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Fair Value

6 Months Ended

Jun. 30, 2023

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 our 2022 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 our 2022 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 66: Fair Value Measurements – Recurring Basis Summary


	June 30, 2023								December 31, 2022
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			$	495	$	191	$	686			$	411	$	243	$	654
Commercial mortgage loans held for sale			39		25		64				243		33		276

Securities available for sale
U.S. Treasury and government agencies	$	6,874	236				7,110		$	8,108	262				8,370
Residential mortgage-backed
Agency			27,655				27,655				28,823				28,823
Non-agency					768		768						819		819
Commercial mortgage-backed
Agency			1,593				1,593				1,675				1,675
Non-agency			944		3		947				1,253		3		1,256
Asset-backed			817		117		934				5		124		129
Other			2,726		54		2,780				3,032		55		3,087
Total securities available for sale	6,874		33,971		942		41,787		8,108		35,050		1,001		44,159
Loans			514		745		1,259				541		769		1,310
Equity investments (a)	807				1,623		2,610		1,173				1,778		3,147
Residential mortgage servicing rights					2,349		2,349						2,310		2,310
Commercial mortgage servicing rights					1,106		1,106						1,113		1,113
Trading securities (b)	570		1,999				2,569		798		1,168				1,966
Financial derivatives (b) (c)	2		3,212		6		3,220		16		3,747		5		3,768
Other assets	387		65				452		352		80				432
Total assets (d)	$	8,640	$	40,295	$	6,987	$	56,102	$	10,447	$	41,240	$	7,252	$	59,135
Liabilities
Other borrowed funds	$	1,139	$	100	$	5	$	1,244	$	1,230	$	232	$	4	$	1,466
Financial derivatives (c) (e)	1		6,862		140		7,003		4		7,491		123		7,618
Other liabilities					239		239						294		294
Total liabilities (f)	$	1,140	$	6,962	$	384	$	8,486	$	1,234	$	7,723	$	421	$	9,378

(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, 2023 and December 31, 2022 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 12 Financial Derivatives for additional information related to derivative offsetting.

(d)Total assets at fair value as a percentage of total consolidated assets was 10% and 11% as of June 30, 2023 and December 31, 2022, respectively. Level 3 assets as a percentage of total assets at fair value was 12% at both June 30, 2023 and December 31, 2022. Level 3 assets as a percentage of total consolidated assets was 1% at both June 30, 2023 and December 31, 2022.

(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% at both June 30, 2023 and December 31, 2022. Level 3 liabilities as a percentage of total liabilities at fair value was 5% and 4% at June 30, 2023 and December 31, 2022, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both June 30, 2023 and December 31, 2022.

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the three and six months ended June 30, 2023 and 2022 are as follows:

Table 67: Reconciliation of Level 3 Assets and Liabilities

Three Months Ended June 30, 2023


			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, 2023 (a) (c)
Level 3 Instruments Only In millions	Fair Value Mar. 31, 2023		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, 2023
Assets
Residential mortgage loans held for sale	$	242	$	(4)				$	3	$	(41)			$	(2)			$	(7)	(e)	$	191	$	(3)
Commercial mortgage loans held for sale	32		1											(8)							25

Securities available for sale
Residential mortgage- backed non-agency	787		4			$	14							(37)							768
Commercial mortgage- backed non-agency	3																				3
Asset-backed	121		1			(1)								(4)							117
Other	53							3						(2)							54
Total securities available for sale	964		5			13		3						(43)							942
Loans	757		3					11		(1)				(28)		$	8	(5)		(e)	745		3
Equity investments	1,835		24					92		(328)											1,623		2
Residential mortgage servicing rights	2,232		81					91				$	5	(60)							2,349		80
Commercial mortgage servicing rights	1,061		99					9				19		(82)							1,106		100

