Fair Value

6 Months Ended

Jun. 30, 2019

Fair Value [Abstract]

Fair Value

FAIR VALUE

Fair Value Measurement

We measure certain financial assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or the price that would be paid to transfer a liability on the measurement date, determined using an exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. The fair value hierarchy established by GAAP requires us to maximize the use of observable inputs when measuring fair value. For more information regarding the fair value hierarchy, see Note 6 Fair Value in our 2018 Form 10-K.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

For more information on the valuation methodologies used to measure assets and liabilities at fair value on a recurring basis, see Note 6 Fair Value in our 2018 Form 10-K. The following table summarizes our assets and liabilities measured at fair value on a recurring basis, including instruments for which we have elected the fair value option.

Table 49: Fair Value Measurements – Recurring Basis Summary

	June 30, 2019								December 31, 2018
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			$	695	$	2	$	697			$	493	$	2	$	495
Commercial mortgage loans held for sale			325		73		398				309		87		396
Securities available for sale
U.S. Treasury and government agencies	$	18,902	280				19,182		$	17,753	347				18,100
Residential mortgage-backed
Agency			33,820				33,820				28,993				28,993
Non-agency			81		1,976		2,057				83		2,128		2,211
Commercial mortgage-backed
Agency			2,585				2,585				2,577				2,577
Non-agency			3,004				3,004				2,657				2,657
Asset-backed			5,158		261		5,419				4,698		274		4,972
Other			3,208		80		3,288				3,795		84		3,879
Total securities available for sale	18,902		48,136		2,317		69,355		17,753		43,150		2,486		63,389
Loans			496		259		755				510		272		782
Equity investments (a)	675				1,323		2,193		751				1,255		2,209
Residential mortgage servicing rights					997		997						1,257		1,257
Commercial mortgage servicing rights					630		630						726		726
Trading securities (b)	853		1,705				2,558		2,137		1,777		2		3,916
Financial derivatives (b) (c)	2		3,458		86		3,546		3		2,053		25		2,081
Other assets	322		135				457		291		157		45		493
Total assets	$	20,754	$	54,950	$	5,687	$	81,586	$	20,935	$	48,449	$	6,157	$	75,744
Liabilities
Other borrowed funds	$	709	$	199	$	5	$	913	$	868	$	132	$	7	$	1,007
Financial derivatives (c) (d)	5		1,776		221		2,002		1		2,021		268		2,290
Other liabilities					78		78						58		58
Total liabilities	$	714	$	1,975	$	304	$	2,993	$	869	$	2,153	$	333	$	3,355

(a) Certain investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.

(b) Included in Other assets on the Consolidated Balance Sheet.

(c) Amounts at June 30, 2019 and December 31, 2018 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 9 Financial Derivatives for additional information related to derivative offsetting.

(d) Included in Other liabilities on the Consolidated Balance Sheet.

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the three and six months ended June 30, 2019 and 2018 follow:

Table 50: Reconciliation of Level 3 Assets and Liabilities

Three Months Ended June 30, 2019

			Total realized / unrealized gains or losses for the  period (a)																										Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2019 (a) (b)
Level 3 Instruments Only In millions	Fair Value Mar. 31, 2019		Included in Earnings			Included in Other comprehensive income				Purchases			Sales			Issuances			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value June 30, 2019
Assets
Residential mortgage loans held for sale	$	2								$	1											$	1	$	(2	)	$	2
Commercial mortgage loans held for sale	73		$	1															$	(1	)						73		$	1
Securities available for sale
Residential mortgage- backed non-agency	2,042		18				$	19											(103		)						1,976
Asset-backed	266		2				4												(11		)						261
Other	85						(1		)	2			$	(3	)				(3		)						80
Total securities available for sale	2,393		20				22			2			(3		)				(117		)						2,317
Loans	272		2							13			(8		)	(1		)	(11		)	1		(9		)	259		1
Equity investments	1,217		4							150			(48		)												1,323		3
Residential mortgage servicing rights	1,131		(156		)					59						$	7		(44		)						997		(156		)
Commercial mortgage servicing rights	681		(55		)					32						9			(37		)						630		(55		)
Trading securities	2																		(2		)
Financial derivatives	56		48							(2		)							(16		)						86		45
Other assets
Total assets	$	5,827	$	(136	)		$	22		$	255		$	(59	)	$	15		$	(228	)	$	2	$	(11	)	$	5,687	$	(161	)
Liabilities
Other borrowed funds	$	6														$	12		$	(13	)						$	5
Financial derivatives	230		$	20									$	(1	)				(28		)						221		$	19
Other liabilities	62		11										2			51			(48		)						78		3
Total liabilities	$	298	$	31									$	1		$	63		$	(89	)						$	304	$	22
Net gains (losses)			$	(167	)	(c)																							$	(183	)	(d)

