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Fair Value

6 Months Ended

Jun. 30, 2022

FAIR VALUE

Fair Value Measurement

We measure certain financial assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or the price that would be paid to transfer a liability on the measurement date, and is determined using an exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. The fair value hierarchy established by GAAP requires us to maximize the use of observable inputs when measuring fair value. For more information regarding the fair value hierarchy, see Note 15 Fair Value in Item 8 of our 2021 Form 10-K. Additionally, for more information regarding the fair value of assets and liabilities from our BBVA acquisition, see Note 2 Acquisition and Divestiture Activity in the Notes To Consolidated Financial Statements included in Item 8 of our 2021 Form 10-K.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

For more information on the valuation methodologies used to measure assets and liabilities at fair value on a recurring basis, see Note 15 Fair Value in Item 8 of our 2021 Form 10-K. The following table summarizes our assets and liabilities measured at fair value on a recurring basis, including instruments for which we have elected the fair value option.

Table 65: Fair Value Measurements – Recurring Basis Summary


	June 30, 2022								December 31, 2021
In millions	Level 1		Level 2		Level 3		Total Fair Value		Level 1		Level 2		Level 3		Total Fair Value
Assets
Residential mortgage loans held for sale			$	793	$	83	$	876			$	1,221	$	81	$	1,302
Commercial mortgage loans held for sale			68		38		106				526		49		575

Securities available for sale
U.S. Treasury and government agencies	$	11,820	1,223				13,043		$	41,873	4,291				46,164
Residential mortgage-backed
Agency			32,179				32,179				67,632				67,632
Non-agency					925		925				61		1,097		1,158
Commercial mortgage-backed
Agency			1,947				1,947				1,773				1,773
Non-agency			1,347		3		1,350				3,433		3		3,436
Asset-backed			5		138		143				6,246		163		6,409
Other			3,330		67		3,397				4,895		69		4,964
Total securities available for sale	11,820		40,031		1,133		52,984		41,873		88,331		1,332		131,536
Loans			488		804		1,292				617		884		1,501
Equity investments (a)	1,269				1,867		3,318		1,373				1,680		3,231
Residential mortgage servicing rights					1,620		1,620						1,078		1,078
Commercial mortgage servicing rights					988		988						740		740
Trading securities (b)	829		1,402				2,231		250		1,601				1,851
Financial derivatives (b) (c)	10		5,369		13		5,392		5		5,109		38		5,152
Other assets	351		85				436		404		114				518
Total assets (d)	$	14,279	$	48,236	$	6,546	$	69,243	$	43,905	$	97,519	$	5,882	$	147,484
Liabilities
Other borrowed funds	$	1,561	$	166	$	3	$	1,730	$	725	$	45	$	3	$	773
Financial derivatives (c) (e)	9		7,368		213		7,590				3,285		285		3,570
Other liabilities					182		182						175		175
Total liabilities (f)	$	1,570	$	7,534	$	398	$	9,502	$	725	$	3,330	$	463	$	4,518

(a)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.

(b)Included in Other assets on the Consolidated Balance Sheet.

(c)Amounts at June 30, 2022 and December 31, 2021 are presented gross and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See Note 13 Financial Derivatives for additional information related to derivative offsetting.

(d)Total assets at fair value as a percentage of total consolidated assets was 13% and 26% as of June 30, 2022 and December 31, 2021, respectively. Level 3 assets as a percentage of total assets at fair value was 10% and 4% at June 30, 2022 and December 31, 2021, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both June 30, 2022 and December 31, 2021 respectively.

(e)Included in Other liabilities on the Consolidated Balance Sheet.

(f)Total liabilities at fair value as a percentage of total consolidated liabilities was 2% and 1% at June 30, 2022 and December 31, 2021, respectively. Level 3 liabilities as a percentage of total liabilities at fair value was 4% and 10% at June 30, 2022 and December 31, 2021, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both June 30, 2022 and December 31, 2021 respectively.

