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Fair Values of Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2023
Fair Value Disclosures [Abstract]  
Valuation Assumption Ranges for MSRs
The following table shows the significant valuation assumption ranges for MSRs at June 30, 2023:
 
     Minimum     Maximum     Weighted-
Average (a)		  
Expected prepayment
     6 %      19 %      8 % 
Option adjusted spread
     5       11       6  
 
(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 June 30, 2023:
 
     Minimum     Maximum     Weighted-
Average (a)		  
Expected loan close rate
     34 %      100 %      79 % 
Inherent MSR value (basis points per loan)
     63       188       105  
 
(a)
Determined based on the relative fair value of the related mortgage loans.
Balances of 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 1
 
  
Level 2
 
  
Level 3
 
  
Netting
 
 
Total
 
June 30, 2023
 
  
  
  
 
Available-for-sale
securities
 
  
  
  
 
U.S. Treasury and agencies
   $ 14,112      $ 4,856      $ —      $ —     $ 18,968  
Mortgage-backed securities
                                           
Residential agency
     —        25,661        —        —       25,661  
Commercial
                                           
Agency
     —        7,187        —        —       7,187  
Non-agency
     —        6        —        —       6  
Asset-backed securities
     —        7,451        —        —       7,451  
Obligations of state and political subdivisions
     —        9,944        —        —       9,944  
Other
     —        4        —        —       4  
Total
available-for-sale
     14,112        55,109        —        —       69,221  
Mortgage loans held for sale
     —        2,280        —        —       2,280  
Mortgage servicing rights
     —        —        3,633        —       3,633  
Derivative assets
     2        6,051        1,343        (3,295 )     4,101  
Other assets
     470        1,776        —        —       2,246  
Total
   $ 14,584      $ 65,216      $ 4,976      $ (3,295 )   $ 81,481  
Derivative liabilities
   $ —      $ 5,887      $ 4,762      $ (3,037 )   $ 7,612  
Short-term borrowings and other liabilities (a)
     202        1,743        —        —       1,945  
Total
   $ 202      $ 7,630      $ 4,762      $ (3,037 )   $ 9,557  
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-sale
     13,723        59,186        1        —       72,910  
Mortgage loans held for sale
     —        1,849        —        —       1,849  
Mortgage servicing rights
     —        —        3,755        —       3,755  
Derivative assets
     9        6,608        1,255        (5,427 )      2,445  
Other assets
     248        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 $110 million and $104 million at June 30, 2023 and December 31, 2022, respectively. The Company recorded a $5 million impairment on these equity investments during the first six months ended 2023, and the cumulative impairment on these equity investments is $5 million. The Company has not recorded adjustments for observable price changes on these equity investments during the first six months of 2023, 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 All Assets and 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 three months ended June 30:
 
(Dollars in Millions)
 
Beginning
of Period
Balance
 
 
Net Gains
(Losses)
Included in
Net Income
 
 
Purchases
 
 
Sales
 
 
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-sale
 
 
1
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
(1
) 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
Mortgage servicing rights
 
 
3,724
 
 
 
(42
) (a) 
 
 
1
 
 
 
(149)
 
 
 
—
 
 
 
99 
(c) 
 
 
—
 
 
 
3,633
 
 
 
(42
) (a) 
Net derivative assets and liabilities
 
 
(2,265
) 
 
 
(1,927
) (b) 
 
 
(18)
 
 
 
(7)
 
 
 
—
 
 
 
—
 
 
 
798
 
 
 
(3,419
) 
 
 
(1,631
) (d) 
2022
 
 
 
 
 
 
 
 
 
Available-for-sale
securities
 
 
 
 
 
 
 
 
 
Asset-backed securities
 
$
7
 
 
$
(3
) 
 
$
—
 
 
$
(4
) 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Obligations of state and political subdivisions
 
 
1
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
1
 
 
 
—
 
Total
available-for-sale
 
 
8
 
 
 
(3
 )
 
 
 
—
 
 
 
(4
) 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
1
 
 
 
—
 
Mortgage servicing rights
 
 
3,432
 
 
 
170
  (a) 
 
 
3
 
 
 
—
 
 
 
—
 
 
 
102 
(c) 
 
 
—
 
 
 
3,707
 
 
 
170
  (a) 
Net derivative assets and liabilities
 
 
(1,011
) 
 
 
(1,494
) (e) 
 
 
81
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
249
 
 
 
(2,175
) 
 
 
(1,259
) (f) 
 
(a)
Included in mortgage banking revenue.
(b)
Approximately $46 million, $(2.0) billion and $1 million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(c)
Represents MSRs capitalized during the period.
(d)
Approximately $18 million, $(1.7) billion and $1 million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(e)
Approximately $(20) million, $(1.5) billion and $1 million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(f)
Approximately $(3) million, $(1.3) billion and $1 million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
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 six months ended June 30:
 
(Dollars in Millions)
 
Beginning
of Period
Balance
 
 
Net Gains
(Losses)
Included in
Net Income
 
 
Purchases
 
 
Sales
 
 
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-sale
 
 
1
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
(1
) 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
Mortgage servicing rights
 
 
3,755
 
 
 
(171
) (a) 
 
 
2
 
 
 
