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FAIR VALUE MEASUREMENTS (Tables) | 9 Months Ended
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Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Fair value option | 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, 2022 |  | December 31, 2021
(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 | $954 |  | $986 |  | ($32) |  |  | $2,657 |  | $2,591 |  | $66 |
Commercial and industrial, and commercial real estate loans held for sale, at fair value | 94 |  | 115 |  | (21) |  |  | 76 |  | 79 |  | (3) |
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, 2022:
(in millions) | Total | Level 1 | Level 2 | Level 3
Debt securities available for sale: |  |  |  |
Mortgage-backed securities | $18,933 |  | $— |  | $18,933 |  | $— |
Collateralized loan obligations | 1,192 |  | — |  | 1,192 |  | — |
State and political subdivisions | 3 |  | — |  | 3 |  | — |
U.S. Treasury and other | 3,350 |  | 3,350 |  | — |  | — |
Total debt securities available for sale | 23,478 |  | 3,350 |  | 20,128 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 954 |  | — |  | 954 |  | — |
Commercial loans held for sale | 94 |  | — |  | 94 |  | — |
Total loans held for sale, at fair value | 1,048 |  | — |  | 1,048 |  | — |
Mortgage servicing rights | 1,524 |  | — |  | — |  | 1,524 |
Derivative assets: |  |  |  |
Interest rate contracts | 385 |  | — |  | 385 |  | — |
Foreign exchange contracts | 907 |  | — |  | 907 |  | — |
Commodities contracts | 1,382 |  | — |  | 1,382 |  | — |
TBA contracts | 95 |  | — |  | 95 |  | — |
Other contracts | 2 |  | — |  | — |  | 2 |
Total derivative assets | 2,771 |  | — |  | 2,769 |  | 2 |
Equity securities, at fair value(1) | 120 |  | 120 |  | — |  | — |
Total assets | $28,941 |  | $3,470 |  | $23,945 |  | $1,526 |
Derivative liabilities: |  |  |  |
Interest rate contracts | $1,830 |  | $— |  | $1,830 |  | $— |
Foreign exchange contracts | 879 |  | — |  | 879 |  | — |
Commodities contracts | 1,380 |  | — |  | 1,380 |  | — |
TBA contracts | 23 |  | — |  | 23 |  | — |
Other contracts | 35 |  | — |  | — |  | 35 |
Total derivative liabilities | 4,147 |  | — |  | 4,112 |  | 35 |
Total liabilities | $4,147 |  | $— |  | $4,112 |  | $35 |
(1) Excludes investments of $31 million that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These nonredeemable investments include capital contributions to private investment funds and have unfunded capital commitments of $31 million at September 30, 2022, which may be called at any time during prescribed time periods. The credit exposure is generally limited to the carrying amount of investments made and unfunded capital commitments. 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.
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, 2022 |  | Nine Months Ended September 30, 2022
(in millions) | Mortgage Servicing Rights | Other Derivative Contracts |  | Mortgage Servicing Rights | Other Derivative Contracts
Beginning balance | $1,411 |  | $11 |  |  | $1,029 |  | $38 |
Issuances | 70 |  | 20 |  |  | 244 |  | 84 |
Acquisitions(1) | — |  | — |  |  | 16 |  | — |
Settlements(2) | (31) |  | 2 |  |  | (102) |  | 134 |
Changes in fair value during the period recognized in earnings(3) | 74 |  | (66) |  |  | 337 |  | (289) |
Ending balance | $1,524 |  | ($33) |  |  | $1,524 |  | ($33) |
| 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 |
(1) Represents MSRs acquired as part of the Investors acquisition. (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, 2022
| Valuation Technique | Unobservable Input | Range (Weighted Average)
Mortgage servicing rights | Discounted Cash Flow | Constant prepayment rate | 6.13-11.59% CPR (6.8% CPR)
Option adjusted spread | 398-1,058 bps (627 bps)
Other derivative contracts | Internal Model | Pull through rate | 38.70-99.90% (84.73%)
MSR value | 10.82-148.00 bps (98.35 bps)
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) | 2022 |  | 2021 |  | 2022 |  | 2021
Collateral-dependent loans | $— |  |  | ($4) |  |  | ($3) |  |  | ($23) |
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, 2022 |  | December 31, 2021
(in millions) | Total | Level 1 | Level 2 | Level 3 |  | Total | Level 1 | Level 2 | Level 3
Collateral-dependent loans | $555 |  | $— |  | $555 |  | $— |  |  | $645 |  | $— |  | $645 |  | $— |
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, 2022
| 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 | $10,071 |  | $9,373 |  |  | $— |  | $— |  |  | $9,457 |  | $8,804 |  |  | $614 |  | $569 |
Other loans held for sale | 914 |  | 909 |  |  | — |  | — |  |  | — |  | — |  |  | 914 |  | 909 |
Loans and leases | 156,140 |  | 150,566 |  |  | — |  | — |  |  | 555 |  | 555 |  |  | 155,585 |  | 150,011 |
Other assets | 1,113 |  | 1,113 |  |  | — |  | — |  |  | 1,098 |  | 1,098 |  |  | 15 |  | 15 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 178,566 |  | 178,417 |  |  | — |  | — |  |  | 178,566 |  | 178,417 |  |  | — |  | — |
Short-term borrowed funds | 263 |  | 263 |  |  | — |  | — |  |  | 263 |  | 263 |  |  | — |  | — |
Long-term borrowed funds | 16,286 |  | 15,786 |  |  | — |  | — |  |  | 16,286 |  | 15,786 |  |  | — |  | — |
| 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 |  |  | — |  | — |

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