XML 140 R47.htm IDEA: XBRL DOCUMENT

Fair Value (Tables)

12 Months Ended

Dec. 31, 2020

Fair Value Measurements - Recurring Basis Summary

Table 83: Fair Value Measurements – Recurring Basis Summary


	December 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			$	691	$	163	$	854			$	817	$	2	$	819
Commercial mortgage loans held for sale			305		57		362				182		64		246
Securities available for sale
U.S. Treasury and government agencies	$	16,675	4,036				20,711		$	16,236	280				16,516
Residential mortgage-backed
Agency			48,911				48,911				36,321				36,321
Non-agency			136		1,365		1,501				73		1,741		1,814
Commercial mortgage-backed
Agency			2,688				2,688				3,118				3,118
Non-agency			3,678		11		3,689				3,372				3,372
Asset-backed			4,951		199		5,150				4,874		240		5,114
Other			4,636		72		4,708				2,834		74		2,908


Total securities available for sale	16,675		69,036		1,647		87,358		16,236		50,872		2,055		69,163
Loans			718		647		1,365				442		300		742
Equity investments (a)	1,070				1,263		2,629		855				1,276		2,421
Residential mortgage servicing rights					673		673						995		995
Commercial mortgage servicing rights					569		569						649		649
Trading securities (b)	548		1,690				2,238		433		2,787				3,220
Financial derivatives (b) (c)			6,415		118		6,533				3,448		54		3,502
Other assets	373		81				454		339		131				470
Total assets (d)	$	18,666	$	78,936	$	5,137	$	103,035	$	17,863	$	58,679	$	5,395	$	82,227
Liabilities
Other borrowed funds	$	661	$	44	$	2	$	707	$	385	$	126	$	7	$	518
Financial derivatives (c) (e)			2,483		273		2,756				1,819		200		2,019
Other liabilities					43		43						137		137
Total liabilities (f)	$	661	$	2,527	$	318	$	3,506	$	385	$	1,945	$	344	$	2,674

(a)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.

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

(c)Amounts at December 31, 2020 and 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 16 Financial Derivatives for additional information related to derivative offsetting.

(d)Total assets at fair value as a percentage of total consolidated assets was 22% and 20% at December 31, 2020 and 2019, respectively. Level 3 assets as a percentage of total assets at fair value was 5% and 7% as of December 31, 2020 and 2019, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both December 31, 2020 and 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 December 31, 2020 and 2019. Level 3 liabilities as a percentage of total liabilities at fair value was 9% and 13% as of December 31, 2020 and 2019, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both December 31, 2020 and 2019.

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 2020 and 2019 follow

Table 84: Reconciliation of Level 3 Assets and Liabilities

Year Ended December 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 Dec. 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 Dec. 31, 2020
Assets
Residential mortgage loans held for sale	$	2	$	(1)				$	124	$	(13)			$	(21)		$	93	$	(21)	(e)	$	163	$	(1)
Commercial mortgage loans held for sale	64		(2)											(5)								57		(2)
Securities available for sale
Residential mortgage- backed non-agency	1,741		53			$	(75)							(354)								1,365
Commercial mortgage- backed non-agency						(8)											19					11
Asset-backed	240		6			(7)								(40)								199
Other	74		1			(4)		4						(3)								72
Total securities available for sale	2,055		60			(94)		4						(397)			19					1,647
Loans	300		28					161		(39)				280		(d)			(83)		(e)	647		28
Equity investments	1,276		(63)					229		(179)												1,263		(69)
Residential mortgage servicing rights	995		(377)					208				$	45	(198)								673		(377)
Commercial mortgage servicing rights	649		(109)					44				100		(115)								569		(109)

