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Fair Value Election and Measurement (Tables)
 12 Months Ended
Dec. 31, 2011
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 
 
Fair Value Measuements at
December 31, 2011
Using
(Dollars in millions)
Assets/Liabilities    
 
Quoted Prices In Active
Markets for
Identical
Assets/Liabilities    
(Level 1)
 
Significant
Other
Observable    
Inputs
(Level 2)
 
Significant
Unobservable    
Inputs
(Level 3)
Assets

 

 

 

Trading assets:

 

 

 

U.S. Treasury securities

$144

 

$144

 

$—

 

$—

Federal agency securities
478

 
—

 
478

 
—

U.S. states and political subdivisions
54

 
—

 
54

 
—

MBS - agency
412

 
—

 
412

 
—

MBS - private
1

 
—

 
—

 
1

CDO/CLO securities
45

 
—

 
2

 
43

ABS
37

 
—

 
32

 
5

Corporate and other debt securities
344

 
—

 
344

 
—

CP
229

 
—

 
229

 
—

Equity securities
91

 
91

 
—

 
—

Derivative contracts
3,444

 
306

 
3,138

 
—

Trading loans
2,030

 
—

 
2,030

 
—

Gross trading assets
7,309

 
541

 
6,719

 
49

Offsetting collateral 1
(1,030
)
 
 
 
 
 
 
Total trading assets
6,279

 
 
 
 
 
 
Securities AFS:

 

 

 

U.S. Treasury securities
694

 
694

 
—

 
—

Federal agency securities
1,932

 
—

 
1,932

 
—

U.S. states and political subdivisions
454

 
—

 
396

 
58

MBS - agency
21,223

 
—

 
21,223

 
—

MBS - private
221

 
—

 
—

 
221

CDO/CLO securities
50

 
—

 
50

 
—

ABS
464

 
—

 
448

 
16

Corporate and other debt securities
51

 
—

 
46

 
5

Coke common stock
2,099

 
2,099

 
—

 
—

   Other equity securities 2
929

 
188

 
—

 
741

Total securities AFS
28,117

 
2,981

 
24,095

 
1,041

LHFS:

 

 

 

Residential loans
1,826

 
—

 
1,825

 
1

Corporate and other loans
315

 
—

 
315

 
—

Total LHFS
2,141

 
—

 
2,140

 
1

LHFI
433

 
—

 
—

 
433

MSRs
921

 
—

 
—

 
921

Other assets 3
554

 
7

 
463

 
84

Liabilities

 

 

 

Trading liabilities:

 

 

 

U.S. Treasury securities
569

 
569

 
—

 
—

Corporate and other debt securities
77

 
—

 
77

 
—

Equity securities
37

 
37

 
—

 
—

Derivative contracts
2,293

 
174

 
1,930

 
189

Gross trading liabilities
2,976

 
780

 
2,007

 
189

Offsetting collateral 1
(1,170
)
 
 
 
 
 
 
Total trading liabilities
1,806

 
 
 
 
 
 
Brokered time deposits
1,018

 
—

 
1,018

 
—

Long-term debt
1,997

 
—

 
1,997

 
—

Other liabilities 3,4
84

 
1

 
61

 
22

1 Amount represents the cash collateral received from or deposited with derivative counterparties. Amount is offset with derivatives in the Consolidated Balance Sheets as of December 31, 2011.
2Includes at cost, $342 million of FHLB of Atlanta stock, $398 million of Federal Reserve Bank stock, and $187 million in mutual fund investments.
3These amounts include IRLCs and derivative financial instruments entered into by the Mortgage line of business to hedge its interest rate risk.
4These amounts include the derivative associated with the Company's sale of Visa shares during the year ended December 31, 2009.
 
