Fair Values of Assets and Liabilities (Tables)

9 Months Ended

Sep. 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
September 30, 2011
Estimated lifetime prepayment rates		4	%		23	%		13	%		1	%		13	%		6	%
Lifetime probability of default rates		–			14			2			–			20			7
Lifetime loss severity rates		9			80			39			8			88			54
Discount margin		3			38			6			4			40			11
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
September 30, 2011
Available-for-sale securities
U.S. Treasury and agencies	$	583	$	906	$	–	$	–		$	1,489
Mortgage-backed securities
Residential
Agency		–		39,738		–		–			39,738
Non-agency
Prime		–		–		859		–			859
Non-prime		–		–		857		–			857
Commercial
Agency		–		147		–		–			147
Non-agency		–		–		45		–			45
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		93		125		–			218
Other		–		566		120		–			686
Obligations of state and political subdivisions		–		6,499		–		–			6,499
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		960		9		–			969
Perpetual preferred securities		–		406		–		–			406
Other investments		182		8		–		–			190
Total available-for-sale		765		49,329		2,015		–			52,109
Mortgage loans held for sale		–		5,152		–		–			5,152
Mortgage servicing rights		–		–		1,466		–			1,466
Derivative assets		–		775		1,364		(361	)		1,778
Other assets		–		927		–		–			927
Total	$	765	$	56,183	$	4,845	$	(361	)	$	61,432
Derivative liabilities	$	–	$	2,694	$	34	$	(1,680	)	$	1,048
Other liabilities		–		876		–		–			876
Total	$	–	$	3,570	$	34	$	(1,680	)	$	1,924
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	$	896	$	1		$	(2	)	$	(36	)	$	859	$	(2	)
Non-prime		895		(2	)		(5	)		(31	)		857		(5	)
Commercial non-agency		50		1			(1	)		(5	)		45		–
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		133		3			(2	)		(9	)		125		(2	)
Other		129		1			(4	)		(6	)		120		(4	)
Corporate debt securities		9		–			–			–			9		–
Total available-for-sale		2,112		4	(a)		(14	)		(87	)		2,015		(13	)
Mortgage servicing rights		1,989		(629	) (b)		–			106			1,466		(629	) (b)
Net derivative assets and liabilities		836		836	(c)		–			(342	)		1,330		77	(d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,197	$	1		$	22		$	(51	)	$	1,169	$	22
Non-prime		907		(9	)		36			11			945		36
Commercial non-agency		15		1			1			33			50		1
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		75		3			2			69			149		2
Other		328		3			8			(209	)		130		8
Corporate debt securities		10		(1	)		–			–			9		–
Other investments		266		2			16			(7	)		277		16
Total available-for-sale		2,798		–	(e)		85			(154	)		2,729		85
Mortgage servicing rights		1,543		(280	) (b)		–			159			1,422		(280	) (b)
Net derivative assets and liabilities		1,294		682	(f)		–			(544	)		1,432		119	(g)

(a)	Approximately $(9) million included in securities gains (losses) and $13 million included in interest income.
(b)	Included in mortgage banking revenue.
(c)	Approximately $445 million included in other noninterest income and $391 million included in mortgage banking revenue.
(d)	Approximately $317 million included in other noninterest income and $(240) million included in mortgage banking revenue.
(e)	Approximately $(18) million included in securities gains (losses) and $18 million included in interest income.
(f)	Approximately $252 million included in other noninterest income and $430 million included in mortgage banking revenue.
(g)	Approximately $504 million included in other noninterest income and $(385) 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	$	4		$	22		$	(270	)	$	859	$	14
Non-prime		947		(4	)		27			(113	)		857		26
Commercial non-agency		50		2			(1	)		(6	)		45		–
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		135		10			6			(26	)		125		7
Other		133		8			(2	)		(19	)		120		(2	)
Corporate debt securities		9		–			–			–			9		–
Total available-for-sale		2,377		20	(a)		52			(434	)		2,015		45
Mortgage servicing rights		1,837		(803	) (b)		–			432			1,466		(803	) (b)
Net derivative assets and liabilities		851		1,252	(c)		–			(773	)		1,330		(92	) (d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,429	$	1		$	72		$	(333	)	$	1,169	$	66
Non-prime		968		(46	)		104			(81	)		945		104
Commercial non-agency		13		1			3			33			50		2
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		98		3			–			48			149		3
Other		357		(2	)		6			(231	)		130		7
Corporate debt securities		10		(1	)		–			–			9		–
Other investments		231		4			63			(21	)		277		63
Total available-for-sale		3,106		(40	) (e)		248			(585	)		2,729		245
Mortgage servicing rights		1,749		(773	) (b)		–			446			1,422		(773	) (b)
Net derivative assets and liabilities		815		1,741	(f)		–			1,124			1,432		160	(g)