(148)
 
 
 
—
 
 
 
195 
(c) 
 
 
—
 
 
 
3,633
 
 
 
(171
) (a) 
Net derivative assets and liabilities
 
 
(3,199
) 
 
 
(2,243
) (b) 
 
 
405
 
 
 
(19)
 
 
 
—
 
 
 
—
 
 
 
1,637
 
 
 
(3,419
) 
 
 
(1,242
) (d) 
2022
 
 
 
 
 
 
 
 
 
Available-for-sale
securities
 
 
 
 
 
 
 
 
 
Asset-backed securities
 
$
7
 
 
$
(3
 )
 
$
—
 
 
$
(4
) 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Obligations of state and political subdivisions
 
 
1
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
1
 
 
 
—
 
Total
available-for-sale
 
 
8
 
 
 
(3
) 
 
 
—
 
 
 
(4
) 
 
 
—
 
 
 
—
 
 
 
—
 
 
 
1
 
 
 
—
 
Mortgage servicing rights
 
 
2,953
 
 
 
408
  (a) 
 
 
6
 
 
 
1
 
 
 
—
 
 
 
339 
(c) 
 
 
—
 
 
 
3,707
 
 
 
408
  (a) 
Net derivative assets and liabilities
 
 
799
 
 
 
(3,361
) (e) 
 
 
92
 
 
 
(1
) 
 
 
—
 
 
 
—
 
 
 
296
 
 
 
(2,175
) 
 
 
(2,739
) (f) 
 
(a)
Included in mortgage banking revenue.
(b)
Approximately $98 million, $(2.3) billion and $(1) million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(c)
Represents MSRs capitalized during the period.
(d)
Approximately $18 million, $(1.3) billion and $(1) million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(e)
Approximately $(103) million and $(3.3) billion included in mortgage banking revenue and commercial products revenue, respectively.
(f)
Approximately $(3) million and $(2.7) billion included in mortgage banking revenue and commercial products revenue, respectively.
Adjusted Carrying Values for 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 the reporting date:
 
    June 30, 2023      December 31, 2022  
(Dollars in Millions)   Level 1      Level 2      Level 3      Total      Level 1      Level 2      Level 3      Total  
                 
Loans (a)
   $ —      $ —      $ 156      $ 156      $ —      $ —      $ 97      $ 97  
                 
Other assets (b)
     —        —        19        19        —        —        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 of Individual Assets or Portfolios
The following table summarizes losses recognized related to nonrecurring fair value measurements of individual assets or portfolios:
 
 
 
Three Months Ended
June 30
 
  
Six Months Ended
June 30
 
(Dollars in Millions)
 
2023
 
  
2022
 
  
2023
 
  
2022
 
Loans (a)
   $ 68      $ 22      $ 210      $ 33  
         
Other assets (b)
     —        10        1        11  
 
(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 MLHFS for which the fair value option has been elected and the aggregate unpaid principal amount that the Company is contractually obligated to receive at maturity:
 
    June 30, 2023              December 31, 2022  
(Dollars in Millions)   Fair
Value
Carrying
Amount		      Aggregate
Unpaid
Principal		      Carrying
Amount Over
(Under) Unpaid
Principal		              Fair
Value
Carrying
Amount		      Aggregate
Unpaid
Principal		      Carrying
Amount Over
(Under) Unpaid
Principal		  
Total loans
   $ 2,280      $ 2,277      $ 3               $ 1,849      $ 1,848      $ 1  
Nonaccrual loans
     1        1        —                 1        1        —  
Loans 90 days or more past due
     3        3        —                 1        1        —  
Estimated Fair Values of Financial Instruments
The estimated fair values of the Company’s financial instruments are shown in the table below:
 
    June 30, 2023     December 31, 2022  
   
Carrying
Amount
            Fair Value           
Carrying
Amount
            Fair Value  
(Dollars in Millions)          Level 1     Level 2     Level 3     Total                   Level 1     Level 2     Level 3     Total  
Financial Assets
                            
Cash and due from banks
   $ 70,642       $ 70,642     $ —     $ —     $ 70,642         $ 53,542       $ 53,542     $ —     $ —     $ 53,542  
Federal funds sold and securities purchased under resale agreements
     1,606         —       1,606       —       1,606           356         —       356       —       356  
Investment securities
held-to-maturity
     86,938         1,287       74,998       —       76,285           88,740         1,293       76,581       —       77,874  
Loans held for sale (a)
     81         —       —       81       81           351         —       —       351       351  
Loans
     372,264         —       —       364,104       364,104           381,277         —       —       368,874       368,874  
Other (b)
     3,158         —       2,459       699       3,158           2,962         —       2,224       738       2,962  
Financial Liabilities
                            
Time deposits
     51,969         —       51,664       —       51,664           32,946         —       32,338       —       32,338  
Short-term borrowings (c)
     30,389         —       30,077       —       30,077           29,527         —       29,145       —       29,145  
Long-term debt
     45,283         —       43,007       —       43,007           39,829         —       37,622       —       37,622  
Other (d)
     5,238               —       1,416       3,822       5,238               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 the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
(d)
Includes operating lease liabilities and liabilities related to
tax-advantaged
investments.