Fair Values of Assets and Liabilities (Tables)

6 Months Ended

Jun. 30, 2012

Fair Values of Assets and Liabilities [Abstract]

Valuation assumption ranges for Level 3 available-for-sale investment securities

	Minimum			Maximum			Average
Residential Prime Non-Agency Mortgage-Backed Securities (a)
Estimated lifetime prepayment rates		3	%		23	%		13	%
Lifetime probability of default rates		—			14			2
Lifetime loss severity rates		9			80			40
Discount margin		3			30			6
Residential Non-Prime Non-Agency Mortgage-Backed Securities (b)
Estimated lifetime prepayment rates		2	%		13	%		6	%
Lifetime probability of default rates		2			20			7
Lifetime loss severity rates		8			88			54
Discount margin		3			40			10
Commercial Non-Agency Mortgage-Backed Securities
Estimated lifetime prepayment rates		—	%		8	%		2	%
Lifetime probability of default rates		5			14			2
Lifetime loss severity rates		50			100			60
Discount margin		2			15			7
Collateralized Debt/Loan Obligation Asset-Backed Securities
Estimated lifetime prepayment rates		—	%		16	%		4	%
Lifetime probability of default rates		2			28			5
Lifetime loss severity rates		30			90			49
Discount margin		2			70			12
Other Asset-Backed Securities
Estimated lifetime prepayment rates		1	%		10	%		4	%
Lifetime probability of default rates		—			38			14
Lifetime loss severity rates		40			100			74
Discount margin		3			40			15

(a) Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization based on asset pool characteristics (such as weighted average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool delinquencies and security market spreads).

(b) Includes all securities not meeting the conditions to be designated as prime.

Valuation assumption ranges for MSRs

	Minimum			Maximum			Average
Expected prepayment		14	%		31	%		22	%
Discount rate		10			14			10

Valuation assumption ranges for derivative commitments

	Minimum			Maximum			Average
Expected loan close rate		4	%		100	%		75	%
Inherent MSR value (basis points per loan)		10			198			101

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, 2012
Available-for-sale securities
U.S. Treasury and agencies	$	516	$	284	$	—	$	—		$	800
Mortgage-backed securities
Residential
Agency		—		28,079		—		—			28,079
Non-agency
Prime (a)		—		—		713		—			713
Non-prime (b)		—		—		796		—			796
Commercial
Agency		—		132		—		—			132
Non-agency		—		—		37		—			37
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		—		42		102		—			144
Other		—		584		112		—			696
Obligations of state and political subdivisions		—		6,510		—		—			6,510
Obligations of foreign governments		—		6		—		—			6
Corporate debt securities		—		822		9		—			831
Perpetual preferred securities		—		331		—		—			331
Other investments		227		11		—		—			238
Total available-for-sale		743		36,801		1,769		—			39,313
Mortgage loans held for sale		—		8,223		—		—			8,223
Mortgage servicing rights		—		—		1,594		—			1,594
Derivative assets		—		537		1,404		(321	)		1,620
Other assets		129		588		—		—			717
Total	$	872	$	46,149	$	4,767	$	(321	)	$	51,467
Derivative liabilities	$	—	$	2,343	$	44	$	(875	)	$	1,512
Other liabilities		69		542		—		—			611
Total	$	69	$	2,885	$	44	$	(875	)	$	2,123
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 (a)		—		—		803		—			803
Non-prime (b)		—		—		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

(a) Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization based on asset pool characteristics (such as weighted average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool delinquencies and security market spreads).

(b) Includes all securities not meeting the conditions to be designated as prime.

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)			Purchases		Sales			Principal Payments			Issuances			Settlements			End of Period Balance		Net Change in Unrealized Gains (Losses) Relating to Assets Still Held at End of Period
2012
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	733	$	(1	)	$	21		$	—	$	—		$	(40	)	$	—		$	—		$	713	$	20
Non-prime (b)		806		(7	)		28			—		—			(31	)		—			—			796		28
Commercial non-agency		40		1			(2	)		—		—			(2	)		—			—			37		(1	)
Asset-backed securities
Collateralized debt obligations/ Collateralized loan obligations		119		5			—			—		(7	)		(15	)		—			—			102		—
Other		112		3			3			—		—			(6	)		—			—			112		3
Corporate debt securities		9		—			—			—		—			—			—			—			9		—
Total available-for-sale		1,819		1	(c)		50	(f)		—		(7	)		(94	)		—			—			1,769		50
Mortgage servicing rights		1,737		(374	)(d)		—			16		—			—			215	(g)		—			1,594		(374	)(d)
Net derivative assets and liabilities		1,089		876	(e)		—			—		(2	)		—			—			(603	)		1,360		(389	)(h)
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	963	$	1		$	(22	)	$	—	$	—		$	(46	)	$	—		$	—		$	896	$	(22	)
Non-prime (b)		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	(i)		(44	)(f)		—		—			(94	)		—			—			2,112		(42	)
Mortgage servicing rights		2,073		(190	)(d)		—			4		—			—			102	(g)		—			1,989		(190	)(d)
Net derivative assets and liabilities		747		373	(j)		—			—		(2	)		—			—			(282	)		836		(30	)(k)

(a) Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization based on asset pool characteristics (such as weighted average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool delinquencies and security market spreads).

(b) Includes all securities not meeting the conditions to be designated as prime.

