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Fair Value Election and Measurement (Tables)
3 Months Ended
Mar. 31, 2016
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on a Recurring Basis
Recurring Fair Value Measurements
The following tables present certain information regarding assets and liabilities measured at fair value on a recurring basis and the changes in fair value for those specific financial instruments for which fair value has been elected.
 
March 31, 2016
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting
 Adjustments 1
 
Assets/Liabilities
at Fair Value
Assets
 
 
 
 
 
 
 
 
 
Trading assets and derivative instruments:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities

$707

 

$—

 

$—

 

$—

 

$707

Federal agency securities

 
304

 

 

 
304

U.S. states and political subdivisions

 
83

 

 

 
83

MBS - agency

 
686

 

 

 
686

CLO securities

 
3

 

 

 
3

Corporate and other debt securities

 
454

 

 

 
454

CP

 
400

 

 

 
400

Equity securities
53

 

 

 

 
53

Derivative instruments
286

 
5,503

 
37

 
(4,091
)
 
1,735

Trading loans

 
2,625

 

 

 
2,625

Total trading assets and derivative instruments
1,046

 
10,058

 
37

 
(4,091
)
 
7,050

 
 
 
 
 
 
 
 
 
 
Securities AFS:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
3,797

 

 

 

 
3,797

Federal agency securities

 
389

 

 

 
389

U.S. states and political subdivisions

 
153

 
5

 

 
158

MBS - agency

 
23,190

 

 

 
23,190

MBS - non-agency residential

 

 
88

 

 
88

ABS

 

 
11

 

 
11

Corporate and other debt securities

 
32

 
5

 

 
37

Other equity securities 2
47

 

 
471

 

 
518

Total securities AFS
3,844

 
23,764

 
580

 

 
28,188


 
 
 
 
 
 
 
 
 
Residential LHFS

 
1,589

 
4

 

 
1,593

LHFI

 

 
255

 

 
255

MSRs

 

 
1,182

 

 
1,182

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Trading liabilities and derivative instruments:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
568

 

 

 

 
568

MBS - agency

 
3

 

 

 
3

Corporate and other debt securities

 
311

 

 

 
311

Derivative instruments
149

 
5,257

 
5

 
(4,757
)
 
654

Total trading liabilities and derivative instruments
717

 
5,571

 
5

 
(4,757
)
 
1,536

 
 
 
 
 
 
 
 
 
 
Long-term debt

 
975

 

 

 
975


1 Amounts represent offsetting cash collateral received from, and paid to, the same derivative counterparties, and the impact of netting derivative assets and derivative liabilities when a legally enforceable master netting agreement or similar agreement exists.
2 Includes $47 million of mutual fund investments, $64 million of FHLB of Atlanta stock, $402 million of Federal Reserve Bank of Atlanta stock, and $5 million of other.










 
December 31, 2015
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting
 Adjustments 1
 
Assets/Liabilities
at Fair Value
Assets
 
 
 
 
 
 
 
 
 
Trading assets and derivative instruments:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities

$538

 

$—

 

$—

 

$—

 

$538

Federal agency securities

 
588

 

 

 
588

U.S. states and political subdivisions

 
30

 

 

 
30

MBS - agency

 
553

 

 

 
553

CLO securities

 
2

 

 

 
2

Corporate and other debt securities

 
379

 
89

 

 
468

CP

 
67

 

 

 
67

Equity securities
66

 

 

 

 
66

Derivative instruments
262

 
4,182

 
21

 
(3,313
)
 
1,152

Trading loans

 
2,655

 

 

 
2,655

Total trading assets and derivative instruments
866

 
8,456

 
110

 
(3,313
)
 
6,119

 
 
 
 
 
 
 
 
 
 
Securities AFS:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
3,449

 

 

 

 
3,449

Federal agency securities

 
411

 

 

 
411

U.S. states and political subdivisions

 
159

 
5

 

 
164

MBS - agency

 
23,124

 

 

 
23,124

MBS - non-agency residential

 

 
94

 

 
94

ABS

 

 
12

 

 
12

Corporate and other debt securities

 
33

 
5

 

 
38

Other equity securities 2
93

 

 
440

 

 
533

Total securities AFS
3,542

 
23,727

 
556

 

 
27,825

 
 
 
 
 
 
 
 
 
 
Residential LHFS

 
1,489

 
5

 

 
1,494

LHFI

 

 
257

 

 
257

MSRs

 

 
1,307

 

 
1,307

 
 
