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FAIR VALUE MEASUREMENTS (Tables) | 3 Months Ended
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Mar. 31, 2024
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:
| March 31, 2024 |  | December 31, 2023
(dollars 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 | $437 |  | $427 |  | $10 |  |  | $614 |  | $593 |  | $21 |
Commercial and industrial, and commercial real estate loans held for sale, at fair value | 68 |  | 74 |  | (6) |  |  | 62 |  | 69 |  | (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 March 31, 2024:
(dollars in millions) | Total | Level 1 | Level 2 | Level 3
Debt securities available for sale: |  |  |  |
Mortgage-backed securities | $26,122 |  | $— |  | $26,122 |  | $— |
Collateralized loan obligations | 294 |  | — |  | 294 |  | — |
State and political subdivisions | 1 |  | — |  | 1 |  | — |
U.S. Treasury and other | 4,770 |  | 4,770 |  | — |  | — |
Total debt securities available for sale | 31,187 |  | 4,770 |  | 26,417 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 437 |  | — |  | 437 |  | — |
Commercial loans held for sale | 68 |  | — |  | 68 |  | — |
Total loans held for sale, at fair value | 505 |  | — |  | 505 |  | — |
Mortgage servicing rights | 1,564 |  | — |  | — |  | 1,564 |
Derivative assets: |  |  |  |
Interest rate contracts | 481 |  | — |  | 481 |  | — |
Foreign exchange contracts | 389 |  | — |  | 389 |  | — |
Commodities contracts | 711 |  | — |  | 711 |  | — |
TBA contracts | 2 |  | — |  | 2 |  | — |
Other contracts | 8 |  | — |  | — |  | 8 |
Total derivative assets | 1,591 |  | — |  | 1,583 |  | 8 |
Equity securities, at fair value(1) | 118 |  | 118 |  | — |  | — |
Short-term investments | 21 |  | 10 |  | 11 |  | — |
Total assets | $34,986 |  | $4,898 |  | $28,516 |  | $1,572 |
Derivative liabilities: |  |  |  |
Interest rate contracts | $1,316 |  | $— |  | $1,316 |  | $— |
Foreign exchange contracts | 290 |  | — |  | 290 |  | — |
Commodities contracts | 665 |  | — |  | 665 |  | — |
TBA contracts | 5 |  | — |  | 5 |  | — |
Other contracts | — |  | — |  | — |  | — |
Total derivative liabilities | 2,276 |  | — |  | 2,276 |  | — |
Short-term borrowed funds | 9 |  | — |  | 9 |  | — |
Total liabilities | $2,285 |  | $— |  | $2,285 |  | $— |
(1) Excludes investments of $60 million included in other assets in the Consolidated Balance Sheets that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These investments include capital contributions to private investment funds and have unfunded capital commitments of $25 million at March 31, 2024, 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, 2023:
(dollars in millions) | Total | Level 1 | Level 2 | Level 3
Debt securities available for sale: |  |  |  |
Mortgage-backed securities | $24,732 |  | $— |  | $24,732 |  | $— |
Collateralized loan obligations | 664 |  | — |  | 664 |  | — |
State and political subdivisions | 1 |  | — |  | 1 |  | — |
U.S. Treasury and other | 4,380 |  | 4,380 |  | — |  | — |
Total debt securities available for sale | 29,777 |  | 4,380 |  | 25,397 |  | — |
Loans held for sale, at fair value: |  |  |  |
Residential loans held for sale | 614 |  | — |  | 614 |  | — |
Commercial loans held for sale | 62 |  | — |  | 62 |  | — |
Total loans held for sale, at fair value | 676 |  | — |  | 676 |  | — |
Mortgage servicing rights | 1,552 |  | — |  | — |  | 1,552 |
Derivative assets: |  |  |  |
Interest rate contracts | 464 |  | — |  | 464 |  | — |
Foreign exchange contracts | 434 |  | — |  | 434 |  | — |
Commodities contracts | 685 |  | — |  | 685 |  | — |
TBA contracts | 3 |  | — |  | 3 |  | — |
Other contracts | 7 |  | — |  | — |  | 7 |
Total derivative assets | 1,593 |  | — |  | 1,586 |  | 7 |
Equity securities, at fair value(1) | 115 |  | 115 |  | — |  | — |
Total assets | $33,713 |  | $4,495 |  | $27,659 |  | $1,559 |
Derivative liabilities: |  |  |  |
Interest rate contracts | $1,149 |  | $— |  | $1,149 |  | $— |
Foreign exchange contracts | 378 |  | — |  | 378 |  | — |
Commodities contracts | 640 |  | — |  | 640 |  | — |
TBA contracts | 16 |  | — |  | 16 |  | — |
Other contracts | — |  | — |  | — |  | — |
Total derivative liabilities | 2,183 |  | — |  | 2,183 |  | — |
Total liabilities | $2,183 |  | $— |  | $2,183 |  | $— |
(1) Excludes investments of $58 million included in other assets in the Consolidated Balance Sheets that are measured at fair value using the net asset value per share (or its equivalent) practical expedient. These investments include capital contributions to private investment funds and have unfunded capital commitments of $28 million at December 31, 2023, 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.