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the six months ended June 30, 2022 and 2021 follow:

Table 66: Reconciliation of Level 3 Assets and Liabilities

Three Months Ended June 30, 2022


			Total realized / unrealized gains or losses for the period (a)																				Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at June 30, 2022 (a) (c)
Level 3 Instruments Only In millions	Fair Value Mar. 31, 2022		Included in Earnings		Included in Other comprehensive income (b)			Purchases		Sales		Issuances		Settlements		Transfers into Level 3		Transfers out of Level 3			Fair Value June 30, 2022
Assets
Residential mortgage loans held for sale	$	108	$	(1)				$	8	$	(30)			$	(4)	$	9	$	(7)	(d)	$	83	$	(1)
Commercial mortgage loans held for sale	45													(7)							38

Securities available for sale
Residential mortgage- backed non-agency	1,019		7			$	(43)							(58)							925
Commercial mortgage- backed non-agency	3																				3
Asset-backed	152		1			(9)								(6)							138
Other	66					(1)		2													67
Total securities available for sale	1,240		8			(53)		2						(64)							1,133
Loans	851		10					7		(1)				(48)				(15)		(d)	804		9
Equity investments	1,751		92					87		(63)											1,867		94
Residential mortgage servicing rights	1,322		163					181				$	17	(63)							1,620		163
Commercial mortgage servicing rights	886		111					17				14		(40)							988		111

Financial derivatives	10		7					2						(6)							13		13

Total assets	$	6,213	$	390		$	(53)	$	304	$	(94)	$	31	$	(232)	$	9	$	(22)		$	6,546	$	389
Liabilities
Other borrowed funds	$	3										$	2	$	(2)						$	3
Financial derivatives	234		$	18						$	3			(42)							213		$	19
Other liabilities	158		14									171		(161)							182		10
Total liabilities	$	395	$	32						$	3	$	173	$	(205)						$	398	$	29
Net gains (losses)			$	358	(e)																		$	360	(f)

(continued from previous page)

Three Months Ended June 30, 2021


			Total realized / unrealized gains or losses for the period (a)																						Unrealized gains/losses for the period on assets and liabilities held on Consolidated Balance Sheet at June 30, 2021 (a) (c)
Level 3 Instruments Only In millions	Fair Value Mar. 31, 2021		Included in Earnings		Included in Other comprehensive income (b)			Purchases		Sales		Issuances		Settlements		Transfers into Level 3		Transfers out of Level 3			Impact from BBVA Acquisition		Fair Value June 30, 2021
Assets
Residential mortgage loans held for sale	$	165	$	(1)				$	3	$	(36)			$	(12)	$	5	$	(5)	(d)			$	119
Commercial mortgage loans held for sale	56		1							(6)				1									52
Securities available for sale																					$	239	239
Residential mortgage- backed non-agency	1,316		11											(90)									1,237
Commercial mortgage-backed non-agency	11																						11
Asset-backed	194					$	2							(21)									175
Other	72					1		2						(2)									73
Total securities available for sale	1,593		11			3		2						(113)									1,496
Loans	711		10					9		(3)				(35)				(5)		(d)	292		979		$	10
Equity investments	1,343		157					92		(52)													1,540		136
Residential mortgage servicing rights	979		(141)					301				$	24	(87)							35		1,111		(141)
Commercial mortgage servicing rights	701		(19)					8				21		(29)									682		(18)

Financial derivatives	63		60					2						(43)							5		87		57

Total assets	$	5,611	$	78		$	3	$	417	$	(97)	$	45	$	(318)	$	5	$	(10)		$	571	$	6,305	$	44
Liabilities
Other borrowed funds	$	2																					$	2
Financial derivatives	227		$	4						$	1			$	(39)						$	7	200		$	19
Other liabilities	73		28									$	287	(264)									124		27
Total liabilities	$	302	$	32						$	1	$	287	$	(303)						$	7	$	326	$	46
Net gains (losses)			$	46	(e)																				$	(2)	(f)

(continued from previous page)

