XML 48 R36.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2024

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, 2024			December 31, 2023
(dollars in millions)	Aggregate Fair Value	Aggregate Unpaid Principal	Aggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal	Aggregate Fair Value	Aggregate Unpaid Principal	Aggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value	$573	$558	$15	$614	$593	$21
Commercial and industrial, and commercial real estate loans held for sale, at fair value	41	47	(6)	62	69	(7)

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, 2024:


(dollars in millions)	Total	Level 1	Level 2	Level 3
Debt securities available for sale:
Mortgage-backed securities	$27,911	$—	$27,911	$—

Collateralized loan obligations	234	—	234	—
State and political subdivisions	1	—	1	—
U.S. Treasury and other	4,689	4,689	—	—
Total debt securities available for sale	32,835	4,689	28,146	—
Loans held for sale, at fair value:
Residential loans held for sale	573	—	573	—
Commercial loans held for sale	41	—	41	—
Total loans held for sale, at fair value	614	—	614	—
Mortgage servicing rights	1,501	—	—	1,501
Derivative assets:
Interest rate contracts	665	—	665	—
Foreign exchange contracts	371	—	371	—
Commodities contracts	536	—	536	—
TBA contracts	3	—	3	—
Other contracts	6	—	—	6
Total derivative assets	1,581	—	1,575	6
Equity securities, at fair value(1)	145	145	—	—
Short-term investments	69	40	29	—
Total assets	$36,745	$4,874	$30,364	$1,507
Derivative liabilities:
Interest rate contracts	$740	$—	$740	$—
Foreign exchange contracts	306	—	306	—
Commodities contracts	476	—	476	—
TBA contracts	12	—	12	—
Other contracts	9	—	—	9
Total derivative liabilities	1,543	—	1,534	9
Short-term borrowed funds	15	—	15	—
Total liabilities	$1,558	$—	$1,549	$9

(1) Excludes investments of $58 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 investments include capital contributions to private investment funds and have unfunded capital commitments of $24 million at September 30, 2024, 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, 2023:


(dollars in millions)	Total	Level 1	Level 2	Level 3
Debt securities available for sale:
Mortgage-backed securities	$24,732	$—	$24,732	$—
Collateralized loan obligations	664	—	664	—
State and political subdivisions	1	—	1	—
U.S. Treasury and other	4,380	4,380	—	—
Total debt securities available for sale	29,777	4,380	25,397	—
Loans held for sale, at fair value:
Residential loans held for sale	614	—	614	—
Commercial loans held for sale	62	—	62	—
Total loans held for sale, at fair value	676	—	676	—
Mortgage servicing rights	1,552	—	—	1,552
Derivative assets:
Interest rate contracts	464	—	464	—
Foreign exchange contracts	434	—	434	—
Commodities contracts	685	—	685	—
TBA contracts	3	—	3	—
Other contracts	7	—	—	7
Total derivative assets	1,593	—	1,586	7
Equity securities, at fair value(1)	115	115	—	—

Total assets	$33,713	$4,495	$27,659	$1,559
Derivative liabilities:
Interest rate contracts	$1,149	$—	$1,149	$—
Foreign exchange contracts	378	—	378	—
Commodities contracts	640	—	640	—
TBA contracts	16	—	16	—
Other contracts	—	—	—	—
Total derivative liabilities	2,183	—	2,183	—

Total liabilities	$2,183	$—	$2,183	$—

(1) Excludes investments of $58 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 investments include capital contributions to private investment funds and have unfunded capital commitments of $28 million at December 31, 2023, 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.

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 and liabilities measured at fair value on a recurring basis and classified as Level 3:


	Three Months Ended September 30, 2024		Nine Months Ended September 30, 2024
(dollars in millions)	Mortgage Servicing Rights	Other Derivative Contracts	Mortgage Servicing Rights	Other Derivative Contracts
Beginning balance	$1,568	$6	$1,552	$7
Issuances	28	18	71	47

Settlements(1)	(46)	(27)	(135)	(50)
Changes in fair value during the period recognized in earnings(2)	(49)	—	13	(7)
Ending balance	$1,501	($3)	$1,501	($3)


	Three Months Ended September 30, 2023		Nine Months Ended September 30, 2023
(dollars in millions)	Mortgage Servicing Rights	Other Derivative Contracts	Mortgage Servicing Rights	Other Derivative Contracts
Beginning balance	$1,524	$6	$1,530	$1



Issuances	47	17	104	52

Settlements(1)	(42)	1	(124)	(11)
Changes in fair value during the period recognized in earnings(2)	91	(21)	110	(39)
Ending balance	$1,620	$3	$1,620	$3

(1) 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 interest rate lock commitments.

(2) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees and other income in the Consolidated Statements of Operations.

Fair value measurement inputs and valuation techniques

The following table presents quantitative information about significant unobservable inputs utilized to measure the fair value of Level 3 assets and liabilities.

As of September 30, 2024

As of December 31, 2023

Financial Instrument(1)

Valuation Technique

Unobservable Input

Range (Weighted Average)

Mortgage servicing rights

Discounted Cash Flow

Constant prepayment rate

6.81-18.55% CPR (8.30% CPR)

6.70-14.55% CPR (7.23% CPR)

Option adjusted spread

398-1,058 bps (634 bps)

398-1,058 bps (630 bps)

Other derivative contracts

Internal Model

Pull through rate

9.42-99.91% (81.65%)

24.90-99.70% (80.34%)

MSR value

(17.99)-162.51 bps (105.41 bps)

(8.90)-141.24 bps (88.04 bps)

(1) Disclosures related to the fair value measurement of financial instruments deemed immaterial are not included.

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,
(dollars in millions)	2024	2023	2024	2023
Collateral-dependent loans	($36)	($40)	($156)	($108)

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, 2024				December 31, 2023
(dollars in millions)	Total	Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3
Collateral-dependent loans	$1,136	$—	$1,136	$—	$789	$—	$789	$—

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:


	September 30, 2024
	Total		Level 1		Level 2		Level 3
(dollars in millions)	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value
Financial assets:
Debt securities held to maturity	$8,738	$8,067	$—	$—	$8,308	$7,645	$430	$422
Other loans held for sale	49	49	—	—	—	—	49	49
Net loans and leases	139,553	139,662	—	—	1,136	1,136	138,417	138,526
Other assets	732	732	—	—	710	710	22	22
Financial liabilities:
Deposits	175,188	175,061	—	—	175,188	175,061	—	—

Long-term borrowed funds	13,944	13,977	—	—	13,944	13,977	—	—


	December 31, 2023
	Total		Level 1		Level 2		Level 3
(dollars in millions)	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value	Carrying Value	Estimated Fair Value
Financial assets:
Debt securities held to maturity	$9,184	$8,350	$—	$—	$8,696	$7,887	$488	$463
Other loans held for sale	103	103	—	—	—	—	103	103
Net loans and leases	143,861	140,504	—	—	789	789	143,072	139,715
Other assets	869	869	—	—	851	851	18	18
Financial liabilities:
Deposits	177,342	177,096	—	—	177,342	177,096	—	—
Short-term borrowed funds	505	505	—	—	505	505	—	—
Long-term borrowed funds	13,467	13,012	—	—	13,467	13,012	—	—

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

+ References + Details