XML 73 R54.htm IDEA: XBRL DOCUMENT v3.24.0.1
Fair Values of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2023
Fair Value Disclosures [Abstract]  
Valuation Assumption Ranges for MSRs
The following table shows the significant valuation assumption ranges for MSRs at December 31, 2023:
 Minimum Maximum
Weighted- Average(a)
Expected prepayment7 %23 %10 %
Option adjusted spread4 11 5 
(a)Determined based on the relative fair value of the related mortgage loans serviced.
Valuation Assumption Ranges for Derivative Commitments
The following table shows the significant valuation assumption ranges for the Company’s derivative commitments to purchase and originate mortgage loans at December 31, 2023:
 Minimum Maximum
Weighted- Average(a)
Expected loan close rate17 %99 %74 %
Inherent MSR value (basis points per loan)48 177 97 
(a)Determined based on the relative fair value of the related mortgage loans.
Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table summarizes the balances of assets and liabilities measured at fair value on a recurring basis:
(Dollars in Millions)Level 1Level 2Level 3Netting Total
December 31, 2023     
Available-for-sale securities     
U.S. Treasury and agencies$14,787 $4,755 $— $— $19,542 
Mortgage-backed securities     
Residential agency— 26,078 — — 26,078 
Commercial     
Agency— 7,343 — — 7,343 
Non-agency— 6 — — 6 
Asset-backed securities— 6,724 — — 6,724 
Obligations of state and political subdivisions— 9,989 — — 9,989 
Other— 24 — — 24 
Total available-for-sale14,787 54,919 — — 69,706 
Mortgage loans held for sale— 2,011 — — 2,011 
Mortgage servicing rights— — 3,377 — 3,377 
Derivative assets— 5,078 1,453 (3,666)2,865 
Other assets550 1,991 — — 2,541 
Total$15,337 $63,999 $4,830 $(3,666)$80,500 
Time deposits$— $2,818 $— $— $2,818 
Derivative liabilities16 4,955 3,338 (3,720)4,589 
Short-term borrowings and other liabilities(a)
517 1,786 — — 2,303 
Total$533 $9,559 $3,338 $(3,720)$9,710 
December 31, 2022     
Available-for-sale securities     
U.S. Treasury and agencies$13,723 $8,310 $— $— $22,033 
Mortgage-backed securities     
Residential agency— 29,271 — — 29,271 
Commercial
Agency— 7,145 — — 7,145 
Non-agency— 7 — — 7 
Asset-backed securities— 4,323 — — 4,323 
Obligations of state and political subdivisions— 10,124 1 — 10,125 
Other— 6 — — 6 
Total available-for-sale13,723 59,186 1 — 72,910 
Mortgage loans held for sale— 1,849 — — 1,849 
Mortgage servicing rights— — 3,755 — 3,755 
Derivative assets9 6,608 1,255 (5,427)2,445 
Other assets248 1,756 — — 2,004 
Total$13,980 $69,399 $5,011 $(5,427)$82,963 
Derivative liabilities$4 $6,241 $4,454 $(4,551)$6,148 
Short-term borrowings and other liabilities(a)
125 1,564 — — 1,689 
Total$129 $7,805 $4,454 $(4,551)$7,837 
Note: Excluded from the table above are equity investments without readily determinable fair values. The Company has elected to carry these investments at historical cost, adjusted for impairment and any changes resulting from observable price changes for identical or similar investments of the issuer. The aggregate carrying amount of these equity investments was $133 million and $104 million at December 31, 2023 and 2022, respectively. The Company recorded a $5 million impairment on these equity investments during 2023, and the cumulative impairment on these equity investments is $5 million at December 31, 2023. The Company has not recorded adjustments for observable price changes on these equity investments during 2023 and 2022, or on a cumulative basis.
