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FAIR VALUE MEASUREMENTS (Tables) | 6 Months Ended
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Jun. 30, 2020
Fair Value Disclosures [Abstract] |
Fair value option | The following table presents the changes in fair value for assets where the Company has elected the fair value option:
| Three Months Ended June 30, |  | Six Months Ended June 30, |
(in millions) | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  | Affected Line Item in the Consolidated Statements of Operations
Residential mortgage loans held for sale, at fair value |  | $45 |  |  |  | $10 |  |  |  | $103 |  |  |  | $9 |  | Mortgage banking fees
Commercial and commercial real estate loans held for sale, at fair value | 12 |  |  | 1 |  |  | (8 | ) |  | 4 |  | Capital market fees
Citizens elected to account for residential mortgage LHFS and certain commercial and commercial real estate LHFS at fair value.
| June 30, 2020 |  | December 31, 2019
(in millions) | 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
Residential mortgage loans held for sale, at fair value |  | $3,449 |  |  | $3,267 |  |  | $182 |  |  |  | $1,778 |  |  | $1,727 |  |  | $51 |
Commercial and commercial real estate loans held for sale, at fair value | 182 |  | 203 |  | (21 | ) |  | 168 |  | 175 |  | (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 June 30, 2020:
(in millions) | Total |  | Level 1 |  | Level 2 |  | Level 3 |
Debt securities available for sale: |  |  |  |
Mortgage-backed securities |  | $22,129 |  |  | $— |  |  | $22,129 |  |  | $— |
State and political subdivisions | 4 |  | — |  | 4 |  | — |
U.S. Treasury and other | 11 |  | 11 |  | — |  | — |
Total debt securities available for sale | 22,144 |  | 11 |  | 22,133 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 3,449 |  | — |  | 3,449 |  | — |
Commercial loans held for sale | 182 |  | — |  | 182 |  | — |
Total loans held for sale, at fair value | 3,631 |  | — |  | 3,631 |  | — |
Mortgage servicing rights | 568 |  | — |  | — |  | 568 |
Derivative assets: |  |  |  |
Interest rate contracts | 1,905 |  | — |  | 1,905 |  | — |
Foreign exchange contracts | 299 |  | — |  | 299 |  | — |
TBA contracts | 18 |  | — |  | 18 |  | — |
Other contracts | 230 |  | — |  | 57 |  | 173 |
Total derivative assets | 2,452 |  | — |  | 2,279 |  | 173 |
Equity securities, at fair value: |  |  |  |
Money market mutual fund investments | 50 |  | 50 |  | — |  | — |
Total equity securities, at fair value | 50 |  | 50 |  | — |  | — |
Total assets |  | $28,845 |  |  | $61 |  |  | $28,043 |  |  | $741 |
Derivative liabilities: |  |  |  |
Interest rate contracts |  | $251 |  |  | $— |  |  | $251 |  |  | $— |
Foreign exchange contracts | 261 |  | — |  | 261 |  | — |
TBA contracts | 47 |  | — |  | 47 |  | — |
Other contracts | 56 |  | — |  | 56 |  | — |
Total derivative liabilities | 615 |  | — |  | 615 |  | — |
Total liabilities |  | $615 |  |  | $— |  |  | $615 |  |  | $— |
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities on a recurring basis at December 31, 2019:
(in millions) | Total |  | Level 1 |  | Level 2 |  | Level 3 |
Debt securities available for sale: |  |  |  |
Mortgage-backed securities |  | $20,537 |  |  | $— |  |  | $20,537 |  |  | $— |
State and political subdivisions | 5 |  | — |  | 5 |  | — |
