XML 100 R37.htm IDEA: XBRL DOCUMENT v3.10.0.1
Fair Value (Tables)
 12 Months Ended
Dec. 31, 2018
Fair Value [Abstract]  
Fair Value Measurements - Recurring Basis Summary
Table 50: Fair Value Measurements – Recurring Basis Summary
 
December 31, 2018
 
 
December 31, 2017
 
In millions
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
 
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
 
 
$
493

 
$
2

 
$
495

 
 
 
 
$
829

 
$
3

 
$
832

 
Commercial mortgage loans held for sale
 
 
309

 
87

 
396

 
 
 
 
723

 
107

 
830

 
Securities available for sale
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
$
17,753

 
347

 
 
 
18,100

 
 
$
14,088

 
433

 
 
 
14,521

 
Residential mortgage-backed
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
Agency
 
 
28,993

 
 
 
28,993

 
 
 
 
25,406

 
 
 
25,406

 
Non-agency
 
 
83

 
2,128

 
2,211

 
 
 
 
97

 
2,661

 
2,758

 
Commercial mortgage-backed
 
 
 
 
 
 

 
 
 
 
 
 
 
 
 
 
Agency
 
 
2,577

 
 
 
2,577

 
 
 
 
1,904

 
 
 
1,904

 
Non-agency
 
 
2,657

 
 
 
2,657

 
 
 
 
2,613

 
 
 
2,613

 
Asset-backed
 
 
4,698

 
274

 
4,972

 
 
 
 
5,065

 
332

 
5,397

 
Other debt
 
 
3,795

 
84

 
3,879

 
 
 
 
4,347

 
87

 
4,434

 
Total debt securities
17,753

 
43,150

 
2,486

 
63,389

 
 
14,088

 
39,865

 
3,080

 
57,033

 
Other (a)


 


 
 
 


 
 
524

 
61

 
 
 
585

 
Total securities available for sale
17,753

 
43,150

 
2,486

 
63,389

 
 
14,612

 
39,926

 
3,080

 
57,618

 
Loans
 
 
510

 
272

 
782

 
 
 
 
571

 
298

 
869

 
Equity investments (b)
751

 
 
 
1,255

 
2,209

 
 
 
 
 
 
1,036

 
1,265

 
Residential mortgage servicing rights
 
 
 
 
1,257

 
1,257

 
 
 
 
 
 
1,164

 
1,164

 
Commercial mortgage servicing rights
 
 
 
 
726

 
726

 
 
 
 
 
 
668

 
668

 
Trading securities (c)
2,137

 
1,777

 
2

 
3,916

 
 
1,243

 
1,670

 
2

 
2,915

 
Financial derivatives (c) (d)
3

 
2,053

 
25

 
2,081

 
 

 
2,864

 
10

 
2,874

 
Other assets
291

 
157

 
45

 
493

 
 
278

 
253

 
107

 
638

 
Total assets
$
20,935

 
$
48,449

 
$
6,157

 
$
75,744

 
 
$
16,133

 
$
46,836

 
$
6,475

 
$
69,673

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
868

 
$
132

 
$
7

 
$
1,007

 
 
$
1,079

 
$
254

 
$
11

 
$
1,344

 
Financial derivatives (d) (e)
1

 
2,021

 
268

 
2,290

 
 


 
2,369

 
487

 
2,856

 
Other liabilities
 
 
 
 
58

 
58

 
 
 
 
 
 
33

 
33

 
Total liabilities
$
869

 
$
2,153

 
$
333

 
$
3,355

 
 
$
1,079

 
$
2,623

 
$
531

 
$
4,233

 
(a)
Prior period amounts included $.6 billion of available for sale securities, primarily money market funds, that were reclassified to equity investments on January 1, 2018 as the result of the adoption of ASU 2016-01. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies for additional details on this adoption.
(b)
Certain investments that are measured at fair value using the NAV per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.
(c)
Included in Other assets on the Consolidated Balance Sheet.
(d)
Amounts at December 31, 2018 and 2017 are presented gross and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See Note 13 Financial Derivatives for additional information related to derivative offsetting.
(e)
Included in Other liabilities on the Consolidated Balance Sheet.
Reconciliation of Level 3 Assets and Liabilities
Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for 2018 and 2017 follow.
Table 51: Reconciliation of Level 3 Assets and Liabilities

