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Fair Value (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value [Abstract]  
Fair Value Measurements - Recurring Basis Summary
Table 65: Fair Value Measurements – Recurring Basis Summary
 
March 31, 2020
 
 
December 31, 2019
 
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
 
 
$
923

 
$
4

 
$
927

 
 
 
 
$
817

 
$
2

 
$
819

 
Commercial mortgage loans held for sale
 
 
478

 
60

 
538

 
 
 
 
182

 
64

 
246

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


 
U.S. Treasury and government agencies
$
16,699

 
282

 
 
 
16,981

 
 
$
16,236

 
280

 
 
 
16,516

 
Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


 
Agency
 
 
52,628

 
 
 
52,628

 
 
 
 
36,321

 
 
 
36,321

 
Non-agency
 
 
201

 
1,442

 
1,643

 
 
 
 
73

 
1,741

 
1,814

 
Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


 
Agency
 
 
3,289

 
 
 
3,289

 
 
 
 
3,118

 
 
 
3,118

 
Non-agency
 
 
4,082

 
 
 
4,082

 
 
 
 
3,372

 
 
 
3,372

 
Asset-backed
 
 
5,076

 
202

 
5,278

 
 
 
 
4,874

 
240

 
5,114

 
Other
 
 
5,103

 
73

 
5,176

 
 
 
 
2,834

 
74

 
2,908

 
Total securities available for sale
16,699

 
70,661

 
1,717

 
89,077

 
 
16,236

 
50,872

 
2,055

 
69,163

 
Loans
 
 
425

 
655

 
1,080

 
 
 
 
442

 
300

 
742

 
Equity investments (a)
500

 
 
 
1,220

 
2,014

 
 
855

 
 
 
1,276

 
2,421

 
Residential mortgage servicing rights
 
 
 
 
605

 
605

 
 
 
 
 
 
995

 
995

 
Commercial mortgage servicing rights
 
 
 
 
477

 
477

 
 
 
 
 
 
649

 
649

 
Trading securities (b)
1,976

 
2,041

 
 
 
4,017

 
 
433

 
2,787

 
 
 
3,220

 
Financial derivatives (b) (c)
3

 
8,635

 
135

 
8,773

 
 
 
 
3,448

 
54

 
3,502

 
Other assets
286

 
85

 
 
 
371

 
 
339

 
131

 
 
 
470

 
Total assets (d)
$
19,464

 
$
83,248

 
$
4,873

 
$
107,879

 
 
$
17,863


$
58,679


$
5,395


$
82,227

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 


 
Other borrowed funds
$
1,363

 
$
56

 
$
5

 
$
1,424

 
 
$
385

 
$
126

 
$
7

 
$
518

 
Financial derivatives (c) (e)
3

 
3,740

 
185

 
3,928

 
 
 
 
1,819

 
200

 
2,019

 
Other liabilities
 
 
 
 
72

 
72

 
 
 
 
 
 
137

 
137

 
Total liabilities (f)
$
1,366

 
$
3,796

 
$
262

 
$
5,424

 
 
$
385

 
$
1,945

 
$
344

 
$
2,674

 
(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 March 31, 2020 and December 31, 2019 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 12 Financial Derivatives for additional information related to derivative offsetting.
(d)
Total assets at fair value as a percentage of total consolidated assets was 24% and 20% as of March 31, 2020 and December 31, 2019, respectively. Level 3 assets as a percentage of total assets at fair value was 5% and 7% as of March 31, 2020 and December 31, 2019, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both March 31, 2020 and December 31, 2019.
(e)
Included in Other liabilities on the Consolidated Balance Sheet.
(f)
Total liabilities at fair value as a percentage of total consolidated liabilities was 1% at both March 31, 2020 and December 31, 2019. Level 3 liabilities as a percentage of total liabilities at fair value was 5% and 13% as of March 31, 2020 and December 31, 2019, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both March 31, 2020 and December 31, 2019.
Reconciliation of Level 3 Assets and Liabilities
Table 66: Reconciliation of Level 3 Assets and Liabilities
Three Months Ended March 31, 2020
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
 