Financial derivatives	19		(10)					2						(5)							6		4

Total assets	$	7,142	$	199		$	13	$	211	$	(370)	$	24	$	(228)	$	8	$	(12)		$	6,987	$	186
Liabilities
Other borrowed funds	$	5										$	3	$	(3)						$	5
Financial derivatives	97		$	79						$	1			(37)							140		$	80
Other liabilities	229		31									89		(110)							239		21
Total liabilities	$	331	$	110						$	1	$	92	$	(150)						$	384	$	101
Net gains (losses)			$	89	(f)																		$	85	(g)

(Continued from previous page)

Three Months Ended June 30, 2022


			Total realized / unrealized gains or losses for the period (a)																				Unrealized gains/losses 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)	(e)	$	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)		(e)	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	(f)																		$	360	(g)

(Continued from previous page)

Six Months Ended June 30, 2023


			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, 2023 (a) (c)
Level 3 Instruments Only In millions	Fair Value Dec. 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, 2023
Assets
Residential mortgage loans held for sale	$	243						$	9	$	(42)			$	(7)	$	3	$	(15)	(e)	$	191	$	1
Commercial mortgage loans held for sale	33													(8)							25

Securities available for sale
Residential mortgage- backed non-agency	819		$	8		$	4							(63)							768
Commercial mortgage- backed non-agency	3																				3
Asset-backed	124		1											(8)							117
Other	55					(4)		3						(3)		3					54
Total securities available for sale	1,001		9					3						(74)		3					942
Loans	769		6					20		(1)				(50)		15		(14)		(e)	745		6
Equity investments	1,778		145					232		(398)								(134)		(d)	1,623		119
Residential mortgage servicing rights	2,310		33					109				$	10	(113)							2,349		33
Commercial mortgage servicing rights	1,113		108					17				32		(164)							1,106		108

Financial derivatives	5		7					3						(9)							6		10

Total assets	$	7,252	$	308				$	393	$	(441)	$	42	$	(425)	$	21	$	(163)		$	6,987	$	277
Liabilities
Other borrowed funds	$	4										$	6	$	(5)						$	5
Financial derivatives	123		$	118						$	3			(104)							140		$	122
Other liabilities	294		55									107		(217)							239		42
Total liabilities	$	421	$	173						$	3	$	113	$	(326)						$	384	$	164
Net gains (losses)			$	135	(f)																		$	113	(g)

(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)	(e)	$	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)		(e)	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	(f)																		$	773	(g)

(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)Transfers out of Level 3 during the current period were due to valuation methodology changes for certain private company investments. See Note 1 Accounting Policies in our 2022 Form 10-K for more information on our accounting for private company investments.

(e)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.

(f)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.

(g)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 68: Fair Value Measurements – Recurring Quantitative Information

June 30, 2023

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)

590bps - 2,440bps (1,275bps)

Residential mortgage-backed
non-agency securities

768

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

Constant prepayment rate

1.0% - 27.9% (4.7%)

Constant default rate

0.0% - 12.0% (3.0%)

Loss severity

15.0% - 83.3% (45.5%)

Spread over the benchmark curve (b)

231bps weighted-average

Asset-backed securities

117

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

Constant prepayment rate

1.0% - 40.0% (6.1%)

Constant default rate

0.0% - 7.3% (2.0%)

Loss severity

30.0% - 100.0% (50.6%)

Spread over the benchmark curve (b)

285bps weighted-average

Loans - Residential real estate - Uninsured

556

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (61.0%)

Loss severity

0.0% - 100.0% (5.7%)

Discount rate

5.5% - 7.5% (5.8%)

Loans - Residential real estate

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

8.4% weighted-average

Loans - Home equity - First-lien

Consensus pricing (c)

Cumulative default rate

3.6% -100.0% (68.2%)

Loss severity

0.0% - 100.0% (15.9%)

Discount rate

5.5% - 7.5% (6.3%)

Loans - Home equity

Consensus pricing (c)

