Purchases

  
The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities, on a recurring basis at December 31, 2020:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| (in millions) | Total | Level 1 | Level 2 | Level 3 |
| Debt securities available for sale: |  |  |  |  |
| Mortgage-backed securities | $22,928  |  | $—  |  | $22,928  |  | $—  |  |
| State and political subdivisions | 3  |  | —  |  | 3  |  | —  |  |
| U.S. Treasury and other | 11  |  | 11  |  | —  |  | —  |  |
| Total debt securities available for sale | 22,942  |  | 11  |  | 22,931  |  | —  |  |
| Loans held for sale, at fair value: |  |  |  |  |
| Residential loans held for sale | 3,416  |  | —  |  | 3,416  |  | —  |  |
| Commercial loans held for sale | 148  |  | —  |  | 148  |  | —  |  |
| Total loans held for sale, at fair value | 3,564  |  | —  |  | 3,564  |  | —  |  |
| Mortgage servicing rights | 658  |  | —  |  | —  |  | 658  |  |
| Derivative assets: |  |  |  |  |
| Interest rate contracts | 1,566  |  | —  |  | 1,566  |  | —  |  |
| Foreign exchange contracts | 320  |  | —  |  | 320  |  | —  |  |
| Commodities contracts | 62  |  | —  |  | 62  |  | —  |  |
| TBA contracts | 8  |  | —  |  | 8  |  | —  |  |
| Other contracts | 197  |  | —  |  | —  |  | 197  |  |
| Total derivative assets | 2,153  |  | —  |  | 1,956  |  | 197  |  |
| Equity securities, at fair value | 66  |  | 66  |  | —  |  | —  |  |
| Total assets | $29,383  |  | $77  |  | $28,451  |  | $855  |  |
| Derivative liabilities: |  |  |  |  |
| Interest rate contracts | $217  |  | $—  |  | $217  |  | $—  |  |
| Foreign exchange contracts | 291  |  | —  |  | 291  |  | —  |  |
| Commodities contracts | 61  |  | —  |  | 61  |  | —  |  |
| TBA contracts | 65  |  | —  |  | 65  |  | —  |  |
|  |  |  |  |  |
| Total derivative liabilities | 634  |  | —  |  | 634  |  | —  |  |
| Total liabilities | $634  |  | $—  |  | $634  |  | $—  |  |

The following table presents a roll forward of the balance sheet amounts for assets measured at fair value on a recurring basis and classified as Level 3:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | For the Year Ended December 31, |
|  | 2021 |  | 2020 |
| (in millions) | Mortgage Servicing Rights |  |  |  | Other Derivative Contracts |  | Mortgage Servicing Rights |  | Asset-Backed Securities |  | Other Derivative Contracts |
| Beginning balance | $658  |  |  |  |  | $197  |  |  | $642  |  |  | $—  |  |  | $19  |  |
| Transfers upon election of fair value method(1) | —  |  |  |  |  | —  |  |  | 190  |  |  | —  |  |  | —  |  |
| Beginning balance, adjusted | 658  |  |  |  |  | 197  |  |  | 832  |  |  | —  |  |  | 19  |  |
| Purchases | —  |  |  |  |  | —  |  |  | —  |  |  | 813  |  |  | —  |  |
| Issuances | 419  |  |  |  |  | 377  |  |  | 324  |  |  | —  |  |  | 900  |  |
| Settlements(2) | (212) |  |  |  |  | (328) |  |  | (196) |  |  | —  |  |  | (1,133) |  |
| Changes in fair value during the period recognized in earnings(3) | 164  |  |  |  |  | (208) |  |  | (302) |  |  | —  |  |  | 411  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |
| Transfer from AFS to HTM(4) | —  |  |  |  |  | —  |  |  | —  |  |  | (813) |  |  | —  |  |
| Ending balance | $1,029  |  |  |  |  | $38  |  |  | $658  |  |  | $—  |  |  | $197  |  |

(1) Effective January 1, 2020, the Company elected to account for all MSRs previously accounted for under the amortization method under the fair value method.(2) Represents changes in value of the MSRs due to i) passage of time including the impact from both regularly scheduled loan principal payments and partial paydowns, and ii) loans that paid off during the period. (3) Represents changes in value primarily driven by market conditions. These changes are recorded in mortgage banking fees in the Consolidated Statements of Operations.(4) In October 2020, Citizens concluded that it has the ability and intent to hold these assets to maturity and transferred them to HTM. Refer to Note 11 for additional information.

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|  |  | Citizens Financial Group, Inc. | 138 |


