Fair Values of Assets and Liabilities (Tables)

12 Months Ended

Dec. 31, 2016

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 December 31, 2016:

	Minimum			Maximum			Average
Residential Prime Non-Agency Mortgage-Backed Securities(a)
Estimated lifetime prepayment rates		6	%		19	%		14	%
Lifetime probability of default rates		–			6			4
Lifetime loss severity rates		15			65			35
Discount margin		2			7			3
Residential Non-Prime Non-Agency Mortgage-Backed Securities(b)
Estimated lifetime prepayment rates		3	%		16	%		9	%
Lifetime probability of default rates		4			12			7
Lifetime loss severity rates		15			80			49
Discount margin		1			10			4

(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 December 31, 2016:

	Minimum			Maximum			Average
Expected prepayment		6	%		18	%		10	%
Option adjusted spread		7			10			8

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 December 31, 2016:

	Minimum			Maximum			Average
Expected loan close rate		33	%		100	%		80	%
Inherent MSR value (basis points per loan)		(34	)		203			113

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
December 31, 2016
Available-for-sale securities
U.S. Treasury and agencies	$	16,355	$	772	$	–	$	–		$	17,127
Mortgage-backed securities
Residential
Agency		–		43,138		–		–			43,138
Non-agency
Prime(a)		–		–		242		–			242
Non-prime(b)		–		–		195		–			195
Commercial
Agency		–		15		–		–			15
Asset-backed securities
Other		–		481		2		–			483
Obligations of state and political subdivisions		–		5,039		–		–			5,039
Corporate debt securities		–		–		9		–			9
Other investments		36		–		–		–			36
Total available-for-sale		16,391		49,445		448		–			66,284
Mortgage loans held for sale		–		4,822		–		–			4,822
Mortgage servicing rights		–		–		2,591		–			2,591
Derivative assets		–		2,416		554		(984	)		1,986
Other assets		183		1,137		–		–			1,320
Total	$	16,574	$	57,820	$	3,593	$	(984	)	$	77,003
Derivative liabilities	$	7	$	2,469	$	383	$	(1,185	)	$	1,674
Short-term borrowings and other liabilities(c)		142		938		–		–			1,080
Total	$	149	$	3,407	$	383	$	(1,185	)	$	2,754
December 31, 2015
Available-for-sale securities
U.S. Treasury and agencies	$	3,708	$	888	$	–	$	–		$	4,596
Mortgage-backed securities
Residential
Agency		–		50,076		–		–			50,076
Non-agency
Prime(a)		–		–		318		–			318
Non-prime(b)		–		–		240		–			240
Commercial
Agency		–		52		–		–			52
Asset-backed securities
Collateralized debt obligations/Collateralized loan obligations		–		19		–		–			19
Other		–		539		2		–			541
Obligations of state and political subdivisions		–		5,316		–		–			5,316
Corporate debt securities		102		499		9		–			610
Perpetual preferred securities		48		113		–		–			161
Other investments		40		28		–		–			68
Total available-for-sale		3,898		57,530		569		–			61,997
Mortgage loans held for sale		–		3,110		–		–			3,110
Mortgage servicing rights		–		–		2,512		–			2,512
Derivative assets		–		1,632		615		(807	)		1,440
Other assets		202		589		–		–			791
Total	$	4,100	$	62,861	$	3,696	$	(807	)	$	69,850
Derivative liabilities	$	2	$	2,266	$	117	$	(1,283	)	$	1,102
Short-term borrowings(c)		122		645		–		–			767
Total	$	124	$	2,911	$	117	$	(1,283	)	$	1,869

