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Fair Values of Assets and Liabilities (Tables)
 12 Months Ended
Dec. 31, 2019
Fair Value Disclosures [Abstract]  
Valuation Assumption Ranges for MSRs
The following table shows the significant valuation assumption ranges for MSRs at December 31, 2019:
 
                         
     Minimum      Maximum      Weighted
Average
(a)
  
Expected prepayment
     9 %       22 %       12 % 
Option adjusted spread
     6        10        7  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(a)
Determined based on the relative fair value of the related mortgage loans serviced.
 
 
 
 
 
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, 2019:
 
                         
     Minimum      Maximum      Weighted
Average
(a)
  
Expected loan close rate
     12 %       100 %       78 % 
Inherent MSR value (basis points per loan)
     56        221        130  
 
 
 
 
 
(a)
Determined based on the relative fair value of the related mortgage loans.
 
 
 
 
 
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, 2019
                                                    
Available-for-sale
securities
                                                    
U.S. Treasury and agencies
   $ 18,986        $ 853        $ –        $ –        $ 19,839  
Mortgage-backed securities
                                                    
Residential agency
     –          94,111          –          –          94,111  
Commercial agency
     –          1,453          –          –          1,453  
Asset-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized debt obligations/Collateralized loan obligations
 
 
–
 
 
 
–
 
 
 
1
 
 
 
–
 
 
 
1
 
Other
     –          375         
7
          –          382  
Obligations of state and political subdivisions
     –          6,813          1          –          6,814  
Obligations of foreign governments
     –          9          –          –          9  
Corporate debt securities
 
 
–
 
 
 
4
 
 
 
–
 
 
 
–
 
 
 
4
 
Total
available-for-sale
     18,986          103,618          9          –          122,613  
Mortgage loans held for sale
     –          5,533          –          –          5,533  
Mortgage servicing rights
     –          –          2,546          –          2,546  
Derivative assets
     9          1,707          1,181          (982 )         1,915  
Other assets
     312          1,563          –          –          1,875  
Total
   $ 19,307        $ 112,421        $ 3,736        $ (982 )       $ 134,482  
Derivative liabilities
   $ –        $ 1,612        $ 371        $ (1,067 )       $ 916  
Short-term borrowings and other liabilities
(a)
     50          1,578          –          –          1,628  
Total
   $ 50        $ 3,190        $ 371        $ (1,067 )       $ 2,544  
December 31, 2018
                                                    
Available-for-sale
securities
                                                    
U.S. Treasury and agencies
   $ 18,585        $ 672        $ –        $ –        $ 19,257  
Mortgage-backed securities
                                                    
Residential agency
     –          39,752          –          –          39,752  
Commercial agency
     –          2          –          –          2  
Other asset-backed securities
     –          403          –          –          403  
Obligations of state and political subdivisions
     –          6,701          –          –          6,701  
Total
available-for-sale
     18,585          47,530          –          –          66,115  
Mortgage loans held for sale
     –          2,035          –          –          2,035  
Mortgage servicing rights
     –          –          2,791          –          2,791  
Derivative assets
     –          1,427          583          (942 )         1,068  
Other assets
     392          1,273          –          –          1,665  
Total
   $ 18,977        $ 52,265        $ 3,374        $ (942 )       $ 73,674  
Derivative liabilities
   $ 1        $ 1,291        $ 503        $ (946 )       $ 849  
Short-term borrowings and other liabilities
(a)
     199          1,019          –          –          1,218  
Total
   $ 200        $ 2,310        $ 503        $ (946 )       $ 2,067  
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Note: Excluded from the table above are equity investments without readily determinable fair values. The Company has elected to carry these investments at historical cost, adjusted for impairment and any changes resulting from observable price changes for identical or similar investments of the issuer. The aggregate carrying amount of these equity investments was $91 million and $86 million at December 31, 2019
and
2018, respectively. The Company has not recorded impairments or adjustments for observable price changes on these equity investments during 2019 or on a cumulative basis.
(a)
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
 
 
Transfers into
Level 3
 
 
End of
Period
Balance
 
 
Net Change
in Unrealized
Gains (Losses)
Relating to
Assets and
Liabilities
Held at
End of Period
 
2019
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Available-for-sale
securities
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Asset-backed securities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Collateralized debt obligations/Collateralized loan obligations
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
1
 
 
$
1
 
 
$
–
 
Other
 
  
–
 
 
  
–
 
 
  
–
 
 
  
–
 
 
  
–
 
 
  
–
 
 
  
–
 
 
  
–
 
 
  
7
 
 
  
7
 
 
  
–
 
Obligations of state and political subdivisions
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
 1
 
 
 
 1
 
 
 
–
 
Total
available-for-sale
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
 9
 
 
 
 9
 
 
 
–
 
Mortgage servicing rights
 
 
 2,791
 
 
 
 (829
)
(c)
 
 
 
–
 
 
 
 20
 
 
 
 5
 
 
 
–
 
 
 
 559
(e)
 
 
 
–
 
 
 
–
 
 
 
 2,546
 
 
 
 (829
)
(c)
 
Net derivative assets and liabilities
 
 
 80
 
 
 
 769
(d)
 
 
 
–
 
 
 
142
 
 
 
 (9
) 
 
 
–
 
 
 
–
 
 
 
 (172
) 
 
 
–
 
 
 
 810
 
 
 
 782
(f)
 
                       
2018
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Mortgage servicing rights
 
$
 2,645
 
 
$
 (232
)
(c)
 
 
$
–
 
 
$
 8
 
 
$
 (27
) 
 
$
–
 
 
$
 397
(e)
 
 
$
–
 
 
$
–
 
 
$
 2,791
 
 
$
 (232
)
(c)
 
