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Fair Value (Tables) | 9 Months Ended
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Sep. 30, 2023
Fair Value [Abstract] |
Fair Value Measurements - Recurring Basis Summary | The following table summarizes our assets and liabilities measured at fair value on a recurring basis, including instruments for which we have elected the fair value option. Table 66: Fair Value Measurements – Recurring Basis Summary
| September 30, 2023 |  |  | December 31, 2022 |
In millions | Level 1 |  | Level 2 |  | Level 3 |  | Total Fair Value |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Total Fair Value |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale |  |  | $ | 432 |  |  | $ | 97 |  |  | $ | 529 |  |  |  |  |  | $ | 411 |  |  | $ | 243 |  |  | $ | 654 |  |
Commercial mortgage loans held for sale |  |  | 354 |  |  | 25 |  |  | 379 |  |  |  |  |  | 243 |  |  | 33 |  |  | 276 |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies | $ | 6,320 |  |  | 397 |  |  |  |  | 6,717 |  |  |  | $ | 8,108 |  |  | 262 |  |  |  |  | 8,370 |  |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 26,899 |  |  |  |  | 26,899 |  |  |  |  |  | 28,823 |  |  |  |  | 28,823 |  |
Non-agency |  |  |  |  | 713 |  |  | 713 |  |  |  |  |  |  |  |  | 819 |  |  | 819 |  |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 1,544 |  |  |  |  | 1,544 |  |  |  |  |  | 1,675 |  |  |  |  | 1,675 |  |
Non-agency |  |  | 828 |  |  | 95 |  |  | 923 |  |  |  |  |  | 1,253 |  |  | 3 |  | 1,256 |  |
Asset-backed |  |  | 992 |  |  | 103 |  |  | 1,095 |  |  |  |  |  | 5 |  |  | 124 |  |  | 129 |  |
Other |  |  | 2,643 |  |  | 56 |  |  | 2,699 |  |  |  |  |  | 3,032 |  |  | 55 |  |  | 3,087 |  |
Total securities available for sale | 6,320 |  |  | 33,303 |  |  | 967 |  |  | 40,590 |  |  |  | 8,108 |  |  | 35,050 |  |  | 1,001 |  |  | 44,159 |  |
Loans |  |  | 506 |  |  | 738 |  |  | 1,244 |  |  |  |  |  | 541 |  |  | 769 |  |  | 1,310 |  |
Equity investments (a) | 696 |  |  |  |  | 1,729 |  |  | 2,618 |  |  |  | 1,173 |  |  |  |  | 1,778 |  |  | 3,147 |  |
Residential mortgage servicing rights |  |  |  |  | 2,837 |  |  | 2,837 |  |  |  |  |  |  |  | 2,310 |  |  | 2,310 |  |
Commercial mortgage servicing rights |  |  |  |  | 1,169 |  |  | 1,169 |  |  |  |  |  |  |  | 1,113 |  |  | 1,113 |  |
Trading securities (b) | 464 |  |  | 2,002 |  |  |  |  | 2,466 |  |  |  | 798 |  |  | 1,168 |  |  |  |  | 1,966 |  |
Financial derivatives (b) (c) | 11 |  |  | 3,821 |  |  | 6 |  |  | 3,838 |  |  |  | 16 |  | 3,747 |  |  | 5 |  |  | 3,768 |  |
Other assets | 376 |  |  | 67 |  |  | 5 |  |  | 448 |  |  |  | 352 |  |  | 80 |  |  |  |  | 432 |  |
Total assets (d) | $ | 7,867 |  |  | $ | 40,485 |  |  | $ | 7,573 |  |  | $ | 56,118 |  |  |  | $ | 10,447 |  |  | $ | 41,240 |  |  | $ | 7,252 |  |  | $ | 59,135 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 954 |  |  | $ | 81 |  |  | $ | 7 |  |  | $ | 1,042 |  |  |  | $ | 1,230 |  |  | $ | 232 |  |  | $ | 4 |  |  | $ | 1,466 |  |
Financial derivatives (c) (e) | 14 |  |  | 8,098 |  |  | 108 |  |  | 8,220 |  |  |  | 4 |  |  | 7,491 |  |  | 123 |  |  | 7,618 |  |
Other liabilities |  |  |  |  | 250 |  |  | 250 |  |  |  |  |  |  |  | 294 |  |  | 294 |  |
Total liabilities (f) | $ | 968 |  |  | $ | 8,179 |  |  | $ | 365 |  |  | $ | 9,512 |  |  |  | $ | 1,234 |  |  | $ | 7,723 |  |  | $ | 421 |  |  | $ | 9,378 |  |
(a)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. (b)Included in Other assets on the Consolidated Balance Sheet. (c)Amounts at September 30, 2023 and December 31, 2022 are presented gross and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See Note 12 Financial Derivatives for additional information related to derivative offsetting. (d)Total assets at fair value as a percentage of total consolidated assets was 10% and 11% as of September 30, 2023 and December 31, 2022, respectively. Level 3 assets as a percentage of total assets at fair value was 13% and 12% at September 30, 2023 and December 31, 2022, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both September 30, 2023 and December 31, 2022. (e)Included in Other liabilities on the Consolidated Balance Sheet. (f)Total liabilities at fair value as a percentage of total consolidated liabilities was 2% at both September 30, 2023 and December 31, 2022. Level 3 liabilities as a percentage of total liabilities at fair value was 4% at both September 30, 2023 and December 31, 2022. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both September 30, 2023 and December 31, 2022.