 
 
Fair Value Measurements at
December 31, 2010
Using
 
(Dollars in millions)
Assets/Liabilities
 
Quoted Prices
In Active
Markets for
Identical
Assets/Liabilities
(Level 1)
 
Significant
Other
Observable
Inputs
(Level 2)
 
Significant
Unobservable
Inputs
(Level 3)
Assets
 
 
 
 
 
 
 
Trading assets
 
 
 
 
 
 
 
U.S. Treasury securities

$187

 

$187

 

$—

 

$—

Federal agency securities
361

 
—

 
361

 
—

U.S. states and political subdivisions
123

 
—

 
123

 
—

MBS - agency
301

 
—

 
301

 
—

MBS - private
15

 
—

 
9

 
6

CDO/CLO securities
55

 
—

 
2

 
53

ABS
59

 
—

 
32

 
27

Corporate and other debt securities
743

 
—

 
743

 
—

CP
14

 
—

 
14

 
—

Equity securities
221

 
—

 
98

 
123

Derivative contracts
2,743

 
166

 
2,577

 
—

Trading loans
1,353

 
—

 
1,353

 
—

Total trading assets
6,175

 
353

 
5,613

 
209

Securities AFS
 
 
 
 
 
 
 
U.S. Treasury securities
5,516

 
5,516

 
—

 
—

Federal agency securities
1,895

 
—

 
1,895

 
—

U.S. states and political subdivisions
579

 
—

 
505

 
74

MBS - agency
14,358

 
—

 
14,358

 
—

MBS - private
347

 
—

 
—

 
347

CDO/CLO securities
50

 
—

 
50

 
—

ABS
808

 
—

 
788

 
20

Corporate and other debt securities
482

 
—

 
477

 
5

Coke common stock
1,973

 
1,973

 
—

 
—

      Other equity securities 1
887

 
—

 
197

 
690

Total securities AFS
26,895

 
7,489

 
18,270

 
1,136

LHFS
 
 
 
 
 
 
 
Residential loans
2,847

 
—

 
2,845

 
2

Corporate and other loans
321

 
—

 
316

 
5

Total LHFS
3,168

 
—

 
3,161

 
7

LHFI
492

 
—

 
—

 
492

MSRs
1,439

 
—

 
—

 
1,439

Other assets 2
241

 
—

 
223

 
18

Liabilities
 
 
 
 
 
 
 
Trading liabilities
 
 
 
 
 
 
 
U.S. Treasury securities
439

 
439

 
—

 
—

Corporate and other debt securities
398

 
—

 
398

 
—

Derivative contracts
1,841

 
120

 
1,576

 
145

Total trading liabilities
2,678

 
559

 
1,974

 
145

Brokered time deposits
1,213

 
—

 
1,213

 
—

Long-term debt
2,837

 
—

 
2,837

 
—

Other liabilities 2,3
114

 
—

 
72

 
42

1 Includes at cost, $298 million of FHLB of Atlanta stock, $391 million of Federal Reserve Bank stock, and $197 million in mutual fund investments.
2These amounts include IRLCs and derivative financial instruments entered into by the Mortgage line of business to hedge its interest rate risk.
3These amounts include the derivative associated with the Company's sale of Visa shares during the year ended December 31, 2009.
Fair Value Option Elected, Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance
(Dollars in millions)
Aggregate
Fair Value
December 31, 2011    
 
Aggregate
Unpaid Principal
Balance under FVO     
December 31, 2011
 
Fair Value
Over/(Under)
    Unpaid Principal    
Trading loans

$2,030

 

$2,010

 

$20

LHFS
2,139

 
2,077

 
62

Past due loans of 90 days or more
1

 
1

 
—

Nonaccrual loans
1

 
8

 
(7
)
LHFI
407

 
439

 
(32
)
Past due loans of 90 days or more
1

 
2

 
(1
)
Nonaccrual loans
25

 
48

 
(23
)
Brokered time deposits
1,018

 
1,011

 
7

Long-term debt
1,997

 
1,901

 
96

(Dollars in millions)
Aggregate
Fair Value
    December 31, 2010    
 
Aggregate
Unpaid Principal
Balance under FVO
 December 31, 2010    
 
Fair Value
Over/(Under)
    Unpaid Principal    
Trading loans

$1,353

 

