Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2013

Fair Value Disclosures [Abstract]

Valuation Assumption Ranges for Level 3 Available-for-Sale Investment Securities

The following table shows the significant valuation assumption ranges for Level 3 available-for-sale investment securities at March 31, 2013:

	Minimum			Maximum			Average
Residential Prime Non-Agency Mortgage-Backed Securities (a)
Estimated lifetime prepayment rates		6	%		20	%		13	%
Lifetime probability of default rates		–			6			3
Lifetime loss severity rates		25			70			43
Discount margin		2			7			4
Residential Non-Prime Non-Agency Mortgage-Backed Securities (b)
Estimated lifetime prepayment rates		2	%		10	%		6	%
Lifetime probability of default rates		4			10			7
Lifetime loss severity rates		15			70			55
Discount margin		2			6			3
Other Asset-Backed Securities
Estimated lifetime prepayment rates		6	%		6	%		6	%
Lifetime probability of default rates		4			4			4
Lifetime loss severity rates		40			40			40
Discount margin		18			18			18

(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

The following table shows the significant valuation assumption ranges for MSRs at March 31, 2013:

	Minimum			Maximum			Average
Expected prepayment		12	%		28	%		17	%
Discount rate		10			14			10

Valuation Assumption Ranges for Derivative Commitments

The following table shows the significant valuation assumption ranges for the Company’s derivative commitments to sell, purchase and originate mortgage loans at March 31, 2013:

	Minimum			Maximum			Average
Expected loan close rate		28	%		100	%		78	%
Inherent MSR value (basis points per loan)		52			198			111

Balances of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following table summarizes the balances of assets and liabilities measured at fair value on a recurring basis:

(Dollars in Millions)	Level 1		Level 2		Level 3		Netting			Total
March 31, 2013
Available-for-sale securities
U.S. Treasury and agencies	$	478	$	1,028	$	–	$	–		$	1,506
Mortgage-backed securities
Residential
Agency		–		29,461		–		–			29,461
Non-agency
Prime (a)		–		–		599		–			599
Non-prime (b)		–		–		350		–			350
Commercial
Agency		–		187		–		–			187
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		26		–		–			26
Other		–		573		40		–			613
Obligations of state and political subdivisions		–		6,280		–		–			6,280
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		731		9		–			740
Perpetual preferred securities		–		225		–		–			225
Other investments		562		15		–		–			577
Total available-for-sale		1,040		38,532		998		–			40,570
Mortgage loans held for sale		–		7,562		–		–			7,562
Mortgage servicing rights		–		–		1,955		–			1,955
Derivative assets		–		712		1,044		(515	)		1,241
Other assets		134		765		–		–			899
Total	$	1,174	$	47,571	$	3,997	$	(515	)	$	52,227
Derivative liabilities	$	–	$	2,081	$	58	$	(1,472	)	$	667
Short-term borrowings (c)		88		505		–		–			593
Total	$	88	$	2,586	$	58	$	(1,472	)	$	1,260
December 31, 2012
Available-for-sale securities
U.S. Treasury and agencies	$	491	$	735	$	–	$	–		$	1,226
Mortgage-backed securities
Residential
Agency		–		29,495		–		–			29,495
Non-agency
Prime (a)		–		–		624		–			624
Non-prime (b)		–		–		355		–			355
Commercial
Agency		–		193		–		–			193
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		42		–		–			42
Other		–		577		15		–			592
Obligations of state and political subdivisions		–		6,455		–		–			6,455
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		722		9		–			731
Perpetual preferred securities		–		218		–		–			218
Other investments		187		15		–		–			202
Total available-for-sale		678		38,458		1,003		–			40,139
Mortgage loans held for sale		–		7,957		–		–			7,957
Mortgage servicing rights		–		–		1,700		–			1,700
Derivative assets		–		572		1,234		(418	)		1,388
Other assets		94		386		–		–			480
Total	$	772	$	47,373	$	3,937	$	(418	)	$	51,664
Derivative liabilities	$	–	$	2,128	$	55	$	(1,549	)	$	634
Short-term borrowings (c)		50		351		–		–			401
Total	$	50	$	2,479	$	55	$	(1,549	)	$	1,035

(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) Represents the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.