 
 
 
 
 
 
 
 
Liabilities
 
 
 
 
 
 
 
 
 
Trading liabilities and derivative instruments:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
503

 

 

 

 
503

MBS - agency

 
37

 

 

 
37

Corporate and other debt securities

 
259

 

 

 
259

Derivative instruments
161

 
4,261

 
6

 
(3,964
)
 
464

Total trading liabilities and derivative instruments
664

 
4,557

 
6

 
(3,964
)
 
1,263

 
 
 
 
 
 
 
 
 
 
Long-term debt

 
973

 

 

 
973

Other liabilities 3

 

 
23

 

 
23


1 Amounts represent offsetting cash collateral received from, and paid to, the same derivative counterparties, and the impact of netting derivative assets and derivative liabilities when a legally enforceable master netting agreement or similar agreement exists.
2 Includes $93 million of mutual fund investments, $32 million of FHLB of Atlanta stock, $402 million of Federal Reserve Bank of Atlanta stock, and $6 million of other.
3 Includes contingent consideration obligations related to acquisitions.
Fair Value Option Elected, Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance
(Dollars in millions)
Fair Value at
March 31, 2016
 
Aggregate UPB at
March 31, 2016
 
Fair Value
Over/(Under)
Unpaid Principal
Assets:
 
 
 
 
 
Trading loans

$2,625

 

$2,571

 

$54

LHFS:
 
 
 
 
 
Accruing
1,593

 
1,531

 
62

LHFI:
 
 
 
 
 
Accruing
250

 
251

 
(1
)
Nonaccrual
5

 
7

 
(2
)

Liabilities:
 
 
 
 
 
Long-term debt
975

 
907

 
68

 
 
 
 
 
 
(Dollars in millions)
Fair Value at December 31, 2015
 
Aggregate UPB at
December 31, 2015
 

Fair Value
Over/(Under)
Unpaid Principal
Assets:
 
 
 
 
 
Trading loans

$2,655

 

$2,605

 

$50

LHFS:
 
 
 
 
 
Accruing
1,494

 
1,453

 
41

LHFI:
 
 
 
 
 
Accruing
254

 
259

 
(5
)
Nonaccrual
3

 
5

 
(2
)

Liabilities:
 
 
 
 
 
Long-term debt
973

 
907

 
66

Change in Fair Value of Financial Instruments for which the FVO has been Elected
 
Fair Value Gain/(Loss) for the Three Months Ended
March 31, 2016 for Items Measured at Fair Value
Pursuant to Election of the FVO
(Dollars in millions)
Trading Income
 
Mortgage Production Related
Income
1
 
Mortgage Servicing Related Income
 
Other Noninterest Income
 
Total Changes in Fair Values Included in Earnings 2
Assets:
 
 
 
 
 
 
 
 
 
Trading loans

$6

 

$—

 

$—

 

$—

 

$6

LHFS

 
55

 

 

 
55

LHFI

 

 

 
3

 
3

MSRs

 

 
(247
)
 

 
(247
)
 
Liabilities:
 
 
 
 
 
 
 
 
 
Long-term debt
(2
)
 

 

 

 
(2
)
1 Income related to LHFS does not include income from IRLCs. For the three months ended March 31, 2016, income related to MSRs includes income recognized upon the sale of loans reported at LOCOM.
2 Changes in fair value for the three months ended March 31, 2016 exclude accrued interest for the period then ended. Interest income or interest expense on trading loans, LHFS, LHFI, and long-term debt that have been elected to be measured at fair value are recognized in interest income or interest expense in the Consolidated Statements of Income.


 
Fair Value Gain/(Loss) for the Three Months Ended
March 31, 2015 for Items Measured at Fair Value
Pursuant to Election of the FVO
(Dollars in millions)
Trading Income
 
Mortgage Production Related
 Income 1
 
Mortgage Servicing Related Income
 
Total Changes in Fair Values Included in Earnings 2
Assets:
 
 
 
 
 
 
 
Trading loans

$4

 

$—

 

$—

 

$4

LHFS

 
12

 

 
12

LHFI

 
2

 

 
2

MSRs

 
1

 
(126
)
 
(125
)
 
Liabilities:
 
 
 
 
 
 
 
Long-term debt
1

 

 

 
1

1 Income related to LHFS does not include income from IRLCs. For the three months ended March 31, 2015, income related to MSRs includes income recognized upon the sale of loans reported at LOCOM.
2 Changes in fair value for the three months ended March 31, 2015 exclude accrued interest for the period then ended. Interest income or interest expense on trading loans, LHFS, LHFI, and long-term debt that have been elected to be measured at fair value are recognized in interest income or interest expense in the Consolidated Statements of Income.