$1,320

 

$33

LHFS
3,160

 
3,155

 
5

Past due loans of 90 days or more
2

 
2

 
—

Nonaccrual loans
6

 
25

 
(19
)
LHFI
462

 
517

 
(55
)
Past due loans of 90 days or more
2

 
4

 
(2
)
Nonaccrual loans
28

 
54

 
(26
)
Brokered time deposits
1,213

 
1,188

 
25

Long-term debt
2,837

 
2,753

 
84
Change in Fair Value of Financial Instruments for which the FVO has been Elected
 
 
Fair Value Gain/(Loss) for the Year Ended
December 31, 2011, for Items Measured at Fair Value  Pursuant to Election of the FVO
(Dollars in millions)
 
Trading income/(loss)
 
Mortgage
Production  
Related
(Loss)/Income 1
 
Mortgage  
Servicing
Related
Income
 
Total
Changes in
Fair Values  
Included in
Current-
Period
Earnings 2
Assets
 
 
 
 
 
 
 
 
Trading loans
 

$21

 

$—

 

$—

 

$21

LHFS
 
(10
)
 
450

 
—

 
440

LHFI
 
3

 
11

 
—

 
14

MSRs
 
—

 
7

 
(733
)
 
(726
)
 
Liabilities
 
 
 
 
 
 
 
 
Brokered time deposits
 
32

 
—

 
—

 
32

Long-term debt
 
(12
)
 
—

 
—

 
(12
)
1For the year ended December 31, 2011, income related to LHFS includes $217 million related to MSRs recognized upon the sale of loans reported at fair value. For the year ended December 31, 2011, income related to MSRs includes $7 million of MSRs recognized upon the sale of loans reported at LOCOM. These MSRs are included in the table since the Company elected to report MSRs recognized in 2009 and beyond using the fair value method. Previously, MSRs were reported under the amortized cost method.
2Changes in fair value for the year ended December 31, 2011, exclude accrued interest for the periods then ended. Interest income or interest expense on trading loans, LHFS, LHFI, brokered time deposits and long-term debt that have been elected to be carried at fair value are recorded in interest income or interest expense in the Consolidated Statements of Income/(Loss) based on their contractual coupons.



 
 
Fair Value Gain/(Loss) for the Year Ended
December 31, 2010, for Items Measured at Fair Value Pursuant
to Election of the FVO
(Dollars in millions)
 
Trading income/(loss)
 
Mortgage
Production  
Related
  (Loss)/Income 1 
 
Mortgage
Servicing  
Related
Income
 
Total
Changes in
Fair Values  
Included in
Current
Period
Earnings 2
Assets
 
 
 
 
 
 
 
 
Trading loans
 

($3
)
 

$—

 

$—

 

($3
)
LHFS
 
26

 
568

 
—

 
594

LHFI
 
—

 
7

 
—

 
7

MSRs
 
—

 
15

 
(513
)
 
(498
)
 
Liabilities
 
 
 
 
 
 
 
 
Brokered time deposits
 
(62
)
 
—

 
—

 
(62
)
Long-term debt
 
(168
)
 
—

 
—

 
(168
)
1For the year ended December 31, 2010, income related to LHFS, includes $274 million related to MSRs recognized upon the sale of loans reported at fair value. For the year ended December 31, 2010, income related to MSRs includes $15 million of MSRs recognized upon the sale of loans reported at LOCOM. These MSRs are included in the table since the Company elected to report MSRs recognized in 2009 and beyond using the fair value method. Previously, MSRs were reported under the amortized cost method.
2Changes in fair value for the year ended December 31, 2010, exclude accrued interest for the periods then ended. Interest income or interest expense on trading loans, LHFS, LHFI, brokered time deposits and long-term debt that have been elected to be carried at fair value are recorded in interest income or interest expense in the Consolidated Statements of Income/(Loss) based on their contractual coupons.