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 and liabilities measured at fair value on a recurring basis and classified as Level 3:
| Three Months Ended March 31, 2024 |  |
(dollars in millions) | Mortgage Servicing Rights | Other Derivative Contracts |  |  |
Beginning balance | $1,552 |  | $7 |  |  |  |
Issuances | 18 |  | 13 |  |  |  |
Settlements(1) | (46) |  | (10) |  |  |  |
Changes in fair value during the period recognized in earnings(2) | 40 |  | (2) |  |  |  |
Ending balance | $1,564 |  | $8 |  |  |  |
| Three Months Ended March 31, 2023 |  |
(dollars in millions) | Mortgage Servicing Rights | Other Derivative Contracts |  |  |
Beginning balance | $1,530 |  | $1 |  |  |  |
Issuances | 21 |  | 15 |  |  |  |
Settlements(1) | (41) |  | (5) |  |  |  |
Changes in fair value during the period recognized in earnings(2) | (14) |  | 2 |  |  |  |
Ending balance | $1,496 |  | $13 |  |  |  |
(1) For MSRs, 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. For other derivative contracts, represents the closeout of interest rate lock commitments. (2) 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 significant unobservable inputs utilized to measure the fair value of Level 3 assets and liabilities.
|  |  | As of March 31, 2024 |  | As of December 31, 2023
Financial Instrument | Valuation Technique | Unobservable Input | Range (Weighted Average) |  | Range (Weighted Average)
Mortgage servicing rights | Discounted Cash Flow | Constant prepayment rate | 5.76-17.58% CPR (6.96% CPR) |  | 6.70-14.55% CPR (7.23% CPR)
Option adjusted spread | 398-1,058 bps (632 bps) |  | 398-1,058 bps (630 bps)
Other derivative contracts | Internal Model | Pull through rate | 24.12-100.00% (76.07%) |  | 24.90-99.70% (80.34%)
MSR value | 7.20-153.60 bps (100.58 bps) |  | (8.90)-141.24 bps (88.04 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 March 31, |  |
(dollars in millions) | 2024 |  | 2023 |  |  |  |
Collateral-dependent loans | ($56) |  |  | ($4) |  |  |  |  |
Fair value of assets and liabilities measured on a nonrecurring basis | The following table presents assets measured at fair value on a nonrecurring basis:
| March 31, 2024 |  | December 31, 2023
(dollars in millions) | Total | Level 1 | Level 2 | Level 3 |  | Total | Level 1 | Level 2 | Level 3
Collateral-dependent loans | $881 |  | $— |  | $881 |  | $— |  |  | $789 |  | $— |  | $789 |  | $— |
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 Consolidated Financial Statements. The carrying amounts are recorded in the Consolidated Balance Sheets under the indicated captions:
| March 31, 2024
| Total |  | Level 1 |  | Level 2 |  | Level 3
(dollars 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 | $9,054 |  | $8,132 |  |  | $— |  | $— |  |  | $8,587 |  | $7,682 |  |  | $467 |  | $450 |
Other loans held for sale | 50 |  | 50 |  |  | — |  | — |  |  | — |  | — |  |  | 50 |  | 50 |
Net loans and leases | 141,102 |  | 137,760 |  |  | — |  | — |  |  | 881 |  | 881 |  |  | 140,221 |  | 136,879 |
Other assets | 791 |  | 791 |  |  | — |  | — |  |  | 768 |  | 768 |  |  | 23 |  | 23 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 176,428 |  | 176,162 |  |  | — |  | — |  |  | 176,428 |  | 176,162 |  |  | — |  | — |
Short-term borrowed funds | 9 |  | 9 |  |  | — |  | — |  |  | 9 |  | 9 |  |  | — |  | — |
Long-term borrowed funds | 13,804 |  | 13,421 |  |  | — |  | — |  |  | 13,804 |  | 13,421 |  |  | — |  | — |
| December 31, 2023
| Total |  | Level 1 |  | Level 2 |  | Level 3
(dollars 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 | $9,184 |  | $8,350 |  |  | $— |  | $— |  |  | $8,696 |  | $7,887 |  |  | $488 |  | $463 |
Other loans held for sale | 103 |  | 103 |  |  | — |  | — |  |  | — |  | — |  |  | 103 |  | 103 |
Net loans and leases | 143,861 |  | 140,504 |  |  | — |  | — |  |  | 789 |  | 789 |  |  | 143,072 |  | 139,715 |
Other assets | 869 |  | 869 |  |  | — |  | — |  |  | 851 |  | 851 |  |  | 18 |  | 18 |
Financial liabilities: |  |  |  |  |  |  |  |  |  |  |
Deposits | 177,342 |  | 177,096 |  |  | — |  | — |  |  | 177,342 |  | 177,096 |  |  | — |  | — |
Short-term borrowed funds | 505 |  | 505 |  |  | — |  | — |  |  | 505 |  | 505 |  |  | — |  | — |
Long-term borrowed funds | 13,467 |  | 13,012 |  |  | — |  | — |  |  | 13,467 |  | 13,012 |  |  | — |  | — |

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