Three Months Ended June 30, 2018

			Total realized / unrealized gains or losses for the  period (a)																									Unrealized gains/losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2018 (a) (b)
Level 3 Instruments Only In millions	Fair Value Mar. 31, 2018		Included in Earnings			Included in Other comprehensive income				Purchases		Sales			Issuances		Settlements			Transfers into Level 3			Transfers out of Level 3			Fair Value June 30, 2018
Assets
Residential mortgage loans held for sale	$	2								$	1									$	3		$	(2	)	$	4
Commercial mortgage loans held for sale	92		$	(1	)																					91		$	(1	)
Securities available for sale
Residential mortgage- backed non-agency	2,545		1				$	5									$	(146	)							2,405
Asset-backed	321		1				(1		)								(13		)							308
Other	94						6			2							(11		)							91
Total securities available for sale	2,960		2				10			2							(170		)							2,804
Loans	302		3							18		$	(2	)			(25		)	(2		)	(12		)	282		(1		)
Equity investments	1,129		62							79		(103		)												1,167		35
Residential mortgage servicing rights	1,256		40							38					$	10	(47		)							1,297		35
Commercial mortgage servicing rights	723		33							21					6		(35		)							748		33
Trading securities	2																									2
Financial derivatives	12		17							1							(14		)							16		18
Other assets	68		(5		)																					63		(5		)
Total assets	$	6,546	$	151			$	10		$	160	$	(105	)	$	16	$	(291	)	$	1		$	(14	)	$	6,474	$	114
Liabilities
Other borrowed funds	$	9													$	13	$	(15	)							$	7
Financial derivatives	437		$	(33	)							$	2				(22		)							384		$	(31	)
Other liabilities	42		3												29		(27		)							47		3
Total liabilities	$	488	$	(30	)							$	2		$	42	$	(64	)							$	438	$	(28	)
Net gains (losses)			$	181		(c)																						$	142		(d)

(continued on following page)

Six Months Ended June 30, 2019

			Total realized / unrealized gains or losses for the  period (a)																									Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2019 (a) (b)
Level 3 Instruments Only In millions	Fair Value Dec. 31, 2018		Included in Earnings			Included in Other comprehensive income				Purchases		Sales			Issuances			Settlements			Transfers into Level 3		Transfers out of Level 3			Fair Value June 30, 2019
Assets
Residential mortgage loans held for sale	$	2								$	2	$	(1	)							$	4	$	(5	)	$	2
Commercial mortgage loans held for sale	87		$	2														$	(16	)						73		$	2
Securities available for sale
Residential mortgage- backed non-agency	2,128		36				$	21										(209		)						1,976
Asset-backed	274		2				6											(21		)						261
Other	84						(1		)	3		(3		)				(3		)						80
Total securities available for sale	2,486		38				26			3		(3		)				(233		)						2,317
Loans	272		5							33		(11		)	(1		)	(25		)	3		(17		)	259		2
Equity investments	1,255		56							195		(183		)												1,323		3
Residential mortgage servicing rights	1,257		(262		)					65					$	14		(77		)						997		(261		)
Commercial mortgage servicing rights	726		(88		)					51					16			(75		)						630		(88		)
Trading securities	2																	(2		)
Financial derivatives	25		87															(26		)						86		(13		)
Other assets	45																	(45		)
Total assets	$	6,157	$	(162	)		$	26		$	349	$	(198	)	$	29		$	(499	)	$	7	$	(22	)	$	5,687	$	(355	)
Liabilities
Other borrowed funds	$	7													$	26		$	(28	)						$	5
Financial derivatives	268		$	50								1						(98		)						221		$	53
Other liabilities	58		20									2			53			(55		)						78		11
Total liabilities	$	333	$	70								$	3		$	79		$	(181	)						$	304	$	64
Net gains (losses)			$	(232	)	(c)																						$	(419	)	(d)

