XML 50 R38.htm IDEA: XBRL DOCUMENT

FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2025

The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:


	March 31, 2025			December 31, 2024
(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	$922	$894	$28	$633	$625	$8
Commercial loans held for sale	215	226	(11)	192	199	(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 March 31, 2025:


(dollars in millions)	Total	Level 1	Level 2	Level 3
Debt securities available for sale:
Mortgage-backed securities	$30,014	$—	$30,014	$—

Collateralized loan obligations	124	—	124	—
State and political subdivisions	1	—	1	—
U.S. Treasury and other	4,069	4,069	—	—
Total debt securities available for sale	34,208	4,069	30,139	—
Loans held for sale:
Residential loans held for sale	922	—	922	—
Commercial loans held for sale	215	—	215	—
Total loans held for sale, at fair value	1,137	—	1,137	—
Mortgage servicing rights	1,397	—	—	1,397
Derivative assets:
Interest rate contracts	459	—	459	—
Foreign exchange contracts	318	—	318	—
Commodities contracts	689	—	689	—
TBA contracts	2	—	2	—
Other contracts	9	—	1	8
Total derivative assets	1,477	—	1,469	8
Equity securities, at fair value(1)	178	178	—	—
Short-term investments	55	20	35	—
Total assets	$38,452	$4,267	$32,780	$1,405
Derivative liabilities:
Interest rate contracts	$684	$—	$684	$—
Foreign exchange contracts	326	—	326	—
Commodities contracts	634	—	634	—
TBA contracts	10	—	10	—
Other contracts	3	—	—	3
Total derivative liabilities	1,657	—	1,654	3
Short-term borrowed funds	47	39	8	—
Other liabilities	106	—	106	—
Total liabilities	$1,810	$39	$1,768	$3

(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 $23 million at March 31, 2025, 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, 2024:


(dollars in millions)	Total	Level 1	Level 2	Level 3
Debt securities available for sale:
Mortgage-backed securities	$29,055	$—	$29,055	$—
Collateralized loan obligations	184	—	184	—
State and political subdivisions	1	—	1	—
U.S. Treasury and other	3,525	3,525	—	—
Total debt securities available for sale	32,765	3,525	29,240	—
Loans held for sale:
Residential loans held for sale	633	—	633	—
Commercial loans held for sale	192	—	192	—
Total loans held for sale, at fair value	825	—	825	—
Mortgage servicing rights	1,491	—	—	1,491
Derivative assets:
Interest rate contracts	562	—	562	—
Foreign exchange contracts	472	—	472	—
Commodities contracts	429	—	429	—
TBA contracts	10	—	10	—
Other contracts	3	—	—	3
Total derivative assets	1,476	—	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 contracts	411	—	411	—
Commodities contracts	379	—	379	—
TBA contracts	8	—	8	—
Other contracts	2	—	—	2
Total derivative liabilities	1,710	—	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.

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 March 31, 2025
(dollars in millions)		Mortgage Servicing Rights	Other Derivative Contracts
Beginning balance		$1,491	$1
Issuances		27	16

Sales(1)		(72)	—
Settlements(2)		(39)	(16)
Changes in fair value during the period recognized in earnings(3)		(10)	4
Ending balance		$1,397	$5


	Three Months Ended March 31, 2024
(dollars in millions)	Mortgage Servicing Rights	Other Derivative Contracts
Beginning balance	$1,552	$7



Issuances	18	13


Settlements(2)	(46)	(10)
Changes in fair value during the period recognized in earnings(3)	40	(2)
Ending balance	$1,564	$8

(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.

(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.

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 March 31, 2025

As of December 31, 2024

Financial Instrument(1)

Valuation Technique

Unobservable Input

Range (Weighted Average)

Mortgage servicing rights

Discounted Cash Flow

Constant prepayment rate

5.65-16.12% CPR (7.10% CPR)

5.08-16.32% CPR (6.70% CPR)

Option adjusted spread

398-1,058 bps (628 bps)

398-1,058 bps (632 bps)

Other derivative contracts

Internal Model

Pull through rate

6.67-99.93% (82.98%)

5.09-99.90% (83.06%)

MSR value

31.71-163.78 bps (117.97 bps)

23.91-171.64 bps (121.23 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 March 31,
(dollars in millions)	2025	2024
Collateral-dependent loans	($59)	($56)

Fair value of assets and liabilities measured on a nonrecurring basis

The following table presents assets measured at fair value on a nonrecurring basis:


	March 31, 2025				December 31, 2024
(dollars in millions)	Total	Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3
Collateral-dependent loans	$910	$—	$910	$—	$979	$—	$979	$—

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:


	March 31, 2025
	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	$8,469	$7,515	$—	$—	$8,077	$7,129	$392	$386
Loans held for sale	1,683	1,683	—	—	—	—	1,683	1,683
Net loans and leases	135,621	134,844	—	—	910	910	134,711	133,934
Other assets	711	711	—	—	689	689	22	22
Financial liabilities:
Deposits	177,576	177,508	—	—	177,576	177,508	—	—

Long-term borrowed funds	12,267	12,222	—	—	12,267	12,222	—	—


	December 31, 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	$8,599	$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 assets	710	710	—	—	689	689	21	21
Financial liabilities:
Deposits	174,776	174,651	—	—	174,776	174,651	—	—

Long-term borrowed funds	12,401	12,247	—	—	12,401	12,247	—	—

- 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