Fair Values of Assets and Liabilities (Tables)

3 Months Ended

Mar. 31, 2015

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, 2015:

	Minimum			Maximum			Average
Residential Prime Non-Agency Mortgage-Backed Securities (a)
Estimated lifetime prepayment rates		6	%		22	%		14	%
Lifetime probability of default rates		–			7			4
Lifetime loss severity rates		15			60			34
Discount margin		1			5			3
Residential Non-Prime Non-Agency Mortgage-Backed Securities (b)
Estimated lifetime prepayment rates		3	%		10	%		7	%
Lifetime probability of default rates		4			12			7
Lifetime loss severity rates		20			70			53
Discount margin		1			5			2
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		6			6			6

(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, 2015:

	Minimum			Maximum			Average
Expected prepayment		12	%		22	%		13	%
Discount rate		9			13			10

Valuation Assumption Ranges for Derivative Commitments

The following table shows the significant valuation assumption ranges for the Company’s derivative commitments to purchase and originate mortgage loans at March 31, 2015:

	Minimum			Maximum			Average
Expected loan close rate		23	%		100	%		75	%
Inherent MSR value (basis points per loan)		48			204			125

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, 2015
Available-for-sale securities
U.S. Treasury and agencies	$	1,613	$	979	$	–	$	–		$	2,592
Mortgage-backed securities
Residential
Agency		–		46,030		–		–			46,030
Non-agency
Prime (a)		–		–		385		–			385
Non-prime (b)		–		–		273		–			273
Commercial
Agency		–		103		–		–			103
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		22		–		–			22
Other		–		555		61		–			616
Obligations of state and political subdivisions		–		5,735		–		–			5,735
Corporate debt securities		102		517		9		–			628
Perpetual preferred securities		57		119		–		–			176
Other investments		242		24		–		–			266
Total available-for-sale		2,014		54,084		728		–			56,826
Mortgage loans held for sale		–		4,977		–		–			4,977
Mortgage servicing rights		–		–		2,250		–			2,250
Derivative assets		–		2,074		823		(1,209	)		1,688
Other assets		131		969		–		–			1,100
Total	$	2,145	$	62,104	$	3,801	$	(1,209	)	$	66,841
Derivative liabilities	$	–	$	2,864	$	94	$	(1,645	)	$	1,313
Short-term borrowings (c)		179		636		–		–			815
Total	$	179	$	3,500	$	94	$	(1,645	)	$	2,128
December 31, 2014
Available-for-sale securities
U.S. Treasury and agencies	$	1,351	$	1,281	$	–	$	–		$	2,632
Mortgage-backed securities
Residential
Agency		–		45,017		–		–			45,017
Non-agency
Prime (a)		–		–		405		–			405
Non-prime (b)		–		–		280		–			280
Commercial
Agency		–		115		–		–			115
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		22		–		–			22
Other		–		557		62		–			619
Obligations of state and political subdivisions		–		5,868		–		–			5,868
Obligations of foreign governments		–		6		–		–			6
Corporate debt securities		101		504		9		–			614
Perpetual preferred securities		55		162		–		–			217
Other investments		251		23		–		–			274
Total available-for-sale		1,758		53,555		756		–			56,069
Mortgage loans held for sale		–		4,774		–		–			4,774
Mortgage servicing rights		–		–		2,338		–			2,338
Derivative assets		–		1,408		660		(870	)		1,198
Other assets		231		641		–		–			872
Total	$	1,989	$	60,378	$	3,754	$	(870	)	$	65,251
Derivative liabilities	$	–	$	2,103	$	86	$	(1,317	)	$	872
Short-term borrowings (c)		101		608		–		–			709
Total	$	101	$	2,711	$	86	$	(1,317	)	$	1,581

(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
2015
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime (a)	$	405	$	–		$	(1	)	$	–	$	–		$	(19	)	$	–		$	–		$	385	$	(1	)
Non-prime (b)		280		–			–			–		–			(7	)		–			–			273		–
Asset-backed securities
Other		62		1			2			–		–			(4	)		–			–			61		2
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		756		1	(c)		1	(f)		–		–			(30	)		–			–			728		1
Mortgage servicing rights		2,338		(239	) (d)		–			6		–			–			145	(g)		–			2,250		(239	) (d)
Net derivative assets and liabilities		574		371	(e)		–			–		(1	)		–			–			(215	)		729		243	(h)
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	(f)		2		–			(28	)		–			–			836		15
Mortgage servicing rights		2,680		(147	) (d)		–			1		–			–			84	(g)		–			2,618		(147	) (d)
Net derivative assets and liabilities		445		185	(i)		–			1		–			–			–			(149	)		482		60	(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 interest income.

(d) Included in mortgage banking revenue.

(e) Approximately $207 million included in other noninterest income and $164 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 $139 million included in other noninterest income and $104 million included in mortgage banking revenue.

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

(j) Approximately $21 million included in other noninterest income and $39 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, 2015								December 31, 2014
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans (a)	$	–	$	–	$	14	$	14	$	–	$	–	$	77	$	77
Other assets (b)		–		–		40		40		–		–		90		90

(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)	2015		2014
Loans (a)	$	25	$	16
Other assets (b)		9		19

(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, 2015							December 31, 2014
(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	$	4,977	$	4,804	$	173		$	4,774	$	4,582	$	192
Nonaccrual loans		5		8		(3	)		6		9		(3	)
Loans 90 days or more past due		1		1		–			1		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, 2015										December 31, 2014
	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	$	14,072	$	14,072	$	–	$	–	$	14,072	$	10,654	$	10,654	$	–	$	–	$	10,654
Federal funds sold and securities purchased under resale agreements		157		–		157		–		157		118		–		118		–		118
Investment securities held-to-maturity		45,597		2,004		43,932		86		46,022		44,974		1,928		43,124		88		45,140
Loans held for sale (a)		3,035		–		–		3,040		3,040		18		–		–		18		18
Loans (b)		241,264		–		–		243,651		243,651		243,735		–		–		245,424		245,424
Other financial instruments		2,195		–		924		1,278		2,202		2,187		–		924		1,269		2,193
Financial Liabilities
Deposits		286,601		–		286,618		–		286,618		282,733		–		282,708		–		282,708
Short-term borrowings (c)		27,411		–		27,235		–		27,235		29,184		–		28,973		–		28,973
Long-term debt		35,104		–		35,678		–		35,678		32,260		–		32,659		–		32,659
Other liabilities		1,191		–		–		1,191		1,191		1,231		–		–		1,231		1,231

(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.