Reconciliation of Level 3 Assets and Liabilities | Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2023 and 2022 are as follows: Table 67: Reconciliation of Level 3 Assets and Liabilities Three Months Ended September 30, 2023
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  |  |  | Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at Sept. 30, 2023 (a) (c)
Level 3 Instruments Only In millions | Fair Value June 30, 2023 | Included in Earnings | Included in Other comprehensive income (b) | Purchases | Sales | Issuances | Settlements | Transfers into Level 3 |  | Transfers out of Level 3 |  |  | Fair Value Sept. 30, 2023
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 191 |  | $ | (3) |  |  |  |  | $ | 3 |  | $ | (89) |  |  |  | $ | (2) |  | $ | 1 |  |  | $ | (4) |  | (e) |  | $ | 97 |  | $ | (4) |  |
Commercial mortgage loans held for sale | 25 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 25 |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 768 |  | 5 |  |  | $ | (20) |  |  |  |  |  |  |  | (40) |  |  |  |  |  |  |  | 713 |  |  |
Commercial mortgage- backed non-agency | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 92 |  |  |  |  |  | 95 |  |  |
Asset-backed | 117 |  |  |  |  | (3) |  |  |  |  |  |  |  | (11) |  |  |  |  |  |  |  | 103 |  |  |
Other | 54 |  | (1) |  |  | 1 |  | 3 |  |  |  |  |  | (1) |  |  |  |  |  |  |  | 56 |  |  |
Total securities available for sale | 942 |  | 4 |  |  | (22) |  | 3 |  |  |  | (52) |  | 92 |  |  |  |  |  | 967 |  |  |
Loans | 745 |  | 5 |  |  |  |  | 19 |  |  |  |  |  | (27) |  | 2 |  |  | (6) |  | (e) |  | 738 |  | 5 |  |
Equity investments | 1,623 |  | (9) |  |  |  |  | 212 |  | (97) |  |  |  |  |  |  |  |  |  |  |  |  | 1,729 |  | (16) |  |
Residential mortgage servicing rights | 2,349 |  | 215 |  |  |  |  | 329 |  |  |  | $ | 7 |  | (63) |  |  |  |  |  |  |  | 2,837 |  | 215 |  |
Commercial mortgage servicing rights | 1,106 |  | 130 |  |  |  |  | 10 |  |  |  | 6 |  | (83) |  |  |  |  |  |  |  | 1,169 |  | 130 |  |
Financial derivatives | 6 |  | 6 |  |  |  |  |  |  |  |  |  |  | (6) |  |  |  |  |  |  |  | 6 |  | 7 |  |
Other assets |  |  |  |  |  | 1 |  |  |  |  | 4 |  |  |  |  |  | 5 |  |  |
Total assets | $ | 6,987 |  | $ | 348 |  |  | $ | (22) |  | $ | 577 |  | $ | (186) |  | $ | 13 |  | $ | (233) |  | $ | 99 |  |  | $ | (10) |  |  |  | $ | 7,573 |  | $ | 337 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 5 |  |  |  |  |  |  | $ | 3 |  | $ | (1) |  |  |  |  |  |  | $ | 7 |  |  |
Financial derivatives | 140 |  | $ | 50 |  |  |  |  | $ | 2 |  |  |  | (84) |  |  |  |  |  |  | 108 |  | $ | 51 |  |
Other liabilities | 239 |  | 6 |  |  |  |  |  |  |  | 329 |  | (324) |  |  |  |  |  |  | 250 |  |  |  |
Total liabilities | $ | 384 |  | $ | 56 |  |  |  |  |  | $ | 2 |  | $ | 332 |  | $ | (409) |  |  |  |  |  |  | $ | 365 |  | $ | 51 |  |
Net gains (losses) |  | $ | 292 |  | (f) |  |  |  |  |  |  |  |  |  |  |  | $ | 286 |  | (g)
(Continued from previous page) Three Months Ended September 30, 2022
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  | Unrealized gains/losses for the period on assets and liabilities held on Consolidated Balance Sheet at Sept. 30, 2022 (a) (c)
Level 3 Instruments Only In millions | Fair Value June 30, 2022 | Included in Earnings | Included in Other comprehensive income (b) | Purchases | Sales | Issuances | Settlements | Transfers into Level 3 | Transfers out of Level 3 |  | Fair Value Sept. 30, 2022