(a)Primarily represents the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
Changes in Fair Value for Assets Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following table presents the changes in fair value for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31:
(Dollars in Millions)
Beginning of Period Balance
Net Gains (Losses) Included in Net Income Net Gains (Losses) Included in Other Comprehensive Income (Loss)PurchasesSales
Principal Payments
Issuances Settlements
End of Period Balance
 Net Change in Unrealized Gains (Losses) Relating to Assets and Liabilities Held at End of Period
2023             
Available-for-sale securities             
Obligations of state and political subdivisions$1 $—  $— $— $— $(1)$—  $— $— $—  
Total available-for-sale1 —  — — — (1)—  — — —  
Mortgage servicing rights3,755 (316)
(a)
— 5 (440)— 373 
(c)
— 3,377 (316)
(a)
Net derivative assets and liabilities(3,199)(2,696)
(b)
— 552 (45)— 1  3,502 (1,885)(183)
(d)
2022             
Available-for-sale securities             
Asset-backed securities$7 $—  $(3)$— $(4)$— $—  $— $— $—  
Obligations of state and political subdivisions1 —  — — — — —  — 1 —  
Total available-for-sale8 —  (3)— (4)— —  — 1 —  
Mortgage servicing rights2,953 311 
(a)
— 156 (255)— 590 
(c)
— 3,755 311 
(a)
Net derivative assets and liabilities799 (5,940)
(e)
— 716 (36)— 11  1,251 (3,199)(3,538)
(f)
2021             
Available-for-sale securities             
Asset-backed securities$7 $—  $1 $— $— $(1)$—  $— $7 $1  
Obligations of state and political subdivisions1 —  — — — — —  — 1 —  
Total available-for-sale8 —  1 — — (1)—  — 8 1  
Mortgage servicing rights2,210 (437)
(a)
— 42 2 — 1,136 
(c)
— 2,953 (437)
(a)
Net derivative assets and liabilities2,326 (924)
(g)
— 337 (3)— —  (937)799 (968)
(h)
(a)Included in mortgage banking revenue.
(b)Approximately $182 million, $(2.9) billion and $1 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(c)Represents MSRs capitalized during the period.
(d)Approximately $15 million, $(199) million and $1 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(e)Approximately $(141) million, $(5.6) billion and $(181) million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(f)Approximately $5 million, $(3.4) billion and $(181) million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(g)Approximately $666 million, $(1.6) billion and $5 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(h)Approximately $42 million, $(1.0) billion and $5 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
Changes in Fair Value for Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following table presents the changes in fair value for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31:
(Dollars in Millions)
Beginning of Period Balance
Net Gains (Losses) Included in Net Income Net Gains (Losses) Included in Other Comprehensive Income (Loss)PurchasesSales
Principal Payments
Issuances Settlements
End of Period Balance
 Net Change in Unrealized Gains (Losses) Relating to Assets and Liabilities Held at End of Period
2023             
Available-for-sale securities             
Obligations of state and political subdivisions$1 $—  $— $— $— $(1)$—  $— $— $—  
Total available-for-sale1 —  — — — (1)—  — — —  
Mortgage servicing rights3,755 (316)
(a)
— 5 (440)— 373 
(c)
— 3,377 (316)
(a)
Net derivative assets and liabilities(3,199)(2,696)
(b)
— 552 (45)— 1  3,502 (1,885)(183)
(d)
2022             
Available-for-sale securities             
Asset-backed securities$7 $—  $(3)$— $(4)$— $—  $— $— $—  
Obligations of state and political subdivisions1 —  — — — — —  — 1 —  
Total available-for-sale8 —  (3)— (4)— —  — 1 —  
Mortgage servicing rights2,953 311 
(a)
— 156 (255)— 590 
(c)
— 3,755 311 
(a)
Net derivative assets and liabilities799 (5,940)
(e)
— 716 (36)— 11  1,251 (3,199)(3,538)
(f)
2021             
Available-for-sale securities             
Asset-backed securities$7 $—  $1 $— $— $(1)$—  $— $7 $1  
Obligations of state and political subdivisions1 —  — — — — —  — 1 —  
Total available-for-sale8 —  1 — — (1)—  — 8 1  
Mortgage servicing rights2,210 (437)
(a)
— 42 2 — 1,136 
(c)
— 2,953 (437)
(a)
Net derivative assets and liabilities2,326 (924)
(g)
— 337 (3)— —  (937)799 (968)
(h)
(a)Included in mortgage banking revenue.
(b)Approximately $182 million, $(2.9) billion and $1 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(c)Represents MSRs capitalized during the period.
(d)Approximately $15 million, $(199) million and $1 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(e)Approximately $(141) million, $(5.6) billion and $(181) million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(f)Approximately $5 million, $(3.4) billion and $(181) million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(g)Approximately $666 million, $(1.6) billion and $5 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
(h)Approximately $42 million, $(1.0) billion and $5 million included in mortgage banking revenue, commercial products revenue and other non-interest income, respectively.