  
  
 
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
Mar. 31, 2020
(a) (c)
Level 3 Instruments Only
In millions
Fair Value Dec. 31, 2019

Included in
Earnings

Included
in Other
comprehensive
income (b)
 
Purchases

Sales

Issuances

Settlements

 
Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair
Value Mar. 31, 2020

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
2

$
(1
)
 
 
 
$
4

$
(3
)
(e)
$
4

 
 
Commercial mortgage
loans held for sale
64

$
(1
)
 
 
 
 
 
$
(3
)
 
 
 
 
60

$
(1
)
 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
1,741

16

 
$
(222
)
 
 
 
(93
)
 
 
 
 
1,442

 
 
Asset-backed
240

2

 
(29
)
 
 
 
(11
)
 
 
 
 
202

 
 
Other
74

 
 
(5
)
4

 
 
 
 
 
 
 
73

 
 
Total securities
available for sale
2,055

18


(256
)
4





(104
)
 




 
1,717

 
 
Loans
300

11

 
 
16

(26
)
 
362

(d)
 
(8
)
(e)
655

11

 
Equity investments
1,276

(69
)
 
 
71

(58
)
 
 
 
 
 
 
1,220

(64
)
 
Residential mortgage
servicing rights
995

(379
)
 
 
18

 
$
10

(39
)
 
 
 
 
605

(379
)
 
Commercial mortgage
servicing rights
649

(167
)
 
 
19

 
11

(35
)
 
 
 
 
477

(166
)
 
Trading securities
 
 
 
 
 
 
 
 
 
 
 
 


 
 
Financial derivatives
54

101

 
 
2

 
 
(22
)
 
 
 
 
135

75

 
Other assets
 
 
 
 
 
 
 
 
 
 
 
 


 
 
Total assets
$
5,395

$
(486
)
 
$
(256
)
$
132

$
(85
)
$
21

$
159

 
$
4

$
(11
)
 
$
4,873

$
(524
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
7

 
 
 
 
 
$
12

$
(14
)
 
 
 
 
$
5

 
 
Financial derivatives
200

$
8

 
 
 
$
1

 
(24
)
 
 
 
 
185

$
10

 
Other liabilities
137

2

 
 
 
 
11

(78
)
 
$
2

$
(2
)
 
72

(6
)
 
Total liabilities
$
344

$
10

 
 


$
1

$
23

$
(116
)
 
$
2

$
(2
)
 
$
262

$
4

 
Net gains (losses)
 
$
(496
)
(f)
 
 
 
 
 
 
 
 
 
 
$
(528
)
(g) 


Three Months Ended March 31, 2019
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized gains/losses on assets and liabilities held on Consolidated Balance Sheet at Mar. 31, 2019
(a) (c)
Level 3 Instruments Only
In millions
Fair Value Dec. 31, 2018

Included in Earnings

Included in Other comprehensive income (b)
 
Purchases

Sales

Issuances

Settlements

Transfers into Level 3

Transfers out of Level 3

 
Fair Value Mar. 31, 2019

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
1

$
(1
)
 
 
$
3

$
(3
)
(e)
$
2

 
 
Commercial mortgage
loans held for sale
87

$
1

 
 
 


$
(15
)
 
 
 
73

$
1

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
2,128

18

 
$
2

 
 
 
(106
)
 
 
 
2,042

 
 
Asset-backed
274


 
2

 

 
(10
)
 
 
 
266

 
 
Other
84


 

1


 

 

 
85

 
 
Total securities
available for sale
2,486

18

 
4

1


 
(116
)
 

 
2,393

 
 
Loans
272

3

 
 
20

(3
)
 
(14
)
2

(8
)
(e)
272

1

 
Equity investments
1,255

52

 
 
