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FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2022
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, 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$666 $656 $10 $2,657 $2,591 $66 
Commercial and industrial, and commercial real estate loans held for sale, at fair value108 127 (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 December 31, 2022:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$19,313 $— $19,313 $— 
Collateralized loan obligations1,206 — 1,206 — 
State and political subdivisions2 — 2 — 
U.S. Treasury and other3,486 3,486 — — 
Total debt securities available for sale24,007 3,486 20,521 — 
Loans held for sale, at fair value:
Residential loans held for sale666 — 666 — 
Commercial loans held for sale108 — 108 — 
Total loans held for sale, at fair value774 — 774 — 
Mortgage servicing rights1,530 — — 1,530 
Derivative assets:
Interest rate contracts347 — 347 — 
Foreign exchange contracts527 — 527 — 
Commodities contracts953 — 953 — 
TBA contracts7 — 7 — 
Other contracts5 — — 5 
Total derivative assets1,839 — 1,834 5 
Equity securities, at fair value(1)
110 110 — — 
Total assets$28,260 $3,596 $23,129 $1,535 
Derivative liabilities:
Interest rate contracts$1,632 $— $1,632 $— 
Foreign exchange contracts519 — 519 — 
Commodities contracts942 — 942 — 
TBA contracts14 — 14 — 
Other contracts4 — — 4 
Total derivative liabilities3,111 — 3,107 4 
Total liabilities$3,111 $— $3,107 $4 
(1) Excludes investments of $43 million included in other assets in the Consolidated Balance Sheets 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 $42 million at December 31, 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
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,
20222021
(in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,029 $38 $658 $197 
Issuances279 93 419 377 
Acquisitions(1)
16 — — — 
Settlements(2)
(137)154 (212)(328)
Changes in fair value during the period recognized in earnings(3)
343 (284)164 (208)
Ending balance$1,530 $1 $1,029 $38 
(1) Represents MSRs acquired as part of the Investors acquisition.
(2) For MSRs, 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. For other derivative contracts, represents the closeout of an interest rate lock commitment.
(3) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.
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, 2022
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
6.19-17.80% CPR (6.80% CPR)
Option adjusted spread
398-1,058 bps (629 bps)
Other derivative contractsInternal ModelPull through rate
28.62-99.90% (83.71%)
MSR value
(1.60)-144.84 bps (95.80 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)202220212020
Collateral-dependent loans ($4)($27)($82)
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, 2022December 31, 2021
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $582 $— $582 $— $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 Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
December 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$9,834 $9,042 $— $— $9,253 $8,506 $581 $536 
Other loans held for sale208 208 — — — — 208 208 
Loans and leases156,662 151,601 — — 582 582 156,080 151,019 
Other assets1,058 1,058 — — 1,038 1,038 20 20 
Financial liabilities:
Deposits180,724 180,566 — — 180,724 180,566 — — 
Short-term borrowed funds3 3 — — 3 3 — — 
Long-term borrowed funds15,887 15,469 — — 15,887 15,469 — — 
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 — —