Year Ended December 31, 2018
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at December 31, 2018 (a) (b)
Level 3 Instruments Only
In millions
Fair
Value
Dec. 31,
2017

Included in
Earnings

 
Included
in Other
comprehensive
income

Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair Value Dec. 31, 2018

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
3

 
 
 
$
4

$
(3
)
 
 
$
14

$
(16
)
(c) 
$
2

 
 
Commercial mortgage
loans held for sale
107



 
 
 



$
(20
)
 

 
87

$
1

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
2,661

$
53

 
$
(24
)
 

 
(562
)
 
 
 
2,128


 
Commercial mortgage-
backed non-agency
 
 
 
 
 

 
 
 
 
 
 
 
 
Asset-backed
332

5

 
(7
)
 

 
(56
)
 
 
 
274

 
 
Other debt
87

5

 
6

7


 
(16
)
 

(5
)
 
84

 
 
Total securities
available for sale
3,080

63


(25
)
7





(634
)


(5
)

2,486



 
Loans
298

13

 
 
102

(25
)
 
(74
)
10

(52
)
(c)
272

2

 
Equity investments
1,036

204

 
 
411

(396
)
 
 
 

 
1,255

110

 
Residential mortgage
servicing rights
1,164

90

 
 
129

 
$
44

(170
)
 
 
 
1,257

83

 
Commercial mortgage
servicing rights
668

51

 
 
93

 
57

(143
)
 
 
 
726

51

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
10

59

 
 
4

 
 
(48
)
 

 
25

47

 
Other assets
107

(14
)
 
 
 
 
 
(48
)
 
 
 
45

(14
)
 
Total assets
$
6,475

$
466


$
(25
)
$
750

$
(424
)
$
101

$
(1,137
)
$
24

$
(73
)

$
6,157

$
280

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
11

 
 
 
 
 
$
64

$
(68
)
 
 
 
$
7

 
 
Financial derivatives
487

$
(53
)
 
 
 
$
12

 
(178
)
 


 
268

$
(42
)
 
Other liabilities
33

15

 
 
$
12

 
103

(105
)
 
 
 
58

13

 
Total liabilities
$
531

$
(38
)
 
 

$
12

$
12

$
167

$
(351
)
 



 
$
333

$
(29
)
 
Net gains (losses)
 

$
504

(d)
 

 

 

 

 

 

 

 
 

$
309

(e)
Year Ended December 31, 2017
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
 
  
 
  
Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at December 31, 2017 (a) (b)
Level 3 Instruments Only
In millions
Fair Value Dec. 31, 2016

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

 
Transfers
out of
Level 3

 
Fair Value Dec. 31, 2017

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
8

$
(1
)
 
 
$
10

 
$
(16
)
(c)
$
3

 
 
Commercial mortgage
loans held for sale
1,400

$
81

 
 
 
(5,278
)
$
4,885

$
(258
)
 
 
(723
)
(f)
107

$
4

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 


 
 
Residential mortgage-
backed non-agency
3,254

77

 
$
137

 
(33
)
 
(774
)
 
 
 
 
2,661

(1
)
 
Commercial mortgage-backed non-agency
 
12

 
 
 
(12
)
 
 
 
 
 
 


 
 
Asset-backed
403

12

 
22

 
(25
)
 
(80
)
 
 
 
 
332

 
 
Other debt
66

 
 
19

13

(1
)
 
(10
)
 
 
 
 
87

 
 
Total securities
available for sale
3,723

101

 
178

13

(71
)


(864
)


 


 
3,080

(1
)
 
Loans
335

 
 
 
97

(28
)
 
(68
)
13

 
(51
)
(c)
298

(7
)
 
Equity investments
1,331

239

 
 
214

(565
)
 
 
 
 
(183
)
(g)
1,036

145

 
Residential mortgage
servicing rights
1,182

(83
)
 