(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) Primarily 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 years ended December 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 Held at End of Period
2016
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime(a)	$	318	$	(1	)	$	–		$	–	$	–		$	(75	)	$	–		$	–		$	242	$	–
Non-prime(b)		240		(1	)		(2	)		–		–			(42	)		–			–			195		(2	)
Asset-backed securities
Other		2		–			–			–		–			–			–			–			2		–
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		569		(2	)(c)		(2	)(f)		–		–			(117	)		–			–			448		(2	)
Mortgage servicing rights		2,512		(488	)(d)		–			43		–			–			524	(g)		–			2,591		(488	)(d)
Net derivative assets and liabilities		498		332	(e)		–			2		(14	)		–			–			(647	)		171		(257	)(h)
2015
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime(a)	$	405	$	–		$	(4	)	$	–	$	–		$	(83	)	$	–		$	–		$	318	$	(4	)
Non-prime(b)		280		(1	)		(1	)		–		–			(38	)		–			–			240		(1	)
Asset-backed securities
Other		62		4			(2	)		–		(51	)		(11	)		–			–			2		–
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		756		3	(i)		(7	)(f)		–		(51	)		(132	)		–			–			569		(5	)
Mortgage servicing rights		2,338		(487	)(d)		–			29		–			–			632	(g)		–			2,512		(487	)(d)
Net derivative assets and liabilities		574		707	(j)		–			1		(13	)		–			–			(771	)		498		135	(k)
2014
Available-for-sale securities
Mortgage-backed securities
Residential non-agency
Prime(a)	$	478	$	–		$	15		$	–	$	–		$	(88	)	$	–		$	–		$	405	$	14
Non-prime(b)		297		(6	)		19			–		–			(30	)		–			–			280		19
Asset-backed securities
Other		63		4			–			5		–			(10	)		–			–			62		–
Corporate debt securities		9		–			–			–		–			–			–			–			9		–
Total available-for-sale		847		(2	)(l)		34	(f)		5		–			(128	)		–			–			756		33
Mortgage servicing rights		2,680		(588	)(d)		–			5		(141	)		–			382	(g)		–			2,338		(588	)(d)
Net derivative assets and liabilities		445		904	(m)		–			1		(4	)		–			–			(772	)		574		188	(n)

(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 $(3) million included in securities gains (losses) and $1 million included in interest income.

(d) Included in mortgage banking revenue.

(e) Approximately $(77) million included in other noninterest income and $409 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 $(276) million included in other noninterest income and $19 million included in mortgage banking revenue.

(i) Included in interest income.

(j) Approximately $289 million included in other noninterest income and $418 million included in mortgage banking revenue.

(k) Approximately $92 million included in other noninterest income and $43 million included in mortgage banking revenue.

(l) Approximately $(3) million included in securities gains (losses) and $1 million included in interest income.

(m) Approximately $404 million included in other noninterest income and $500 million included in mortgage banking revenue.

(n) Approximately $128 million included in other noninterest income and $60 million included in mortgage banking revenue.

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

The following table summarizes the balances as of the measurement date of assets measured at fair value on a nonrecurring basis, and still held as of the reporting date as of December 31:

	2016								2015
(Dollars in Millions)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Loans(a)	$	–	$	–	$	59	$	59	$	–	$	–	$	87	$	87
Other assets(b)		–		–		60		60		–		–		66		66

(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 years ended December 31:

(Dollars in Millions)	2016		2015		2014
Loans(a)	$	192	$	175	$	108
Other assets(b)		32		42		70

(a) Represents write-downs of student loans held for sale based on non-binding quoted prices received for the portfolio, that were subsequently transferred to loans, and 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 for which Fair Value Option has been Elected and Aggregate Unpaid Principal Amount Contractually Obligated to Receive at Maturity

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 as of December 31:

	2016							2015
(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	$	4,822	$	4,763	$	59		$	3,110	$	3,032	$	78
Nonaccrual loans		2		3		(1	)		5		7		(2	)
Loans 90 days or more past due		1		1		–			–		–		–

Estimated Fair Values of Financial Instruments

The estimated fair values of the Company’s financial instruments as of December 31, are shown in the table below:

	2016										2015
	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	$	15,705	$	15,705	$	–	$	–	$	15,705	$	11,147	$	11,147	$	–	$	–	$	11,147
Federal funds sold and securities purchased under resale agreements		138		–		138		–		138		169		–		169		–		169
Investment securities held-to-maturity		42,991		4,605		37,810		20		42,435		43,590		2,275		41,138		80		43,493
Loans held for sale(a)		4		–		–		4		4		74		–		–		74		74
Loans		269,394		–		–		273,422		273,422		256,986		–		–		259,823		259,823
Other financial instruments		2,362		–		920		1,449		2,369		2,311		–		921		1,398		2,319
Financial Liabilities
Deposits		334,590		–		334,361		–		334,361		300,400		–		300,225		–		300,225
Short-term borrowings(b)		12,891		–		12,706		–		12,706		27,110		–		26,782		–		26,782
Long-term debt		33,323		–		33,678		–		33,678		32,078		–		32,412		–		32,412
Other liabilities		1,702		–		–		1,702		1,702		1,353		–		–		1,353		1,353

(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.