Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2011

Fair Values of Assets and Liabilities [Abstract]

Valuation assumption ranges for Level 3 non-agency mortgage-backed securities


	Prime (a)									Non-prime
	Minimum			Maximum			Average			Minimum			Maximum			Average
June 30, 2011
Estimated lifetime prepayment rates		4	%		20	%		12	%		1	%		13	%		6	%
Lifetime probability of default rates		–			14			2			–			20			7
Lifetime loss severity rates		20			80			40			10			88			54
Discount margin		3			37			6			–			40			10
December 31, 2010
Estimated lifetime prepayment rates		4	%		28	%		13	%		1	%		13	%		6	%
Lifetime probability of default rates		–			14			1			–			20			8
Lifetime loss severity rates		16			100			41			10			88			56
Discount margin		3			30			6			3			40			11


(a)		Prime securities are those designated as such by the issuer or those with underlying asset characteristics and/or credit enhancements consistent with securities designated as prime.

Balances of assets and liabilities measured at fair value on a recurring basis


(Dollars in Millions)	Level 1		Level 2		Level 3		Netting			Total
June 30, 2011
Available-for-sale securities
U.S. Treasury and agencies	$	632	$	1,241	$	–	$	–		$	1,873
Mortgage-backed securities
Residential
Agency		–		39,072		–		–			39,072
Non-agency
Prime		–		–		896		–			896
Non-prime		–		–		895		–			895
Commercial
Agency		–		158		–		–			158
Non-agency		–		–		50		–			50
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		94		133		–			227
Other		–		583		129		–			712
Obligations of state and political subdivisions		–		6,682		–		–			6,682
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		1,013		9		–			1,022
Perpetual preferred securities		–		475		–		–			475
Other investments		222		9		–		–			231

Total available-for-sale		854		49,333		2,112		–			52,299
Mortgage loans held for sale		–		3,304		–		–			3,304
Mortgage servicing rights		–		–		1,989		–			1,989
Derivative assets		–		724		889		(366	)		1,247
Other assets		–		806		–		–			806

Total	$	854	$	54,167	$	4,990	$	(366	)	$	59,645

Derivative liabilities	$	–	$	2,077	$	53	$	(1,181	)	$	949
Other liabilities		–		785		–		–			785

Total	$	–	$	2,862	$	53	$	(1,181	)	$	1,734

December 31, 2010
Available-for-sale securities
U.S. Treasury and agencies	$	873	$	1,664	$	–	$	–		$	2,537
Mortgage-backed securities
Residential
Agency		–		37,703		–		–			37,703
Non-agency
Prime		–		–		1,103		–			1,103
Non-prime		–		–		947		–			947
Commercial
Agency		–		197		–		–			197
Non-agency		–		–		50		–			50
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		89		135		–			224
Other		–		587		133		–			720
Obligations of state and political subdivisions		–		6,417		–		–			6,417
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		949		9		–			958
Perpetual preferred securities		–		448		–		–			448
Other investments		181		18		–		–			199

Total available-for-sale		1,054		48,078		2,377		–			51,509
Mortgage loans held for sale		–		8,100		–		–			8,100
Mortgage servicing rights		–		–		1,837		–			1,837
Derivative assets		–		846		953		(280	)		1,519
Other assets		–		470		–		–			470

Total	$	1,054	$	57,494	$	5,167	$	(280	)	$	63,435

Derivative liabilities	$	–	$	2,072	$	102	$	(1,163	)	$	1,011
Other liabilities		–		470		–		–			470

Total	$	–	$	2,542	$	102	$	(1,163	)	$	1,481

Changes in fair value for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3)


						Net Gains			Net Total					Net Change in
						(Losses)			Purchases,					Unrealized Gains
			Net Gains			Included in			Sales, Principal					(Losses) Relating
	Beginning		(Losses)			Other			Payments,			End		to Assets
	of Period		Included in			Comprehensive			Issuances and			of Period		Still Held at
(Dollars in Millions)	Balance		Net Income			Income (Loss)			Settlements			Balance		End of Period
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	963	$	1		$	(22	)	$	(46	)	$	896	$	(22	)
Non-prime		947		(2	)		(19	)		(31	)		895		(19	)
Commercial non-agency		50		1			(1	)		–			50		–
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		142		3			(1	)		(11	)		133		–
Other		133		3			(1	)		(6	)		129		(1	)
Corporate debt securities		9		–			–			–			9		–

