v3.22.4
Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2022
Fair Value Disclosures [Abstract]  
Fair Value, Assets Measured on Recurring Basis [Table Text Block]
The following table presents assets and liabilities measured at estimated fair value on a recurring basis as of December 31:
 20222021
 Level 1Level 2
Level 3 (1)
Total
Estimated Fair Value		Level 1Level 2
Level 3 (1)
Total
Estimated Fair Value
 (In millions)
Recurring fair value measurements
Debt securities available for sale:
U.S. Treasury securities$1,187 $— $— $1,187 $1,132 $— $— $1,132 
Federal agency securities— 836 — 836 — 92 — 92 
Obligations of states and political subdivisions— 2 — 2 — 4 — 4 
Mortgage-backed securities (MBS):
Residential agency— 16,954 — 16,954 — 18,962 — 18,962 
Residential non-agency— — 1 1 — — 1 1 
Commercial agency— 7,613 — 7,613 — 6,373 — 6,373 
Commercial non-agency— 186 — 186 — 536 — 536 
Corporate and other debt securities— 1,153 1 1,154 — 1,380 1 1,381 
Total debt securities available for sale$1,187 $26,744 $2 $27,933 $1,132 $27,347 $2 $28,481 
Loans held for sale$— $177 $19 $196 $— $693 $90 $783 
Marketable equity securities$529 $— $— $529 $464 $— $— $464 
Residential mortgage servicing rights$— $— $812 $812 $— $— $418 $418 
Derivative assets (2):
Interest rate swaps$— $2,335 $— $2,335 $— $919 $— $919 
Interest rate options— 91 3 94 — 36 12 48 
Interest rate futures and forward commitments— 8 — 8 — 11 — 11 
Other contracts3 169 — 172 — 132 1 133 
Total derivative assets$3 $2,603 $3 $2,609 $— $1,098 $13 $1,111 
Derivative liabilities (2):
Interest rate swaps$— $3,161 $— $3,161 $— $855 $— $855 
Interest rate options— 85 — 85 — 19 — 19 
Interest rate futures and forward commitments— 5 — 5 — 3 — 3 
Other contracts2 124 1 127 — 132 3 135 
Total derivative liabilities$2 $3,375 $1 $3,378 $— $1,009 $3 $1,012 
_________
(1)All following disclosures related to Level 3 recurring assets do not include those deemed to be immaterial.
(2)As permitted under U.S. GAAP, variation margin collateral payments made or received for derivatives that are centrally cleared are legally characterized as settled. As such, these derivative assets and derivative liabilities and the related variation margin collateral are presented on a net basis on the balance sheet.
Rollforward For Assets And Liabilities Measured At Fair Value On A Recurring Basis With Level 3 Significant Unobservable Inputs
The following tables present an analysis for residential MSRs for the years ended December 31, 2022, 2021 and 2020, respectively. An analysis of commercial mortgage loans held for sale, that were acquired in the fourth quarter of 2021, is also presented for the years ended December 31, 2022 and December 31, 2021.
 Residential mortgage servicing rights
For the Years Ended December 31
20222021 2020
(In millions)
Carrying value, beginning of period$418 $296 $345 
Total realized/unrealized gains (losses) included in earnings (1)
49 (27)(157)
Additions44 77 49 
Purchases301 72 59 
Carrying value, end of period$812 $418 $296 
_______
(1) Included in mortgage income. Amounts presented exclude offsetting impact from related derivatives.
 Commercial mortgage loans held for sale
For the Year Ended December 31
20222021
(In millions)
Carrying value, beginning of period$90 $— 
Total realized/unrealized gains (losses) included in earnings (1)
(8)— 
Purchases— 47 
Additions (2)
108 43 
Sales(125)— 
Settlements(46)— 
Carrying value, end of period$19 $90 
_______
(1)Included in capital markets income.
(2)Additions represent originations after the initial fourth quarter 2021 acquisition of commercial mortgage loans held for sale.