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 83 |  | $ | (4) |  |  |  | $ | 46 |  | $ | (1) |  |  | $ | (2) |  | $ | 8 |  | $ | (14) |  | (e) | $ | 116 |  | $ | (4) |  |
Commercial mortgage loans held for sale | 38 |  |  |  |  |  |  |  |  | (3) |  |  |  |  | 35 |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 925 |  | 4 |  |  | $ | (18) |  |  |  |  | (40) |  |  |  |  | 871 |  |  |
Commercial mortgage-backed non-agency | 3 |  |  |  |  |  |  |  |  |  |  |  |  | 3 |  |  |
Asset-backed | 138 |  |  |  |  | (5) |  |  |  |  | (6) |  |  |  |  | 127 |  |  |
Other | 67 |  |  |  | 2 |  |  |  |  |  |  |  |  |  |  |  | 69 |  |  |
Total securities available for sale | 1,133 |  | 4 |  |  | (21) |  |  |  |  |  |  | (46) |  |  |  |  | 1,070 |  |  |
Loans | 804 |  | (1) |  |  |  | 11 |  | (2) |  |  | (35) |  |  | (2) |  | (e) | 775 |  |  |  |
Equity investments | 1,867 |  | 167 |  |  |  | 69 |  | (308) |  |  |  |  |  |  | 1,795 |  | 65 |  |
Residential mortgage servicing rights | 1,620 |  | 135 |  |  |  | 363 |  |  | $ | 11 |  | (55) |  |  |  |  | 2,074 |  | 135 |  |
Commercial mortgage servicing rights | 988 |  | 176 |  |  |  | 7 |  |  | 17 |  | (56) |  |  |  |  | 1,132 |  | 176 |  |
Financial derivatives | 13 |  | 4 |  |  |  | 1 |  |  |  | (10) |  |  |  |  | 8 |  | 7 |  |
Total assets | $ | 6,546 |  | $ | 481 |  |  | $ | (21) |  | $ | 497 |  | $ | (311) |  | $ | 28 |  | $ | (207) |  | $ | 8 |  | $ | (16) |  |  | $ | 7,005 |  | $ | 379 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 3 |  |  |  |  |  |  |  |  | $ | (1) |  |  |  |  | $ | 2 |  |  |
Financial derivatives | 213 |  | $ | (11) |  |  |  |  | $ | 4 |  |  | (86) |  |  |  |  | 120 |  | $ | (7) |  |
Other liabilities | 182 |  | 26 |  |  |  | $ | 32 |  |  | $ | 362 |  | (333) |  |  |  |  | 269 |  | 24 |  |
Total liabilities | $ | 398 |  | $ | 15 |  |  |  | $ | 32 |  | $ | 4 |  | $ | 362 |  | $ | (420) |  |  |  |  | $ | 391 |  | $ | 17 |  |
Net gains (losses) |  | $ | 466 |  | (f) |  |  |  |  |  |  |  |  |  | $ | 362 |  | (g)
(Continued from previous page) Nine Months Ended September 30, 2023
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  | Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at Sept. 30, 2023 (a) (c)
Level 3 Instruments Only In millions | Fair Value Dec. 31, 2022 | Included in Earnings | Included in Other comprehensive income (b) | Purchases | Sales | Issuances | Settlements | Transfers into Level 3 | Transfers out of Level 3 |  | Fair Value Sept. 30, 2023
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 243 |  | $ | (3) |  |  |  | $ | 12 |  | $ | (131) |  |  | $ | (9) |  | $ | 4 |  | $ | (19) |  | (e) | $ | 97 |  | $ | (3) |  |
Commercial mortgage loans held for sale | 33 |  |  |  |  |  |  |  |  | (8) |  |  |  |  | 25 |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 819 |  | 13 |  |  | $ | (16) |  |  |  |  | (103) |  |  |  |  | 713 |  |  |
Commercial mortgage- backed non-agency | 3 |  |  |  |  |  |  |  |  | 92 |  |  |  | 95 |  |  |
Asset-backed | 124 |  | 1 |  |  | (3) |  |  |  |  | (19) |  |  |  |  | 103 |  |  |
Other | 55 |  | (1) |  |  | (3) |  | 6 |  |  |  | (4) |  | 3 |  |  |  | 56 |  |  |
Total securities available for sale | 1,001 |  | 13 |  |  | (22) |  | 6 |  |  |  | (126) |  | 95 |  |  |  | 967 |  |  |
Loans | 769 |  | 11 |  |  |  | 39 |  | (1) |  |  | (77) |  | 17 |  | (20) |  | (e) | 738 |  | 11 |  |