45

(135
)
 
 
 
 
 
1,217


 
Residential mortgage
servicing rights
1,257

(106
)
 
 
6

 
$
7

(33
)
 
 
 
1,131

(106
)
 
Commercial mortgage
servicing rights
726

(33
)
 
 
19

 
7

(38
)
 
 
 
681

(33
)
 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
25

39

 
 
2

 
 
(10
)
 
 
 
56

41

 
Other assets
45


 
 
 
 
 
(45
)
 
 
 
 

 
Total assets
$
6,157

$
(26
)
 
$
4

$
94

$
(139
)
$
14

$
(271
)
$
5

$
(11
)
 
$
5,827

$
(96
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
7

 
 
 
 
 
$
14

$
(15
)
 
 
 
$
6

 
 
Financial derivatives
268

$
30

 
 
 
$
2

 
(70
)
 
 
 
230

$
34

 
Other liabilities
58

9

 
 

 
2

(7
)
 
 
 
62

9

 
Total liabilities
$
333

$
39

 
 

$
2

$
16

$
(92
)
 
 
 
$
298

$
43

 
Net gains (losses)
 
$
(65
)
(f)
 
 
 
 
 
 
 
 
 
$
(139
)
(g)

(a)
Losses for assets are bracketed while losses for liabilities are not.
(b)
The difference in unrealized gains and losses for the period included in Other comprehensive income and changes in unrealized gains and losses for the period included in Other comprehensive income for securities available for sale held at the end of the reporting period were not significant.
(c)
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.
(d)
Upon adoption of ASU 2016-13 - Credit Losses, we discontinued the accounting for purchased impaired loans and elected the one-time fair value option election for some of these loans and certain nonperforming loans.
(e)
Residential mortgage loan transfers out of Level 3 are primarily driven by residential mortgage loans transferring to OREO as well as reclassification of mortgage loans held for sale to held for investment.
(f)
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.
(g)
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.
Fair Value Measurements - Recurring Quantitative Information
Table 67: Fair Value Measurements – Recurring Quantitative Information

March 31, 2020
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted-Average) (a)
Commercial mortgage loans held for sale
$
60

Discounted cash flow
Spread over the benchmark curve (b)
600bps - 3,715bps (2,357bps)
Residential mortgage-backed
non-agency securities
1,442

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 36.2% (9.9%)
Constant default rate
0.0% - 14.1% (4.3%)
Loss severity
20.0% - 95.7% (51.9%)
Spread over the benchmark curve (b)
493bps weighted-average
Asset-backed securities
202

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 35.0% (7.7%)
Constant default rate
1.0% - 7.2% (3.3%)
Loss severity
30.0% - 100.0% (57.9%)
Spread over the benchmark curve (b)
643bps weighted-average
Loans - Residential real estate
483

Consensus pricing (c)
Cumulative default rate
3.6% - 100.0% (72.6%)
Loss severity
0.0% - 100.0% (12.4%)
Discount rate
4.5% - 6.5% (4.9%)
 
75

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
3.8% weighted-average
Loans - Home equity
23

Consensus pricing (c)
Cumulative default rate
6.0% - 100.0% (93.6%)
Loss severity
0.0% - 99.4% (38.3%)
Discount rate
4.5% - 6.5% (6.2%)
 
74

Consensus pricing (c)
Credit and liquidity discount
12.1% - 97.0% (58.1%)
Equity investments
1,220

Multiple of adjusted earnings
Multiple of earnings
5.0x - 16.5x (8.4x)
Residential mortgage servicing rights
605

Discounted cash flow
Constant prepayment rate
0.0% - 58.6% (27.1%)
Spread over the benchmark curve (b)
379bps - 1,481bps (770bps)
Commercial mortgage servicing rights
477