Assets Measured at Fair Value on Nonrecurring Basis
The following table summarizes the balances as of the measurement date of assets measured at fair value on a nonrecurring basis, and still held as of December 31:
 20232022
(Dollars in Millions)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Loans(a)
$— $— $354 $354 $— $— $97 $97 
Other assets(b)
— — 27 27 — — 21 21 
(a)Represents the carrying value of loans for which adjustments were based on the fair value of the collateral, excluding loans fully charged-off.
(b)Primarily represents the fair value of foreclosed properties that were measured at fair value based on an appraisal or broker price opinion of the collateral subsequent to their initial acquisition.
Losses Recognized Related to Nonrecurring Fair Value Measurements
The following table summarizes losses recognized related to nonrecurring fair value measurements of individual assets or portfolios for the years ended December 31:
(Dollars in Millions)202320222021
Loans(a)
$368 $40 $60 
Other assets(b)
32 20 25 
(a)Represents write-downs of loans which were based on the fair value of the collateral, excluding loans fully charged-off.
(b)Primarily represents related losses of foreclosed properties that were measured at fair value subsequent to their initial acquisition.
Differences Between Aggregate Fair Value Carrying Amount of MLHFS for which Fair Value Option has been Elected and Aggregate Unpaid Principal Amount Contractually Obligated to Receive at Maturity
The following table summarizes the differences between the aggregate fair value carrying amount of the assets and liabilities for which the fair value option has been elected and the aggregate remaining contractual principal balance outstanding as of December 31:
 20232022
(Dollars in Millions)Fair Value Carrying AmountContractual Principal OutstandingCarrying Amount Over (Under) Contractual Principal OutstandingFair Value Carrying AmountContractual Principal OutstandingCarrying Amount Over (Under) Contractual Principal Outstanding
Total loans(a)
$2,011 $1,994 $17 $1,849 $1,848 $1 
Time deposits2,818 2,822 (4)— — — 
(a)Includes nonaccrual loans of $1 million carried at fair value with contractual principal outstanding of $1 million at December 31, 2023 and $1 million carried at fair value with contractual principal outstanding of $1 million at December 31, 2022. Includes loans 90 days or more past due of $4 million carried at fair value with contractual principal outstanding of $4 million at December 31, 2023 and $1 million carried at fair value with contractual principal outstanding of $1 million at December 31, 2022.
Estimated Fair Values of Financial Instruments
The estimated fair values of the Company’s financial instruments as of December 31, are shown in the table below:
 20232022
 
Carrying Amount
Fair Value
Carrying Amount
Fair Value
(Dollars in Millions)Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
 
Financial Assets          
Cash and due from banks$61,192 $61,192 $— $— $61,192 $53,542 $53,542 $— $— $53,542 
Federal funds sold and securities purchased under resale agreements2,543 — 2,543 — 2,543 356 — 356 — 356 
Investment securities held-to-maturity84,045 1,310 72,778 — 74,088 88,740 1,293 76,581 — 77,874 
Loans held for sale(a)
190 — — 190 190 351 — — 351 351 
Loans366,456 — — 362,849 362,849 381,277 — — 368,874 368,874 
Other(b)
2,377 — 1,863 514 2,377 2,962 — 2,224 738 2,962 
Financial Liabilities          
Time deposits(c)
49,455 — 49,607 — 49,607 32,946 — 32,338 — 32,338 
Short-term borrowings(d)
12,976 — 12,729 — 12,729 29,527 — 29,145 — 29,145 
Long-term debt51,480 — 49,697 — 49,697 39,829 — 37,622 — 37,622 
Other(e)
5,432 — 1,406 4,026 5,432 5,137 — 1,500 3,637 5,137 
(a)Excludes mortgages held for sale for which the fair value option under applicable accounting guidance was elected.
(b)Includes investments in Federal Reserve Bank and Federal Home Loan Bank stock and tax-advantaged investments.
(c)Excludes time deposits for which the fair value option under applicable accounting guidance was elected.
(d)Excludes the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
(e)Includes operating lease liabilities and liabilities related to tax-advantaged investments.