Financial derivatives	54		209					11						(156)								118		229

Total assets	$	5,395	$	(255)		$	(94)	$	781	$	(231)	$	145	$	(612)		$	112	$	(104)		$	5,137	$	(301)
Liabilities
Other borrowed funds	$	7										$	28	$	(33)							$	2
Financial derivatives	200		$	189						$	4			(120)								273		$	186
Other liabilities	137		17									96		(207)								43		1
Total liabilities	$	344	$	206						$	4	$	124	$	(360)							$	318	$	187
Net gains (losses)			$	(461)	(f)																			$	(488)	(g)

Year Ended December 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 December 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 Dec. 31, 2019
Assets
Residential mortgage loans held for sale	$	2						$	5	$	(2)			$	(2)	$	16	$	(17)	(e)	$	2
Commercial mortgage loans held for sale	87		$	1										(24)							64		$	1
Securities available for sale
Residential mortgage- backed non-agency	2,128		73			$	15							(475)							1,741
Asset-backed	274		6			3								(43)							240
Other	84		1			(6)		9		(3)				(11)							74
Total securities available for sale	2,486		80			12		9		(3)				(529)							2,055
Loans	272		13					142		(42)				(54)				(31)		(e)	300		7
Equity investments	1,255		262					374		(615)											1,276		57
Residential mortgage servicing rights	1,257		(250)					114				$	36	(162)							995		(235)
Commercial mortgage servicing rights	726		(87)					103				53		(146)							649		(87)
Trading securities	2													(2)
Financial derivatives	25		70					22						(63)							54		94
Other assets	45													(45)
Total assets	$	6,157	$	89		$	12	$	769	$	(662)	$	89	$	(1,027)	$	16	$	(48)		$	5,395	$	(163)
Liabilities
Other borrowed funds	$	7										$	52	$	(52)						$	7
Financial derivatives	268		$	101						$	10			(179)							200		$	112
Other liabilities	58		68					$	16	2		81		(88)							137		49
Total liabilities	$	333	$	169				$	16	$	12	$	133	$	(319)						$	344	$	161
Net gains (losses)			$	(80)	(f)																		$	(324)	(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

Quantitative information about the significant unobservable inputs within Level 3 recurring assets and liabilities follows:

Table 85: Fair Value Measurements – Recurring Quantitative Information

December 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

Discounted cash flow

Spread over the benchmark curve (b)

630bps - 5,275bps (3,406bps)

Residential mortgage-backed
non-agency securities

1,365

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 37.6% (8.6%)

Constant default rate

0.0% - 12.2% (4.7%)

Loss severity

25.0% - 95.7% (48.8%)

Spread over the benchmark curve (b)

242bps weighted-average

Asset-backed securities

199

Priced by a third-party vendor using a discounted cash flow pricing model

Constant prepayment rate

1.0% - 22.0% (7.4%)

Constant default rate

1.0% - 6.0% (3.3%)

Loss severity

30.0% - 100.0% (58.1%)

Spread over the benchmark curve (b)

291bps weighted-average

Loans - Residential real estate

434

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (82.1%)

Loss severity

0.0% - 100.0% (11.2%)

Discount rate

4.8% - 6.8% (5.1%)

132

Discounted cash flow

Loss severity

8.0% weighted-average

Discount rate

3.2% weighted-average

Loans - Home equity

Consensus pricing (c)

Cumulative default rate

3.6% - 100.0% (88.5%)

Loss severity

0.0% - 98.4% (33.3%)

Discount rate

4.8% - 6.8% (6.3%)

Consensus pricing (c)

Credit and liquidity discount

17.5% - 97.0% (57.7%)

Equity investments

1,263

Multiple of adjusted earnings

Multiple of earnings

5.0x - 15.9x (8.7x)

Residential mortgage servicing rights

673

Discounted cash flow

Constant prepayment rate

0.0% - 77.5% (21.1%)

Spread over the benchmark curve (b)

325bps - 2,783bps (922bps)

Commercial mortgage servicing rights

569

Discounted cash flow

Constant prepayment rate

4.0% - 16.1% (4.9%)

Discount rate

4.7% - 7.8% (7.3%)

Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares

(252)

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 2022

Insignificant Level 3 assets, net of
liabilities (d)

298

Total Level 3 assets, net of liabilities (e)

4,819

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

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%)

Discounted cash flow

Loss severity

8.0% weighted-average

Discount rate

4.8% weighted-average

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 $5.1 billion and total Level 3 liabilities of $0.3 billion as of December 31, 2020 and $5.4 billion and $0.3 billion as of December 31, 2019, respectively.