 
 
Fair Value Gain/(Loss) for the Year Ended
December 31, 2009, for Items Measured at Fair Value Pursuant
to Election of the FVO
(Dollars in millions)
 
Trading income/(loss)
 
Mortgage
Production  
Related
  (Loss)/Income 1  
 
Mortgage
Servicing  
Related
Income
 
Total
Changes in
Fair Values  
Included in
Current
Period
Earnings 2
Assets
 
 
 
 
 
 
 
 
Trading loans
 

$3

 

$—

 

$—

 

$3

LHFS
 
2

 
625

 
—

 
627

LHFI
 
3

 
(1
)
 
—

 
2

MSRs
 
—

 
17

 
66

 
83

 
Liabilities
 
 
 
 
 
 
 
 
Brokered time deposits
 
11

 
—

 
—

 
11

Long-term debt
 
(65
)
 
—

 
—

 
(65
)
1For the year ended December 31, 2009, income related to LHFS, includes $664 million related to MSRs recognized upon the sale of loans reported at fair value. For the year ended December 31, 2009, income related to MSRs includes $18 million of MSRs recognized upon the sale of loans reported at LOCOM. These MSRs are included in the table since the Company elected to report MSRs recognized in 2009 and beyond using the fair value method. Previously, MSRs were reported under the amortized cost method.
2Changes in fair value for the year ended December 31, 2009, exclude accrued interest for the periods then ended. Interest income or interest expense on trading loans, LHFS, LHFI, brokered time deposits and long-term debt that have been elected to be carried at fair value are recorded in interest income or interest expense in the Consolidated Statements of Income/(Loss) based on their contractual coupons.
Reconciliation of the Beginning and Ending Balances for Fair Valued Assets and Liabilities Measured on a Recurring Basis Using Significant Unobservable Inputs
 
Fair Value Measurements
Using Significant Unobservable Inputs
 
(Dollars in millions)
Beginning
balance
January 1,    
2011
 
Included in earnings
 
OCI    
 
Purchases
 
Sales    
 
Settlements    
 
Transfers
to other
balance sheet
line items    
 
Transfers
into
Level 3    
 
Transfers
out of
Level 3    
 
Fair value
December 31,
2011    
 
Included in earnings (held at December 31, 2011) 1
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
MBS - private

$6

 

$1

  

$—

  

$—

 

($5
)
 

($1
)
 

$—

 


 

$—

 

$1

 

($1
)
  
CDO/CLO securities
53

 
26

2 
—

  
6

 
(21
)
 
(1
)
 
(20
)
 


 
—

 
43

 
9

2 
ABS
27

 
9

  
—

  
—

 
(31
)
 
—

 


 


 


 
5

 
2

  
Equity securities
123

 
13

  
—

  
—

 
—

 
(136
)
 
—

 


 
—

 
—

 
—

  
Total trading assets
209

 
49

3  
—

  
6

 
(57
)
 
(138
)
 
(20
)
 
—

 
—

 
49

 
10

3  
Securities AFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. states and political subdivisions
74

 
1

  
(2
)
  
—

 
(4
)
 
(11
)
 


 


 


 
58

 
—

  
MBS - private
347

 
(8
)
  
2

  
—

 
—

 
(71
)
 
(49
)
 


 


 
221

 
(6
)
  
ABS
20

 
—

  
—

  
—

 
—

 
(4
)
 


 


 
—

 
16

 
—

  
Corporate and other debt securities
5

 
—

  
—

  
—

 
—

 
—

 


 


 


 
5

 
—

  
Other equity securities
690

 
—

  
—

  
198

 
—

 
(147
)
 


 


 


 
741

 
—

  
Total securities AFS
1,136

 
(7
)
4  
—

  
198

 
(4
)
 
(233
)
 
(49
)
 
—

 
—

 
1,041

 
(6
)
4  
LHFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential loans
2

 
(1
)
5  
—

  
—

 
(18
)
 
(1
)
 
(1
)
 