Fair Value Level 3 Significant Unobservable Input Assumptions [Table Text Block]
 
 Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)
Fair value
March 31, 2016
 
Valuation Technique
 
Unobservable Input 1
 
Range
(weighted average)
Assets
 
 
 
 
 
 
 
Trading assets and derivative instruments:
 
 
 
 
 
 
 
Derivative instruments, net 2

$32

 
Internal model
 
Pull through rate
 
41-100% (75%)
 
MSR value
 
23-191 bps (96 bps)
Securities AFS:
 
 
 
 
 
 
 
U.S. states and political subdivisions
5

 
Cost
 
N/A
 
 
MBS - non-agency residential
88

 
Third party pricing
 
N/A
 
 
ABS
11

 
Third party pricing
 
N/A
 
 
Corporate and other debt securities
5

 
Cost
 
N/A
 
 
Other equity securities
471

 
Cost
 
N/A
 
 
Residential LHFS
4

 
Monte Carlo/Discounted cash flow
 
Option adjusted spread
 
104-197 bps (128 bps)
Conditional prepayment rate
2-21 CPR (11 CPR)
Conditional default rate
0-2 CDR (0.6 CDR)
LHFI
248

 
Monte Carlo/Discounted cash flow
 
Option adjusted spread
 
62-784 bps (198 bps)
Conditional prepayment rate
3-38 CPR (15 CPR)
Conditional default rate
0-5 CDR (1.8 CDR)
7

Collateral based pricing
Appraised value
NM 3
MSRs
1,182

 
Monte Carlo/Discounted cash flow
 
Conditional prepayment rate
 
2-20 CPR (13 CPR)
 
Option adjusted spread
 
(5)-86% (8%)

1 For certain assets and liabilities where the Company utilizes third party pricing, the unobservable inputs and their ranges are not reasonably available, and therefore, have been noted as not applicable ("N/A").
2 Represents the net of IRLC assets and liabilities entered into by the Mortgage Banking segment and includes the derivative liability associated with the Company's sale of Visa shares.
3 Not meaningful.


 
 Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)
Fair value December 31, 2015
 
Valuation Technique
 
Unobservable Input 1
 
Range
(weighted average)
Assets
 
 
 
 
 
 
 
Trading assets and derivative instruments:
 
 
 
 
 
 
 
Corporate and other debt securities

$89

 
Market comparables
 
Yield adjustment
 
126-447 bps (287 bps)
Derivative instruments, net 2
15

 
Internal model
 
Pull through rate
 
24-100% (79%)
 
MSR value
 
29-210 bps (103 bps)
Securities AFS:
 
 
 
 
 
 
 
U.S. states and political subdivisions
5

 
Cost
 
N/A
 
 
MBS - non-agency residential
94

 
Third party pricing
 
N/A
 
 
ABS
12

 
Third party pricing
 
N/A
 
 
Corporate and other debt securities
5

 
Cost
 
N/A
 
 
Other equity securities
440

 
Cost
 
N/A
 
 
Residential LHFS
5

 
Monte Carlo/Discounted cash flow
 
Option adjusted spread
 
104-197 bps (125 bps)
 
Conditional prepayment rate
 
2-17 CPR (8 CPR)
 
Conditional default rate
 
0-2 CDR (0.5 CDR)
LHFI
251

 
Monte Carlo/Discounted cash flow
 
Option adjusted spread
 
62-784 bps (193 bps)
 
Conditional prepayment rate
 
5-36 CPR (14 CPR)
 
Conditional default rate
 
0-5 CDR (1.7 CDR)
6

 
Collateral based pricing
 
Appraised value
 
NM 4
MSRs
1,307

 
Monte Carlo/Discounted cash flow
 
Conditional prepayment rate
 
2-21 CPR (10 CPR)
 
Option adjusted spread
 
(5)-110% (8%)
Liabilities
 
 
 
 
 
 
 
Other liabilities 3
23

 
Internal model
 
Loan production volume
 
150% (150%)

1 For certain assets and liabilities where the Company utilizes third party pricing, the unobservable inputs and their ranges are not reasonably available, and therefore, have been noted as not applicable ("N/A").
2 Represents the net of IRLC assets and liabilities entered into by the Mortgage Banking segment and includes the derivative liability associated with the Company's sale of Visa shares.
3 Input assumptions relate to the Company's contingent consideration obligations related to acquisitions. See Note 12, "Guarantees," for additional information.
4 Not meaningful.
Reconciliation of the Beginning and Ending Balances for Fair Valued Assets and Liabilities Measured on a Recurring Basis Using Significant Unobservable Inputs
three months ended March 31, 2016 and 2015.
 