Total available-for-sale		2,244		6	(a)		(44	)		(94	)		2,112		(42	)
Mortgage servicing rights		2,073		(190	) (b)		–			106			1,989		(190	) (b)
Net derivative assets and liabilities		747		373	(c)		–			(284	)		836		(30	) (d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,304	$	–		$	21		$	(128	)	$	1,197	$	19
Non-prime		900		(6	)		52			(39	)		907		52
Commercial non-agency		14		–			1			–			15		1
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		79		(2	)		(2	)		–			75		(1	)
Other		335		(3	)		4			(8	)		328		5
Corporate debt securities		10		–			–			–			10		–
Other investments		237		4			34			(9	)		266		34

Total available-for-sale		2,879		(7	) (e)		110			(184	)		2,798		110
Mortgage servicing rights		1,778		(385	) (b)		–			150			1,543		(385	) (b)
Net derivative assets and liabilities		905		687	(f)		–			(298	)		1,294		68	(g)


(a)		Approximately $(9) million included in securities gains (losses) and $15 million included in interest income.
(b)		Included in mortgage banking revenue.
(c)		Approximately $232 million included in other noninterest income and $141 million included in mortgage banking revenue.
(d)		Approximately $115 million included in other noninterest income and $(145) million included in mortgage banking revenue.
(e)		Approximately $(21) million included in securities gains (losses) and $14 million included in interest income.
(f)		Approximately $372 million included in other noninterest income and $315 million included in mortgage banking revenue.
(g)		Approximately $260 million included in other noninterest income and $(192) million included in mortgage banking revenue.


						Net Gains			Net Total					Net Change in
						(Losses)			Purchases,					Unrealized Gains
			Net Gains			Included in			Sales, Principal					(Losses) Relating
	Beginning		(Losses)			Other			Payments,			End		to Assets
	of Period		Included in			Comprehensive			Issuances and			of Period		Still Held at
(Dollars in Millions)	Balance		Net Income			Income (Loss)			Settlements			Balance		End of Period
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,103	$	3		$	24		$	(234	)	$	896	$	16
Non-prime		947		(2	)		32			(82	)		895		31
Commercial non-agency		50		1			–			(1	)		50		–
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		135		7			8			(17	)		133		9
Other		133		7			2			(13	)		129		2
Corporate debt securities		9		–			–			–			9		–

Total available-for-sale		2,377		16	(a)		66			(347	)		2,112		58
Mortgage servicing rights		1,837		(174	) (b)		–			326			1,989		(174	) (b)
Net derivative assets and liabilities		851		416	(c)		–			(431	)		836		(169	) (d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,429	$	–		$	50		$	(282	)	$	1,197	$	44
Non-prime		968		(37	)		68			(92	)		907		68
Commercial non-agency		13		–			2			–			15		1
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		98		–			(2	)		(21	)		75		–
Other		357		(5	)		(2	)		(22	)		328		(1	)
Corporate debt securities		10		–			–			–			10		–
Other investments		231		2			47			(14	)		266		47

Total available-for-sale		3,106		(40	) (e)		163			(431	)		2,798		159
Mortgage servicing rights		1,749		(493	) (b)		–			287			1,543		(493	) (b)
Net derivative assets and liabilities		815		1,059	(f)		–			(580	)		1,294		41	(g)


(a)		Approximately $(15) million included in securities gains (losses) and $31 million included in interest income.
(b)		Included in mortgage banking revenue.
(c)		Approximately $227 million included in other noninterest income and $189 million included in mortgage banking revenue.
(d)		Approximately $(14) million included in other noninterest income and $(155) million included in mortgage banking revenue.
(e)		Approximately $(67) million included in securities gains (losses) and $27 million included in interest income.
(f)		Approximately $613 million included in other noninterest income and $446 million included in mortgage banking revenue.
(g)		Approximately $338 million included in other noninterest income and $(297) million included in mortgage banking revenue.