Equity investments | 1,778 |  | 136 |  |  |  | 444 |  | (495) |  |  |  |  | (134) |  | (d) | 1,729 |  | 103 |  |
Residential mortgage servicing rights | 2,310 |  | 248 |  |  |  | 438 |  |  | $ | 17 |  | (176) |  |  |  |  | 2,837 |  | 248 |  |
Commercial mortgage servicing rights | 1,113 |  | 238 |  |  |  | 27 |  |  | 38 |  | (247) |  |  |  |  | 1,169 |  | 238 |  |
Financial derivatives | 5 |  | 13 |  |  |  | 3 |  |  |  | (15) |  |  |  |  | 6 |  | 16 |  |
Other assets |  |  |  |  | 1 |  |  |  |  | 4 |  |  |  | 5 |  |  |
Total assets | $ | 7,252 |  | $ | 656 |  |  | $ | (22) |  | $ | 970 |  | $ | (627) |  | $ | 55 |  | $ | (658) |  | $ | 120 |  | $ | (173) |  |  | 7,573 |  | $ | 613 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 4 |  |  |  |  |  |  | $ | 9 |  | $ | (6) |  |  |  |  | $ | 7 |  |  |
Financial derivatives | 123 |  | $ | 168 |  |  |  |  | $ | 5 |  |  | (188) |  |  |  |  | 108 |  | $ | 173 |  |
Other liabilities | 294 |  | 61 |  |  |  |  |  |  | 436 |  | (541) |  |  |  |  | 250 |  | 41 |  |
Total liabilities | $ | 421 |  | $ | 229 |  |  |  |  |  | $ | 5 |  | $ | 445 |  | $ | (735) |  |  |  |  | $ | 365 |  | $ | 214 |  |
Net gains (losses) |  | $ | 427 |  | (f) |  |  |  |  |  |  |  |  |  | $ | 399 |  | (g)
(Continued from previous page) Nine Months Ended September 30, 2022
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  |  | Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at Sept. 30, 2022 (a) (c)
Level 3 Instruments Only In millions | Fair Value Dec. 31, 2021 | Included in Earnings | Included in Other comprehensive income (b) | Purchases | Sales | Issuances | Settlements | Transfers into Level 3 | Transfers out of Level 3 |  |  | Fair Value Sept. 30, 2022
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 81 |  | $ | (6) |  |  |  | $ | 91 |  | $ | (33) |  |  | $ | (11) |  | $ | 22 |  | $ | (28) |  | (e) |  | $ | 116 |  | $ | (6) |  |
Commercial mortgage loans held for sale | 49 |  | (4) |  |  |  |  |  |  |  | (10) |  |  |  |  |  | 35 |  | (4) |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 1,097 |  | 19 |  |  | $ | (84) |  |  |  |  | (161) |  |  |  |  |  | 871 |  |  |
Commercial mortgage- backed non-agency | 3 |  |  |  |  |  |  |  |  |  |  |  |  |  | 3 |  |  |
Asset-backed | 163 |  | 1 |  |  | (18) |  |  |  |  | (19) |  |  |  |  |  | 127 |  |  |
Other | 69 |  |  |  |  |  | 3 |  |  |  |  | (3) |  |  |  |  |  | 69 |  |  |
Total securities available for sale | 1,332 |  | 20 |  |  | (102) |  | 3 |  |  |  |  | (183) |  |  |  |  |  | 1,070 |  |  |
Loans | 884 |  | 20 |  |  |  | 31 |  | (10) |  |  | (132) |  |  | (18) |  | (e) |  | 775 |  | 20 |  |
Equity investments | 1,680 |  | 312 |  |  |  | 185 |  | (382) |  |  |  |  |  |  |  | 1,795 |  | 211 |  |
Residential mortgage servicing rights | 1,078 |  | 505 |  |  |  | 620 |  |  | $ | 49 |  | (178) |  |  |  |  |  | 2,074 |  | 506 |  |
Commercial mortgage servicing rights | 740 |  | 438 |  |  |  | 32 |  |  | 52 |  | (130) |  |  |  |  |  | 1,132 |  | 438 |  |
Financial derivatives | 38 |  | (2) |  |  |  | 4 |  |  |  | (32) |  |  |  |  |  | 8 |  | 18 |  |
Total assets | $ | 5,882 |  | $ | 1,283 |  |  | $ | (102) |  | $ | 966 |  | $ | (425) |  | $ | 101 |  | $ | (676) |  | $ | 22 |  | $ | (46) |  |  |  | $ | 7,005 |  | $ | 1,183 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 3 |  |  |  |  |  |  | $ | 4 |  | $ | (5) |  |  |  |  |  | $ | 2 |  |  |
