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Fair Value | 9 Months Ended
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Sep. 30, 2023
Fair Value [Abstract] |
Fair Value | FAIR V ALUE Fair Value Measurement We measure certain financial assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or the price that would be paid to transfer a liability on the measurement date and is determined using an exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. The fair value hierarchy established by GAAP requires us to maximize the use of observable inputs when measuring fair value. For more information regarding the fair value hierarchy, see Note 15 Fair Value in our 2022 Form 10-K. Assets and Liabilities Measured at Fair Value on a Recurring Basis For more information on the valuation methodologies used to measure assets and liabilities at fair value on a recurring basis, see Note 15 Fair Value in our 2022 Form 10-K. 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. 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. An instrument’s categorization within the hierarchy is based on the lowest level of input that is significant to the fair value measurement. Changes from one quarter to the next related to the observability of inputs to a fair value measurement may result in a reclassification (transfer) of assets or liabilities between hierarchy levels. 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. Financial Assets Accounted for at Fair Value on a Nonrecurring Basis We may be required to measure certain financial assets at fair value on a nonrecurring basis. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment and are included in Table 69. For more information regarding the valuation methodologies of our financial assets measured at fair value on a nonrecurring basis, see Note 15 Fair Value in our 2022 Form 10-K. 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. Financial Instruments Accounted for under Fair Value Option We elect the fair value option to account for certain financial instruments. For more information on these financial instruments for which the fair value option election has been made, see Note 15 Fair Value in our 2022 Form 10-K. 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 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 Financial Instruments Not Recorded at Fair Value 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 |  |
The aggregate fair values in Table 72 represent only a portion of the total market value of our assets and liabilities as, in accordance with the guidance related to fair values about financial instruments, we exclude the following: •financial instruments recorded at fair value on a recurring basis (as they are disclosed in Table 66), •investments accounted for under the equity method, •equity securities without a readily determinable fair value that apply for the alternative measurement approach to fair value under ASU 2016-01, •real and personal property, •lease financing, •loan customer relationships, •deposit customer intangibles, •MSRs, •retail branch networks, •fee-based businesses, such as asset management and brokerage, •trademarks and brand names, •trade receivables and payables due in one year or less, •deposit liabilities with no defined or contractual maturities under ASU 2016-01, and •insurance contracts.

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- Definition Fair Value + References No definition available. + Details
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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Publisher FASB -URI https://asc.fasb.org//1943274/2147482106/820-10-50-2 + Details
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