23

 
(3
)
 
1

 
—

  
Corporate and other loans
5

 
(1
)
6  
—

  
—

 
—

 
(4
)
 
—

 
—

 
—

 
—

 
—

  
LHFI
492

 
14

7 
—

  
—

 
—

 
(59
)
 
(13
)
 
—

 
(1
)
 
433

 
(1
)
7  
Other assets/(liabilities), net
(24
)
 
349

5 
—

  
—

 
—

 
8

 
(271
)
 
—

 
—

 
62

 
—

  

Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative contracts
(145
)
 
2

3 

(46
)
8  
—

 
—

 
—

 
—

 
—

 


 
(189
)
 
2

3  
1 Change in unrealized gains/(losses) included in earnings during the period related to financial assets still held at December 31, 2011.
2 Amounts included in earnings do not include losses accrued as a result of the ARS settlements discussed in Note 20, "Contingencies."
3 Amounts included in earnings are recorded in trading income/(loss).
4 Amounts included in earnings are recorded in net securities gains.
5 Amounts included in earnings are net of issuances, fair value changes, and expirations and are recorded in mortgage production related (loss)/income.
6 Amounts included in earnings are recorded in other noninterest income.
7 Amounts are generally included in mortgage production related (loss)/income, however, the mark on certain fair value loans is included in trading income/(loss).
8 Amount recorded in OCI is the effective portion of the cash flow hedges related to the Company’s probable forecasted sale of its shares of Coke common stock as discussed in Note 17, “Derivative Financial Instruments.”







 
Fair Value Measurements
Using Significant Unobservable Inputs
 
 
(Dollars in millions)
Beginning
balance
January 1,    
2010

 
Included in earnings
 
OCI
 
Purchases,
sales,
issuances,
settlements,
maturities,
paydowns,
net    
 
Transfers
from/(to)  other
balance sheet
line items    
 
Transfers    
into
Level 3
 
Transfers    
out of
Level 3
 
Fair value
December 31,
2010    
 
Included in earnings (held at December 31, 2010) 1
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. states and political subdivisions

$7

 

$1

  

$—

  

($8
)
 

$—

 

$—

 

$—

 

$—

 

$—

  
MBS - private
6

 
10

  
—

  
(36
)
 
35

 
—

 
(9
)
 
6

 
(1
)
  
CDO/CLO securities
175

 
49

2  
—

  
(109
)
 
(60
)
 
—

 
(2
)
 
53

 
13

2  
ABS
51

 
9

  
—

  
(3
)
 
2

 
—

 
(32
)
 
27

 
(2
)
  
Equity securities
151

 
8

  
—

  
(36
)
 
—

 
—

 
—

 
123

 
3

  
Total trading assets
390

 
77

3  
—

  
(192
)
 
(23
)
 
—

 
(43
)
 
209

 
13

3  
Securities AFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. states and political subdivisions
132

 
3

   
2

  
(63
)
 
—

 
—

 
—

 
74

 
—

  
MBS - private
378

 
(2
)
   
64

  
(93
)
 
—

 
—

 
—

 
347

 
(2
)
  
ABS
102

 
4

 
—

  
7

 
—

 
—

 
(93
)
 
20

 
—

  
Corporate and other debt securities
5

 
—

   
—

  
—

 
—

 
—

 
—

 
5

 
—

  
Other equity securities
705

 
—

   
—

  
(15
)
 
—

 
—

 
—

 
690

 
—

  
Total securities AFS
1,322

 
5

4  
66

  
(164
)
 
—

 
—

 
(93
)
 
1,136

 
(2
)
4  
LHFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential loans
142

 
(4
)
5  
—

  
(89
)
 
(118
)
 
75

 
(4
)
 
2

 
—

 
Corporate and other loans
9

 
(2
)
6  
—

  
(2
)
 
—

 
—

 
—

 
5

 
(2
)
6  
LHFI
449

 
3

7  
—

  
(57
)
 
100

 
—

 
(3
)
 