Net derivative assets and liabilities
 
 
 107
 
 
 
 21
(g)
 
 
 
–
 
 
 
 13
 
 
 
 (41
) 
 
 
–
 
 
 
–
 
 
 
 (20
) 
 
 
–
 
 
 
 80
 
 
 
 34
(h)
 
                       
2017
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Available-for-sale
securities
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Residential
non-agency
mortgage-backed securities
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
 
      
Prime
(a)
 
$
 242
 
 
$
–
 
 
$
 (2
) 
 
$
–
 
 
$
 (234
) 
 
$
 (6
) 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
 
$
–
 
Non-prime
(b)
 
 
 195
 
 
 
–
 
 
 
 (17
) 
 
 
–
 
 
 
 (175
) 
 
 
 (3
) 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Other asset-backed securities
 
 
 2
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
 (2
) 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Corporate debt securities
 
 
 9
 
 
 
–
 
 
 
 2
 
 
 
–
 
 
 
 (11
) 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Total
available-for-sale
 
 
 448
 
 
 
–
 
 
 
 (17
)
(i)
 
 
 
–
 
 
 
 (422
) 
 
 
 (9
) 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
Mortgage servicing rights
 
 
 2,591
 
 
 
 (404
)
(c)
 
 
 
–
 
 
 
 13
 
 
 
–
 
 
 
–
 
 
 
 445
(e)
 
 
 
–
 
 
 
–
 
 
 
 2,645
 
 
 
 (404
)
(c)
 
Net derivative assets and liabilities
 
 
 171
 
 
 
 317
(j)
 
 
 
–
 
 
 
 1
 
 
 
 (10
) 
 
 
–
 
 
 
–
 
 
 
 (372
) 
 
 
–
 
 
 
 107
 
 
 
 (52
)
(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)
Included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(d)
Approximately $287 million included in other noninterest income and $482 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(e)
Represents MSRs capitalized during the period.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(f)
Approximately $747 million included in other noninterest income and $35 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(g)
Approximately $(139) million included in other noninterest income and $160 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(h)
Approximately $14 million included in other noninterest income and $20 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(i)
Included in changes in unrealized gains and losses on investment securities
available-for-sale.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(j)
Approximately $21 million included in other noninterest income and $296 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(k)
Approximately $(77) million included in other noninterest income and $25 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 December 31:
 
                                                                 
    2019      2018  
(Dollars in Millions)   Level 1        Level 2        Level 3        Total      Level 1        Level 2        Level 3        Total  
Loans
(a)
   $ –        $ –        $ 136        $ 136      $ –        $ –        $ 40        $ 40  
Other assets
(b)
     –          –          46          46        –          –          57          57  
 
 
 
 
 
 
 
 
 
 
 
 
(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)   2019        2018        2017  
Loans
(a)
   $ 122        $ 83        $ 171  
Other assets
(b)
     17          26          20  
 
 
 
 
 
 
 
 
 
 
 
 
(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 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:
 
                                                 
    2019      2018  
(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
   $ 5,533        $ 5,366        $ 167      $ 2,035        $ 1,972        $ 63  
Nonaccrual loans
     1          1          –        2          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:
 
                                                                                 
 
 
 2019
 
 
 2018
 
 
 
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
 
$
22,405
 
 
$
22,405
 
 
$
–
 
 
$
–
 
 
$
22,405
 
 
$
21,453
 
 
 
 
 
 
 
 
$
21,453
 
 
$
–
 
 
$
–
 
 
$
21,453
 
Federal funds sold and securities purchased under resale agreements
 
 
1,036
 
 
 
–
 
 
 
1,036
 
 
 
–
 
 
 
1,036
 
 
 
306
 
 
 
–
 
 
 
306
 
 
 
–
 
 
 
306
 
Investment securities
held-to-maturity
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
–
 
 
 
46,050
 
 
 
4,594
 
 
 
40,359
 
 
 
11
 
 
 
44,964
 
Loans held for sale
(a)
 
 
45
 
 
 
–
  
 
 
–
 
 
 
43
 
 
 
43
 
 
 
21
 
 
 
–
 
 
 
–
 
 
 
21
 
 
 
21
 
Loans
 
 
292,082
 
 
 
–
 
 
 
–
 
 
 
297,241
 
 
 
297,241
 
 
 
282,837
 
 
 
–
 
 
 
–
 
 
 
284,790
 
 
 
284,790
 
Other
 
 
1,923
 
 
 
–
 
 
 
929
 
 
 
994
 
 
 
1,923
 
 
 
2,412
 
 
 
–
 
 
 
1,241
 
 
 
1,171
 
 
 
2,412
 
 
 
 
 
 
 
 
 
 
 
 
Financial Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Time deposits
 
 
42,894
 
 
 
–
 
 
 
42,831
 
 
 
–
 
 
 
42,831
 
 
 
44,554
 
 
 
–
 
 
 
44,140
 
 
 
–
 
 
 
44,140
 
Short-term borrowings
(b)
 
 
22,095
 
 
 
–
 
 
 
21,461
 
 
 
–
 
 
 
21,461
 
 
 
12,921
 
 
 
–
 
 
 
12,678
 
 
 
–
 
 
 
12,678
 
Long-term debt
 
 
40,167
 
 
 
–
 
 
 
41,077
 
 
 
–
 
 
 
41,077
 
 
 
41,340
 
 
 
–
 
 
 
41,003
 
 
 
–
 
 
 
41,003
 
Other
 
 
3,678
 
 
 
–
 
 
 
1,342
 
 
 
2,336
 
 
 
3,678
 
 
 
1,726
 
 
 
–
 
 
 
–
 
 
 
1,726
 
 
 
1,726
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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.