U.S. Treasury and other | 71 |  | 71 |  | — |  | — |
Total debt securities available for sale | 20,613 |  | 71 |  | 20,542 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 1,778 |  | — |  | 1,778 |  | — |
Commercial loans held for sale | 168 |  | — |  | 168 |  | — |
Total loans held for sale, at fair value | 1,946 |  | — |  | 1,946 |  | — |
Mortgage servicing rights | 642 |  | — |  | — |  | 642 |
Derivative assets: |  |  |  |
Interest rate contracts | 773 |  | — |  | 773 |  | — |
Foreign exchange contracts | 174 |  | — |  | 174 |  | — |
Other contracts | 37 |  | — |  | 18 |  | 19 |
Total derivative assets | 984 |  | — |  | 965 |  | 19 |
Equity securities, at fair value: |  |  |  |
Money market mutual fund investments | 47 |  | 47 |  | — |  | — |
Total equity securities, at fair value | 47 |  | 47 |  | — |  | — |
Total assets |  | $24,232 |  |  | $118 |  |  | $23,453 |  |  | $661 |
Derivative liabilities: |  |  |  |
Interest rate contracts |  | $133 |  |  | $— |  |  | $133 |  |  | $— |
Foreign exchange contracts | 166 |  | — |  | 166 |  | — |
Other contracts | 23 |  | — |  | 23 |  | — |
Total derivative liabilities | 322 |  | — |  | 322 |  | — |
Total liabilities |  | $322 |  |  | $— |  |  | $322 |  |  | $— |
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 measured at fair value on a recurring basis and classified as Level 3:
| Three Months Ended June 30, 2020 |  | Six Months Ended June 30, 2020
(in millions) | Mortgage Servicing Rights |  | Other Derivative Contracts |  | Mortgage Servicing Rights |  | Other Derivative Contracts
Beginning balance |  | $577 |  |  |  | $143 |  |  |  | $642 |  |  |  | $19 |
Transfers upon election of fair value method | — |  |  | — |  |  | 190 |  |  | — |
Beginning balance, adjusted | 577 |  |  | 143 |  |  | 832 |  |  | 19 |
Purchases | — |  |  | — |  |  | — |  |  | — |
Issuances | 86 |  |  | 234 |  |  | 153 |  |  | 405 |
Settlements (1) | (46 | ) |  | (344 | ) |  | (86 | ) |  | (420 | )
Changes in fair value during the period recognized in earnings (2) | (49 | ) |  | 140 |  |  | (331 | ) |  | 169 |
Ending balance |  | $568 |  |  |  | $173 |  |  |  | $568 |  |  |  | $173 |
| Three Months Ended June 30, 2019 |  | Six Months Ended June 30, 2019
(in millions) | Mortgage Servicing Rights |  | Other Derivative Contracts |  | Mortgage Servicing Rights |  | Other Derivative Contracts
Beginning balance |  | $563 |  |  |  | $18 |  |  |  | $600 |  |  |  | $— |
Issuances | 57 |  |  | 43 |  |  | 92 |  |  | 43 |
Settlements (1) | (31 | ) |  | (43 | ) |  | (57 | ) |  | (43 | )
Changes in fair value during the period recognized in earnings (2) | (58 | ) |  | 7 |  |  | (104 | ) |  | 7 |
Transfers from Level 2 to Level 3 (3) | — |  |  | — |  |  | — |  |  | 18 |
Ending balance |  | $531 |  |  |  | $25 |  |  |  | $531 |  |  |  | $25 |
(1) 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. (2) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations. (3) Reflects changes in the significance of unobservable inputs on derivative contracts associated with mortgage origination activities.
Fair value measurement inputs and valuation techniques | The following table presents quantitative information about the Company’s Level 3 assets, including the range and weighted-average of the significant unobservable inputs used to fair value these assets, as well as valuation techniques used.
