XML 83 R60.htm IDEA: XBRL DOCUMENT v3.25.0.1
FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2024
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, 2024December 31, 2023
(dollars 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
$633 $625 $8 $614 $593 $21 
Commercial loans held for sale
192 199 (7)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 December 31, 2024:
(dollars in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$29,055 $— $29,055 $— 
Collateralized loan obligations184 — 184 — 
State and political subdivisions1 — 1 — 
U.S. Treasury and other3,525 3,525 — — 
Total debt securities available for sale32,765 3,525 29,240 — 
Loans held for sale:
Residential loans held for sale633 — 633 — 
Commercial loans held for sale192 — 192 — 
Total loans held for sale, at fair value825 — 825 — 
Mortgage servicing rights1,491 — — 1,491 
Derivative assets:
Interest rate contracts562 — 562 — 
Foreign exchange contracts472 — 472 — 
Commodities contracts429 — 429 — 
TBA contracts10 — 10 — 
Other contracts3 — — 3 
Total derivative assets1,476 — 1,473 3 
Equity securities, at fair value(1)
162 162 — — 
Short-term investments
53 40 13 — 
Total assets$36,772 $3,727 $31,551 $1,494 
Derivative liabilities:
Interest rate contracts$910 $— $910 $— 
Foreign exchange contracts411 — 411 — 
Commodities contracts379 — 379 — 
TBA contracts8 — 8 — 
Other contracts2 — — 2 
Total derivative liabilities1,710 — 1,708 2 
Short-term borrowed funds
— — — — 
Other liabilities
101 — 101 — 
Total liabilities$1,811 $— $1,809 $2 
(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 December 31, 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)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$24,732 $— $24,732 $— 
Collateralized loan obligations664 — 664 — 
State and political subdivisions1 — 1 — 
U.S. Treasury and other4,380 4,380 — — 
Total debt securities available for sale29,777 4,380 25,397 — 
Loans held for sale:
Residential loans held for sale614 — 614 — 
Commercial loans held for sale62 — 62 — 
Total loans held for sale, at fair value676 — 676 — 
Mortgage servicing rights1,552 — — 1,552 
Derivative assets:
Interest rate contracts464 — 464 — 
Foreign exchange contracts434 — 434 — 
Commodities contracts685 — 685 — 
TBA contracts3 — 3 — 
Other contracts7 — — 7 
Total derivative assets1,593 — 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 contracts378 — 378 — 
Commodities contracts640 — 640 — 
TBA contracts16 — 16 — 
Other contracts— — — — 
Total derivative liabilities2,183 — 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
The following table presents 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:
For the Year Ended December 31,
20242023
(dollars in millions)Mortgage Servicing RightsOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$1,552 $7 $1,530 $1 
Issuances106 60 127 64 
Sales(1)
(99)— — — 
Settlements(2)
(176)(41)(166)(24)
Changes in fair value during the period recognized in earnings(3)
108 (25)61 (34)
Ending balance$1,491 $1 $1,552 $7 
(1) For MSRs, represents the sale of the excess servicing yield on MSRs.
(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 interest rate lock commitments and other cash payments.
(3) 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.
The following table presents quantitative information about significant unobservable inputs utilized to measure the fair of Level 3 assets and liabilities.
As of December 31, 2024As of December 31, 2023
Financial Instrument(1)
Valuation TechniqueUnobservable InputRange (Weighted Average)Range (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
5.08-16.32% CPR (6.70% CPR)
6.70-14.55% CPR (7.23% CPR)
Option adjusted spread
398-1,058 bps (632 bps)
398-1,058 bps (630 bps)
Other derivative contractsInternal ModelPull through rate
5.09-99.90% (83.06%)
24.90-99.70% (80.34%)
MSR value
23.91-171.64 bps (121.23 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.
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,
(dollars in millions)202420232022
Collateral-dependent loans ($200)($138)($4)
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, 2024December 31, 2023
(dollars in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $979 $— $979 $— $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:
December 31, 2024
TotalLevel 1Level 2Level 3
(dollars in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$8,599 $7,540 $— $— $8,187 $7,136 $412 $404 
Loans held for sale
33 33 — — — — 33 33 
Net loans and leases
137,142 136,293 — — 979 979 136,163 135,314 
Other assets710 710 — — 689 689 21 21 
Financial liabilities:
Deposits174,776 174,651 — — 174,776 174,651 — — 
Long-term borrowed funds12,401 12,247 — — 12,401 12,247 — — 
December 31, 2023
TotalLevel 1Level 2Level 3
(dollars in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$9,184 $8,350 $— $— $8,696 $7,887 $488 $463 
Loans held for sale
103 103 — — — — 103 103 
Net loans and leases
143,861 140,504 — — 789 789 143,072 139,715 
Other assets869 869 — — 851 851 18 18 
Financial liabilities:
Deposits177,342 177,096 — — 177,342 177,096 — — 
Short-term borrowed funds505 505 — — 505 505 — — 
Long-term borrowed funds13,467 13,012 — — 13,467 13,012 — —