Fair Values of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 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
December 31, 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			36			7			5			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
December 31, 2011
Available-for-sale securities
U.S. Treasury and agencies	$	562	$	495	$	–	$	–		$	1,057
Mortgage-backed securities
Residential
Agency		–		40,314		–		–			40,314
Non-agency
Prime		–		–		803		–			803
Non-prime		–		–		802					802
Commercial
Agency		–		140		–		–			140
Non-agency		–		–		42		–			42
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		86		120		–			206
Other		–		564		117		–			681
Obligations of state and political subdivisions		–		6,539		–		–			6,539
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		818		9		–			827
Perpetual preferred securities		–		318		–		–			318
Other investments		193		9		–		–			202
Total available-for-sale		755		49,289		1,893		–			51,937
Mortgage loans held for sale		–		6,925		–		–			6,925
Mortgage servicing rights		–		–		1,519		–			1,519
Derivative assets		–		632		1,281		(294	)		1,619
Other assets		146		467		–		–			613
Total	$	901	$	57,313	$	4,693	$	(294	)	$	62,613
Derivative liabilities	$	–	$	2,501	$	53	$	(1,889	)	$	665
Other liabilities		75		538		–		–			613
Total	$	75	$	3,039	$	53	$	(1,889	)	$	1,278
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)

(Dollars in Millions)	Beginning of Period Balance		Net Gains (Losses) Included in Net Income			Net Gains (Losses) Included in Other Comprehensive Income (Loss)			Net Total Purchases, Sales, Principal Payments, Issuances and Settlements			Transfers into Level 3		End of Period Balance		Net Change in Unrealized Gains (Losses) Relating to Assets Still Held at End of Period
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,103	$	6		$	4		$	(310	)	$	–	$	803	$	(4	)
Non-prime		947		(7	)		1			(139	)		–		802		1
Commercial non-agency		50		3			(3	)		(8	)		–		42		(2	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		135		13			5			(33	)		–		120		5
Other		133		10			(7	)		(19	)		–		117		(7	)
Corporate debt securities		9		–			–			–			–		9		–
Total available-for-sale		2,377		25	(a)		–			(509	)		–		1,893		(7	)
Mortgage servicing rights		1,837		(972	)(b)		–			654			–		1,519		(972	)(b)
Net derivative assets and liabilities		851		1,550	(c)		–			(1,173	)		–		1,228		(383	)(d)
2010
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	1,429	$	2		$	82		$	(410	)	$	–	$	1,103	$	76
Non-prime		968		(47	)		146			(120	)		–		947		145
Commercial non-agency		13		2			3			32			–		50		3
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		98		7			–			30			–		135		4
Other		357		2			11			(237	)		–		133		12
Corporate debt securities		10		(1	)		–			–			–		9		–
Other investments		231		5			10			(246	)		–		–		–
Total available-for-sale		3,106		(30	)(e)		252			(951	)		–		2,377		240
Mortgage servicing rights		1,749		(616	)(b)		–			704			–		1,837		(616	)(b)
Net derivative assets and liabilities		815		1,427	(f)		–			(1,391	)		–		851		(318	)(g)
2009
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	183	$	(4	)	$	542		$	(1,540	)	$	2,248	$	1,429	$	358
Non-prime		1,022		(141	)		151			(197	)		133		968		29
Commercial non-agency		17		(1	)		(1	)		(3	)		1		13		(1	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		86		(3	)		2			9			4		98		3
Other		523		(180	)		101			(90	)		3		357		3
Corporate debt securities		13		(3	)		–			–			–		10		–
Other investments		–		2			(10	)		(4	)		243		231		(10	)
Total available-for-sale		1,844		(330	)(h)		785			(1,825	)		2,632		3,106		382
Mortgage servicing rights		1,194		(394	)(b)		–			949			–		1,749		(394	)(b)
Net derivative assets and liabilities		1,698		(755	)(i)		–			(129	)		1		815		(1,328	)(j)

(a) Approximately $(31) million included in securities gains (losses) and $56 million included in interest income.

(b) Included in mortgage banking revenue.

(c) Approximately $716 million included in other noninterest income and $834 million included in mortgage banking revenue.

(d) Approximately $262 million included in other noninterest income and $(645) million included in mortgage banking revenue.

(e) Approximately $(91) million included in securities gains (losses) and $61 million included in interest income.

(f) Approximately $632 million included in other noninterest income and $795 million included in mortgage banking revenue.

(g) Approximately $483 million included in other noninterest income and $(801) million included in mortgage banking revenue.

(h) Approximately $(361) million included in securities gains (losses) and $31 million included in interest income.

(i) Approximately $(1.4) billion included in other noninterest income and $611 million included in mortgage banking revenue.

(j) Approximately $(630) million included in other noninterest income and $(698) million included in mortgage banking revenue.

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

(Dollars in Millions)	Purchases		Sales			Principal Payments			Issuances			Settlements			Net Total
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime	$	–	$	(115	)	$	(195	)	$	–		$	–		$	(310	)
Non-prime		–		(13	)		(126	)		–			–			(139	)
Commercial non-agency		–		(4	)		(4	)		–			–			(8	)
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		–			(33	)		–			–			(33	)
Other		5		–			(24	)		–			–			(19	)
Total available-for-sale		5		(132	)		(382	)		–			–			(509	)
Mortgage servicing rights		35		–			–			619	(a)		–			654
Net derivative assets and liabilities		1		(8	)		–			–			(1,166	)		(1,173	)

(a) Represents MSRs capitalized during the period

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

	2011								2010
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	–	$	168	$	168	$	–	$	404	$	1	$	405
Other intangible assets		–		–		–		–		–		–		1		1
Other assets (b)		–		–		310		310		–		816		9		825

(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) Primarily 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

(Dollars in Millions)	2011		2010		2009
Loans held for sale	$	–	$	–	$	2
Loans (a)		177		363		293
Other intangible assets		–		1		2
Other assets (b)		316		308		178

(a) Represents write-downs of loans which were based on the fair value of the collateral, excluding loans fully charged-off.

(b) Primarily 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

	2011							2010
(Dollars in Millions)	Fair Value Carrying Amount		Aggregate Unpaid Principal		Carrying Amount Over (Under) Unpaid Principal			Fair Value Carrying Amount		Aggregate Unpaid Principal		Carrying Amount Over (Under) Unpaid Principal
Total loans	$	6,925	$	6,635	$	290		$	8,100	$	8,034	$	66
Nonaccrual loans		10		15		(5	)		11		18		(7	)
Loans 90 days or more past due		3		4		(1	)		6		6		–

Estimated fair values of financial instruments

	2011				2010
(Dollars in Millions)	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial Assets
Cash and due from banks	$	13,962	$	13,962	$	14,487	$	14,487
Investment securities held-to-maturity		18,877		19,216		1,469		1,419
Mortgages held for sale (a)		3		3		4		4
Other loans held for sale		228		228		267		267
Loans		205,082		206,646		191,751		192,058
Financial Liabilities
Deposits		230,885		231,184		204,252		204,799
Short-term borrowings		30,468		30,448		32,557		32,839
Long-term debt		31,953		32,664		31,537		31,981

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