(a)	Approximately $(24) million included in securities gains (losses) and $44 million included in interest income.
(b)	Included in mortgage banking revenue.
(c)	Approximately $672 million included in other noninterest income and $580 million included in mortgage banking revenue.
(d)	Approximately $303 million included in other noninterest income and $(395) million included in mortgage banking revenue.
(e)	Approximately $(85) million included in securities gains (losses) and $45 million included in interest income.
(f)	Approximately $865 million included in other noninterest income and $876 million included in mortgage banking revenue.
(g)	Approximately $842 million included in other noninterest income and $(682) 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	$	–	$	–		$	(36	)	$	–		$	–		$	(36	)
Non-prime		–		–			(31	)		–			–			(31	)
Commercial non-agency		–		(4	)		(1	)		–			–			(5	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		–			(9	)		–			–			(9	)
Other		–		–			(6	)		–			–			(6	)
Total available-for-sale		–		(4	)		(83	)		–			–			(87	)
Mortgage servicing rights		5		–			–			101	(a)		–			106
Net derivative assets and liabilities		–		(2	)		–			–			(340	)		(342	)

(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	)	$	(155	)	$	–		$	–		$	(270	)
Non-prime		–		(12	)		(101	)		–			–			(113	)
Commercial non-agency		–		(4	)		(2	)		–			–			(6	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		–			(26	)		–			–			(26	)
Other		–		–			(19	)		–			–			(19	)
Total available-for-sale		–		(131	)		(303	)		–			–			(434	)
Mortgage servicing rights		16		–			–			416	(a)		–			432
Net derivative assets and liabilities		–		(5	)		–			–			(768	)		(773	)

(a) Represents MSRs capitalized during the period

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

	September 30, 2011								December 31, 2010
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	–	$	170	$	170	$	–	$	404	$	1	$	405
Other real estate owned (b)		–		–		255		255		–		812		–		812
Other intangible assets		–		–		–		–		–		–		1		1
Other assets		–		–		3		3		–		4		9		13

(a)	Represents the carrying value of loans for which adjustments were based on the fair 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 an appraisal or broker price opinion of the collateral subsequent to their initial acquisition.

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

	Three Months				Nine Months
	Ended September 30,				Ended September 30,
(Dollars in Millions)	2011		2010		2011		2010
Loans (a)	$	32	$	67	$	153	$	280
Other real estate owned (b)		81		97		230		212
Other intangible assets		–		–		–		–
Other assets		–		–		–		–

(a)	Represents write-downs of loans which were based on the fair 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

	September 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	$	5,152	$	4,910	$	242		$	8,100	$	8,034	$	66
Nonaccrual loans		7		14		(7	)		11		18		(7	)
Loans 90 days or more past due		2		4		(2	)		6		6		–

Estimated fair values of financial instruments

	September 30, 2011				December 31, 2010
	Carrying		Fair		Carrying		Fair
(Dollars in Millions)	Amount		Value		Amount		Value
Financial Assets
Cash and due from banks	$	13,708	$	13,708	$	14,487	$	14,487
Investment securities held-to-maturity		16,269		16,613		1,469		1,419
Mortgages held for sale (a)		4		4		4		4
Other loans held for sale		219		220		267		267
Loans		199,818		202,037		191,751		192,058
Financial Liabilities
Deposits		222,632		223,042		204,252		204,799
Short-term borrowings		32,029		32,094		32,557		32,839
Long-term debt		30,624		31,467		31,537		31,981

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