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FAIR VALUE MEASUREMENTS (Tables)
 9 Months Ended
Sep. 30, 2022
Fair Value Disclosures [Abstract]  
Fair value option The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:
September 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$954 $986 ($32)$2,657 $2,591 $66 
Commercial and industrial, and commercial real estate loans held for sale, at fair value94 115 (21)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 September 30, 2022:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$18,933 $— $18,933 $— 
Collateralized loan obligations1,192 — 1,192 — 
State and political subdivisions3 — 3 — 
U.S. Treasury and other3,350 3,350 — — 
Total debt securities available for sale23,478 3,350 20,128 — 
Loans held for sale, at fair value:
Residential loans held for sale954 — 954 — 
Commercial loans held for sale94 — 94 — 
Total loans held for sale, at fair value1,048 — 1,048 — 
Mortgage servicing rights1,524 — — 1,524 
Derivative assets:
Interest rate contracts385 — 385 — 
Foreign exchange contracts907 — 907 — 
Commodities contracts1,382 — 1,382 — 
TBA contracts95 — 95 — 
Other contracts2 — — 2 
Total derivative assets2,771 — 2,769 2 
Equity securities, at fair value(1)
120 120 — — 
Total assets$28,941 $3,470 $23,945 $1,526 
Derivative liabilities:
Interest rate contracts$1,830 $— $1,830 $— 
Foreign exchange contracts879 — 879 — 
Commodities contracts1,380 — 1,380 — 
TBA contracts23 — 23 — 
Other contracts35 — — 35 
Total derivative liabilities4,147 — 4,112 35 
Total liabilities$4,147 $— $4,112 $35 
(1) Excludes investments of $31 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 $31 million at September 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 September 30, 2022Nine Months Ended September 30, 2022
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,411 $11 $1,029 $38 
Issuances70 20 244 84 
Acquisitions(1)
— — 16 — 
Settlements(2)
(31)2 (102)134 
Changes in fair value during the period recognized in earnings(3)
74 (66)337 (289)
Ending balance$1,524 ($33)$1,524 ($33)
Three Months Ended September 30, 2021Nine Months Ended September 30, 2021
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$902 $89 $658 $197 
Issuances109 81 318 323 
Settlements(2)
(54)(104)(159)(283)
Changes in fair value during the period recognized in earnings(3)
21 (13)161 (184)
Ending balance$978 $53 $978 $53 
(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 September 30, 2022
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
6.13-11.59% CPR (6.8% CPR)
Option adjusted spread
398-1,058 bps (627 bps)
Other derivative contractsInternal ModelPull through rate
38.70-99.90% (84.73%)
MSR value
10.82-148.00 bps (98.35 bps)
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 September 30,Nine Months Ended September 30,
(in millions)2022202120222021
Collateral-dependent loans $— ($4)($3)($23)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
September 30, 2022December 31, 2021
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $555 $— $555 $— $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:
September 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$10,071 $9,373 $— $— $9,457 $8,804 $614 $569 
Other loans held for sale914 909 — — — — 914 909 
Loans and leases156,140 150,566 — — 555 555 155,585 150,011 
Other assets1,113 1,113 — — 1,098 1,098 15 15 
Financial liabilities:
Deposits178,566 178,417 — — 178,566 178,417 — — 
Short-term borrowed funds263 263 — — 263 263 — — 
Long-term borrowed funds16,286 15,786 — — 16,286 15,786 — — 
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 — —