Six Months Ended June 30, 2022


			Total realized / unrealized gains or losses for the period (a)																				Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at June 30, 2022 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2021		Included in Earnings		Included in Other comprehensive income (b)			Purchases		Sales		Issuances		Settlements		Transfers into Level 3		Transfers out of Level 3			Fair Value June 30, 2022
Assets
Residential mortgage loans held for sale	$	81	$	(2)				$	45	$	(32)			$	(9)	$	14	$	(14)	(d)	$	83	$	(2)
Commercial mortgage loans held for sale	49		(4)											(7)							38		(4)
Other consumer loans held for sale
Securities available for sale
Residential mortgage- backed non-agency	1,097		15			$	(66)							(121)							925
Commercial mortgage- backed non-agency	3																				3
Asset-backed	163		1			(13)								(13)							138
Other	69					(2)		3						(3)							67
Total securities available for sale	1,332		16			(81)		3						(137)							1,133
Loans	884		21					20		(8)				(97)				(16)		(d)	804		21
Equity investments	1,680		145					116		(74)											1,867		146
Residential mortgage servicing rights	1,078		370					257				$	38	(123)							1,620		371
Commercial mortgage servicing rights	740		262					25				35		(74)							988		262

Financial derivatives	38		(6)					3						(22)							13		12

Total assets	$	5,882	$	802		$	(81)	$	469	$	(114)	$	73	$	(469)	$	14	$	(30)		$	6,546	$	806
Liabilities
Other borrowed funds	$	3										$	4	$	(4)						$	3
Financial derivatives	285		$	23						$	6			(101)							213		$	18
Other liabilities	175		21									242		(256)							182		15
Total liabilities	$	463	$	44						$	6	$	246	$	(361)						$	398	$	33
Net gains (losses)			$	758	(e)																		$	773	(f)

(continued from previous page)

Six Months Ended June 30, 2021


			Total realized / unrealized gains or losses for the period (a)																							Unrealized gains / losses for the period on assets and liabilities held on Consolidated Balance Sheet at June 30, 2022 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2020		Included in Earnings		Included in Other comprehensive income (b)			Purchases		Sales		Issuances		Settlements			Transfers into Level 3		Transfers out of Level 3			Impact from BBVA Acquisition		Fair Value June 30, 2021
Assets
Residential mortgage loans held for sale	$	163						$	38	$	(52)			$	(28)		$	8	$	(10)	(d)			$	119
Commercial mortgage loans held for sale	57									(6)				1										52		$	1
Other consumer loans held for sale																						$	239	239
Securities available for sale
Residential mortgage- backed non-agency	1,365		$	20		$	16							(164)										1,237
Commercial mortgage- backed non-agency	11																							11
Asset-backed	199		1			5								(30)										175
Other	72					1		3						(3)										73
Total securities available for sale	1,647		21			22		3						(197)										1,496
Loans	647		20					97		(6)				(63)		(d)			(8)		(d)	292		979		20
Equity investments	1,263		224					132		(79)														1,540		199
Residential mortgage servicing rights	673		154					372				$	37	(160)								35		1,111		154
Commercial mortgage servicing rights	569		110					21				39		(57)										682		111

Financial derivatives	118		46					3						(85)								5		87		46

Total assets	$	5,137	$	575		$	22	$	666	$	(143)	$	76	$	(589)		$	8	$	(18)		$	571	$	6,305	$	531
Liabilities
Other borrowed funds	$	2										$	1	$	(1)									$	2
Financial derivatives	273		$	(10)						$	3			(73)								$	7	200		$	(11)
Other liabilities	43		63									317		(299)										124		31
Total liabilities	$	318	$	53						$	3	$	318	$	(373)							$	7	$	326	$	20
Net gains (losses)			$	522	(e)																					$	511	(f)

(a)Losses for assets are bracketed while losses for liabilities are not.

(b)The difference in unrealized gains and losses for the period included in Other comprehensive income and changes in unrealized gains and losses for the period included in Other comprehensive income for securities available for sale held at the end of the reporting period were insignificant.

