XML 37 R28.htm IDEA: XBRL DOCUMENT v3.22.2.2

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Schedule Of Assets And Liabilities At Fair Value Measured On A Recurring Basis And Non-Recurring Basis

The following table presents assets and liabilities measured at estimated fair value on a recurring basis:

			September 30, 2022																											December 31, 2021
			Level 1						Level 2						Level 3(1)						Total Estimated Fair Value									Level 1						Level 2						Level 3(1)						Total Estimated Fair Value
			(In millions)
Recurring fair value measurements
Debt securities available for sale:
U.S. Treasury securities			$	1,201					$	—					$	—					$	1,201								$	1,132					$	—					$	—					$	1,132
Federal agency securities			—						738						—						738									—						92						—						92
Obligations of states and political subdivisions			—						2						—						2									—						4						—						4
Mortgage-backed securities (MBS):
Residential agency			—						17,295						—						17,295									—						18,962						—						18,962
Residential non-agency			—						—						1						1									—						—						1						1
Commercial agency			—						7,481						—						7,481									—						6,373						—						6,373
Commercial non-agency			—						257						—						257									—						536						—						536
Corporate and other debt securities			—						1,150						1						1,151									—						1,380						1						1,381
Total debt securities available for sale			$	1,201					$	26,923					$	2					$	28,126								$	1,132					$	27,347					$	2					$	28,481
Loans held for sale			$	—					$	250					$	65					$	315								$	—					$	693					$	90					$	783
Marketable equity securities			$	512					$	—					$	—					$	512								$	464					$	—					$	—					$	464
Residential mortgage servicing rights			$	—					$	—					$	809					$	809								$	—					$	—					$	418					$	418
Derivative assets(2):
Interest rate swaps			$	—					$	2,392					$	—					$	2,392								$	—					$	919					$	—					$	919
Interest rate options			—						118						4						122									—						36						12						48
Interest rate futures and forward commitments			—						27						—						27									—						11						—						11
Other contracts			—						296						—						296									—						132						1						133
Total derivative assets			$	—					$	2,833					$	4					$	2,837								$	—					$	1,098					$	13					$	1,111
Derivative liabilities(2):
Interest rate swaps			$	—					$	3,349					$	—					$	3,349								$	—					$	855					$	—					$	855
Interest rate options			—						108						3						111									—						19						—						19
Interest rate futures and forward commitments			—						5						—						5									—						3						—						3
Other contracts			—						228						2						230									—						132						3						135
Total derivative liabilities			$	—					$	3,690					$	5					$	3,695								$	—					$	1,009					$	3					$	1,012

_________

(1)All following disclosures related to Level 3 recurring assets do not include those deemed to be immaterial.

(2)As permitted under U.S. GAAP, variation margin collateral payments made or received for derivatives that are centrally cleared are legally characterized as settled. As such, these derivative assets and derivative liabilities and the related variation margin collateral are presented on a net basis on the balance sheet.

Rollforward For Assets And Liabilities Measured At Fair Value On A Recurring Basis With Level 3 Significant Unobservable Inputs

The following tables present an analysis for residential MSRs for the three and nine months ended September 30, 2022 and 2021, respectively. An analysis of commercial mortgage loans held for sale is also presented only for the nine months ended September 30, 2022 as the activity for the three months ended September 30, 2022 and the three and nine months ended September 30, 2021 is immaterial.

			Residential mortgage servicing rights
			Three Months Ended September 30												Nine Months Ended September 30
			2022						2021						2022						2021
			(In millions)
Carrying value, beginning of period			$	770					$	392					$	418					$	296
Total realized/unrealized gains (losses) included in earnings(1)			5						(21)						72						(2)
Additions			9						18						38						58
Purchases			25						21						281						58
Carrying value, end of period			$	809					$	410					$	809					$	410

_________

(1)Included in mortgage income. Amounts presented exclude offsetting impact from related derivatives.

									Commercial mortgage loans held for sale
									Nine Months Ended September 30
									2022
									(In millions)
Carrying value, beginning of period									$	90
Total realized/unrealized gains (losses) included in earnings(1)									(8)
Additions									108
Sales									(125)
Carrying value, end of period									$	65

_________

(1)Included in capital markets income.

Summary Of Quantitative Information About Level 3 Measurements

The following tables present detailed information regarding material assets and liabilities measured at fair value using significant unobservable inputs (Level 3) as of September 30, 2022, and December 31, 2021. The tables include the valuation techniques and the significant unobservable inputs utilized. The range of each significant unobservable input as well as the weighted-average within the range utilized at September 30, 2022, and December 31, 2021, are included. Following the tables are descriptions of the valuation techniques and the sensitivity of the techniques to changes in the significant unobservable inputs.

September 30, 2022

Level 3 Estimated Fair Value

Valuation Technique

Unobservable Input(s)

Quantitative Range of Unobservable Inputs and (Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights(1)

$809

Discounted cash flow

Weighted-average CPR (%)

6.2% - 15.7% (7.6%)

OAS (%)

4.5% - 8.2% (4.8%)

_________

(1)See Note 4 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

December 31, 2021

Level 3 Estimated Fair Value

Valuation Technique

Unobservable Input(s)

Quantitative Range of Unobservable Inputs and (Weighted-Average)

(Dollars in millions)

Recurring fair value measurements:

Residential mortgage servicing rights(1)

$418

Discounted cash flow

Weighted-average CPR (%)

7.2% - 22.2% (10.5%)

OAS (%)

3.7% - 7.7% (4.5%)

Commercial mortgage loans held for sale

$90

Discounted cash flow

Credit spreads for bonds in the commercial MBS

0.2% - 19.4% (1.3%)

_________

(1)See Note 6 to the consolidated financial statements of the Annual Report on Form 10-K for the year ended December 31, 2021 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.