RECURRING FAIR VALUE MEASUREMENTS USING SIGNIFICANT UNOBSERVABLE INPUTS
Residential mortgage servicing rights
The significant unobservable inputs used in the fair value measurement of residential MSRs are OAS and CPR. This valuation requires generating cash flow projections over multiple interest rate scenarios and discounting those cash flows at a risk-adjusted rate. Additionally, the impact of prepayments and changes in the OAS are based on a variety of underlying inputs including servicing costs. Increases or decreases to the underlying cash flow inputs will have a corresponding impact on the value of the MSR asset. The net change in unrealized gains (losses) included in earnings related to MSRs held at period end are disclosed as the changes in valuation inputs or assumptions included in the MSR rollforward table in Note 6.
Commercial mortgage loans held for sale
The significant unobservable inputs used in the fair value measurement of commercial mortgage loans held for sale are credit spreads for bonds in commercial mortgage-backed securitization. Commercial mortgage loans held for sale are valued based on traded market prices for comparable commercial mortgage-backed securitizations, into which the loans will be placed, adjusted for movements of interest rates and credit spreads. Increases or decreases in credit spreads would result in an inverse impact to fair value.
Summary Of Quantitative Information About Level 3 Measurements
The following tables present detailed information regarding material assets and liabilities measured at fair value using significant unobservable inputs (Level 3) as of December 31, 2022, 2021 and 2020. The tables include the valuation techniques and the significant unobservable inputs utilized. The range of each significant unobservable input as well as the weighted-average within the range utilized at December 31, 2022, 2021 and 2020 are included. Following the tables are descriptions of the valuation techniques and the sensitivity of the techniques to changes in the significant unobservable inputs.
 December 31, 2022
 
Level 3
Estimated Fair Value at
December 31, 2022
Valuation
Technique		Unobservable
Input(s)		Quantitative Range of
Unobservable Inputs and
(Weighted-Average)
 (Dollars in millions)
Recurring fair value measurements:
Residential mortgage servicing rights (1)
$812Discounted cash flowWeighted-average CPR (%)
6.1% - 15.1% (7.4%)
OAS (%)
4.8% - 8.2% (5.1%)
 December 31, 2021
 
Level 3
Estimated Fair Value at
December 31, 2021
Valuation
Technique		Unobservable
Input(s)		Quantitative Range of
Unobservable Inputs and
(Weighted-Average)
 (Dollars in millions)
Recurring fair value measurements:
Residential mortgage servicing rights (1)
$418Discounted cash flowWeighted-average CPR (%)
7.2% - 22.2% (10.5%)
OAS (%)
3.7% - 7.7% (4.5%)
Commercial mortgage loans held for sale$90Discounted cash flowCredit spreads for bonds in the commercial MBS
0.2% - 19.4% (1.3%)
 December 31, 2020
 
Level 3
Estimated Fair Value at
December 31, 2020
Valuation
Technique		Unobservable
Input(s)		Quantitative Range of
Unobservable Inputs and
(Weighted-Average)
 (Dollars in millions)
Recurring fair value measurements:
Residential mortgage servicing rights (1)
$296Discounted cash flowWeighted-average CPR (%)
8.1% -31.2% (15.6%)
OAS (%)
4.8% - 9.5% (5.6%)
_________
(1)See Note 6 for additional disclosures related to assumptions used in the fair value calculation for residential mortgage servicing rights.
Fair Value Option, Fair Value and Unpaid Principal Balance
The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance for mortgage loans held for sale measured at fair value at December 31:
 20222021
 Aggregate
Fair Value		Aggregate
Unpaid
Principal		Aggregate Fair
Value Less
Aggregate
Unpaid
Principal		Aggregate
Fair Value		Aggregate
Unpaid
Principal		Aggregate Fair
Value Less
Aggregate
Unpaid
Principal
 (In millions)
Residential mortgage loans held for sale, at fair value$160 $157 $3 $680 $659 $21 
Interest income on mortgage loans held for sale is recognized based on contractual rates and is reflected in interest income on loans held for sale. The following table details net gains and losses resulting from changes in fair value of residential mortgage loans held for sale, which were recorded in mortgage income in the consolidated statements of income for the years presented. These changes in fair value are mostly offset by economic hedging activities. An immaterial portion of these amounts was attributable to changes in instrument-specific credit risk.