Credit and liquidity discount

0.4% - 100.0% (45.0%)

Equity investments

1,623

Multiple of adjusted earnings

Multiple of earnings

4.5x - 20.0x (9.3x)

Residential mortgage servicing rights

2,349

Discounted cash flow

Constant prepayment rate

0.0% - 41.9% (6.9%)

Spread over the benchmark curve (b)

254bps - 1,652bps (767bps)

Commercial mortgage servicing rights

1,106

Discounted cash flow

Constant prepayment rate

4.0% - 11.1% (4.4%)

Discount rate

6.7% - 10.3% (9.9%)

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

(131)

Discounted cash flow

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

159.0% weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated litigation resolution date

Q4 2023

Insignificant Level 3 assets, net of
liabilities (d)

Total Level 3 assets, net of liabilities (e)

6,603

(Continued from previous page)

December 31, 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)

585bps - 2,465bps (959bps)

Residential mortgage-backed
non-agency securities

819

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

Constant prepayment rate

1.0% - 27.9% (9.9%)

Constant default rate

0.0% - 13.0% (4.0%)

Loss severity

15.0% - 80.0% (46.1%)

Spread over the benchmark curve (b)

289bps weighted-average

Asset-backed securities

124

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

Constant prepayment rate

1.0% - 40.0% (7.5%)

Constant default rate

0.0% - 7.3% (2.1%)

Loss severity

20.0% - 100.0% (49.0%)

Spread over the benchmark curve (b)

296bps weighted-average

Loans - Residential real estate - Uninsured

570

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (66.2%)

Loss severity

0.0% - 100.0% (6.2%)

Discount rate

5.5% - 7.5% (5.9%)

Loans - Residential real estate

Discounted cash flow

Loss severity

6.0% weighted-average

Discount rate

7.9% weighted-average

Loans - Home equity - First-lien

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (72.5%)

Loss severity

0.0% - 100.0% (15.3%)

Discount rate

5.5% - 7.5% (6.5%)

Loans - Home equity

Consensus pricing (c)

Credit and Liquidity discount

0.4% - 100.0% (46.2%)

Equity investments

1,778

Multiple of adjusted earnings

Multiple of earnings

4.5x - 25.0x (9.1x)

Residential mortgage servicing rights

2,310

Discounted cash flow

Constant prepayment rate

0.0% - 34.5% (6.7%)

Spread over the benchmark curve (b)

254bps - 1,653bps (766bps)

Commercial mortgage servicing rights

1,113

Discounted cash flow

Constant prepayment rate

3.9% - 9.8% (4.3%)

Discount rate

7.8% - 10.1% (9.8%)

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

(107)

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 litigation resolution date

Q2 2023

Insignificant Level 3 assets, net of
liabilities (d)

(8)

Total Level 3 assets, net of liabilities (e)

6,831

(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 $7.0 billion and total Level 3 liabilities of $0.4 billion as of June 30, 2023 and $7.3 billion and $0.4 billion as of December 31, 2022, 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 69. 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 our 2022 Form 10-K.

Assets measured at fair value on a nonrecurring basis follow:

Table 69: Fair Value Measurements – Nonrecurring (a) (b) (c)


	Fair Value				Gains (Losses) Three months ended				Gains (Losses) Six months ended
In millions	June 30 2023		December 31 2022		June 30 2023		June 30 2022		June 30 2023		June 30 2022
Assets
Nonaccrual loans	$	373	$	280	$	(99)	$	(19)	$	(174)	$	(28)
Equity investments	87		135		(5)		1		(8)

OREO and foreclosed assets	8		10						(1)
Long-lived assets	435		23		(10)		(3)		(15)		(5)
Total assets	$	903	$	448	$	(114)	$	(21)	$	(198)	$	(33)

(a)All Level 3 for the periods presented, except for $22 million and $42 million included in Equity investments which were categorized as Level 1 as of June 30, 2023 and December 31, 2022, respectively.