Fair Value Measurements - Nonrecurring

Assets measured at fair value on a nonrecurring basis follow:

Table 86: Fair Value Measurements – Nonrecurring (a) (b) (c)


Year ended December 31 In millions	Fair Value				Gains (Losses)
	2020		2019			2020		2019		2018
Assets
Nonaccrual loans	$	332	$	136		$	(111)	$	(76)	$	(28)
OREO and foreclosed assets	18		57			(2)		(5)		(7)
Long-lived assets	20		5			(27)		(3)		(4)

Total assets	$	370	$	198		$	(140)	$	(84)	$	(39)

(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

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

Table 87: Fair Value Option – Fair Value and Principal Balances


	December 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
Accruing loans less than 90 days past due	$	831	$	793	$	38	$	813	$	792	$	21
Accruing loans 90 days or more past due	4		4				2		2
Nonaccrual loans	20		24		(4)		4		4
Total	$	855	$	821	$	34	$	819	$	798	$	21
Commercial mortgage loans held for sale (a)
Accruing loans less than 90 days past due	$	357	$	370	$	(13)	$	245	$	263	$	(18)
Nonaccrual loans	5		6		(1)		1		2		(1)
Total	$	362	$	376	$	(14)	$	246	$	265	$	(19)
Loans
Accruing loans less than 90 days past due	$	519	$	530	$	(11)	$	291	$	304	$	(13)
Accruing loans 90 days or more past due	283		295		(12)		285		296		(11)
Nonaccrual loans	563		820		(257)		166		265		(99)
Total	$	1,365	$	1,645	$	(280)	$	742	$	865	$	(123)
Other assets	$	81	$	69	$	12	$	132	$	125	$	7
Liabilities
Other borrowed funds	$	32	$	33	$	(1)	$	63	$	64	$	(1)

(a)There were no accruing loans 90 days or more past due within this category at December 31, 2020 or December 31, 2019.

Fair Value Option - Changes in Fair Value

The changes in fair value for items for which we elected the fair value option are as follows:Table 88: Fair Value Option – Changes in Fair Value (a)


Year ended December 31 In millions	Gains (Losses)
	2020		2019		2018
Assets
Residential mortgage loans held for sale	$	198	$	84	$	38
Commercial mortgage loans held for sale	$	128	$	61	$	67
Loans	$	44	$	23	$	24
Other assets	$	(3)	$	40	$	(40)

(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

The carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of these financial instruments as of December 31, 2020 and 2019 are as follows:

Table 89: Additional Fair Value Information Related to Other Financial Instruments


In millions	Carrying Amount		Fair Value
			Total		Level 1		Level 2		Level 3
December 31, 2020
Assets
Cash and due from banks	$	7,017	$	7,017	$	7,017
Interest-earning deposits with banks	85,173		85,173				$	85,173
Securities held to maturity	1,445		1,604		920		489		$	195
Net loans (excludes leases)	228,788		233,688						233,688
Other assets	3,601		3,600				3,559		41
Total assets	$	326,024	$	331,082	$	7,937	$	89,221	$	233,924
Liabilities
Time deposits	$	19,692	$	19,662			$	19,662
Borrowed funds	36,488		37,192				35,571		$	1,621
Unfunded lending related commitments	584		584						584
Other liabilities	413		413				413
Total liabilities	$	57,177	$	57,851			$	55,646	$	2,205
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 lending related commitments	318		318						318
Other liabilities	506		506				506
Total liabilities	$	82,232	$	82,648			$	80,553	$	2,095