Financial derivatives | 285 |  | $ | 12 |  |  |  |  | $ | 10 |  |  | (187) |  |  |  |  |  | 120 |  | $ | 22 |  |
Other liabilities | 175 |  | 47 |  |  |  | $ | 32 |  |  | 604 |  | (589) |  |  |  |  |  | 269 |  | 39 |  |
Total liabilities | $ | 463 |  | $ | 59 |  |  |  | $ | 32 |  | $ | 10 |  | $ | 608 |  | $ | (781) |  |  |  |  |  | $ | 391 |  | $ | 61 |  |
Net gains (losses) |  | $ | 1,224 |  | (f) |  |  |  |  |  |  |  |  |  |  | $ | 1,122 |  | (g)
(a)Losses for assets are bracketed while losses for liabilities are not. (b)The difference in unrealized gains and losses for the period included in Other comprehensive income and changes in unrealized gains and losses for the period included in Other comprehensive income for securities available for sale held at the end of the reporting period were insignificant. (c)The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period. (d)Transfers out of Level 3 during the current period were due to valuation methodology changes for certain private company investments. See Note 1 Accounting Policies in our 2022 Form 10-K for more information on our accounting for private company investments. (e)Residential mortgage loan transfers out of Level 3 are primarily driven by residential mortgage loans transferring to OREO as well as reclassification of mortgage loans held for sale to held for investment. (f)Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement. (g)Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.
Fair Value Measurements - Recurring Quantitative Information | Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows: Table 68: Fair Value Measurements – Recurring Quantitative Information September 30, 2023
Level 3 Instruments Only Dollars in millions | Fair Value | Valuation Techniques | Unobservable Inputs | Range (Weighted-Average) (a)
Commercial mortgage loans held for sale | $ | 25 |  | Discounted cash flow | Spread over the benchmark curve (b) | 585bps - 7,140bps (2,611bps)
Residential mortgage-backed non-agency securities | 713 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 27.9% (3.8%)
Constant default rate | 0.0% - 12.0% (2.8%)
Loss severity | 10.0% - 71.4% (42.1%)
Spread over the benchmark curve (b) | 250bps weighted-average
Asset-backed securities | 103 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 11.0% (5.3%)
Constant default rate | 0.0% - 4.3% (1.7%)
Loss severity | 30.0% - 100.0% (48.8%)
Spread over the benchmark curve (b) | 256bps weighted-average
Loans - Residential real estate - Uninsured | 555 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (59.6%)
Loss severity | 0.0% - 100.0% (5.4%)
Discount rate | 5.5% - 7.5% (5.8%)
Loans - Residential real estate | 75 |  | Discounted cash flow | Loss severity | 6.0% weighted-average
Discount rate | 8.4% weighted-average
Loans - Home equity - First-lien | 19 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (63.3%)
Loss severity | 0.0% - 100.0% (15.2%)
Discount rate | 5.5% - 7.5% (6.3%)
Loans - Home equity | 89 |  | Consensus pricing (c) | Credit and liquidity discount | 0.4% - 100.0% (44.7%)
Equity investments | 1,729 |  | Multiple of adjusted earnings | Multiple of earnings | 4.5x - 20.0x (9.7x)
Residential mortgage servicing rights | 2,837 |  | Discounted cash flow | Constant prepayment rate | 0.0% - 29.7% (5.8%)
Spread over the benchmark curve (b) | 337bps - 1,650bps (765bps)