 
185

 
55

(175
)
 
 
 
 
1,164

(79
)
 
Commercial mortgage
servicing rights
576

46

 
 
69

 
88

(111
)
 
 
 
 
668

45

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
40

39

 
 
3

 
 
(67
)
 
 
(5
)
 
10

67

 
Other assets
239

23

 
 
 
 
 
(155
)
 
 
 
 
107

24

 
Total assets
$
8,830

$
446

 
$
178

$
589

$
(5,943
)
$
5,028

$
(1,698
)
$
23

 
$
(978
)
 
$
6,475

$
198

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 


 
 
Other borrowed funds
$
10

 
 
 
 
 
$
72

$
(71
)
 
 
 
 
$
11

 
 
Financial derivatives
414

$
293

 
 
 
$
3

 
(221
)
 
 
$
(2
)
 
487

$
297

 
Other liabilities
9

25

 
 
 
 
173

(174
)
 
 
 
 
33

26

 
Total liabilities
$
433

$
318

 
 

 

$
3

$
245

$
(466
)
 

 
$
(2
)
 
$
531

$
323

 
Net gains (losses)
 

$
128

(d)
 

 

 

 

 

 

 
 

 
 

$
(125
)
(e)
(a)
Losses for assets are bracketed while losses for liabilities are not.
(b)
The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.
(c)
Transfers out of Level 3 primarily reflect the reclassification of residential mortgage loans held for sale to held for investment and the transfer of residential mortgage loans to OREO.
(d)
Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.
(e)
Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.
(f)
Reflects a transfer from Level 3 to Level 2 due to an unobservable valuation input that was deemed to be not significant.
(g)
Reflects transfers out of Level 3 associated with changes in valuation methodology for certain equity investments subject to the Volcker Rule provisions of the Dodd-Frank Act.
Fair Value Measurements - Recurring Quantitative Information
Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows.
Table 52: Fair Value Measurements – Recurring Quantitative Information
December 31, 2018
Level 3 Instruments Only
Dollars in millions
Fair Value
Valuation Techniques
Unobservable Inputs
Range (Weighted Average)
Commercial mortgage loans held for sale
$
87

Discounted cash flow
Spread over the benchmark curve (a)
535bps - 1,900bps (1,217bps)
Residential mortgage-backed
non-agency securities
2,128

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 33.0% (11.8%)
Constant default rate
0.0% - 18.8% (5.1%)
Loss severity
10.0% - 100.0% (50.8%)
Spread over the benchmark curve (a)
216bps weighted-average
Asset-backed securities
274

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 19.0% (8.5%)
Constant default rate
1.0% - 18.5% (4.0%)
Loss severity
15.0% - 100.0% (63.8%)
Spread over the benchmark curve (a)
198bps weighted-average
Loans
129

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (81.8%)
Loss severity
0.0% - 100.0% (17.2%)
Discount rate
5.5% - 8.3% (5.8%)
 
90

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
5.8% weighted-average
 
53

Consensus pricing (b)
Credit and Liquidity Discount
0.0% - 99.0% (61.3%)
Equity investments
1,255

Multiple of adjusted earnings
Multiple of earnings
4.5x - 16.0x (8.4x)
Residential mortgage servicing rights
1,257

Discounted cash flow
Constant prepayment rate
0.0% - 54.5% (8.7%)
Spread over the benchmark curve (a)
492bps - 1,455bps (806bps)
Commercial mortgage servicing rights
726

Discounted cash flow
Constant prepayment rate
4.6% - 14.7% (5.7%)
Discount rate
6.9% - 8.5% (8.4%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(210
)
Discounted cash flow
Estimated conversion factor of Visa Class B shares into Class A shares
163.0% weighted-average
Estimated annual growth rate of Visa Class A share price
16.0%
Estimated length of litigation resolution date
Q4 2020
Insignificant Level 3 assets, net of
liabilities (c)
35

 
 
 
Total Level 3 assets, net of liabilities (d)
$
5,824

 
 