(c)The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.

(d)Residential mortgage loan transfers out of Level 3 are primarily driven by residential mortgage loans transferring to OREO as well as reclassification of mortgage loans held for sale to held for investment.

(e)Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.

(f)Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.

An instrument’s categorization within the hierarchy is based on the lowest level of input that is significant to the fair value measurement. Changes from one quarter to the next related to the observability of inputs to a fair value measurement may result in a reclassification (transfer) of assets or liabilities between hierarchy levels.

Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows:

Table 67: Fair Value Measurements – Recurring Quantitative Information

June 30, 2022

Level 3 Instruments Only
Dollars in millions

Fair Value

Valuation Techniques

Unobservable Inputs

Range (Weighted-Average) (a)

Commercial mortgage loans held for sale

Discounted cash flow

Spread over the benchmark curve (b)

565bps - 4,850bps (3,553bps)

Residential mortgage-backed
non-agency securities

925

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 30.7% (10.2%)

Constant default rate

0.0% - 13.0% (4.1%)

Loss severity

15.0% - 96.4% (46.2%)

Spread over the benchmark curve (b)

222bps weighted-average

Asset-backed securities

138

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 40.0% (11.1%)

Constant default rate

0.7% - 7.3% (2.5%)

Loss severity

15.0% - 100.0% (48.9%)

Spread over the benchmark curve (b)

265bps weighted-average

Loans - Residential real estate

589

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (69.8%)

Loss severity

0.0% - 100.0% (5.9%)

Discount rate

4.9% - 6.9% (5.3%)

Loans - Residential real estate

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

6.1% weighted-average

Loans - Home equity

Consensus pricing (c)

Cumulative default rate

3.6% -100.0% (74.8%)

Loss severity

0.0% - 100.0% (18.9%)

Discount rate

4.9% - 6.9% (5.9%)

Loans - Home equity

110

Consensus pricing (c)

Credit and liquidity discount

0.4% - 100.0% (45.5%)

Equity investments

1,867

Multiple of adjusted earnings

Multiple of earnings

5.0x - 16.8x (9.2x)

Residential mortgage servicing rights

1,620

Discounted cash flow

Constant prepayment rate

0.0% - 44.5% (8.1%)

Spread over the benchmark curve (b)

268bps - 1,729bps (818bps)

Commercial mortgage servicing rights

988

Discounted cash flow

Constant prepayment rate

4.3% - 11.1% (4.9%)

Discount rate

6.9% - 9.2% (8.9%)

Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares

(197)

Discounted cash flow

Estimated conversion factor of Visa Class B shares into Class A shares

160.6% weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated length of litigation resolution date

Q2 2023

Insignificant Level 3 assets, net of
liabilities (d)

(35)

Total Level 3 assets, net of liabilities (e)

6,148

(continued from previous page)

December 31, 2021

Level 3 Instruments Only
Dollars in millions

Fair Value

Valuation Techniques

Unobservable Inputs

Range (Weighted-Average) (a)

Commercial mortgage loans held for sale

Discounted cash flow

Spread over the benchmark curve (b)

555bps - 15,990bps (9,996bps)

Residential mortgage-backed
non-agency securities

1,097

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 30.7% (11.3%)

Constant default rate

0.0% - 16.9% (4.6%)

Loss severity

20.0% - 96.4% (47.6%)

Spread over the benchmark curve (b)

163bps weighted-average

Asset-backed securities

163

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% -40.0% (11.1%)

Constant default rate

1.4% - 20.0% (3.2%)

Loss severity

8.0% - 100.0% (57.4%)

Spread over the benchmark curve (b)

182bps weighted-average

Loans - Residential real estate

622

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (74.2%)

Loss severity

0.0% - 100.0% (6.9%)

Discount rate

4.8% - 6.8% (5.2%)

Loans - Residential real estate

109

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

3.5% weighted-average

Loans - Home equity

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (75.8%)

Loss severity

0.0% - 98.4% (17.7%)