Commercial mortgage servicing rights | 1,169 |  | Discounted cash flow | Constant prepayment rate | 5.2% - 7.4% (5.4%)
Discount rate | 8.3% - 10.7% (10.2%)
Financial derivatives - Swaps related to sales of certain Visa Class B common shares | (99) |  | Discounted cash flow | Estimated conversion factor of Visa Class B shares into Class A shares | 1.59 weighted-average
Estimated annual growth rate of Visa Class A share price | 16.0%
Estimated litigation resolution date | Q1 2024
Insignificant Level 3 assets, net of liabilities (d) | (7) |  |  |  |
Total Level 3 assets, net of liabilities (e) | $ | 7,208 |  |  |  |
(Continued from previous page) December 31, 2022
Level 3 Instruments Only Dollars in millions | Fair Value | Valuation Techniques | Unobservable Inputs | Range (Weighted-Average) (a)
Commercial mortgage loans held for sale | $ | 33 |  | Discounted cash flow | Spread over the benchmark curve (b) | 585bps - 2,465bps (959bps)
Residential mortgage-backed non-agency securities | 819 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 27.9% (9.9%)
Constant default rate | 0.0% - 13.0% (4.0%)
Loss severity | 15.0% - 80.0% (46.1%)
Spread over the benchmark curve (b) | 289bps weighted-average
Asset-backed securities | 124 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 40.0% (7.5%)
Constant default rate | 0.0% - 7.3% (2.1%)
Loss severity | 20.0% - 100.0% (49.0%)
Spread over the benchmark curve (b) | 296bps weighted-average
Loans - Residential real estate - Uninsured | 570 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (66.2%)
Loss severity | 0.0% - 100.0% (6.2%)
Discount rate | 5.5% - 7.5% (5.9%)
Loans - Residential real estate | 76 |  | Discounted cash flow | Loss severity | 6.0% weighted-average
Discount rate | 7.9% weighted-average
Loans - Home equity - First-lien | 25 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (72.5%)
Loss severity | 0.0% - 100.0% (15.3%)
Discount rate | 5.5% - 7.5% (6.5%)
Loans - Home equity | 98 |  | Consensus pricing (c) | Credit and Liquidity discount | 0.4% - 100.0% (46.2%)
Equity investments | 1,778 |  | Multiple of adjusted earnings | Multiple of earnings | 4.5x - 25.0x (9.1x)
Residential mortgage servicing rights | 2,310 |  | Discounted cash flow | Constant prepayment rate | 0.0% - 34.5% (6.7%)
Spread over the benchmark curve (b) | 254bps - 1,653bps (766bps)
Commercial mortgage servicing rights | 1,113 |  | Discounted cash flow | Constant prepayment rate | 3.9% - 9.8% (4.3%)
Discount rate | 7.8% - 10.1% (9.8%)
Financial derivatives - Swaps related to sales of certain Visa Class B common shares | (107) |  | Discounted cash flow | Estimated conversion factor of Visa Class B shares into Class A shares | 1.61 weighted-average
Estimated annual growth rate of Visa Class A share price | 16.0%
Estimated litigation resolution date | Q2 2023
Insignificant Level 3 assets, net of liabilities (d) | (8) |  |  |  |
Total Level 3 assets, net of liabilities (e) | $ | 6,831 |  |  |  |
(a)Unobservable inputs were weighted by the relative fair value of the instruments. (b)The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks. (c)Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices. (d)Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities. (e)Consisted of total Level 3 assets of $7.6 billion and total Level 3 liabilities of $0.4 billion as of September 30, 2023 and $7.3 billion and $0.4 billion as of December 31, 2022, respectively.
