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Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Valuation Assumption Ranges for MSRs
The following table shows the significant valuation assumption ranges for MSRs at March 31, 2020:
 
                         
     Minimum     Maximum     Weighted
Average (a)		  
Expected prepayment
     13 %      23 %      20 % 
Option adjusted spread
     6       8       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 March 31, 2020:
 
                         
     Minimum     Maximum     Weighted
Average (a)		  
Expected loan close rate
     4 %      100 %      71 % 
Inherent MSR value (basis points per loan)
     43       179       102  
 
 
 
 
 
 
 
 
 
 
 
(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  
March 31, 2020
             
Available-for-sale
securities
             
U.S. Treasury and agencies
   $ 18,136      $ 973      $ –      $ –     $ 19,109  
Mortgage-backed securities
             
Residential agency
     –        94,109        –        –       94,109  
Commercial agency
     –        2,624        –        –       2,624  
Asset-backed securities
             
Collateralized debt obligations/Collateralized loan obligations
     –        –        2        –       2  
Other
     –        368        6        –       374  
Obligations of state and political subdivisions
     –        7,452        2        –       7,454  
Obligations of foreign governments
     –        5        –        –       5  
Corporate debt securities
     –        4        –        –       4  
Total
available-for-sale
     18,136        105,535        10        –       123,681  
Mortgage loans held for sale
     –        4,580        –        –       4,580  
Mortgage servicing rights
     –        –        1,887        –       1,887  
Derivative assets
     1        4,034        3,091        (3,099 )      4,297  
Other assets
     175        2,804        –        –       2,979  
Total
     18,312      $ 117,223        4,988      $ (3,099 )    $ 137,424  
Derivative liabilities
   $ 35      $ 3,931      $ 595      $ (2,852 )    $ 1,709  
Short-term borrowings and other liabilities (a)
     109        1,505        –        –       1,614  
Total
   $ 144      $ 5,436      $ 595      $ (2,852 )    $ 3,323  
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  
 
 
 
 
 
 
 
 
 
 
 
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 $89 million and $91 million at March 31, 2020 and December 31, 2019 respectively.
The Company has not recorded impairments or adjustments for observable price changes on these equity investments during the first three months of 2020 and 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 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     Transfers
into
Level 3		    
End
of Period
Balance
    
Net Change
in Unrealized
Gains (Losses)
Relating to
Assets and
Liabilities
Held at End
of Period
  
2020
                      
Available-for-sale
securities
                      
Asset-backed securities
                      
Collateralized debt obligations/Collateralized loan obligations
   $ 1     $ –     $
1
     $ –     $ –     $ –     $ –     $ –     $ –     $ 2     $ 1  
Other
     7       –      
(1
)
     –       –       –       –       –       –       6       (1 ) 
Obligations of state and political subdivisions
     1       –      
1
       –       –       –       –       –       –       2       1  
Total
available-for-sale
     9       –      
1
       –       –       –       –       –       –       10       1  
Mortgage servicing rights
     2,546       (866 )  (a)      –       5       1       –       201   (c)      –       –       1,887       (866 ) (a) 
Net derivative assets and liabilities
     810       1,742
 
  (b) 		     –       4       –       –      
–
       (60 )      –       2,496       1,726   (d) 
2019
                      
Mortgage servicing rights
  
$
 2,791    
$
 (214 ) (a)   
$
 –    
$
 1    
$
 –    
$
 –    
$
 78   (c)   
$
 –    
$
 –    
$
 2,656    
$
 (214 ) (a) 
Net derivative assets and liabilities
     80       363   (e)      –       1       (7 )      –       –       18       –       455       424   (f) 
 
 
 
 
 
 
 
 
 
 
 
 
(a)
Included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
(b)
Approximately $1,385 million included in other noninterest income and $357 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
(c)
Represents MSRs capitalized during the period.
 
 
 
 
 
 
 
 
 
 
 
(d)
Approximately $1,512 million included in other noninterest income and $214 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
(e)
Approximately $280 million included in other noninterest income and $83 million included in mortgage banking revenue.
 
 
 
 
 
 
 
 
 
 
 
(f)
Approximately $388 million included in other noninterest income and $36 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:
 
                                                                         
    March 31, 2020              December 31, 2019  
(Dollars in Millions)   Level 1      Level 2      Level 3      Total              Level 1      Level 2      Level 3      Total  
Loans (a)
   $ –      $ –      $ 12      $ 12           $ –      $ –      $ 136      $ 136  
 
Other assets (b)
     –        –        15        15                 –        –        46        46  
 
 
 
 
 
 
 
 
 
 
 
 
(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)   2020      2019  
Loans (a)
   $ 5      $ 44  
Other assets (b)
     3        3  
 
 
 
 
 
 
 
 
 
 
 
 
(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:
 
                                                         
    March 31, 2020              December 31, 2019  
(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
   $ 4,580      $ 4,358      $ 222           $ 5,533      $ 5,366      $ 167  
Nonaccrual loans
     1        1        –             1        1        –  
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, 2020      December 31, 2019  
   
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
   $ 46,805       $ 46,805     $ –     $ –     $ 46,805          $ 22,405        $ 22,405      $ –      $ –      $ 22,405  
Federal funds sold and securities purchased under resale agreements
     236         –       236       –       236            1,036          –        1,036        –        1,036  
Loans held for sale (a)
     43         –       –       43       43            45          –        –        43        43  
Loans
     312,089         –       –       317,824       317,824            292,082          –        –        297,241        297,241  
Other
     2,334         –       1,459       875       2,334            1,923          –        929        994        1,923  
 
Financial Liabilities
                                 
Time deposits
     42,472         –       42,116       –       42,116            42,894          –        42,831        –        42,831  
Short-term borrowings (b)
     24,730         –       24,471       –       24,471            22,095          –        21,961        –       21,961  
Long-term debt
     52,298         –       52,371       –       52,371            40,167          –        41,077        –        41,077  
Other
     3,512               –       1,316       2,196       3,512                3,678                –        1,342        2,336        3,678  
 
 
 
 
 
 
 
 
 
 
 
 
(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.