Discount rate

4.8% - 6.8% (6.0%)

Loans - Home equity

125

Consensus pricing (c)

Credit and Liquidity discount

0.5% - 100.0% (47.3%)

Equity investments

1,680

Multiple of adjusted earnings

Multiple of earnings

5.0x - 14.4x (8.8x)

Residential mortgage servicing rights

1,078

Discounted cash flow

Constant prepayment rate

0.0% - 41.0% (12.6%)

Spread over the benchmark curve (b)

249bps - 2,218bps (857bps)

Commercial mortgage servicing rights

740

Discounted cash flow

Constant prepayment rate

5.0% - 15.5% (5.5%)

Discount rate

5.4% - 8.0% (7.8%)

Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares

(277)

Discounted cash flow

Estimated conversion factor of Visa Class B shares into Class A shares

161.8% weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated length of litigation
resolution date

Q2 2023

Insignificant Level 3 assets, net of
liabilities (d)

Total Level 3 assets, net of liabilities (e)

5,419

(a)Unobservable inputs were weighted by the relative fair value of the instruments.

(b)The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks.

(c)Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.

(d)Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.

(e)Consisted of total Level 3 assets of $6.5 billion and total Level 3 liabilities of $0.4 billion as of June 30, 2022 and $5.9 billion and $0.5 billion as of December 31, 2021, respectively.

Financial Assets Accounted for at Fair Value on a Nonrecurring Basis

We may be required to measure certain financial assets at fair value on a nonrecurring basis. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment and are included in Table 68. For more information regarding the valuation methodologies of our financial assets measured at fair value on a nonrecurring basis, see Note 15 Fair Value in Item 8 of our 2021 Form 10-K.

Assets measured at fair value on a nonrecurring basis follow:

Table 68: Fair Value Measurements – Nonrecurring (a) (b) (c)


	Fair Value				Gains (Losses) Three months ended				Gains (Losses) Six months ended
In millions	June 30 2022		December 31 2021		June 30 2022		June 30 2021		June 30 2022		June 30 2021
Assets
Nonaccrual loans	$	159	$	348	$	(19)	$	5	$	(28)	$	(4)
Equity investments	48				1

OREO and foreclosed assets	8		6
Long-lived assets	9		103		(3)		(9)		(5)		(11)
Total assets	$	224	$	457	$	(21)	$	(4)	$	(33)	$	(15)

(a)All Level 3 for the periods presented.

(b)Valuation techniques applied were fair value of property or collateral.

(c)Unobservable inputs used were appraised value/sales price, broker opinions or projected income/required improvement costs. Additional quantitative information was not meaningful for the periods presented.

Financial Instruments Accounted for under Fair Value Option

We elect the fair value option to account for certain financial instruments. For more information on these financial instruments for which the fair value option election has been made, see Note 15 Fair Value in Item 8 of our 2021 Form 10-K.

Fair values and aggregate unpaid principal balances of certain items for which we elected the fair value option follow:

Table 69: Fair Value Option – Fair Value and Principal Balances


	June 30, 2022						December 31, 2021
In millions	Fair Value		Aggregate Unpaid Principal Balance		Difference		Fair Value		Aggregate Unpaid Principal Balance		Difference
Assets
Residential mortgage loans held for sale
Accruing loans less than 90 days past due	$	802	$	806	$	(4)	$	1,249	$	1,219	$	30
Accruing loans 90 days or more past due	11		11				6		6
Nonaccrual loans	63		75		(12)		47		57		(10)
Total	$	876	$	892	$	(16)	$	1,302	$	1,282	$	20
Commercial mortgage loans held for sale (a) (b)
Accruing loans less than 90 days past due	$	106	$	135	$	(29)	$	575	$	580	$	(5)


Loans
Accruing loans less than 90 days past due	$	440	$	451	$	(11)	$	487	$	498	$	(11)
Accruing loans 90 days or more past due	168		181		(13)		262		278		(16)
Nonaccrual loans	684		928		(244)		752		1,028		(276)
Total	$	1,292	$	1,560	$	(268)	$	1,501	$	1,804	$	(303)
Other assets	$	85	$	84	$	1	$	105	$	107	$	(2)
Liabilities
Other borrowed funds	$	21	$	22	$	(1)	$	30	$	30
Other liabilities	$	121			$	121

(a)There were no accruing loans 90 days or more past due within this category at June 30, 2022 or December 31, 2021.