Changes in Fair Value for All Assets and Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)

The following table presents the changes in fair value for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31:

(Dollars in Millions)	Beginning of Period Balance		Net Gains (Losses) Included in Net Income			Net Gains (Losses) Included in Other Compre- hensive Income (Loss)			Purch- ases		Sales			Principal Payments			Issua- nces			Settle- ments			End of Period Balance		Net Change in Unrealized Gains (Losses) Relating to Assets Still Held at End of Period
2013
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	624	$	(2	)	$	11		$	–	$	–		$	(34	)	$	–		$	–		$	599	$	11
Non-prime (b)		355		(7	)		14			–		–			(12	)		–			–			350		14
Asset-backed securities
Other		15		1			–			25		–			(1	)		–			–			40		–
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		1,003		(8	)(c)		25	(f)		25		–			(47	)		–			–			998		25
Mortgage servicing rights		1,700		(1	)(d)		–			2		–			–			254	(g)		–			1,955		(1	)(d)
Net derivative assets and liabilities		1,179		147	(e)		–			1		(1	)		–			–			(340	)		986		(338	)(h)
2012
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	803	$	–		$	16		$	–	$	(48	)	$	(38	)	$	–		$	–		$	733	$	13
Non-prime (b)		802		(3	)		37			–		–			(30	)		–			–			806		37
Commercial non-agency		42		–			–			–		–			(2	)		–			–			40		–
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		120		5			(1	)		–		–			(5	)		–			–			119		(1	)
Other		117		3			1			–		–			(9	)		–			–			112		1
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		1,893		5	(i)		53	(f)		–		(48	)		(84	)		–			–			1,819		50
Mortgage servicing rights		1,519		(56	)(d)		–			13		–			–			261	(g)		–			1,737		(56	)(d)
Net derivative assets and liabilities		1,228		331	(j)		–			–		–			–			–			(470	)		1,089		(461	)(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 $(7) million included in securities gains (losses) and $(1) million included in interest income.

(d) Included in mortgage banking revenue.

(e) Approximately $(3) million included in other noninterest income and $150 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 $(88) million included in other noninterest income and $(250) million included in mortgage banking revenue.

(i) Approximately $(9) million included in securities gains (losses) and $14 million included in interest income.

(j) Approximately $(22) million included in other noninterest income and $353 million included in mortgage banking revenue.

(k) Approximately $(103) million included in other noninterest income and $(358) million included in mortgage banking revenue.

Adjusted Carrying Values for Assets Measured at Fair Value on Nonrecurring Basis

The following table summarizes the adjusted carrying values and the level of valuation assumptions for assets measured at fair value on a nonrecurring basis:

	March 31, 2013								December 31, 2012
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	–	$	56	$	56	$	–	$	–	$	140	$	140
Other assets (b)		–		–		108		108		–		–		194		194

(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

The following table summarizes losses recognized related to nonrecurring fair value measurements of individual assets or portfolios for the three months ended March 31:

(Dollars in Millions)	2013		2012
Loans (a)	$	21	$	18
Other assets (b)		39		47

(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 Aggregate Fair Value, Carrying Amount of MLHFS and Aggregate Unpaid Principal Amount

The following table summarizes the differences between the aggregate fair value carrying amount of MLHFS for which the fair value option has been elected and the aggregate unpaid principal amount that the Company is contractually obligated to receive at maturity:

	March 31, 2013							December 31, 2012
(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	$	7,562	$	7,282	$	280		$	7,957	$	7,588	$	369
Nonaccrual loans		9		14		(5	)		8		13		(5	)
Loans 90 days or more past due		2		3		(1	)		2		3		(1	)

Estimated Fair Values of Financial Instruments

The estimated fair values of the Company’s financial instruments are shown in the table below:

	March 31, 2013										December 31, 2012
	Carrying Amount		Fair Value								Carrying Amount		Fair Value
(Dollars in Millions)			Level 1		Level 2		Level 3		Total				Level 1		Level 2		Level 3		Total
Financial Assets
Cash and due from banks	$	6,932	$	6,932	$	–	$	–	$	6,932	$	8,252	$	8,252	$	–	$	–	$	8,252
Federal funds sold and securities purchased under resale agreements		90		–		90		–		90		437		–		437		–		437
Investment securities held-to-maturity		34,716		3,221		31,846		116		35,183		34,389		2,984		31,845		123		34,952
Loans held for sale (a)		157		–		–		159		159		19		–		–		19		19
Loans		218,961		–		–		221,040		221,040		218,905		–		–		220,494		220,494
Other financial instruments		7,372		–		1,210		6,182		7,392		7,367		–		1,228		6,157		7,385
Financial Liabilities
Deposits		248,012		–		248,344		–		248,344		249,183		–		249,594		–		249,594
Short-term borrowings (b)		26,533		–		26,526		–		26,526		25,901		–		25,917		–		25,917
Long-term debt		25,239		–		26,099		–		26,099		25,516		–		26,205		–		26,205

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

(b) Excludes the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.