 494 — 
Commodities contracts1,621 — 1,621 — 
TBA contracts19 — 19 — 
Other contracts11 — 4 7 
Total derivative liabilities3,003 — 2,996 7 
Total liabilities$3,003 $— $2,996 $7 
(1) Excludes investments of $24 million that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These nonredeemable investments include capital contributions to private investment funds and have unfunded capital commitments of $24 million at June 30, 2022, which may be called at any time during prescribed time periods. The credit exposure is generally limited to the carrying amount of investments made and unfunded capital commitments.
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 June 30, 2022Six Months Ended June 30, 2022
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,241 ($21)$1,029 $38 
Issuances79 23 174 64 
Acquisitions(1)
16 — 16 — 
Settlements(2)
(32)71 (71)132 
Changes in fair value during the period recognized in earnings(3)
107 (62)263 (223)
Ending balance$1,411 $11 $1,411 $11 
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 
(1) Represents MSRs acquired as part of the Investors acquisition.
(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, 2022
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
6.59-20.34% CPR (7.6% CPR)
Option adjusted spread
398-1,058 bps (615 bps)
Other derivative contractsInternal ModelPull through rate
23.72-99.90% (82.39%)
MSR value
2.56-144.00 bps (94.43 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)2022202120222021
Collateral-dependent loans ($1)$— ($3)($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:
June 30, 2022December 31, 2021
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $579 $— $579 $— $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:
June 30, 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$9,567 $9,361 $— $— $8,921 $8,747 $646 $614 
Other loans held for sale2,078 2,058 — — — — 2,078 2,058 
Loans and leases156,172 152,496 — — 579 579 155,593 151,917 
Other assets1,162 1,162 — — 1,146 1,146 16 16 
Financial liabilities:
Deposits178,925 178,807 — — 178,925 178,807 — — 
Short-term borrowed funds3,763 3,763 — — 3,763 3,763 — — 
Long-term borrowed funds14,440 14,299 — — 14,440 14,299 — — 
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 — —