FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2021

Balances of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table presents the balances of assets and liabilities measured at fair value on a recurring basis:

TABLE 18.1


(in millions)	Level 1		Level 2		Level 3		Total
September 30, 2021
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	49	$	—	$	—	$	49
U.S. government agencies	—		154		—		154
U.S. government-sponsored entities	—		170		—		170
Residential mortgage-backed securities:
Agency mortgage-backed securities	—		1,311		—		1,311
Agency collateralized mortgage obligations	—		1,183		—		1,183

Commercial mortgage-backed securities	—		306		—		306
States of the U.S. and political subdivisions (municipals)	—		33		—		33
Other debt securities	—		2		—		2
Total debt securities available for sale	49		3,159		—		3,208
Loans held for sale	—		227		—		227





Derivative financial instruments
Trading	—		213		—		213
Not for trading	—		4		13		17
Total derivative financial instruments	—		217		13		230
Total assets measured at fair value on a recurring basis	$	49	$	3,603	$	13	$	3,665
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	41	$	—	$	41
Not for trading	—		—		—		—
Total derivative financial instruments	—		41		—		41
Total liabilities measured at fair value on a recurring basis	$	—	$	41	$	—	$	41


(in millions)	Level 1		Level 2		Level 3		Total
December 31, 2020
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	600	$	—	$	—	$	600
U.S. government agencies	—		172		—		172
U.S. government-sponsored entities	—		161		—		161
Residential mortgage-backed securities:
Agency mortgage-backed securities	—		994		—		994
Agency collateralized mortgage obligations	—		1,124		—		1,124

Commercial mortgage-backed securities	—		378		—		378
States of the U.S. and political subdivisions (municipals)	—		32		—		32
Other debt securities	—		2		—		2
Total debt securities available for sale	600		2,863		—		3,463
Loans held for sale	—		144		—		144





Derivative financial instruments
Trading	—		349		—		349
Not for trading	—		3		24		27
Total derivative financial instruments	—		352		24		376
Total assets measured at fair value on a recurring basis	$	600	$	3,359	$	24	$	3,983
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	37	$	—	$	37
Not for trading	—		3		—		3
Total derivative financial instruments	—		40		—		40
Total liabilities measured at fair value on a recurring basis	$	—	$	40	$	—	$	40

Additional Information about Assets Measured at Fair Value on Recurring Basis

The following table presents additional information about assets measured at fair value on a recurring basis and for which we have utilized Level 3 inputs to determine fair value:

TABLE 18.2


(in millions)	Interest Rate Lock Commitments		Total
Nine Months Ended September 30, 2021
Balance at beginning of period	$	24	$	24




Purchases, issuances, sales and settlements:

Issuances	13		13

Settlements	(24)		(24)


Balance at end of period	$	13	$	13
Year Ended December 31, 2020
Balance at beginning of period	$	3	$	3




Purchases, issuances, sales and settlements:

Issuances	24		24

Settlements	(3)		(3)


Balance at end of period	$	24	$	24

Additional Information about Assets Measured at Fair Value on Non-Recurring Basis

For assets measured at fair value on a non-recurring basis still held at the Balance Sheet date, the following table provides the hierarchy level and the fair value of the related assets or portfolios:

TABLE 18.3


(in millions)	Level 1		Level 2		Level 3		Total
September 30, 2021
Collateral dependent loans	$	—	$	—	$	9	$	9
Other assets - MSRs	—		—		15		15
Other assets - SBA servicing asset	—		—		4		4
Other real estate owned	—		—		1		1
December 31, 2020
Collateral dependent loans	$	—	$	—	$	45	$	45
Other assets - MSRs	—		—		36		36
Other assets - SBA servicing asset	—		—		3		3
Other real estate owned	—		—		3		3

Fair Values of Financial Instruments

The fair values of our financial instruments are as follows:

TABLE 18.4


					Fair Value Measurements
(in millions)	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
September 30, 2021
Financial Assets
Cash and cash equivalents	$	4,110	$	4,110	$	4,110	$	—	$	—
Debt securities available for sale	3,208		3,208		49		3,159		—
Debt securities held to maturity	3,202		3,267		1		3,266		—
Net loans and leases, including loans held for sale	24,620		24,224		—		227		23,997
Loan servicing rights	46		47		—		—		47

Derivative assets	230		230		—		217		13
Accrued interest receivable	76		76		76		—		—
Financial Liabilities
Deposits	31,444		31,456		28,399		3,057		—
Short-term borrowings	1,563		1,565		1,565		—		—
Long-term borrowings	886		906		—		—		906
Derivative liabilities	41		41		—		41		—
Accrued interest payable	8		8		8		—		—
December 31, 2020
Financial Assets
Cash and cash equivalents	$	1,383	$	1,383	$	1,383	$	—	$	—
Debt securities available for sale	3,463		3,463		600		2,863		—
Debt securities held to maturity	2,868		2,973		—		2,973		—
Net loans and leases, including loans held for sale	25,250		25,012		—		144		24,868
Loan servicing rights	39		39		—		—		39

Derivative assets	376		376		—		352		24
Accrued interest receivable	90		90		90		—		—
Financial Liabilities
Deposits	29,122		29,158		25,460		3,698		—
Short-term borrowings	1,804		1,809		1,809		—		—
Long-term borrowings	1,095		1,068		—		—		1,068
Derivative liabilities	40		40		—		40		—
Accrued interest payable	13		13		13		—		—