FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2022

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 19.1


(in millions)	Level 1		Level 2		Level 3		Total
June 30, 2022
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	265	$	—	$	—	$	265
U.S. government agencies	—		130		—		130
U.S. government-sponsored entities	—		274		—		274
Residential mortgage-backed securities:
Agency mortgage-backed securities	—		1,377		—		1,377
Agency collateralized mortgage obligations	—		1,103		—		1,103

Commercial mortgage-backed securities	—		371		—		371
States of the U.S. and political subdivisions (municipals)	—		29		—		29
Other debt securities	—		15		2		17
Total debt securities available for sale	265		3,299		2		3,566
Loans held for sale	—		130		—		130





Derivative financial instruments
Trading	—		54		—		54
Not for trading	—		2		1		3
Total derivative financial instruments	—		56		1		57
Total assets measured at fair value on a recurring basis	$	265	$	3,485	$	3	$	3,753
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	250	$	—	$	250
Not for trading	—		1		15		16
Total derivative financial instruments	—		251		15		266
Total liabilities measured at fair value on a recurring basis	$	—	$	251	$	15	$	266


(in millions)	Level 1		Level 2		Level 3		Total
December 31, 2021
Assets Measured at Fair Value
Debt securities available for sale
U.S. Treasury	$	204	$	—	$	—	$	204
U.S. government agencies	—		155		—		155
U.S. government-sponsored entities	—		192		—		192
Residential mortgage-backed securities:
Agency mortgage-backed securities	—		1,357		—		1,357
Agency collateralized mortgage obligations	—		1,186		—		1,186

Commercial mortgage-backed securities	—		297		—		297
States of the U.S. and political subdivisions (municipals)	—		33		—		33
Other debt securities	—		2		—		2
Total debt securities available for sale	204		3,222		—		3,426
Loans held for sale	—		269		—		269





Derivative financial instruments
Trading	—		174		—		174
Not for trading	—		2		9		11
Total derivative financial instruments	—		176		9		185
Total assets measured at fair value on a recurring basis	$	204	$	3,667	$	9	$	3,880
Liabilities Measured at Fair Value
Derivative financial instruments
Trading	$	—	$	44	$	—	$	44
Not for trading	—		1		—		1
Total derivative financial instruments	—		45		—		45
Total liabilities measured at fair value on a recurring basis	$	—	$	45	$	—	$	45

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 19.2


(in millions)	Other Debt Securities		Interest Rate Lock Commitments		Total
Six Months Ended June 30, 2022
Balance at beginning of period	$	—	$	9	$	9




Purchases, issuances, sales and settlements:
Purchases	2		—		2
Issuances	—		1		1

Settlements	—		(9)		(9)


Balance at end of period	$	2	$	1	$	3
Year Ended December 31, 2021
Balance at beginning of period	$	—	$	24	$	24




Purchases, issuances, sales and settlements:

Issuances	—		9		9

Settlements	—		(24)		(24)


Balance at end of period	$	—	$	9	$	9

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 19.3


(in millions)	Level 1		Level 2		Level 3		Total
June 30, 2022
Collateral dependent loans	$	—	$	—	$	15	$	15
Other assets - MSRs	—		—		—		—
Other assets - SBA servicing asset	—		—		3		3
Other real estate owned	—		—		2		2
December 31, 2021
Collateral dependent loans	$	—	$	—	$	20	$	20
Other assets - MSRs	—		—		10		10
Other assets - SBA servicing asset	—		—		3		3
Other real estate owned	—		—		2		2

Fair Values of Financial Instruments

The fair values of our financial instruments are as follows:

TABLE 19.4


					Fair Value Measurements
(in millions)	Carrying Amount		Fair Value		Level 1		Level 2		Level 3
June 30, 2022
Financial Assets
Cash and cash equivalents	$	2,029	$	2,029	$	2,029	$	—	$	—
Debt securities available for sale	3,566		3,566		265		3,299		2
Debt securities held to maturity	3,740		3,470		—		3,470		—
Net loans and leases, including loans held for sale	27,830		26,973		—		130		26,843
Loan servicing rights	53		67		—		—		67

Derivative assets	57		57		—		56		1
Accrued interest receivable	86		86		86		—		—
Financial Liabilities
Deposits	33,480		33,415		30,437		2,978		—
Short-term borrowings	1,391		1,383		1,383		—		—
Long-term borrowings	712		719		—		—		719
Derivative liabilities	266		266		—		251		15
Accrued interest payable	11		11		11		—		—
December 31, 2021
Financial Assets
Cash and cash equivalents	$	3,493	$	3,493	$	3,493	$	—	$	—
Debt securities available for sale	3,426		3,426		204		3,222		—
Debt securities held to maturity	3,463		3,506		—		3,506		—
Net loans and leases, including loans held for sale	24,919		24,518		—		269		24,249
Loan servicing rights	47		49		—		—		49

Derivative assets	185		185		—		176		9
Accrued interest receivable	76		76		76		—		—
Financial Liabilities
Deposits	31,726		31,725		28,867		2,858		—
Short-term borrowings	1,536		1,536		1,536		—		—
Long-term borrowings	682		704		—		—		704
Derivative liabilities	45		45		—		45		—
Accrued interest payable	10		10		10		—		—