 
December 31, 2017
Level 3 Instruments Only
Dollars in millions
Fair Value
Valuation Techniques
Unobservable Inputs
Range (Weighted  Average)
Commercial mortgage loans held for sale
$
107

Discounted cash flow
Spread over the benchmark curve (a)
525bps - 1,470bps (1,020bps)
Residential mortgage-backed
non-agency securities
2,661

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 31.6% (10.8%)
Constant default rate
0.1% - 18.8% (5.4%)
Loss severity
15.0% - 100.0% (51.5%)
Spread over the benchmark curve (a)
190bps weighted-average
Asset-backed securities
332

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 19.0% (7.9%)
Constant default rate
2.0% - 11.8% (5.4%)
Loss severity
15.0% - 100.0% (68.5%)
Spread over the benchmark curve (a)
179bps weighted-average
Loans
133

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (85.7%)
Loss severity
0.0% - 100.0% (20.6%)
Discount rate
5.5% - 8.0% (5.7%)
 
104

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
4.9% weighted-average
 
61

Consensus pricing (b)
Credit and Liquidity discount
0.0% - 99.0% (61.1%)
Equity investments
1,036

Multiple of adjusted earnings
Multiple of earnings
4.5x - 29.7x (8.3x)
Residential mortgage servicing rights
1,164

Discounted cash flow
Constant prepayment rate
0.0% - 36.7% (10.0%)
Spread over the benchmark curve (a)
390bps - 1,839bps (830bps)
Commercial mortgage servicing rights
668

Discounted cash flow
Constant prepayment rate
7.7% - 14.2% (8.5%)
Discount rate
6.4% - 7.9% (7.8%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(380
)
Discounted cash flow
Estimated conversion factor of Visa Class B shares into Class A shares
163.8% weighted-average
Estimated annual growth rate of Visa Class A share price
16.0%
Estimated length of litigation resolution date
Q2 2021
Insignificant Level 3 assets, net of
liabilities (c)
58

 
 
 
Total Level 3 assets, net of liabilities (d)
$
5,944

 
 
 
(a)
The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest-rate risks, such as credit and liquidity risks.
(b)
Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.
(c)
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other debt securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.
(d)
Consisted of total Level 3 assets of $6.1 billion and total Level 3 liabilities of $.3 billion as of December 31, 2018 and $6.4 billion and $.5 billion as of December 31, 2017, respectively.
Fair Value Measurements - Nonrecurring
Table 53: Fair Value Measurements – Nonrecurring (a) (b) (c)
Year ended December 31
In millions
Fair Value
Gains (Losses)
2018

2017

 
 
2018

 
2017

 
2016

 
Assets
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans
$
128

$
100

 
 
$
(28
)
 
$
(8
)
 
$
(106
)
 
OREO and foreclosed assets
59

70

 
 
(7
)
 
(10
)
 
(16
)
 
Long-lived assets
11

80

 
 
(4
)
 
(168
)
 
(15
)
 
Total assets
$
198

$
250

 
 
$
(39
)

$
(186
)

$
(137
)

(a)
All Level 3 for the periods presented.
(b)
Valuation techniques applied were fair value of property or collateral.
(c)
Unobservable inputs used were appraised value/sales price, broker opinions or projected income/required improvement costs. Additional quantitative information was not meaningful for the periods presented.
Fair Value Option - Fair Value and Principal Balances
Table 54: Fair Value Option – Fair Value and Principal Balances
 
December 31, 2018
 
December 31, 2017
In millions
Fair Value

Aggregate Unpaid Principal Balance

Difference

 
Fair Value

Aggregate Unpaid Principal Balance

Difference

Assets
 
 
 
 
 
 
 
Residential mortgage loans held for sale
 
 
 
 
 
 
 
Performing loans
$
489

$
472

$
17

 
$
822

$
796

$
26

Accruing loans 90 days or more past due
2

2

 
 
3

3



Nonaccrual loans
4

4



 
7

8

(1
)
Total
$
495

$
478

$
17

 
$
832

$
807

$
25

Commercial mortgage loans held for sale (a)
 
 
 
 
 
 
 
