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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair value option

Citizens elected to account for residential mortgage LHFS and certain commercial and industrial, and commercial real estate LHFS at fair value. The following table presents the difference between the aggregate fair value and the aggregate unpaid principal balance of LHFS measured at fair value:

			September 30, 2021												December 31, 2020
(in millions)			Aggregate Fair Value			Aggregate Unpaid Principal			Aggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal						Aggregate Fair Value			Aggregate Unpaid Principal			Aggregate Fair Value Greater (Less) Than Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value			$3,104			$3,029			$75						$3,416			$3,260			$156
Commercial and industrial, and commercial real estate loans held for sale, at fair value			73			75			(2)						148			153			(5)

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 September 30, 2021:

(in millions)			Total			Level 1			Level 2			Level 3
Debt securities available for sale:
Mortgage-backed securities			$24,131			$—			$24,131			$—
Collateralized loan obligations			767			—			767			—
State and political subdivisions			2			—			2			—
U.S. Treasury and other			11			11			—			—
Total debt securities available for sale			24,911			11			24,900			—
Loans held for sale, at fair value:
Residential loans held for sale			3,104			—			3,104			—
Commercial loans held for sale			73			—			73			—
Total loans held for sale, at fair value			3,177			—			3,177			—
Mortgage servicing rights			978			—			—			978
Derivative assets:
Interest rate contracts			930			—			930			—
Foreign exchange contracts			249			—			249			—
Commodities contracts			822			—			822			—
TBA contracts			44			—			44			—
Other contracts			53			—			—			53
Total derivative assets			2,098			—			2,045			53
Equity securities, at fair value			88			88			—			—
Total assets			$31,252			$99			$30,122			$1,031
Derivative liabilities:
Interest rate contracts			$169			$—			$169			$—
Foreign exchange contracts			205			—			205			—
Commodities contracts			822			—			822			—
TBA contracts			9			—			9			—
Total derivative liabilities			1,205			—			1,205			—
Total liabilities			$1,205			$—			$1,205			$—

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)			Total			Level 1			Level 2			Level 3
Debt securities available for sale:
Mortgage-backed securities			$22,928			$—			$22,928			$—
State and political subdivisions			3			—			3			—
U.S. Treasury and other			11			11			—			—
Total debt securities available for sale			22,942			11			22,931			—
Loans held for sale, at fair value:
Residential loans held for sale			3,416			—			3,416			—
Commercial loans held for sale			148			—			148			—
Total loans held for sale, at fair value			3,564			—			3,564			—
Mortgage servicing rights			658			—			—			658
Derivative assets:
Interest rate contracts			1,566			—			1,566			—
Foreign exchange contracts			320			—			320			—
Commodities contracts			62			—			62			—
TBA contracts			8			—			8			—
Other contracts			197			—			—			197
Total derivative assets			2,153			—			1,956			197
Equity securities, at fair value			66			66			—			—
Total assets			$29,383			$77			$28,451			$855
Derivative liabilities:
Interest rate contracts			$217			$—			$217			$—
Foreign exchange contracts			291			—			291			—
Commodities contracts			61			—			61			—
TBA contracts			65			—			65			—
Total derivative liabilities			634			—			634			—
Total liabilities			$634			$—			$634			$—

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 September 30, 2021									Nine Months Ended September 30, 2021
(in millions)			Mortgage Servicing Rights						Other Derivative Contracts						Mortgage Servicing Rights						Other Derivative Contracts
Beginning balance			$902						$89						$658						$197
Issuances			109						81						318						323
Settlements(2)			(54)						(104)						(159)						(283)
Changes in fair value during the period recognized in earnings(3)			21						(13)						161						(184)
Ending balance			$978						$53						$978						$53

			Three Months Ended September 30, 2020												Nine Months Ended September 30, 2020
(in millions)			Mortgage Servicing Rights			Asset-Backed Securities			Other Derivative Contracts						Mortgage Servicing Rights			Asset-Backed Securities			Other Derivative Contracts
Beginning balance			$568			$—			$173						$642			$—			$19
Transfers upon election of fair value method(1)			—			—			—						190			—			—
Beginning balance, adjusted			568			—			173						832			—			19
Purchases			—			813			—						—			813			—
Issuances			85			—			283						238			—			688
Settlements(2)			(55)			—			(372)						(141)			—			(792)
Changes in fair value during the period recognized in earnings(3)			8			—			125						(323)			—			294
Ending balance			$606			$813			$209						$606			$813			$209

(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.

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 September 30, 2021

Valuation Technique

Unobservable Input

Range (Weighted Average)

Mortgage servicing rights

Discounted Cash Flow

Constant prepayment rate

9.96-27.98% CPR (11.3% CPR)

Option adjusted spread

350-1,318 bps (582 bps)

Other derivative contracts

Internal Model

Pull through rate

10.96-100.00% (83.30%)

MSR value

(10.00)-145.29 bps (99.79 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 September 30,												Nine Months Ended September 30,
(in millions)			2021						2020						2021						2020
Collateral-dependent loans			($4)						($21)						($23)						($65)

Fair value of assets and liabilities measured on a nonrecurring basis

The following table presents assets measured at fair value on a nonrecurring basis:

			September 30, 2021															December 31, 2020
(in millions)			Total			Level 1			Level 2			Level 3						Total			Level 1			Level 2			Level 3
Collateral-dependent loans			$585			$—			$585			$—						$758			$—			$758			$—

Assets and liabilities measured at fair value

The following tables present 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:

			September 30, 2021
			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:
Debt securities held to maturity			$2,492			$2,567						$—			$—						$1,705			$1,778						$787			$789
Other loans held for sale			93			93						—			—						—			—						93			93
Loans and leases			123,318			123,318						—			—						585			585						122,733			122,733
Other assets			616			616						—			—						593			593						23			23
Financial liabilities:
Deposits			152,221			152,237						—			—						152,221			152,237						—			—
Short-term borrowed funds			8			8						—			—						8			8						—			—
Long-term borrowed funds			6,947			7,260						—			—						6,947			7,260						—			—

			December 31, 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:
Debt securities held to maturity			$3,235			$3,357						$—			$—						$2,342			$2,464						$893			$893
Other loans held for sale			439			439						—			—						—			—						439			439
Loans and leases			123,090			123,678						—			—						758			758						122,332			122,920
Other assets			604			604						—			—						596			596						8			8
Financial liabilities:
Deposits			147,164			147,223						—			—						147,164			147,223						—			—
Short-term borrowed funds			243			243						—			—						243			243						—			—
Long-term borrowed funds			8,346			8,850						—			—						8,346			8,850						—			—

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