| As of June 30, 2020
| Valuation Technique | Unobservable Input | Range (Weighted Average)
Mortgage servicing rights | Discounted Cash Flow | Constant prepayment rate | 10.48-39.43% CPR (21.0% CPR)
Option adjusted spread | 350-1,123 bps (621 bps)
Other derivative contracts | Internal Model | Pull through rate | 32.06-100.00% (78.17%)
MSR value | (57.20)-135.73 bps (88.78 bps)
Gains (losses) on assets and liabilities measured on a nonrecurring basis included in earnings | The following table presents losses on assets measured at fair value on a nonrecurring basis and recorded in earnings:
| Three Months Ended June 30, |  | Six Months Ended June 30,
(in millions) | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |
Collateral-dependent loans |  | ($22 | ) |  |  | ($24 | ) |  |  | ($44 | ) |  |  | ($28 | )
Fair value of assets and liabilities measured on a nonrecurring basis | The following table presents assets measured at fair value on a nonrecurring basis:
| June 30, 2020 |  | December 31, 2019
(in millions) | Total |  | Level 1 |  | Level 2 |  | Level 3 |  |  | Total |  | Level 1 |  | Level 2 |  | Level 3 |
Collateral-dependent loans |  | $618 |  |  | $— |  |  | $618 |  |  | $— |  |  |  | $312 |  |  | $— |  |  | $312 |  |  | $— |
Assets and liabilities measured at fair value | The following table presents the estimated fair value for financial instruments not recorded at fair value in the unaudited interim Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
| June 30, 2020
| Total |  | Level 1 |  | Level 2 |  | Level 3
(in millions) | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity |  | $2,856 |  |  | $3,009 |  |  |  | $— |  |  | $— |  |  |  | $2,856 |  |  | $3,009 |  |  |  | $— |  |  | $— |
Equity securities, at cost | 607 |  | 607 |  |  | — |  | — |  |  | 607 |  | 607 |  |  | — |  | — |
Other loans held for sale | 1,362 |  | 1,362 |  |  | — |  | — |  |  | — |  | — |  |  | 1,362 |  | 1,362 |
Loans and leases | 125,713 |  | 126,701 |  |  | — |  | — |  |  | 618 |  | 618 |  |  | 125,095 |  | 126,083 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 143,618 |  | 143,728 |  |  | — |  | — |  |  | 143,618 |  | 143,728 |  |  | — |  | — |
Federal funds purchased and securities sold under agreements to repurchase | 251 |  | 251 |  |  | — |  | — |  |  | 251 |  | 251 |  |  | — |  | — |
Other short-term borrowed funds | 4 |  | 4 |  |  | — |  | — |  |  | 4 |  | 4 |  |  | — |  | — |
Long-term borrowed funds | 9,202 |  | 8,994 |  |  | — |  | — |  |  | 9,202 |  | 8,994 |  |  | — |  | — |
| December 31, 2019
| Total |  | Level 1 |  | Level 2 |  | Level 3
(in millions) | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value |  | Carrying Value | Estimated Fair Value
Financial assets: |  |  |  |  |  |  |  |  |  |  |
Securities held to maturity |  | $3,202 |  |  | $3,242 |  |  |  | $— |  |  | $— |  |  |  | $3,202 |  |  | $3,242 |  |  |  | $— |  |  | $— |
Equity securities, at cost | 807 |  | 807 |  |  | — |  | — |  |  | 807 |  | 807 |  |  | — |  | — |
Other loans held for sale | 1,384 |  | 1,384 |  |  | — |  | — |  |  | — |  | — |  |  | 1,384 |  | 1,384 |
Loans and leases | 119,088 |  | 119,792 |  |  | — |  | — |  |  | 312 |  | 312 |  |  | 118,776 |  | 119,480 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 125,313 |  | 125,340 |  |  | — |  | — |  |  | 125,313 |  | 125,340 |  |  | — |  | — |
Federal funds purchased and securities sold under agreements to repurchase | 265 |  | 265 |  |  | — |  | — |  |  | 265 |  | 265 |  |  | — |  | — |
Other short-term borrowed funds | 9 |  | 9 |  |  | — |  | — |  |  | 9 |  | 9 |  |  | — |  | — |
Long-term borrowed funds | 14,047 |  | 14,228 |  |  | — |  | — |  |  | 14,047 |  | 14,228 |  |  | — |  | — |

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