492

 
(5
)
7  
Other assets/(liabilities), net
(35
)
 
392

5  
—

  
17

 
(398
)
 
—

 
—

 
(24
)
 
—

  
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative contracts
(46
)
 
2

3  
(101
)
8  
—

 
—

 
—

 
—

 
(145
)
 
2

3 
1 Change in unrealized gains/(losses) included in earnings for the period related to financial assets still held at December 31, 2010.
2 Amounts included in earnings do not include losses accrued as a result of the ARS settlements discussed in Note 20, "Contingencies."
3 Amounts included in earnings are recorded in trading income/(loss).
4 Amounts included in earnings are recorded in net securities gains.
5Amounts included in earnings are net of issuances, fair value changes, and expirations and are recorded in mortgage production related (loss)/income.
6 Amounts included in earnings are recorded in other noninterest income.
7 Amounts are generally included in mortgage production related (loss)/income, however, the mark on certain fair value loans is included in trading income/(loss).
8 Amount recorded in OCI is the effective portion of the cash flow hedges related to the Company’s probable forecasted sale of its shares of Coke stock as discussed in Note 17, “Derivative Financial Instruments.”
Change in Carrying Value of Assets Measured at Fair Value on a Non-Recurring Basis
 
 
 
Fair Value Measurement at
December 31, 2011,
Using
 
 
 
 
(Dollars in millions)
Net
Carrying
Value
 
Quoted Prices in
Active Markets
for Identical
Assets/Liabilities
(Level 1)        
 
Significant
Other
Observable
Inputs
(Level 2)        
 
Significant
Unobservable
Inputs
(Level 3)         
 
 
Valuation
Allowance
LHFS

$212

 

$—

 

$108

 

$104

 
 

$—

LHFI
72

 
—

 
—

 
72

 
 
(7
)
OREO
479

 
—

 
372

 
107

 
 
(127
)
Affordable Housing
324

 
—

 
—

 
324

 
 
—

Other Assets
45

 
—

 
24

 
21

 
 
(20
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurement at
December 31, 2010,
Using
 
 
 
 
(Dollars in millions)
Net
Carrying
Value
 
Quoted Prices in
Active Markets
for Identical
Assets/Liabilities
(Level 1)        
 
Significant
Other
Observable
Inputs
(Level 2)        
 
Significant
Unobservable
Inputs
(Level 3)         
 
 
Valuation
Allowance
LHFS

$333

 

$—

 

$142

 

$191

 
 

$—

LHFI
85

 
—

 
—

 
85

 
 
(15
)
OREO
596

 
—

 
553

 
43

 
 
(116
)
Affordable Housing
357

 
—

 
—

 
357

 
 
—

Other Assets
130

 
—

 
90

 
40

 
 
(20
)
Carrying Amounts and Fair Values of the Company's Financial Instruments
 
2011
 
 
2010
 
(Dollars in millions)
Carrying
Amount    
 
Fair
Value     
 
 
Carrying
Amount    
 
Fair
Value     
 
Financial assets
 
 
 
 
 
 
 
 
 
Cash and cash equivalents

$4,509

 

$4,509

 (a) 
 

$5,378

 

$5,378

(a) 
Trading assets
6,279

 
6,279

 (b) 
 
6,175

 
6,175

(b) 
Securities AFS
28,117

 
28,117

 (b) 
 
26,895

 
26,895

(b) 
LHFS
2,353

 
2,355

 (c) 
 
3,501

 
3,501

(c) 
LHFI
122,495

 
122,495

  
 
115,975

 
115,975

  
Interest/credit adjustment on LHFI
(2,457
)
 
(2,005
)
  
 
(2,974
)
 
(3,823
)
  
LHFI, as adjusted for interest/credit risk
120,038

 
120,490

 (d) 
 
113,001

 
112,152

(d) 
Market risk/liquidity adjustment on LHFI
—

 
(4,805
)
  
 
—

 
(3,962
)
  
LHFI, fully adjusted

$120,038

 

