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Fair Value (Tables)

9 Months Ended

Sep. 30, 2023

Fair Value Measurements - Recurring Basis Summary

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


	September 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			$	432	$	97	$	529			$	411	$	243	$	654
Commercial mortgage loans held for sale			354		25		379				243		33		276

Securities available for sale
U.S. Treasury and government agencies	$	6,320	397				6,717		$	8,108	262				8,370
Residential mortgage-backed
Agency			26,899				26,899				28,823				28,823
Non-agency					713		713						819		819
Commercial mortgage-backed
Agency			1,544				1,544				1,675				1,675
Non-agency			828		95		923				1,253		3		1,256
Asset-backed			992		103		1,095				5		124		129
Other			2,643		56		2,699				3,032		55		3,087
Total securities available for sale	6,320		33,303		967		40,590		8,108		35,050		1,001		44,159
Loans			506		738		1,244				541		769		1,310
Equity investments (a)	696				1,729		2,618		1,173				1,778		3,147
Residential mortgage servicing rights					2,837		2,837						2,310		2,310
Commercial mortgage servicing rights					1,169		1,169						1,113		1,113
Trading securities (b)	464		2,002				2,466		798		1,168				1,966
Financial derivatives (b) (c)	11		3,821		6		3,838		16		3,747		5		3,768
Other assets	376		67		5		448		352		80				432
Total assets (d)	$	7,867	$	40,485	$	7,573	$	56,118	$	10,447	$	41,240	$	7,252	$	59,135
Liabilities
Other borrowed funds	$	954	$	81	$	7	$	1,042	$	1,230	$	232	$	4	$	1,466
Financial derivatives (c) (e)	14		8,098		108		8,220		4		7,491		123		7,618
Other liabilities					250		250						294		294
Total liabilities (f)	$	968	$	8,179	$	365	$	9,512	$	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 September 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 September 30, 2023 and December 31, 2022, respectively. Level 3 assets as a percentage of total assets at fair value was 13% and 12% at September 30, 2023 and December 31, 2022, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both September 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 September 30, 2023 and December 31, 2022. Level 3 liabilities as a percentage of total liabilities at fair value was 4% at both September 30, 2023 and December 31, 2022. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both September 30, 2023 and December 31, 2022.

Reconciliation of Level 3 Assets and Liabilities

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

Table 67: Reconciliation of Level 3 Assets and Liabilities

Three Months Ended September 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 Sept. 30, 2023 (a) (c)
Level 3 Instruments Only In millions	Fair Value June 30, 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 Sept. 30, 2023
Assets
Residential mortgage loans held for sale	$	191	$	(3)				$	3	$	(89)			$	(2)	$	1	$	(4)	(e)	$	97	$	(4)
Commercial mortgage loans held for sale	25																				25

Securities available for sale
Residential mortgage- backed non-agency	768		5			$	(20)							(40)							713
Commercial mortgage- backed non-agency	3															92					95
Asset-backed	117					(3)								(11)							103
Other	54		(1)			1		3						(1)							56
Total securities available for sale	942		4			(22)		3						(52)		92					967
Loans	745		5					19						(27)		2		(6)		(e)	738		5
Equity investments	1,623		(9)					212		(97)											1,729		(16)
Residential mortgage servicing rights	2,349		215					329				$	7	(63)							2,837		215
Commercial mortgage servicing rights	1,106		130					10				6		(83)							1,169		130

Financial derivatives	6		6											(6)							6		7
Other assets								1								4					5
Total assets	$	6,987	$	348		$	(22)	$	577	$	(186)	$	13	$	(233)	$	99	$	(10)		$	7,573	$	337
Liabilities
Other borrowed funds	$	5										$	3	$	(1)						$	7
Financial derivatives	140		$	50						$	2			(84)							108		$	51
Other liabilities	239		6									329		(324)							250
Total liabilities	$	384	$	56						$	2	$	332	$	(409)						$	365	$	51
Net gains (losses)			$	292	(f)																		$	286	(g)

(Continued from previous page)

Three Months Ended September 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 Sept. 30, 2022 (a) (c)
Level 3 Instruments Only In millions	Fair Value June 30, 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 Sept. 30, 2022
Assets
Residential mortgage loans held for sale	$	83	$	(4)				$	46	$	(1)			$	(2)	$	8	$	(14)	(e)	$	116	$	(4)
Commercial mortgage loans held for sale	38													(3)							35

Securities available for sale
Residential mortgage- backed non-agency	925		4			$	(18)							(40)							871
Commercial mortgage-backed non-agency	3																				3
Asset-backed	138					(5)								(6)							127
Other	67					2															69
Total securities available for sale	1,133		4			(21)								(46)							1,070
Loans	804		(1)					11		(2)				(35)				(2)		(e)	775
Equity investments	1,867		167					69		(308)											1,795		65
Residential mortgage servicing rights	1,620		135					363				$	11	(55)							2,074		135
Commercial mortgage servicing rights	988		176					7				17		(56)							1,132		176