Fair Value Measurements - Nonrecurring | Assets measured at fair value on a nonrecurring basis follow: Table 69: Fair Value Measurements – Nonrecurring (a) (b) (c)
| Fair Value |  | Gains (Losses) Three months ended |  | Gains (Losses) Nine months ended |
In millions | September 30 2023 |  | December 31 2022 |  | September 30 2023 |  | September 30 2022 |  | September 30 2023 |  | September 30 2022 |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Nonaccrual loans | $ | 361 |  |  | $ | 280 |  |  | $ | (84) |  |  | $ | (111) |  |  | $ | (260) |  |  | $ | (145) |  |
Equity investments | 57 |  |  | 135 |  |  | (15) |  |  |  |  | (19) |  |  |  |
OREO and foreclosed assets | 11 |  |  | 10 |  |  | (1) |  |  |  |  | (1) |  |  |  |
Long-lived assets | 4 |  |  | 23 |  |  | (3) |  |  | (1) |  |  | (17) |  |  | (5) |  |
Total assets | $ | 433 |  |  | $ | 448 |  |  | $ | (103) |  |  | $ | (112) |  |  | $ | (297) |  |  | $ | (150) |  |
(a)All Level 3 for the periods presented, except for $28 million and $42 million included in Equity investments which were categorized as Level 1 as of September 30, 2023 and December 31, 2022, respectively. (b)Valuation techniques applied were discounted cash flow and fair value of property or collateral. (c)Unobservable inputs used were appraised value/sales price, broker opinions or projected income/required improvement costs. Additional quantitative information was not meaningful for the periods presented.
Fair Value Option - Fair Value and Principal Balances | Fair values and aggregate unpaid principal balances of items for which we elected the fair value option are as follows: Table 70: Fair Value Option – Fair Value and Principal Balances
| September 30, 2023 |  | December 31, 2022 |
In millions | Fair Value |  | Aggregate Unpaid Principal Balance |  | Difference |  | Fair Value |  | Aggregate Unpaid Principal Balance |  | Difference |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 486 |  |  | $ | 496 |  |  | $ | (10) |  |  | $ | 609 |  |  | $ | 633 |  |  | $ | (24) |  |
Accruing loans 90 days or more past due | 10 |  |  | 10 |  |  |  |  | 5 |  |  | 5 |  |  |  |
Nonaccrual loans | 33 |  |  | 40 |  |  | (7) |  |  | 40 |  |  | 49 |  |  | (9) |  |
Total | $ | 529 |  |  | $ | 546 |  |  | $ | (17) |  |  | $ | 654 |  |  | $ | 687 |  |  | $ | (33) |  |
Commercial mortgage loans held for sale (a) |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 365 |  |  | $ | 368 |  |  | $ | (3) |  |  | $ | 261 |  |  | $ | 256 |  |  | $ | 5 |  |
Nonaccrual loans | 14 |  | 43 |  | (29) |  |  | 15 |  |  | 44 |  |  | (29) |  |
Total | $ | 379 |  |  | $ | 411 |  |  | $ | (32) |  |  | $ | 276 |  |  | $ | 300 |  |  | $ | (24) |  |
Loans |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 505 |  |  | $ | 518 |  |  | $ | (13) |  |  | $ | 509 |  |  | $ | 521 |  |  | $ | (12) |  |
Accruing loans 90 days or more past due | 140 |  |  | 152 |  |  | (12) |  |  | 155 |  |  | 167 |  |  | (12) |  |
Nonaccrual loans | 599 |  |  | 815 |  |  | (216) |  |  | 646 |  |  | 880 |  |  | (234) |  |
Total | $ | 1,244 |  |  | $ | 1,485 |  |  | $ | (241) |  |  | $ | 1,310 |  |  | $ | 1,568 |  |  | $ | (258) |  |
Other assets | $ | 68 |  |  | $ | 75 |  |  | $ | (7) |  |  | $ | 80 |  |  | $ | 80 |  |  |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 37 |  |  | $ | 38 |  |  | $ | (1) |  |  | $ | 31 |  |  | $ | 32 |  |  | $ | (1) |  |
Other liabilities | $ | 141 |  |  |  |  | $ | 141 |  |  | $ | 196 |  |  |  |  | $ | 196 |  |
(a)There were no accruing loans 90 days or more past due within this category at September 30, 2023 or December 31, 2022
Fair Value Option - Changes in Fair Value | The changes in fair value for items for which we elected the fair value option are as follows: Table 71: Fair Value Option – Changes in Fair Value (a)
| Gains (Losses) |  | Gains (Losses) |
| Three months ended |  | Nine months ended |
| September 30 |  | September 30 |  | September 30 |  | September 30 |
In millions | 2023 |  | 2022 |  | 2023 |  | 2022 |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | (3) |  |  | $ | (29) |  |  | $ | 14 |  |  | $ | (92) |  |
Commercial mortgage loans held for sale | $ | 6 |  |  | $ | 14 |  |  | $ | 29 |  |  | $ | 34 |  |
Loans | $ | 8 |  |  | $ | 1 |  |  | $ | 17 |  |  | $ | 37 |  |
Other assets |  |  |  | $ | (3) |  |  | $ | (12) |  |  | $ | (21) |  |
Liabilities |  |  |  |  |  |  |  |
Other liabilities |  |  |  | $ | (24) |  |  | $ | (41) |  |  | $ | (40) |  |
(a)The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.