Additional detail of purchases, sales, principal payments, issuances and settlements


						Principal
(Dollars in Millions)	Purchases		Sales			Payments			Issuances			Settlements			Net Total
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	–	$	–		$	(46	)	$	–		$	–		$	(46	)
Non-prime		–		–			(31	)		–			–			(31	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		–			(11	)		–			–			(11	)
Other		–		–			(6	)		–			–			(6	)

Total available-for-sale		–		–			(94	)		–			–			(94	)
Mortgage servicing rights		4		–			–			102	(a)		–			106
Net derivative assets and liabilities		–		(2	)		–			–			(282	)		(284	)


(a)		Represents MSRs capitalized during the period


						Principal
(Dollars in Millions)	Purchases		Sales			Payments			Issuances			Settlements			Net Total
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	–	$	(115	)	$	(119	)	$	–		$	–		$	(234	)
Non-prime		–		(12	)		(70	)		–			–			(82	)
Commercial non-agency		–		–			(1	)		–			–			(1	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		–			(17	)		–			–			(17	)
Other		–		–			(13	)		–			–			(13	)

Total available-for-sale		–		(127	)		(220	)		–			–			(347	)
Mortgage servicing rights		11		–			–			315	(a)		–			326
Net derivative assets and liabilities		–		(3	)		–			–			(428	)		(431	)


(a)		Represents MSRs capitalized during the period

Adjusted carrying values for assets measured at fair value on a nonrecurring basis


	June 30, 2011								December 31, 2010
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	151	$	–	$	151	$	–	$	404	$	1	$	405
Other real estate owned (b)		–		275		–		275		–		812		–		812
Other intangible assets		–		–		–		–		–		–		1		1
Other assets		–		–		–		–		–		4		9		13


(a)		Represents the carrying value of loans for which adjustments are based on the appraised value of the collateral, excluding loans fully charged-off.
(b)		Represents the fair value of foreclosed properties that were measured at fair value based on the appraisal value of the collateral subsequent to their initial acquisition.

Losses recognized related to nonrecurring fair value measurements of individual assets or portfolios


	Three Months				Six Months
	Ended June 30,				Ended June 30,
(Dollars in Millions)	2011		2010		2011		2010
Loans (a)	$	106	$	92	$	121	$	213
Other real estate owned (b)		62		65		149		115
Other intangible assets		–		–		–		–
Other assets		–		–		–		–


(a)		Represents write-downs of loans which are based on the appraised value of the collateral, excluding loans fully charged-off.
(b)		Represents related losses of foreclosed properties that were measured at fair value subsequent to their initial acquisition.

Difference between the aggregate fair value carrying amount of MLFHS and aggregate unpaid principal amount


	June 30, 2011							December 31, 2010
					Carrying							Carrying
	Fair Value		Aggregate		Amount Over			Fair Value		Aggregate		Amount Over
	Carrying		Unpaid		(Under) Unpaid			Carrying		Unpaid		(Under) Unpaid
(Dollars in Millions)	Amount		Principal		Principal			Amount		Principal		Principal
Total loans	$	3,304	$	3,187	$	117		$	8,100	$	8,034	$	66
Nonaccrual loans		9		15		(6	)		11		18		(7	)
Loans 90 days or more past due		4		4		–			6		6		–

Estimated fair values of financial instruments


	June 30, 2011				December 31, 2010
	Carrying		Fair		Carrying		Fair
(Dollars in Millions)	Amount		Value		Amount		Value
Financial Assets
Cash and due from banks	$	15,250	$	15,250	$	14,487	$	14,487
Investment securities held-to-maturity		13,280		13,431		1,469		1,419
Mortgages held for sale (a)		5		5		4		4
Other loans held for sale		234		234		267		267
Loans		194,811		196,711		191,751		192,058
Financial Liabilities
Deposits		214,883		215,330		204,252		204,799
Short-term borrowings		29,654		29,816		32,557		32,839
Long-term debt		32,830		33,419		31,537		31,981


(a)		Balance excludes mortgages held for sale for which the fair value option under applicable accounting guidance was elected.

- Definition

Tabular disclosure of assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income, and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issuances, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 10
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13433-108611

Reference 2: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19207-110258

Reference 3: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 14
-Subparagraph a
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 4: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 30
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612

Reference 5: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 15
-Subparagraph b-d
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 6: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 12
-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13476-108611

Reference 7: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 107
-Paragraph 10
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 8: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 50
-Paragraph 11
-URI http://asc.fasb.org/extlink&oid=6947722&loc=d3e13467-108611

Reference 9: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 825
-SubTopic 10
-Section 45
-Paragraph 2
-URI http://asc.fasb.org/extlink&oid=6447952&loc=d3e13220-108610

Reference 10: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 159
-Paragraph 18
-Subparagraph c(2), d, e, f
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 11: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 157
-Paragraph 32
-Subparagraph a, c(1), c(2), c(3), d
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

Reference 12: http://www.xbrl.org/2003/role/presentationRef
-Publisher FASB
-Name Statement of Financial Accounting Standard (FAS)
-Number 159
-Paragraph 19
-Subparagraph a, b, c(1), d(1)
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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