$115,685

 (d) 
 

$113,001

 

$108,190

(d) 
Financial liabilities
 
 
 
 
 
 
 
 
 
Consumer and commercial deposits

$125,611

 

$125,963

 (e) 
 

$120,025

 

$120,368

(e) 
Brokered time deposits
2,281

 
2,289

 (f) 
 
2,365

 
2,381

(f) 
Foreign deposits
30

 
30

 (f) 
 
654

 
654

(f) 
Short-term borrowings
11,466

 
11,466

 (f) 
 
5,821

 
5,815

(f) 
Long-term debt
10,908

 
10,515

 (f) 
 
13,648

 
13,191

(f) 
Trading liabilities
1,806

 
1,806

 (b) 
 
2,678

 
2,678

(b) 

The following methods and assumptions were used by the Company in estimating the fair value of financial instruments:
(a)
Cash and cash equivalents are valued at their carrying amounts reported in the balance sheet, which are reasonable estimates of fair value due to the relatively short period to maturity of the instruments.
(b)
Securities AFS, trading assets, and trading liabilities that are classified as level 1 are valued based on quoted market prices. For those instruments classified as level 2 or 3, refer to the respective valuation discussions within this footnote.
(c)
LHFS are generally valued based on observable current market prices or, if quoted market prices are not available, on quoted market prices of similar instruments. In instances when significant valuation assumptions are not readily observable in the market, instruments are valued based on the best available data in order to approximate fair value. This data may be internally-developed and considers risk premiums that a market participant would require under then-current market conditions. Refer to the LHFS section within this footnote for further discussion of the LHFS carried at fair value.
(d)
LHFI fair values are based on a hypothetical exit price, which does not represent the estimated intrinsic value of the loan if held for investment. The assumptions used are expected to approximate those that a market participant purchasing the loans would use to value the loans, including a market risk premium and liquidity discount. Estimating the fair value of the loan portfolio when loan sales and trading markets are illiquid, or for certain loan types, nonexistent, requires significant judgment. Therefore, the estimated fair value can vary significantly depending on a market participant’s ultimate considerations and assumptions. The final value yields a market participant’s expected return on investment that is indicative of the current market conditions, but it does not take into consideration the Company’s estimated value from continuing to hold these loans or its lack of willingness to transact at these estimated values.
The Company estimated fair value based on estimated future cash flows discounted, initially, at current origination rates for loans with similar terms and credit quality, which derived an estimated value of 100% and 99% on the loan portfolio’s net carrying value as of December 31, 2011 and 2010, respectively. The value derived from origination rates likely does not represent an exit price; therefore, an incremental market risk and liquidity discount was subtracted from the initial value as of December 31, 2011 and 2010, respectively. The discounted value is a function of a market participant’s required yield in the current environment and is not a reflection of the expected cumulative losses on the loans. Loan prepayments are used to adjust future cash flows based on historical experience and prepayment model forecasts. The value of related accrued interest on loans approximates fair value; however, it is not included in the carrying amount or fair value of loans. The value of long-term customer relationships is not permitted under current U.S. GAAP to be included in the estimated fair value.

(e)
Deposit liabilities with no defined maturity such as DDAs, NOW/money market accounts, and savings accounts have a fair value equal to the amount payable on demand at the reporting date (i.e., their carrying amounts). Fair values for CDs are estimated using a discounted cash flow calculation that applies current interest rates to a schedule of aggregated expected maturities. The assumptions used in the discounted cash flow analysis are expected to approximate those that market participants would use in valuing deposits. The value of long-term relationships with depositors is not taken into account in estimating fair values.
(f)
Fair values for foreign deposits, certain brokered deposits, short-term borrowings, and certain long-term debt are based on quoted market prices for similar instruments or estimated using discounted cash flow analysis and the Company’s current incremental borrowing rates for similar types of instruments. For brokered deposits and long-term debt that the Company carries at fair value, refer to the respective valuation sections within this footnote.