 20222021
 (In millions)
Net gains (losses) resulting from changes in fair value of residential mortgage loans held for sale$(17)$(56)
Schedule Of Carrying Amounts And Estimated Fair Values Of Financial Instruments
The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company’s financial instruments as of December 31, 2022 are as follows:
 2022
 Carrying
Amount
Estimated
Fair
Value(1)
Level 1Level 2Level 3
 (In millions)
Financial assets:
Cash and cash equivalents$11,227 $11,227 $11,227 $— $— 
Debt securities held to maturity801 751 — 751 — 
Debt securities available for sale27,933 27,933 1,187 26,744 2 
Loans held for sale354 354 — 335 19 
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)
94,044 89,540 — — 89,540 
Other earning assets1,308 1,308 529 779 — 
Derivative assets2,609 2,609 3 2,603 3 
Financial liabilities:
Derivative liabilities3,378 3,378 2 3,375 1 
Deposits(4)
131,743 131,668 — 131,668 — 
Long-term borrowings2,284 2,376 — 2,375 1 
Loan commitments and letters of credit153 153 — — 153 
_________
(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.
(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value discount on the loan portfolio's net carrying amount at December 31, 2022 was $4.5 billion or 4.8 percent.
(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.5 billion at December 31, 2022.
(4)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, money market accounts and certain other time deposit accounts is the amount payable on demand at the reporting date (i.e., the carrying amount). Fair values for certificates of deposit are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.
The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of the Company's financial instruments as of December 31, 2021 are as follows:
 2021
 Carrying
Amount
Estimated
Fair
Value(1)
Level 1Level 2Level 3
 (In millions)
Financial assets:
Cash and cash equivalents$29,411 $29,411 $29,411 $— $— 
Debt securities held to maturity899 950 — 950 — 
Debt securities available for sale28,481 28,481 1,132 27,347 2 
Loans held for sale1,003 1,003 — 899 104 
Loans (excluding leases), net of unearned income and allowance for loan losses(2)(3)
84,866 85,086 — — 85,086 
Other earning assets (4)
1,104 1,104 464 640 — 
Derivative assets1,111 1,111 — 1,098 13 
Financial liabilities:
Derivative liabilities1,012 1,012 — 1,009 3 
Deposits(5)
139,072 139,101 — 139,101 — 
Long-term borrowings2,407 2,847 — 2,845 2 
Loan commitments and letters of credit123 123 — — 123 
_________
(1)Estimated fair values are consistent with an exit price concept. The assumptions used to estimate the fair values are intended to approximate those that a market participant would use in a hypothetical orderly transaction. In estimating fair value, the Company makes adjustments for estimated changes in interest rates, market liquidity and credit spreads in the periods they are deemed to have occurred.
(2)The estimated fair value of portfolio loans assumes sale of the loans to a third-party financial investor. Accordingly, the value to the Company if the loans were held to maturity is not reflected in the fair value estimate. The fair value premium on the loan portfolio's net carrying amount at December 31, 2021 was $220 million or 0.3 percent.
(3)Excluded from this table is the sales-type, direct financing, and leveraged lease carrying amount of $1.4 billion at December 31, 2021.
(4)Excluded from this table is the operating lease carrying amount of $83 million at December 31, 2021.
(5)The fair value of non-interest-bearing demand accounts, interest-bearing checking accounts, savings accounts, money market accounts and certain other time deposit accounts is the amount payable on demand at the reporting date (i.e., the carrying amount). Fair values for certificates of deposit are estimated by using discounted cash flow analyses, based on market spreads to benchmark rates.