Discounted cash flow
Constant prepayment rate
3.4% - 25.3% (4.5%)
Discount rate
4.1% - 8.1% (7.6%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(153
)
Discounted cash flow
Estimated conversion factor of Visa Class B shares into Class A shares
162.3% 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 (d)
103

 
 
 
Total Level 3 assets, net of liabilities (e)
$
4,611

 
 
 
December 31, 2019
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted-Average) (a)
Commercial mortgage loans held for sale
$
64

Discounted cash flow
Spread over the benchmark curve (b)
530bps - 2,935bps (1,889bps)
Residential mortgage-backed
non-agency securities
1,741

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 36.2% (9.9%)
Constant default rate
0.0% - 14.1% (4.3%)
Loss severity
26.6% - 95.7% (51.9%)
Spread over the benchmark curve (b)
188bps weighted-average
Asset-backed securities
240

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate
1.0% - 22.0% (7.5%)
Constant default rate
1.0% - 7.2% (3.4%)
Loss severity
30.0% - 100.0% (57.6%)
Spread over the benchmark curve (b)
215bps weighted-average
Loans
184

Consensus pricing (c)
Cumulative default rate
3.6% - 100.0% (76.7%)
Loss severity
0.0% - 100.0% (14.5%)
Discount rate
5.0% - 8.0% (5.2%)
 
72

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
4.8% weighted-average
 
44

Consensus pricing (c)
Credit and Liquidity discount
0.0% - 99.0% (63.4%)
Equity investments
1,276

Multiple of adjusted earnings
Multiple of earnings
5.0x - 16.5x (8.5x)
Residential mortgage servicing rights
995

Discounted cash flow
Constant prepayment rate
0.0% - 53.8% (13.5%)
Spread over the benchmark curve (b)
320bps - 1,435bps (769bps)
Commercial mortgage servicing rights
649

Discounted cash flow
Constant prepayment rate
3.5% - 18.1% (4.6%)
Discount rate
5.6% - 8.1% (7.9%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(176
)
Discounted cash flow
Estimated conversion factor of Visa Class B shares into Class A shares
162.3% weighted-average
Estimated annual growth rate of Visa Class A share price
16.0%
Estimated length of litigation
resolution date
Q1 2021
Insignificant Level 3 assets, net of
liabilities (d)
(38
)
 
 
 
Total Level 3 assets, net of liabilities (e)
$
5,051

 
 
 
(a)
Unobservable inputs were weighted by the relative fair value of the instruments.
(b)
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.
(c)
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.
(d)
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.
(e)
Consisted of total Level 3 assets of $4.9 billion and total Level 3 liabilities of $.3 billion as of March 31, 2020 and $5.4 billion and $.3 billion as of December 31, 2019, respectively.
Fair Value Measurements - Nonrecurring
Table 68: Fair Value Measurements – Nonrecurring (a) (b) (c)
 
Fair Value
 
Gains (Losses)
Three months ended
In millions
March 31
2020

 
December 31
2019

 
March 31
2020

 
March 31
2019

Assets
 
 
 
 
 
 
 
Nonaccrual loans
$
140

 
$
136

 
$
(28
)
 
$
(18
)
Loans held for sale
150

 


 
 
 


OREO and foreclosed assets
25

 
57

 
(1
)
 
(2
)
Long-lived assets
5

 
5

 
(1
)
 
(4
)
Total assets
$
320

 
$
198

 
$
(30
)
 
$
(24
)
(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 69: Fair Value Option – Fair Value and Principal Balances
 
March 31, 2020
 
December 31, 2019
 
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
$
915

 
$
872

 
$
43

 
$
813

 
$
792

 
$
21

 
Accruing loans 90 days or more past due
3

 
3

 


 
2

 
2

 


 
Nonaccrual loans
9

 
9

 


 
4

 
4

 

 
Total
$
927

 
$
884

 
$
43

 
$
819

 
$
798

 
$
21

 
Commercial mortgage loans held for sale (a)
 
 
 
 
 