Six Months Ended June 30, 2018

			Total realized / unrealized gains or losses for the  period (a)																							Unrealized gains/losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 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 June 30, 2018
Assets
Residential mortgage loans held for sale	$	3							$	2	$	(1	)						$	5	$	(5	)	$	4
Commercial mortgage loans held for sale	107		$	(1	)											$	(15	)						91		$	(1	)
Securities available for sale
Residential mortgage- backed non-agency	2,661		20				$	8								(284		)						2,405
Asset-backed	332						4									(28		)						308
Other	87		5				7		4							(12		)						91
Total securities available for sale	3,080		25				19		4							(324		)						2,804
Loans	298		5						55		(9		)			(43		)			(24		)	282		1
Equity investments	1,036		88						161		(118		)											1,167		60
Residential mortgage servicing rights	1,164		147						47					$	23	(84		)						1,297		140
Commercial mortgage servicing rights	668		81						44					23		(68		)						748		81
Trading securities	2																							2
Financial derivatives	10		24						2							(20		)						16		27
Other assets	107		(2		)											(42		)						63		(2		)
Total assets	$	6,475	$	367			$	19	$	315	$	(128	)	$	46	$	(596	)	$	5	$	(29	)	$	6,474	$	306
Liabilities
Other borrowed funds	$	11												$	32	$	(36	)						$	7
Financial derivatives	487		$	(23	)						$	5				(85		)						384		$	(26	)
Other liabilities	33		5						$	12				34		(37		)						47		5
Total liabilities	$	531	$	(18	)				$	12	$	5		$	66	$	(158	)						$	438	$	(21	)
Net gains (losses)			$	385		(c)																				$	327		(d)

(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) 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.

(d) 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.

An instrument’s categorization within the hierarchy is based on the lowest level of input that is significant to the fair value measurement. Changes from one quarter to the next related to the observability of inputs to a fair value measurement may result in a reclassification (transfer) of assets or liabilities between hierarchy levels. Our policy is to recognize transfers in and transfers out as of the end of the reporting period.

Table 51: Fair Value Measurements – Recurring Quantitative Information

June 30, 2019

Level 3 Instruments Only Dollars in millions	Fair Value			Valuation Techniques	Unobservable Inputs	Range (Weighted-Average)
Commercial mortgage loans held for sale	$	73		Discounted cash flow	Spread over the benchmark curve (a)	530bps - 2,270bps (1,477bps)
Residential mortgage-backed non-agency securities	1,976			Priced by a third-party vendor using a discounted cash flow pricing model	Constant prepayment rate	1.0% - 36.2% (10.1%)
					Constant default rate	0.0% - 15.9% (4.7%)
					Loss severity	15.0% - 95.7% (50.0%)
					Spread over the benchmark curve (a)	190bps weighted-average
Asset-backed securities	261			Priced by a third-party vendor using a discounted cash flow pricing model	Constant prepayment rate	1.0% - 22.0% (8.1%)
					Constant default rate	1.0% - 7.2% (3.5%)
					Loss severity	15.0% - 100.0% (60.6%)
					Spread over the benchmark curve (a)	190bps weighted-average
Loans	129			Consensus pricing (b)	Cumulative default rate	11.0% - 100.0% (81.2%)
					Loss severity	0.0% - 100.0% (16.4%)
					Discount rate	5.5% - 8.3% (5.8%)
	81			Discounted cash flow	Loss severity	8.0% weighted-average
					Discount rate	5.0% weighted-average
	49			Consensus pricing (b)	Credit and Liquidity discount	0.0% - 99.0% (61.9%)
Equity investments	1,323			Multiple of adjusted earnings	Multiple of earnings	5.0x - 19.7x (8.6x)
Residential mortgage servicing rights	997			Discounted cash flow	Constant prepayment rate	0.0% - 65.0% (13.6%)
					Spread over the benchmark curve (a)	296bps - 1,428bps (786bps)
Commercial mortgage servicing rights	630			Discounted cash flow	Constant prepayment rate	3.8% - 18.3% (4.9%)
					Discount rate	5.6% - 7.9% (7.9%)
Financial derivatives - Swaps related to sales of certain Visa Class B common shares	(206		)	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)	70
Total Level 3 assets, net of liabilities (d)	$	5,383

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

(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 securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.

(d) Consisted of total Level 3 assets of $5.7 billion and total Level 3 liabilities of $.3 billion as of June 30, 2019 and $6.1 billion and $.3 billion as of December 31, 2018, respectively.

Financial Assets Accounted for at Fair Value on a Nonrecurring Basis

We may be required to measure certain financial assets at fair value on a nonrecurring basis. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment and are included in Table 52. For more information regarding the valuation methodologies of our financial assets measured at fair value on a nonrecurring basis, see Note 6 Fair Value in our 2018 Form 10-K.