Financial derivatives	13		4					1						(10)							8		7

Total assets	$	6,546	$	481		$	(21)	$	497	$	(311)	$	28	$	(207)	$	8	$	(16)		$	7,005	$	379
Liabilities
Other borrowed funds	$	3												$	(1)						$	2
Financial derivatives	213		$	(11)						$	4			(86)							120		$	(7)
Other liabilities	182		26					$	32			$	362	(333)							269		24
Total liabilities	$	398	$	15				$	32	$	4	$	362	$	(420)						$	391	$	17
Net gains (losses)			$	466	(f)																		$	362	(g)

(Continued from previous page)

Nine Months Ended September 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 Sept. 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 Sept. 30, 2023
Assets
Residential mortgage loans held for sale	$	243	$	(3)				$	12	$	(131)			$	(9)	$	4	$	(19)	(e)	$	97	$	(3)
Commercial mortgage loans held for sale	33													(8)							25

Securities available for sale
Residential mortgage- backed non-agency	819		13			$	(16)							(103)							713
Commercial mortgage- backed non-agency	3															92					95
Asset-backed	124		1			(3)								(19)							103
Other	55		(1)			(3)		6						(4)		3					56
Total securities available for sale	1,001		13			(22)		6						(126)		95					967
Loans	769		11					39		(1)				(77)		17		(20)		(e)	738		11
Equity investments	1,778		136					444		(495)								(134)		(d)	1,729		103
Residential mortgage servicing rights	2,310		248					438				$	17	(176)							2,837		248
Commercial mortgage servicing rights	1,113		238					27				38		(247)							1,169		238

Financial derivatives	5		13					3						(15)							6		16
Other assets								1								4					5
Total assets	$	7,252	$	656		$	(22)	$	970	$	(627)	$	55	$	(658)	$	120	$	(173)		7,573		$	613
Liabilities
Other borrowed funds	$	4										$	9	$	(6)						$	7
Financial derivatives	123		$	168						$	5			(188)							108		$	173
Other liabilities	294		61									436		(541)							250		41
Total liabilities	$	421	$	229						$	5	$	445	$	(735)						$	365	$	214
Net gains (losses)			$	427	(f)																		$	399	(g)

(Continued from previous page)

Nine Months Ended September 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 Sept. 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 Sept. 30, 2022
Assets
Residential mortgage loans held for sale	$	81	$	(6)				$	91	$	(33)			$	(11)	$	22	$	(28)	(e)	$	116	$	(6)
Commercial mortgage loans held for sale	49		(4)											(10)							35		(4)

Securities available for sale
Residential mortgage- backed non-agency	1,097		19			$	(84)							(161)							871
Commercial mortgage- backed non-agency	3																				3
Asset-backed	163		1			(18)								(19)							127
Other	69							3						(3)							69
Total securities available for sale	1,332		20			(102)		3						(183)							1,070
Loans	884		20					31		(10)				(132)				(18)		(e)	775		20
Equity investments	1,680		312					185		(382)											1,795		211
Residential mortgage servicing rights	1,078		505					620				$	49	(178)							2,074		506
Commercial mortgage servicing rights	740		438					32				52		(130)							1,132		438

Financial derivatives	38		(2)					4						(32)							8		18

Total assets	$	5,882	$	1,283		$	(102)	$	966	$	(425)	$	101	$	(676)	$	22	$	(46)		$	7,005	$	1,183
Liabilities
Other borrowed funds	$	3										$	4	$	(5)						$	2
Financial derivatives	285		$	12						$	10			(187)							120		$	22
Other liabilities	175		47					$	32			604		(589)							269		39
Total liabilities	$	463	$	59				$	32	$	10	$	608	$	(781)						$	391	$	61
Net gains (losses)			$	1,224	(f)																		$	1,122	(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.

Fair Value Measurements - Recurring Quantitative Information

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

Table 68: Fair Value Measurements – Recurring Quantitative Information

September 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)

585bps - 7,140bps (2,611bps)

Residential mortgage-backed
non-agency securities

713

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

Constant prepayment rate

1.0% - 27.9% (3.8%)

Constant default rate

0.0% - 12.0% (2.8%)

Loss severity

10.0% - 71.4% (42.1%)

Spread over the benchmark curve (b)

250bps weighted-average

Asset-backed securities

103

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

Constant prepayment rate

1.0% - 11.0% (5.3%)

Constant default rate

0.0% - 4.3% (1.7%)

Loss severity

30.0% - 100.0% (48.8%)

Spread over the benchmark curve (b)