(b)There were no nonaccrual loans within this category at June 30, 2022 or December 31, 2021.

The changes in fair value for items for which we elected the fair value option are as follows:

Table 70: Fair Value Option – Changes in Fair Value (a)


	Gains (Losses)				Gains (Losses)
	Three months ended				Six months ended
	June 30		June 30		June 30		June 30
In millions	2022		2021		2022		2021
Assets
Residential mortgage loans held for sale	$	(23)	$	57	$	(63)	$	73
Commercial mortgage loans held for sale	$	14	$	26	$	20	$	46
Loans	$	15	$	17	$	36	$	31
Other assets	$	(11)	$	8	$	(18)	$	22
Liabilities
Other liabilities	$	(10)			$	(16)

(a)The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.

Additional Fair Value Information Related to Financial Instruments Not Recorded at Fair Value

The following table presents the carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of all other financial instruments that are not recorded on our Consolidated Balance Sheet at fair value as of June 30, 2022 and December 31, 2021. For more information regarding the methods and assumptions used to estimate the fair values of financial instruments included in Table 71, see Note 15 Fair Value in Item 8 of our 2021 Form 10-K.

Table 71: Additional Fair Value Information Related to Other Financial Instruments


	Carrying		Fair Value
In millions	Amount		Total		Level 1		Level 2		Level 3
June 30, 2022
Assets
Cash and due from banks	$	8,582	$	8,582	$	8,582
Interest-earning deposits with banks	28,404		28,404				$	28,404
Securities held to maturity	79,753		78,414		28,349		49,933		$	132
Net loans (excludes leases)	298,807		299,021						299,021
Other assets	6,432		6,432				6,429		3
Total assets	$	421,978	$	420,853	$	36,931	$	84,766	$	299,156
Liabilities
Time deposits	$	10,118	$	9,842			$	9,842
Borrowed funds	34,176		33,845				32,123		$	1,722
Unfunded lending related commitments	681		681						681
Other liabilities	450		450				450
Total liabilities	$	45,425	$	44,818			$	42,415	$	2,403
December 31, 2021
Assets
Cash and due from banks	$	8,004	$	8,004	$	8,004
Interest-earning deposits with banks	74,250		74,250				$	74,250
Securities held to maturity	1,429		1,522		890		456		$	176
Net loans (excludes leases)	275,874		280,498						280,498
Other assets	4,205		4,204				4,141		63
Total assets	$	363,762	$	368,478	$	8,894	$	78,847	$	280,737
Liabilities
Time deposits	$	17,366	$	17,180			$	17,180
Borrowed funds	30,011		30,616				28,936		$	1,680
Unfunded lending related commitments	662		662						662
Other liabilities	449		449				449
Total liabilities	$	48,488	$	48,907			$	46,565	$	2,342

The aggregate fair values in Table 71 represent only a portion of the total market value of our assets and liabilities as, in accordance with the guidance related to fair values about financial instruments, we exclude the following:

•financial instruments recorded at fair value on a recurring basis (as they are disclosed in Table 65),

•investments accounted for under the equity method,

•equity securities without a readily determinable fair value that apply for the alternative measurement approach to fair value under ASU 2016-01,

•real and personal property,

•lease financing,

•loan customer relationships,

•deposit customer intangibles,

•mortgage servicing rights (MSRs),

•retail branch networks,

•fee-based businesses, such as asset management and brokerage,

•trademarks and brand names,

•trade receivables and payables due in one year or less,

•deposit liabilities with no defined or contractual maturities under ASU 2016-01, and

•insurance contracts.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details