Fair Value Option, Fair Value and Unpaid Principal Balance

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for residential first mortgage loans held for sale measured at fair value:

			September 30, 2022																		December 31, 2021
			Aggregate Fair Value						Aggregate Unpaid Principal						Aggregate Fair Value Less Aggregate Unpaid Principal						Aggregate Fair Value						Aggregate Unpaid Principal						Aggregate Fair Value Less Aggregate Unpaid Principal
			(In millions)
Residential first mortgage loans held for sale, at fair value			$	245					$	252					$	(7)					$	680					$	659					$	21

Interest income on mortgage loans held for sale is recognized based on contractual rates and is reflected in interest income on loans held for sale. The following table details net gains and losses resulting from changes in fair value of residential mortgage loans held for sale, which were recorded in mortgage income in the consolidated statements of income during the three and nine months ended September 30, 2022 and 2021. These changes in fair value are mostly offset by economic hedging activities. An immaterial portion of these amounts was attributable to changes in instrument-specific credit risk.

			Three Months Ended September 30												Nine Months Ended September 30
			2022						2021						2022						2021
			(In millions)
Net gains (losses) resulting for the change in fair value of residential first mortgage loans held for sale			$	(11)					$	(10)					$	(27)					$	(50)

NON-RECURRING FAIR VALUE MEASUREMENTS

Items measured at fair value on a non-recurring basis include loans held for sale for which the fair value option has not been elected, foreclosed property and other real estate and equity investments without a readily determinable fair value; all of which may be considered either Level 2 or Level 3 valuation measurements. Non-recurring fair value adjustments related to loans held for sale, foreclosed property and other real estate are typically a result of the application of lower of cost or fair value accounting during the period. Non-recurring fair value adjustments related to equity investments without readily determinable fair values are the result of impairments or price changes from observable transactions. The balances of each of these assets, as well as the related fair value adjustments during the periods, were immaterial at both September 30, 2022 and December 31, 2021.

FAIR VALUE OF FINANCIAL INSTRUMENTS

Schedule Of Carrying Amounts And Estimated Fair Values Of Financial Instruments

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company’s financial instruments as of September 30, 2022 are as follows:

			September 30, 2022
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	15,666					$	15,666					$	15,666					$	—					$	—
Debt securities held to maturity			817						762						—						762						—
Debt securities available for sale			28,126						28,126						1,201						26,923						2
Loans held for sale			720						720						—						649						71
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			91,816						87,044						—						—						87,044
Other earning assets			1,341						1,341						512						829						—
Derivative assets			2,837						2,837						—						2,833						4
Financial liabilities:
Derivative liabilities			3,695						3,695						—						3,690						5
Deposits(4)			135,378						135,301						—						135,301						—
Long-term borrowings			2,274						2,330						—						2,328						2
Loan commitments and letters of credit			154						154						—						—						154

_________

(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value discount on the loan portfolio's net carrying amount at September 30, 2022 was $4.8 billion or 5.2 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.5 billion at September 30, 2022.

(4)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, money market accounts and certain other time deposit accounts is the amount payable on demand at the reporting date (i.e., the carrying amount). Fair values for certificates of deposit are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company's financial instruments as of December 31, 2021 are as follows:

			December 31, 2021
			Carrying Amount						Estimated Fair Value(1)						Level 1						Level 2						Level 3
			(In millions)
Financial assets:
Cash and cash equivalents			$	29,411					$	29,411					$	29,411					$	—					$	—
Debt securities held to maturity			899						950						—						950						—
Debt securities available for sale			28,481						28,481						1,132						27,347						2
Loans held for sale			1,003						1,003						—						899						104
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)			84,866						85,086						—						—						85,086
Other earning assets(4)			1,104						1,104						464						640						—
Derivative assets			1,111						1,111						—						1,098						13
Financial liabilities:
Derivative liabilities			1,012						1,012						—						1,009						3
Deposits(5)			139,072						139,101						—						139,101						—
Long-term borrowings			2,407						2,847						—						2,845						2
Loan commitments and letters of credit			123						123						—						—						123

_________

(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.

(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value premium on the loan portfolio's net carrying amount at December 31, 2021 was $220 million or 0.3 percent.

(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.4 billion at December 31, 2021.

(4)Excluded from this table is the operating lease carrying amount of $83 million at December 31, 2021.

(5)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, money market accounts and certain other time deposit accounts is the amount payable on demand at the reporting date (i.e., the carrying amount). Fair values for certificates of deposit are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.

X

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2C
-URI https://asc.fasb.org/extlink&oid=126976982&loc=SL7498348-110258

Reference 4: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

Reference 5: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bb)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- 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

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsMeasuredOnRecurringBasisUnobservableInputReconciliationTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI https://asc.fasb.org/extlink&oid=123594938&loc=d3e13467-108611

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueByBalanceSheetGroupingTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of information about asset and liability measured at fair value under fair value option.

+ References

Reference 1: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 31
-URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14210-108612

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 30
-URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14172-108612

Reference 3: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 32
-URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14217-108612

Reference 4: http://www.xbrl.org/2009/role/commonPracticeRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 28
-URI https://asc.fasb.org/extlink&oid=123596393&loc=d3e14064-108612

+ Details

Name:	us-gaap_FairValueOptionQuantitativeDisclosuresTextBlock
Namespace Prefix:	us-gaap_
Data Type:	dtr-types:textBlockItemType
Balance Type:	na
Period Type:	duration