(c) Approximately $(13) million included in securities gains (losses) and $14 million included in interest income.

(d) Included in mortgage banking revenue.

(e) Approximately $242 million included in other noninterest income and $634 million included in mortgage banking revenue.

(f) Included in changes in unrealized gains and losses on securities available-for-sale.

(g) Represents MSRs capitalized during the period.

(h) Approximately $102 million included in other noninterest income and $(491) million included in mortgage banking revenue.

(i) Approximately $(9) million included in securities gains (losses) and $15 million included in interest income.

(j) Approximately $232 million included in other noninterest income and $141 million included in mortgage banking revenue.

(k) Approximately $115 million included in other noninterest income and $(145) million included in mortgage banking revenue.

(Dollars in Millions)	Beginning of Period Balance		Net Gains (Losses) Included in Net Income			Net Gains (Losses) Included in Other Comprehensive Income (Loss)			Purchases		Sales			Principal Payments			Issuances			Settlements			End of Period Balance		Net Change in Unrealized Gains (Losses) Relating to Assets Still Held at End of Period
2012
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	803	$	(1	)	$	37		$	—	$	(48	)	$	(78	)	$	—		$	—		$	713	$	33
Non-prime (b)		802		(10	)		65			—		—			(61	)		—			—			796		65
Commercial non-agency		42		1			(2	)		—		—			(4	)		—			—			37		(2	)
Asset-backed securities
Collateralized debt obligations/ Collateralized loan obligations		120		10			(1	)		—		(7	)		(20	)		—			—			102		1
Other		117		6			4			—		—			(15	)		—			—			112		4
Corporate debt securities		9		—			—			—		—			—			—			—			9		—
Total available-for-sale		1,893		6	(c)		103	(f)		—		(55	)		(178	)		—			—			1,769		101
Mortgage servicing rights		1,519		(430	)(d)		—			29		—			—			476	(g)		—			1,594		(430	)(d)
Net derivative assets and liabilities		1,228		1,207	(e)		—			—		(2)			—			—			(1,073	)		1,360		(850	) (h)
2011
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	1,103	$	3		$	24		$	—	$	(115	)	$	(119	)	$	—		$	—		$	896	$	16
Non-prime (b)		947		(2	)		32			—		(12	)		(70	)		—			—			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	(i)		66	(f)		—		(127	)		(220	)		—			—			2,112		58
Mortgage servicing rights		1,837		(174	)(d)		—			11		—			—			315	(g)		—			1,989		(174	)(d)
Net derivative assets and liabilities		851		416	(j)		—			—		(3	)		—			—			(428	)		836		(169	)(k)

(a) Prime securities are those designated as such by the issuer at origination. When an issuer designation is unavailable, the Company determines at acquisition date the categorization based on asset pool characteristics (such as weighted average credit score, loan-to-value, loan type, prevalence of low documentation loans) and deal performance (such as pool delinquencies and security market spreads).

(b) Includes all securities not meeting the conditions to be designated as prime.

(c) Approximately $(22) million included in securities gains (losses) and $28 million included in interest income.

(d) Included in mortgage banking revenue.

(e) Approximately $220 million included in other noninterest income and $987 million included in mortgage banking revenue.

(f) Included in changes in unrealized gains and losses on securities available-for-sale.

(g) Represents MSRs capitalized during the period.

(h) Approximately $(1) million included in other noninterest income and $(849) million included in mortgage banking revenue.

(i) Approximately $(15) million included in securities gains (losses) and $31 million included in interest income.

(j) Approximately $227 million included in other noninterest income and $189 million included in mortgage banking revenue.

(k) Approximately $(14) million included in other noninterest income and $(155) million included in mortgage banking revenue.

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

	June 30, 2012								December 31, 2011
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	—	$	—	$	119	$	119	$	—	$	—	$	168	$	168
Other assets (b)		—		—		153		153		—		—		310		310

(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

	Three Months Ended June 30,				Six Months Ended June 30,
(Dollars in Millions)	2012		2011		2012		2011
Loans (a)	$	21	$	106	$	39	$	121
Other assets (b)		40		62		87		149

(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.

Differences between the aggregate fair value carrying amount of MLHFS and the aggregate unpaid principal amount

	June 30, 2012							December 31, 2011
(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	$	8,223	$	7,813	$	410		$	6,925	$	6,635	$	290
Nonaccrual loans		9		14		(5	)		10		15		(5	)
Loans 90 days or more past due		2		2		—			3		4		(1	)

Estimated fair values of financial instruments

	June 30, 2012										December 31, 2011
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
(Dollars in Millions)			Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	15,403	$	15,403	$	—	$	—	$	15,403	$	13,962	$	13,962
Federal funds sold and securities purchased under resale agreements		121		—		121		—		121		64		64
Investment securities held-to-maturity		34,635		2,443		32,549		89		35,081		18,877		19,216
Mortgages held for sale (a)		—		—		—		—		—		3		3
Other loans held for sale		34		—		—		34		34		228		228
Loans		211,516		—		—		212,973		212,973		205,082		206,646
Other financial instruments		6,443		—		1,268		5,224		6,492		6,095		6,140
Financial Liabilities
Deposits		241,316		—		241,556		—		241,556		230,885		231,184
Short-term borrowings		30,684		—		30,644		—		30,644		30,468		30,448
Long-term debt		28,821		—		29,511		—		29,511		31,953		32,664

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