 
 
 
 
 
 
 
Performing loans
$
537

 
$
521

 
$
16

 
$
245

 
$
263

 
$
(18
)
 
Nonaccrual loans
1

 
1

 


 
1

 
2

 
(1
)
 
Total
$
538

 
$
522

 
$
16

 
$
246

 
$
265

 
$
(19
)
 
Loans
 
 
 
 
 
 
 
 
 
 
 
 
Performing loans
$
289

 
$
303

 
$
(14
)
 
$
291

 
$
304

 
$
(13
)
 
Accruing loans 90 days or more past due
262

 
275

 
(13
)
 
285

 
296

 
(11
)
 
Nonaccrual loans
529

 
801

 
(272
)
 
166

 
265

 
(99
)
 
Total
$
1,080

 
$
1,379

 
$
(299
)
 
$
742

 
$
865

 
$
(123
)
 
Other assets
$
85

 
$
118

 
$
(33
)
 
$
132

 
$
125

 
$
7

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
48

 
$
49

 
$
(1
)
 
$
63

 
$
64

 
$
(1
)
 
(a)
There were no accruing loans 90 days or more past due within this category at March 31, 2020 or December 31, 2019.
Fair Value Option - Changes in Fair Value
Table 70: Fair Value Option – Changes in Fair Value (a)
 
Gains (Losses)
 
Three months ended
 
March 31

 
March 31

In millions
2020

 
2019

Assets
 
 
 
Residential mortgage loans held for sale
$
46

 
$
14

Commercial mortgage loans held for sale
$
48

 
$
5

Loans
$
18

 
$
4

Other assets
$
(36
)
 
$
9

(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 71: Additional Fair Value Information Related to Other Financial Instruments
 
Carrying

 
Fair Value
 
In millions
Amount

 
Total

 
Level 1

 
Level 2

 
Level 3

 
March 31, 2020
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
7,493

 
$
7,493

 
$
7,493

 
 
 
 
 
Interest-earning deposits with banks
19,986

 
19,986

 
 
 
$
19,986

 
 
 
Securities held to maturity
1,469

 
1,621

 
924

 
542

 
$
155

 
Net loans (excludes leases)
252,557

 
259,894

 
 
 
 
 
259,894

 
Other assets
5,493

 
5,493

 
 
 
5,493

 
 
 
Total assets
$
286,998

 
$
294,487

 
$
8,417

 
$
26,021

 
$
260,049

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Time deposits
$
22,440

 
$
22,399

 
 
 
$
22,399

 
 
 
Borrowed funds
71,975

 
70,660

 
 
 
68,909

 
$
1,751

 
Unfunded loan commitments and letters of credit
450

 
450

 
 
 
 
 
450

 
Other liabilities
456

 
456

 
 
 
456

 
 
 
Total liabilities
$
95,321

 
$
93,965

 
 
 
$
91,764

 
$
2,201

 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
5,061

 
$
5,061

 
$
5,061

 
 
 
 
 
Interest-earning deposits with banks
23,413

 
23,413

 
 
 
$
23,413

 
 
 
Securities held to maturity
17,661

 
18,044

 
832

 
17,039

 
$
173

 
Net loans (excludes leases)
229,205

 
232,670

 
 
 
 
 
232,670

 
Other assets
5,700

 
5,700

 
 
 
5,692

 
8

 
Total assets
$
281,040

 
$
284,888

 
$
5,893

 
$
46,144

 
$
232,851

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Time deposits
$
21,663

 
$
21,425

 
 
 
$
21,425

 
 
 
Borrowed funds
59,745

 
60,399

 
 
 
58,622

 
$
1,777

 
Unfunded loan commitments and letters of credit
318

 
318

 
 
 
 
 
318

 
Other liabilities
506

 
506

 
 
 
506

 
 
 
Total liabilities
$
82,232

 
$
82,648

 

 
$
80,553

 
$
2,095