Additional Fair Value Information Related to Other Financial Instruments | The following table presents the carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of all other financial instruments that are not recorded on our Consolidated Balance Sheet at fair value as of September 30, 2023 and December 31, 2022. For more information regarding the methods and assumptions used to estimate the fair values of financial instruments included in Table 72, see Note 15 Fair Value in our 2022 Form 10-K.Table 72: Additional Fair Value Information Related to Other Financial Instruments
| Carrying |  | Fair Value |
In millions | Amount |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |
September 30, 2023 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Cash and due from banks | $ | 5,300 |  |  | $ | 5,300 |  |  | $ | 5,300 |  |  |  |  |  |
Interest-earning deposits with banks | 41,484 |  |  | 41,484 |  |  |  |  | $ | 41,484 |  |  |  |
Securities held to maturity | 91,803 |  |  | 84,447 |  |  | 30,110 |  |  | 54,189 |  |  | $ | 148 |  |
Net loans (excludes leases) | 305,911 |  |  | 295,609 |  |  |  |  |  |  | 295,609 |  |
Other assets | 5,916 |  |  | 5,916 |  |  |  |  | 5,915 |  |  | 1 |  |
Total assets | $ | 450,414 |  |  | $ | 432,756 |  |  | $ | 35,410 |  |  | $ | 101,588 |  |  | $ | 295,758 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Time deposits | $ | 27,209 |  |  | $ | 27,142 |  |  |  |  | $ | 27,142 |  |  |  |
Borrowed funds | 65,052 |  |  | 65,127 |  |  |  |  | 63,943 |  |  | $ | 1,184 |  |
Unfunded lending related commitments | 640 |  |  | 640 |  |  |  |  |  |  | 640 |  |
Other liabilities | 1,106 |  |  | 1,106 |  |  |  |  | 1,106 |  |  |  |
Total liabilities | $ | 94,007 |  |  | $ | 94,015 |  |  |  |  | $ | 92,191 |  |  | $ | 1,824 |  |
December 31, 2022 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Cash and due from banks | $ | 7,043 |  |  | $ | 7,043 |  |  | $ | 7,043 |  |  |  |  |  |
Interest-earning deposits with banks | 27,320 |  |  | 27,320 |  |  |  |  | $ | 27,320 |  |  |  |
Securities held to maturity | 95,183 |  |  | 90,279 |  |  | 30,748 |  |  | 59,377 |  |  | $ | 154 |  |
Net loans (excludes leases) | 313,460 |  |  | 310,864 |  |  |  |  |  |  | 310,864 |  |
Other assets | 6,022 |  |  | 6,022 |  |  |  |  | 6,020 |  |  | 2 |  |
Total assets | $ | 449,028 |  |  | $ | 441,528 |  |  | $ | 37,791 |  |  | $ | 92,717 |  |  | $ | 311,020 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Time deposits | $ | 18,470 |  |  | $ | 18,298 |  |  |  |  | $ | 18,298 |  |  |  |
Borrowed funds | 57,182 |  |  | 57,557 |  |  |  |  | 55,922 |  |  | $ | 1,635 |  |
Unfunded lending related commitments | 694 |  |  | 694 |  |  |  |  |  |  | 694 |  |
Other liabilities | 660 |  |  | 660 |  |  |  |  | 660 |  |  |  |
Total liabilities | $ | 77,006 |  |  | $ | 77,209 |  |  |  |  | $ | 74,880 |  |  | $ | 2,329 |  |

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