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FAIR VALUE MEASUREMENTS (Tables)
 12 Months Ended
Dec. 31, 2020
Fair Value Disclosures [Abstract]  
Summary of difference between aggregated fair value and unpaid principal balance of loans held for sale
The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:
December 31, 2020December 31, 2019
(in millions)Aggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Less Aggregate Unpaid PrincipalAggregate Fair ValueAggregate Unpaid PrincipalAggregate Fair Value Less Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value$3,416 $3,260 $156 $1,778 $1,727 $51 
Commercial and industrial, and commercial real estate loans held for sale, at fair value148 153 (5)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 December 31, 2020:
(in millions)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$22,928 $— $22,928 $— 
State and political subdivisions3 — 3 — 
U.S. Treasury and other11 11 — — 
Total debt securities available for sale22,942 11 22,931 — 
Loans held for sale, at fair value:
Residential loans held for sale3,416 — 3,416 — 
Commercial loans held for sale148 — 148 — 
Total loans held for sale, at fair value3,564 — 3,564 — 
Mortgage servicing rights658 — — 658 
Derivative assets:
Interest rate contracts1,566 — 1,566 — 
Foreign exchange contracts320 — 320 — 
TBA contracts8 — 8 — 
Other contracts259 — 62 197 
Total derivative assets2,153 — 1,956 197 
Equity securities, at fair value66 66 — — 
Total assets$29,383 $77 $28,451 $855 
Derivative liabilities:
Interest rate contracts$217 $— $217 $— 
Foreign exchange contracts291 — 291 — 
TBA contracts65 — 65 — 
Other contracts61 — 61 — 
Total derivative liabilities634 — 634 — 
Total liabilities$634 $— $634 $— 
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)TotalLevel 1Level 2Level 3
Debt securities available for sale:
Mortgage-backed securities$20,537 $— $20,537 $— 
State and political subdivisions5 — 5 — 
U.S. Treasury and other71 71 — — 
Total debt securities available for sale20,613 71 20,542 — 
Loans held for sale, at fair value:
Residential loans held for sale1,778 — 1,778 — 
Commercial loans held for sale168 — 168 — 
Total loans held for sale, at fair value1,946 — 1,946 — 
Mortgage servicing rights642 — — 642 
Derivative assets:
Interest rate contracts773 — 773 — 
Foreign exchange contracts174 — 174 — 
Other contracts37 — 18 19 
Total derivative assets984 — 965 19 
Equity securities, at fair value47 47 — — 
Total assets$24,232 $118 $23,453 $661 
Derivative liabilities:
Interest rate contracts$133 $— $133 $— 
Foreign exchange contracts166 — 166 — 
Other contracts23 — 23 — 
Total derivative liabilities322 — 322 — 
Total liabilities$322 $— $322 $— 
Assets measured at fair value on recurring basis
The following table presents a rollforward of the balance sheet amounts for assets measured at fair value on a recurring basis and classified as Level 3 for the year ended December 31, 2020.
For the Year Ended December 31,
20202019
(in millions)Mortgage Servicing RightsAsset-Backed SecuritiesOther Derivative ContractsMortgage Servicing RightsOther Derivative Contracts
Beginning balance$642 $— $19 $600 $— 
Transfers upon election of fair value method (1)
190 — — — — 
Beginning balance, adjusted832 — 19 600 — 
Purchases— 813 — — — 
Issuances324 — 900 270 144 
Settlements (2)
(196)— (1,133)(119)(161)
Changes in fair value during the period recognized in earnings (3)
(302)— 411 (109)17 
Transfers from Level 2 to Level 3 (4)
— — — — 18 
Transfer from AFS to HTM (5)
— (813)— — — 
Ending balance$658 $— $197 $642 $19 
(1) Effective January 1, 2020, the Company elected to account for all MSRs previously accounted for under the amortization method under the fair value method.
(2) 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.
(3) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.
(4) Reflects changes in the significance of unobservable inputs on derivative contracts associated with mortgage origination activities.
(5) In October 2020, Citizens concluded that it has the ability and intent to hold these assets to maturity and transferred them to HTM. Refer to Note 10 for additional information.
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 December 31, 2020
Valuation TechniqueUnobservable InputRange (Weighted Average)
Mortgage servicing rightsDiscounted Cash FlowConstant prepayment rate
11.59-36.34% CPR (17.3% CPR)
Option adjusted spread
350 -1,194 bps (595 bps)
Other derivative contractsInternal ModelPull through rate
8.80-100.00% (82.07%)
MSR value
(35.45)-125.55 bps (80.29 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:
Year Ended December 31,
(in millions)202020192018
Collateral-dependent loans ($82)($34)($13)
Fair value of assets and liabilities measured on a nonrecurring basis
The following table presents assets measured at fair value on a nonrecurring basis:
December 31, 2020December 31, 2019
(in millions)TotalLevel 1Level 2Level 3TotalLevel 1Level 2Level 3
Collateral-dependent loans $758 $— $758 $— $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 Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
December 31, 2020
TotalLevel 1Level 2Level 3
(in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$3,235 $3,357 $— $— $2,342 $2,464 $893 $893 
Other loans held for sale439 439 — — — — 439 439 
Loans and leases123,090 123,678 — — 758 758 122,332 122,920 
Other assets604 604 — — 596 596 8 8 
Financial liabilities:
Deposits147,164 147,223 — — 147,164 147,223 — — 
Short-term borrowed funds243 243 — — 243 243 — — 
Long-term borrowed funds8,346 8,850 — — 8,346 8,850 — — 
December 31, 2019
TotalLevel 1Level 2Level 3
(in millions)Carrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair ValueCarrying ValueEstimated Fair Value
Financial assets:
Debt securities held to maturity$3,202 $3,242 $— $— $3,202 $3,242 $— $— 
Other loans held for sale1,384 1,384 — — — — 1,384 1,384 
Loans and leases119,088 119,792 — — 312 312 118,776 119,480 
Other assets807 807 — — 807 807 — — 
Financial liabilities:
Deposits125,313 125,340 — — 125,313 125,340 — — 
Short-term borrowed funds274 274 — — 274 274 — — 
Long-term borrowed funds14,047 14,228 — — 14,047 14,228 — —