Performing loans
$
396

$
411

$
(15
)
 
$
828

$
842

$
(14
)
Nonaccrual loans






 
2

3

(1
)
Total
$
396

$
411

$
(15
)
 
$
830

$
845

$
(15
)
Residential mortgage loans
 
 
 
 
 
 
 
Performing loans
$
279

$
298

$
(19
)
 
$
251

$
280

$
(29
)
Accruing loans 90 days or more past due
321

329

(8
)
 
421

431

(10
)
Nonaccrual loans
182

292

(110
)
 
197

317

(120
)
Total
$
782

$
919

$
(137
)
 
$
869

$
1,028

$
(159
)
Other assets
$
156

$
176

$
(20
)
 
$
216

$
212

$
4

Liabilities
 
 
 
 
 
 
 
Other borrowed funds
$
64

$
65

$
(1
)
 
$
84

$
85

$
(1
)
(a)
There were no accruing loans 90 days or more past due within this category at December 31, 2018 or December 31, 2017.
Fair Value Option - Changes in Fair Value
Table 55: Fair Value Option – Changes in Fair Value (a)
Year ended December 31
In millions
Gains (Losses)
 
2018

 
2017

 
2016

 
Assets
 
 
 
 
 
 
Residential mortgage loans held for sale
$
38

 
$
121

 
$
152

 
Commercial mortgage loans held for sale
$
67

 
$
87

 
$
76

 
Residential mortgage loans
$
24

 
$
27

 
$
30

 
Other assets
$
(40
)
 
$
60

 
$
50

 
(a)
The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.
Additional Fair Value Information Related to Other Financial Instruments
Table 56: Additional Fair Value Information Related to Other Financial Instruments 
In millions
Carrying
Amount

 
Fair Value
 
Total

 
Level 1

 
Level 2

 
Level 3

 
December 31, 2018
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
5,608

 
$
5,608

 
$
5,608

 
 
 
 
 
Interest-earning deposits with banks
10,893

 
10,893

 
 
 
$
10,893

 
 
 
Securities held to maturity
19,312

 
19,019

 
763

 
18,112

 
$
144

 
Net loans (excludes leases)
215,525

 
216,492

 
 
 
 
 
216,492

 
Other assets
11,065

 
11,065

 
 
 
11,060

 
5

 
Total assets
$
262,403

 
$
263,077

 
$
6,371

 
$
40,065

 
$
216,641

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Time deposits (a)
$
18,507

 
$
18,246

 
 
 
$
18,246

 
 
 
Borrowed funds
56,412

 
56,657

 
 
 
54,872

 
$
1,785

 
Unfunded loan commitments and letters of credit
285

 
285

 
 
 
 
 
285

 
Other liabilities
393

 
393

 
 
 
393

 
 
 
Total liabilities
$
75,597

 
$
75,581

 
 

 
$
73,511

 
$
2,070

 
December 31, 2017
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
5,249

 
$
5,249

 
$
5,249

 
 
 
 
 
Interest-earning deposits with banks
28,595

 
28,595

 
 
 
$
28,595

 
 
 
Securities held to maturity
18,513

 
18,565

 
765

 
17,658

 
$
142

 
Net loans (excludes leases)
209,044

 
211,175

 
 
 
 
 
211,175

 
Other assets
6,078

 
6,736

 
 
 
5,949

 
787

 
Total assets
$
267,479

 
$
270,320

 
$
6,014

 
$
52,202

 
$
212,104

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Deposits
$
265,053

 
$
264,854

 
 
 
$
264,854

 
 
 
Borrowed funds
57,744

 
58,503

 
 
 
56,853

 
$
1,650

 
Unfunded loan commitments and letters of credit
297

 
297

 
 
 
 
 
297

 
Other liabilities
399

 
399

 
 
 
399

 
 
 
Total liabilities
$
323,493

 
$
324,053

 
 

 
$
322,106

 
$
1,947

 

(a)
The amount at December 31, 2018 excludes deposit liabilities with no defined or contractual maturities in accordance with the adoption of ASU 2016-01. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies for additional details on this adoption.