Fair Value Measurements
Using Significant Unobservable Inputs
 
(Dollars in millions)
Beginning
Balance
January 1,
2016
 
Included
in
Earnings
 
OCI
 
Purchases
 
Sales
 
Settlements
 
Transfers to/from Other Balance Sheet Line Items
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Fair Value March 31, 2016
 
Included in Earnings (held at March 31, 2016 1)
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate and other debt securities

$89

 

($1
)
2 

$—

 

$—

 

($88
)
 

$—

 

$—

 

$—

 

$—

 

$—

 

$—

 
Derivative instruments, net
15

 
45

3 

 

 

 
1

 
(29
)
 

 

 
32

 
36

3 
Total trading assets
104

 
44

 

 

 
(88
)
 
1

 
(29
)
 

 

 
32

 
36

 
Securities AFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. states and political subdivisions
5

 

 

 

 

 

 

 

 

 
5

 

 
MBS - non-agency residential
94

 

 
(1
)
4 

 

 
(5
)
 

 

 

 
88

 

 
ABS
12

 

 

 

 

 
(1
)
 

 

 

 
11

 

 
Corporate and other debt securities
5

 

 

 

 

 

 

 

 

 
5

 

 
Other equity securities
440

 

 

 
106

 

 
(75
)
 

 

 

 
471

 

 
Total securities AFS
556

 


(1
)
4 
106

 

 
(81
)
 

 

 

 
580

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential LHFS
5

 

 

 

 
(7
)
 

 
(1
)
 
9

 
(2
)
 
4

 

 
LHFI
257

 
3

5 

 

 

 
(10
)
 
1

 
4

 

 
255

 
3

5 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities
23

 

 

 

 

 
(23
)
 

 

 

 

 

 

1 Change in unrealized gains/(losses) included in earnings during the period related to financial assets/liabilities still held at March 31, 2016.
2 Amounts included in earnings are recognized in trading income.
3 Includes issuances, fair value changes, and expirations and are recognized in mortgage production related income.
4 Amount recognized in OCI is included in change in net unrealized gains on securities AFS, net of tax.
5 Amounts are generally included in mortgage production related income; however, the mark on certain fair value loans is included in other noninterest income.


 
Fair Value Measurements
Using Significant Unobservable Inputs
 
(Dollars in millions)
Beginning
Balance
January 1,
2015
 
Included
in
Earnings
 
OCI
 
Purchases
 
Sales
 
Settlements
 
Transfers to/from Other Balance Sheet Line Items
 
Transfers
into
Level 3
 
Transfers
out of
Level 3
 
Fair Value March 31, 2015
 
Included in Earnings (held at Mach 31, 2015 1)
 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Trading assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative instruments, net

$20

 

$77

2 

$—

 

$—

 

$—

 

$—

 

($60
)
 

$—

 

$—

 

$37

 

$41

2 
Securities AFS:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. states and political subdivisions
12

 

 

 

 

 
(6
)
 

 

 

 
6

 

 
MBS - non-agency residential
123

 

 
1

3 

 

 
(5
)
 

 

 

 
119

 

 
ABS
21

 

 

 

 

 

 

 

 

 
21

 

 
Corporate and other debt securities
5

 

 

 

 

 

 

 

 

 
5

 

 
Other equity securities
785

 

 

 
21

 

 
(190
)
 

 

 

 
616

 

 
Total securities AFS
946

 

 
1

3 
21

 

 
(201
)
 

 

 

 
767

 

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential LHFS
1

 

 

 

 
(3
)
 

 

 
6

 

 
4

 

 
LHFI
272

 
3

4 

 

 

 
(9
)
 

 
2

 

 
268

 
2

4 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities
27

 
4

5 

 

 

 
(10
)
 

 

 

 
21

 

 

1 Change in unrealized gains/(losses) included in earnings for the period related to financial assets still held at March 31, 2015.
2 Includes issuances, fair value changes, and expirations and are recognized in mortgage production related income.
3 Amounts recognized in OCI are included in change in net unrealized gains on securities AFS, net of tax.
4 Amounts are generally included in mortgage production related income; however, the mark on certain fair value loans is included in trading income.
5 Amounts included in earnings are recognized in other noninterest expense.
Change in Carrying Value of Assets Measured at Fair Value on a Non-Recurring Basis
 