(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 our 2022 Form 10-K.

Fair values and aggregate unpaid principal balances of items for which we elected the fair value option are as follows:

Table 70: Fair Value Option – Fair Value and Principal Balances


	June 30, 2023						December 31, 2022
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	$	651	$	671	$	(20)	$	609	$	633	$	(24)
Accruing loans 90 days or more past due	2		2				5		5
Nonaccrual loans	33		40		(7)		40		49		(9)
Total	$	686	$	713	$	(27)	$	654	$	687	$	(33)
Commercial mortgage loans held for sale (a)
Accruing loans less than 90 days past due	$	49	$	51	$	(2)	$	261	$	256	$	5
Nonaccrual loans	15		44		(29)		15		44		(29)
Total	$	64	$	95	$	(31)	$	276	$	300	$	(24)
Loans
Accruing loans less than 90 days past due	$	510	$	523	$	(13)	$	509	$	521	$	(12)
Accruing loans 90 days or more past due	132		143		(11)		155		167		(12)
Nonaccrual loans	617		841		(224)		646		880		(234)
Total	$	1,259	$	1,507	$	(248)	$	1,310	$	1,568	$	(258)
Other assets	$	64	$	65	$	(1)	$	80	$	80
Liabilities
Other borrowed funds	$	32	$	33	$	(1)	$	31	$	32	$	(1)
Other liabilities	$	127			$	127	$	196			$	196

(a)There were no accruing loans 90 days or more past due within this category at June 30, 2023 or December 31, 2022

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

Table 71: 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	2023		2022		2023		2022
Assets
Residential mortgage loans held for sale	$	2	$	(23)	$	17	$	(63)
Commercial mortgage loans held for sale	$	22	$	14	$	23	$	20
Loans	$	5	$	15	$	9	$	36
Other assets	$	2	$	(11)	$	(12)	$	(18)
Liabilities
Other liabilities	$	(21)	$	(10)	$	(41)	$	(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, 2023 and December 31, 2022. For more information regarding the methods and assumptions used to estimate the fair values of financial instruments included in Table 72, see Note 15 Fair Value in our 2022 Form 10-K.

Table 72: Additional Fair Value Information Related to Other Financial Instruments


	Carrying		Fair Value
In millions	Amount		Total		Level 1		Level 2		Level 3
June 30, 2023
Assets
Cash and due from banks	$	6,191	$	6,191	$	6,191
Interest-earning deposits with banks	38,259		38,259				$	38,259
Securities held to maturity	93,879		88,896		30,939		57,808		$	149
Net loans (excludes leases)	309,365		301,597						301,597
Other assets	5,971		5,971				5,958		13
Total assets	$	453,665	$	440,914	$	37,130	$	102,025	$	301,759
Liabilities
Time deposits	$	22,864	$	22,696			$	22,696
Borrowed funds	64,060		64,278				62,441		$	1,837
Unfunded lending related commitments	663		663						663
Other liabilities	948		948				948
Total liabilities	$	88,535	$	88,585			$	86,085	$	2,500
December 31, 2022
Assets
Cash and due from banks	$	7,043	$	7,043	$	7,043
Interest-earning deposits with banks	27,320		27,320				$	27,320
Securities held to maturity	95,183		90,279		30,748		59,377		$	154
Net loans (excludes leases)	313,460		310,864						310,864
Other assets	6,022		6,022				6,020		2
Total assets	$	449,028	$	441,528	$	37,791	$	92,717	$	311,020
Liabilities
Time deposits	$	18,470	$	18,298			$	18,298
Borrowed funds	57,182		57,557				55,922		$	1,635
Unfunded lending related commitments	694		694						694
Other liabilities	660		660				660
Total liabilities	$	77,006	$	77,209			$	74,880	$	2,329

The aggregate fair values in Table 72 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 66),

•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,

•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