Table 52: Fair Value Measurements – Nonrecurring (a) (b) (c)

	Fair Value				Gains (Losses) Three months ended						Gains (Losses) Six months ended
In millions	June 30 2019		December 31 2018		June 30 2019			June 30 2018			June 30 2019			June 30 2018
Assets
Nonaccrual loans	$	160	$	128	$	(34	)	$	(15	)	$	(44	)	$	(33	)
OREO and foreclosed assets	36		59		(2		)	(3		)	(4		)	(2		)
Long-lived assets	6		11		(4		)	(6		)	(4		)	(6		)
Total assets	$	202	$	198	$	(40	)	$	(24	)	$	(52	)	$	(41	)

(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.

Financial Instruments Accounted for under Fair Value Option

We elect the fair value option to account for certain financial instruments. For more information on these financial instruments for which the fair value option election has been made, see Note 6 Fair Value in our 2018 Form 10-K.

Fair values and aggregate unpaid principal balances of certain items for which we elected the fair value option follow:

Table 53: Fair Value Option – Fair Value and Principal Balances

	June 30, 2019							December 31, 2018
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	$	690	$	666	$	24		$	489	$	472	$	17
Accruing loans 90 days or more past due	2		2					2		2
Nonaccrual loans	5		6		(1		)	4		4
Total	$	697	$	674	$	23		$	495	$	478	$	17
Commercial mortgage loans held for sale (a)
Performing loans	$	397	$	409	$	(12	)	$	396	$	411	$	(15	)
Nonaccrual loans	1		2		(1		)
Total	$	398	$	411	$	(13	)	$	396	$	411	$	(15	)
Residential mortgage loans
Performing loans	$	307	$	324	$	(17	)	$	279	$	298	$	(19	)
Accruing loans 90 days or more past due	275		284		(9		)	321		329		(8		)
Nonaccrual loans	173		277		(104		)	182		292		(110		)
Total	$	755	$	885	$	(130	)	$	782	$	919	$	(137	)
Other assets	$	135	$	129	$	6		$	156	$	176	$	(20	)
Liabilities
Other borrowed funds	$	54	$	55	$	(1	)	$	64	$	65	$	(1	)

(a)

There were no accruing loans 90 days or more past due within this category at June 30, 2019 or December 31, 2018.

The changes in fair value for items for which we elected the fair value option are as follows:

Table 54: Fair Value Option – Changes in Fair Value (a)

	Gains (Losses)					Gains (Losses)
	Three months ended					Six months ended
	June 30		June 30			June 30		June 30
In millions	2019		2018			2019		2018
Assets
Residential mortgage loans held for sale	$	20	$	8		$	34	$	12
Commercial mortgage loans held for sale	$	18	$	11		$	23	$	25
Residential mortgage loans	$	5	$	7		$	9	$	10
Other assets	$	12	$	(21	)	$	21	$	(10	)

(a) The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.

Additional Fair Value Information Related to Financial Instruments Not Recorded at Fair Value

The following table presents the carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of all other financial instruments that are not recorded on our Consolidated Balance Sheet at fair value as of June 30, 2019 and December 31, 2018. For more information regarding the methods and assumptions used to estimate the fair values of financial instruments included in Table 55, see Note 6 Fair Value in our 2018 Form 10-K.

Table 55: Additional Fair Value Information Related to Other Financial Instruments

	Carrying		Fair Value
In millions	Amount		Total		Level 1		Level 2		Level 3
June 30, 2019
Assets
Cash and due from banks	$	5,416	$	5,416	$	5,416
Interest-earning deposits with banks	18,362		18,362				$	18,362
Securities held to maturity	18,948		19,199		820		18,217		$	162
Net loans (excludes leases)	226,330		229,686						229,686
Other assets	6,720		6,720				6,719		1
Total assets	$	275,776	$	279,383	$	6,236	$	43,298	$	229,849
Liabilities
Time deposits	$	19,718	$	19,497			$	19,497
Borrowed funds	68,112		68,612				66,730		$	1,882
Unfunded loan commitments and letters of credit	291		291						291
Other liabilities	432		432				432
Total liabilities	$	88,553	$	88,832			$	86,659	$	2,173
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	$	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

The aggregate fair values in Table 55 represent only a portion of the total market value of our assets and liabilities as, in accordance with the guidance related to fair values about financial instruments, we exclude the following:

• financial instruments recorded at fair value on a recurring basis (as they are disclosed in Table 49);

• investments accounted for under the equity method;

• equity securities without a readily determinable fair value that apply for the alternative measurement approach to fair value under ASU 2016-01;

• real and personal property;

• lease financing;

• loan customer relationships;

• deposit customer intangibles;

• mortgage servicing rights (MSRs);

• retail branch networks;

• fee-based businesses, such as asset management and brokerage;

• trademarks and brand names;

• trade receivables and payables due in one year or less; and

•

deposit liabilities with no defined or contractual maturities under ASU 2016-01.