 
 
Fair Value Measurements
 
Losses for the
Three Months Ended
March 31, 2016
(Dollars in millions)
March 31, 2016
 
Level 1
 
Level 2
 
Level 3
 
LHFS

$198

 

$—

 

$—

 

$198

 

($4
)
LHFI
39

 

 

 
39

 

OREO
11

 

 
2

 
9

 
(1
)
Other assets
8

 

 

 
8

 

 
 
 
 
 
 
 
 
 
 
 
 
 
Fair Value Measurements
 
Losses for the
Year Ended
December 31, 2015
(Dollars in millions)
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
LHFS

$202

 

$—

 

$—

 

$202

 

($6
)
LHFI
48

 

 

 
48

 

OREO
19

 

 

 
19

 
(4
)
Other assets
36

 

 
29

 
7

 
(6
)
Carrying Amounts and Fair Values of the Company's Financial Instruments
 
March 31, 2016
 
Fair Value Measurements
 
(Dollars in millions)
Measured
Amount
 
Fair
Value
 
Level 1
 
Level 2
 
Level 3
 
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents

$4,327

 

$4,327

 

$4,327

 

$—

 

$—

(a) 
Trading assets and derivative instruments
7,050

 
7,050

 
1,046

 
5,967

 
37

(b) 
Securities AFS
28,188

 
28,188

 
3,844

 
23,764

 
580

(b) 
LHFS
1,911

 
1,915

 

 
1,866

 
49

(c) 
LHFI, net
137,976

 
135,954

 

 
366

 
135,588

(d)
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits
152,161

 
152,144

 

 
152,144

 

(e) 
Short-term borrowings
4,944

 
4,944

 

 
4,944

 

(f) 
Long-term debt
8,514

 
8,435

 

 
7,744

 
691

(f) 
Trading liabilities and derivative instruments
1,536

 
1,536

 
717

 
814

 
5

(b) 

 
December 31, 2015
 
Fair Value Measurements
 
(Dollars in millions)
Measured
Amount
 
Fair
Value
 
Level 1
 
Level 2
 
Level 3
 
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents

$5,599

 

$5,599

 

$5,599

 

$—

 

$—

(a) 
Trading assets and derivative instruments
6,119

 
6,119

 
866

 
5,143

 
110

(b) 
Securities AFS
27,825

 
27,825

 
3,542

 
23,727

 
556

(b) 
LHFS
1,838

 
1,842

 

 
1,803

 
39

(c) 
LHFI, net
134,690

 
131,178

 

 
397

 
130,781

(d)
Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits
149,830

 
149,889

 

 
149,889

 

(e) 
Short-term borrowings
4,627

 
4,627

 

 
4,627

 

(f) 
Long-term debt
8,462

 
8,374

 

 
7,772

 
602

(f) 
Trading liabilities and derivative instruments
1,263

 
1,263

 
664

 
593

 
6

(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, which are reasonable estimates of fair value due to the relatively short period to maturity of the instruments.
(b)
Trading assets and derivative instruments, securities AFS, and trading liabilities and derivative instruments 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, quoted market prices of similar instruments. Refer to the LHFS section within this footnote for further discussion. When valuation assumptions are not readily observable in the market, instruments are valued based on the best available data 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.
(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 nonexistent requires significant judgment.
Generally, the Company measures fair value for LHFI based on estimated future discounted cash flows using current origination rates for loans with similar terms and credit quality, which derived an estimated value of 102% and 101% on the loan portfolio’s net carrying value at March 31, 2016 and December 31, 2015, respectively. The value derived from origination rates likely does not represent an exit price; therefore, an incremental market risk and liquidity discount was applied when estimating the fair value of these loans. 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.
(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 approach 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 short-term borrowings and certain long-term debt are based on quoted market prices for similar instruments or estimated discounted cash flows utilizing the Company’s current incremental borrowing rate for similar types of instruments. For long-term debt that the Company measures at fair value, refer to the respective valuation section within this footnote. For level 3 debt, the terms are unique in nature or there are no similar instruments that can be used to value the instrument without using significant unobservable assumptions. In these situations, the Company reviews current borrowing rates along with the collateral levels that secure the debt in determining an appropriate fair value adjustment.