256bps weighted-average

Loans - Residential real estate - Uninsured

555

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (59.6%)

Loss severity

0.0% - 100.0% (5.4%)

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% (63.3%)

Loss severity

0.0% - 100.0% (15.2%)

Discount rate

5.5% - 7.5% (6.3%)

Loans - Home equity

Consensus pricing (c)

Credit and liquidity discount

0.4% - 100.0% (44.7%)

Equity investments

1,729

Multiple of adjusted earnings

Multiple of earnings

4.5x - 20.0x (9.7x)

Residential mortgage servicing rights

2,837

Discounted cash flow

Constant prepayment rate

0.0% - 29.7% (5.8%)

Spread over the benchmark curve (b)

337bps - 1,650bps (765bps)

Commercial mortgage servicing rights

1,169

Discounted cash flow

Constant prepayment rate

5.2% - 7.4% (5.4%)

Discount rate

8.3% - 10.7% (10.2%)

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

(99)

Discounted cash flow

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

1.59 weighted-average

Estimated annual growth rate of Visa Class A share price

16.0%

Estimated litigation resolution date

Q1 2024

Insignificant Level 3 assets, net of
liabilities (d)

(7)

Total Level 3 assets, net of liabilities (e)

7,208

(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

1.61 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 $7.6 billion and total Level 3 liabilities of $0.4 billion as of September 30, 2023 and $7.3 billion and $0.4 billion as of December 31, 2022, respectively.

Fair Value Measurements - Nonrecurring

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) Nine months ended
In millions	September 30 2023		December 31 2022		September 30 2023		September 30 2022		September 30 2023		September 30 2022
Assets
Nonaccrual loans	$	361	$	280	$	(84)	$	(111)	$	(260)	$	(145)
Equity investments	57		135		(15)				(19)

OREO and foreclosed assets	11		10		(1)				(1)
Long-lived assets	4		23		(3)		(1)		(17)		(5)
Total assets	$	433	$	448	$	(103)	$	(112)	$	(297)	$	(150)

(a)All Level 3 for the periods presented, except for $28 million and $42 million included in Equity investments which were categorized as Level 1 as of September 30, 2023 and December 31, 2022, respectively.

(b)Valuation techniques applied were discounted cash flow and 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.

Fair Value Option - Fair Value and Principal Balances

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


	September 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	$	486	$	496	$	(10)	$	609	$	633	$	(24)
Accruing loans 90 days or more past due	10		10				5		5
Nonaccrual loans	33		40		(7)		40		49		(9)
Total	$	529	$	546	$	(17)	$	654	$	687	$	(33)
Commercial mortgage loans held for sale (a)
Accruing loans less than 90 days past due	$	365	$	368	$	(3)	$	261	$	256	$	5
Nonaccrual loans	14		43		(29)		15		44		(29)
Total	$	379	$	411	$	(32)	$	276	$	300	$	(24)
Loans
Accruing loans less than 90 days past due	$	505	$	518	$	(13)	$	509	$	521	$	(12)
Accruing loans 90 days or more past due	140		152		(12)		155		167		(12)
Nonaccrual loans	599		815		(216)		646		880		(234)
Total	$	1,244	$	1,485	$	(241)	$	1,310	$	1,568	$	(258)
Other assets	$	68	$	75	$	(7)	$	80	$	80
Liabilities
Other borrowed funds	$	37	$	38	$	(1)	$	31	$	32	$	(1)
Other liabilities	$	141			$	141	$	196			$	196

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

Fair Value Option - Changes in Fair Value

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				Nine months ended
	September 30		September 30		September 30		September 30
In millions	2023		2022		2023		2022
Assets
Residential mortgage loans held for sale	$	(3)	$	(29)	$	14	$	(92)
Commercial mortgage loans held for sale	$	6	$	14	$	29	$	34
Loans	$	8	$	1	$	17	$	37
Other assets			$	(3)	$	(12)	$	(21)
Liabilities
Other liabilities			$	(24)	$	(41)	$	(40)

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

Additional Fair Value Information Related to Other Financial Instruments

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 September 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
September 30, 2023
Assets
Cash and due from banks	$	5,300	$	5,300	$	5,300
Interest-earning deposits with banks	41,484		41,484				$	41,484
Securities held to maturity	91,803		84,447		30,110		54,189		$	148
Net loans (excludes leases)	305,911		295,609						295,609
Other assets	5,916		5,916				5,915		1
Total assets	$	450,414	$	432,756	$	35,410	$	101,588	$	295,758
Liabilities
Time deposits	$	27,209	$	27,142			$	27,142
Borrowed funds	65,052		65,127				63,943		$	1,184
Unfunded lending related commitments	640		640						640
Other liabilities	1,106		1,106				1,106
Total liabilities	$	94,007	$	94,015			$	92,191	$	1,824
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