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FAIR VALUE MEASUREMENTS (Tables) | 12 Months Ended
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Dec. 31, 2021
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, 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 | $2,657 |  | $2,591 |  | $66 |  |  | $3,416 |  | $3,260 |  | $156 |
Commercial and industrial, and commercial real estate loans held for sale, at fair value | 76 |  | 79 |  | (3) |  |  | 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 December 31, 2021:
(in millions) | Total | Level 1 | Level 2 | Level 3
Debt securities available for sale: |  |  |  |
Mortgage-backed securities | $24,847 |  | $— |  | $24,847 |  | $— |
Collateralized loan obligations | 1,207 |  | — |  | 1,207 |  | — |
State and political subdivisions | 2 |  | — |  | 2 |  | — |
U.S. Treasury and other | 11 |  | 11 |  | — |  | — |
Total debt securities available for sale | 26,067 |  | 11 |  | 26,056 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 2,657 |  | — |  | 2,657 |  | — |
Commercial loans held for sale | 76 |  | — |  | 76 |  | — |
Total loans held for sale, at fair value | 2,733 |  | — |  | 2,733 |  | — |
Mortgage servicing rights | 1,029 |  | — |  | — |  | 1,029 |
Derivative assets: |  |  |  |
Interest rate contracts | 692 |  | — |  | 692 |  | — |
Foreign exchange contracts | 263 |  | — |  | 263 |  | — |
Commodities contracts | 508 |  | — |  | 508 |  | — |
TBA contracts | 8 |  | — |  | 8 |  | — |
Other contracts | 38 |  | — |  | — |  | 38 |
Total derivative assets | 1,509 |  | — |  | 1,471 |  | 38 |
Equity securities, at fair value(1) | 102 |  | 95 |  | 7 |  | — |
Total assets | $31,440 |  | $106 |  | $30,267 |  | $1,067 |
Derivative liabilities: |  |  |  |
Interest rate contracts | $176 |  | $— |  | $176 |  | $— |
Foreign exchange contracts | 231 |  | — |  | 231 |  | — |
Commodities contracts | 505 |  | — |  | 505 |  | — |
TBA contracts | 8 |  | — |  | 8 |  | — |
Other contracts | 2 |  | — |  | 2 |  | — |
Total derivative liabilities | 922 |  | — |  | 922 |  | — |
Total liabilities | $922 |  | $— |  | $922 |  | $— |
(1) Excludes investments of $7 million that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. 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 | The following table presents a roll forward 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,
| 2021 |  | 2020
(in millions) | Mortgage Servicing Rights |  |  |  | Other Derivative Contracts |  | Mortgage Servicing Rights |  | Asset-Backed Securities |  | Other Derivative Contracts
Beginning balance | $658 |  |  |  |  | $197 |  |  | $642 |  |  | $— |  |  | $19 |
Transfers upon election of fair value method(1) | — |  |  |  |  | — |  |  | 190 |  |  | — |  |  | — |
Beginning balance, adjusted | 658 |  |  |  |  | 197 |  |  | 832 |  |  | — |  |  | 19 |
Purchases | — |  |  |  |  | — |  |  | — |  |  | 813 |  |  | — |
Issuances | 419 |  |  |  |  | 377 |  |  | 324 |  |  | — |  |  | 900 |
Settlements(2) | (212) |  |  |  |  | (328) |  |  | (196) |  |  | — |  |  | (1,133) |
Changes in fair value during the period recognized in earnings(3) | 164 |  |  |  |  | (208) |  |  | (302) |  |  | — |  |  | 411 |
Transfer from AFS to HTM(4) | — |  |  |  |  | — |  |  | — |  |  | (813) |  |  | — |
Ending balance | $1,029 |  |  |  |  | $38 |  |  | $658 |  |  | $— |  |  | $197 |
(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) 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 11 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, 2021
|  | Valuation Technique | Unobservable Input | Range (Weighted Average)
Mortgage servicing rights |  | Discounted Cash Flow | Constant prepayment rate | 9.40-26.32% CPR (10.70% CPR)
| Option adjusted spread | 370-1,228 bps (596 bps)
Other derivative contracts |  | Internal Model | Pull through rate | 9.39-100.00% (77.51%)
| MSR value | (17.00)-168.75 bps (96.13 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) | 2021 |  | 2020 |  | 2019
Collateral-dependent loans | ($27) |  |  | ($82) |  |  | ($34) |
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, 2021 |  | December 31, 2020
(in millions) | Total | Level 1 | Level 2 | Level 3 |  | Total | Level 1 | Level 2 | Level 3
Collateral-dependent loans | $645 |  | $— |  | $645 |  | $— |  |  | $758 |  | $— |  | $758 |  | $— |
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, 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 | $2,242 |  | $2,289 |  |  | $— |  | $— |  |  | $1,505 |  | $1,557 |  |  | $737 |  | $732 |
Other loans held for sale | 735 |  | 735 |  |  | — |  | — |  |  | — |  | — |  |  | 735 |  | 735 |
Loans and leases | 128,163 |  | 128,156 |  |  | — |  | — |  |  | 645 |  | 645 |  |  | 127,518 |  | 127,511 |
Other assets | 624 |  | 624 |  |  | — |  | — |  |  | 609 |  | 609 |  |  | 15 |  | 15 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 154,361 |  | 154,366 |  |  | — |  | — |  |  | 154,361 |  | 154,366 |  |  | — |  | — |
Short-term borrowed funds | 74 |  | 74 |  |  | — |  | — |  |  | 74 |  | 74 |  |  | — |  | — |
Long-term borrowed funds | 6,932 |  | 7,188 |  |  | — |  | — |  |  | 6,932 |  | 7,188 |  |  | — |  | — |
| 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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