Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2014

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, 2014:

	Minimum			Maximum			Average
Residential Prime Non-Agency Mortgage-Backed Securities (a)
Estimated lifetime prepayment rates		6	%		25	%		14	%
Lifetime probability of default rates		–			7			4
Lifetime loss severity rates		15			75			40
Discount margin		2			5			3
Residential Non-Prime Non-Agency Mortgage-Backed Securities (b)
Estimated lifetime prepayment rates		2	%		10	%		6	%
Lifetime probability of default rates		4			12			7
Lifetime loss severity rates		15			70			53
Discount margin		1			5			3
Other Asset-Backed Securities
Estimated lifetime prepayment rates		6	%		6	%		6	%
Lifetime probability of default rates		5			5			5
Lifetime loss severity rates		40			40			40
Discount margin		7			7			7

(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, 2014:

	Minimum			Maximum			Average
Expected prepayment		10	%		20	%		11	%
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, 2014:

	Minimum			Maximum			Average
Expected loan close rate		43	%		100	%		76	%
Inherent MSR value (basis points per loan)		48			209			126

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, 2014
Available-for-sale securities
U.S. Treasury and agencies	$	7	$	1,055	$	–	$	–		$	1,062
Mortgage-backed securities
Residential
Agency		–		35,484		–		–			35,484
Non-agency
Prime (a)		–		–		465		–			465
Non-prime (b)		–		–		297		–			297
Commercial
Agency		–		144		–		–			144
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		24		–		–			24
Other		–		563		65		–			628
Obligations of state and political subdivisions		–		5,585		–		–			5,585
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		661		9		–			670
Perpetual preferred securities		–		218		–		–			218
Other investments		159		19		–		–			178
Total available-for-sale		166		43,759		836		–			44,761
Mortgage loans held for sale		–		1,827		–		–			1,827
Mortgage servicing rights		–		–		2,618		–			2,618
Derivative assets		–		742		542		(470	)		814
Other assets		118		856		–		–			974
Total	$	284	$	47,184	$	3,996	$	(470	)	$	50,994
Derivative liabilities	$	–	$	1,503	$	60	$	(1,138	)	$	425
Short-term borrowings (c)		75		599		–		–			674
Total	$	75	$	2,102	$	60	$	(1,138	)	$	1,099
December 31, 2013
Available-for-sale securities
U.S. Treasury and agencies	$	7	$	1,038	$	–	$	–		$	1,045
Mortgage-backed securities
Residential
Agency		–		31,553		–		–			31,553
Non-agency
Prime (a)		–		–		478		–			478
Non-prime (b)		–		–		297		–			297
Commercial
Agency		–		152		–		–			152
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		24		–		–			24
Other		–		566		63		–			629
Obligations of state and political subdivisions		–		5,738		–		–			5,738
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		–		631		9		–			640
Perpetual preferred securities		–		212		–		–			212
Other investments		141		20		–		–			161
Total available-for-sale		148		39,940		847		–			40,935
Mortgage loans held for sale		–		3,263		–		–			3,263
Mortgage servicing rights		–		–		2,680		–			2,680
Derivative assets		–		889		515		(599	)		805
Other assets		143		588		–		–			731
Total	$	291	$	44,680	$	4,042	$	(599	)	$	48,414
Derivative liabilities	$	–	$	1,647	$	70	$	(1,192	)	$	525
Short-term borrowings (c)		112		551		–		–			663
Total	$	112	$	2,198	$	70	$	(1,192	)	$	1,188

(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 Comprehensive Income (Loss)			Purchases		Sales			Principal Payments			Issuances			Settlements			End of Period Balance		Net Change in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at End of Period
2014
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	478	$	–		$	7		$	–	$	–		$	(20	)	$	–		$	–		$	465	$	7
Non-prime (b)		297		(1	)		7			–		–			(6	)		–			–			297		7
Asset-backed securities
Other		63		1			1			2		–			(2	)		–			–			65		1
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		847		–			15	(e)		2		–			(28	)		–			–			836		15
Mortgage servicing rights		2,680		(147	)(c)		–			1		–			–			84	(f)		–			2,618		(147	)(c)
Net derivative assets and liabilities		445		185	(d)		–			1		–			–			–			(149	)		482		60	(g)
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	)(h)		25	(e)		25		–			(47	)		–			–			998		25
Mortgage servicing rights		1,700		(1	)(c)		–			2		–			–			254	(f)		–			1,955		(1	)(c)
Net derivative assets and liabilities		1,179		147	(i)		–			1		(1	)		–			–			(340	)		986		71	(j)

(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) Included in mortgage banking revenue.

(d) Approximately $81 million included in other noninterest income and $104 million included in mortgage banking revenue.

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

(f) Represents MSRs capitalized during the period.

(g) Approximately $21 million included in other noninterest income and $39 million included in mortgage banking revenue.

(h) Approximately $(7) million included in securities gains (losses) and $(1) million included in interest income.

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

(j) Approximately $(88) million included in other noninterest income and $159 million included in mortgage banking revenue.

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

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

	March 31, 2014								December 31, 2013
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	–	$	67	$	67	$	–	$	–	$	128	$	128
Other assets (b)		–		–		51		51		–		–		150		150

(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)	2014		2013
Loans (a)	$	16	$	21
Other assets (b)		19		39

(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, 2014							December 31, 2013
(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	$	1,827	$	1,764	$	63		$	3,263	$	3,195	$	68
Nonaccrual loans		10		15		(5	)		9		14		(5	)
Loans 90 days or more past due		2		2		–			–		–		–

Estimated Fair Values of Financial Instruments

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

	March 31, 2014										December 31, 2013
	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	$	7,408	$	7,408	$	–	$	–	$	7,408	$	8,477	$	8,477	$	–	$	–	$	8,477
Federal funds sold and securities purchased under resale agreements		56		–		56		–		56		163		–		163		–		163
Investment securities held-to-maturity		40,712		1,443		38,847		99		40,389		38,920		2,589		35,678		101		38,368
Loans held for sale (a)		16		–		–		16		16		5		–		–		5		5
Loans (b)		234,119		–		–		235,218		235,218		230,857		–		–		231,480		231,480
Other financial instruments		2,307		–		954		1,364		2,318		2,443		–		1,080		1,383		2,463
Financial Liabilities
Deposits		260,612		–		260,623		–		260,623		262,123		–		262,200		–		262,200
Short-term borrowings (c)		30,107		–		30,001		–		30,001		26,945		–		26,863		–		26,863
Long-term debt		23,774		–		24,127		–		24,127		20,049		–		20,391		–		20,391
Other liabilities		1,253		–		–		1,253		1,253		1,263		–		–		1,263		1,263

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

(b) Excludes loans measured at fair value on a nonrecurring basis.

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