Fair Value Election and Measurement (Tables)

3 Months Ended

Mar. 31, 2018

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, 2018
	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		$182		$—		$—		$—			$182
Federal agency securities	—		238		—		—			238
U.S. states and political subdivisions	—		123		—		—			123
MBS - agency	—		699		—		—			699
Corporate and other debt securities	—		804		—		—			804
CP	—		169		—		—			169
Equity securities	51		—		—		—			51
Derivative instruments	252		2,805		17		(2,417		)	657
Trading loans	—		2,189		—		—			2,189
Total trading assets and derivative instruments	485		7,027		17		(2,417		)	5,112

Securities AFS:
U.S. Treasury securities	4,340		—		—		—			4,340
Federal agency securities	—		249		—		—			249
U.S. states and political subdivisions	—		636		—		—			636
MBS - agency residential	—		22,513		—		—			22,513
MBS - agency commercial	—		2,242		—		—			2,242
MBS - non-agency residential	—		57		—		—			57
MBS - non-agency commercial	—		874		—		—			874
ABS	—		7		—		—			7
Corporate and other debt securities	—		16		—		—			16
Total securities AFS ²	4,340		26,594		—		—			30,934

LHFS	—		1,428		—		—			1,428
LHFI	—		—		188		—			188
Residential MSRs	—		—		1,916		—			1,916
Other ²	143		—		—		—			143

Liabilities
Trading liabilities and derivative instruments:
U.S. Treasury securities	698		—		—		—			698
MBS - agency	—		1		—		—			1
Corporate and other debt securities	—		453		—		—			453
Equity securities	5		—		—		—			5
Derivative instruments	138		3,351		16		(2,925		)	580
Total trading liabilities and derivative instruments	841		3,805		16		(2,925		)	1,737

Brokered time deposits	—		302		—		—			302
Long-term debt	—		209		—		—			209

¹Amounts 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. See Note 15, "Derivative Financial Instruments," for additional information.

²Beginning January 1, 2018, the Company reclassified equity securities previously presented in Securities available for sale to Other assets on the Consolidated Balance Sheets. Reclassifications have been made to previously reported amounts for comparability. See Note 9, "Other Assets," for additional information.



	December 31, 2017
	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		$157		$—		$—		$—			$157
Federal agency securities	—		395		—		—			395
U.S. states and political subdivisions	—		61		—		—			61
MBS - agency	—		700		—		—			700
Corporate and other debt securities	—		655		—		—			655
CP	—		118		—		—			118
Equity securities	56		—		—		—			56
Derivative instruments	395		3,493		16		(3,102		)	802
Trading loans	—		2,149		—		—			2,149
Total trading assets and derivative instruments	608		7,571		16		(3,102		)	5,093

Securities AFS:
U.S. Treasury securities	4,331		—		—		—			4,331
Federal agency securities	—		259		—		—			259
U.S. states and political subdivisions	—		617		—		—			617
MBS - agency residential	—		22,704		—		—			22,704
MBS - agency commercial	—		2,086		—		—			2,086
MBS - non-agency residential	—		—		59		—			59
MBS - non-agency commercial	—		866		—		—			866
ABS	—		—		8		—			8
Corporate and other debt securities	—		12		5		—			17
Total securities AFS ²	4,331		26,544		72		—			30,947

LHFS	—		1,577		—		—			1,577
LHFI	—		—		196		—			196
Residential MSRs	—		—		1,710		—			1,710
Other ²	56		—		—		—			56

Liabilities
Trading liabilities and derivative instruments:
U.S. Treasury securities	577		—		—		—			577
Corporate and other debt securities	—		289		—		—			289
Equity securities	9		—		—		—			9
Derivative instruments	183		4,243		16		(4,034		)	408
Total trading liabilities and derivative instruments	769		4,532		16		(4,034		)	1,283

Brokered time deposits	—		236		—		—			236
Long-term debt	—		530		—		—			530

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. See Note 15, "Derivative Financial Instruments," for additional information.

² Beginning January 1, 2018, the Company reclassified equity securities previously presented in Securities available for sale to Other assets on the Consolidated Balance Sheets. Reclassifications have been made to previously reported amounts for comparability. See Note 9, "Other Assets," for additional information.

Fair Value Option Elected, Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance



(Dollars in millions)	Fair Value at March 31, 2018		Aggregate UPB at March 31, 2018		Fair Value Over/(Under) Unpaid Principal
Assets:
Trading loans		$2,189		$2,142		$47
LHFS:
Accruing	1,428		1,397		31
LHFI:
Accruing	183		190		(7		)
Nonaccrual	5		7		(2		)
Liabilities:
Brokered time deposits	302		304		(2		)
Long-term debt	209		203		6

(Dollars in millions)	Fair Value at December 31, 2017		Aggregate UPB at December 31, 2017		Fair Value Over/(Under) Unpaid Principal
Assets:
Trading loans		$2,149		$2,111		$38
LHFS:
Accruing	1,576		1,533		43
Past due 90 days or more	1		1		—
LHFI:
Accruing	192		198		(6		)
Nonaccrual	4		6		(2		)
Liabilities:
Brokered time deposits	236		233		3
Long-term debt	530		517		13

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, 2018 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		$2		$—			$—		$—			$2
LHFS	—		(13		)	—		—			(13		)
LHFI	—		—			—		(2		)	(2		)
Residential MSRs	—		3			56		—			59
Liabilities:
Brokered time deposits	7		—			—		—			7
Long-term debt	3		—			—		—			3

¹Income related to LHFS does not include income from IRLCs. For the three months ended March 31, 2018, income related to residential MSRs includes income recognized upon the sale of loans reported at LOCOM.

²Changes in fair value for the three months ended March 31, 2018 exclude accrued interest for the period 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 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, 2017 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		$2		$—		$—			$—		$2
LHFS	—		12		—			—		12
Residential MSRs	—		1		(24		)	—		(23		)
Liabilities:
Brokered time deposits	1		—		—			—		1
Long-term debt	6		—		—			—		6

¹Income related to LHFS does not include income from IRLCs. For the three months ended March 31, 2017, income related to residential MSRs includes income recognized upon the sale of loans reported at LOCOM.

²Changes in fair value for the three months ended March 31, 2017 exclude accrued interest for the period then ended. Interest income or interest expense on trading loans, LHFS, brokered time deposits, 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]

The valuation technique and range, including weighted average, of the unobservable inputs associated with the Company's level 3 assets and liabilities are as follows:



	Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)	Fair value March 31, 2018		Valuation Technique	Unobservable Input	Range (weighted average)
Assets
Trading assets and derivative instruments:
Derivative instruments, net ¹		$1	Internal model	Pull through rate	36-100% (79%)
Derivative instruments, net ¹		$1	Internal model	MSR value	41-190 bps (120 bps)
LHFI	183		Monte Carlo/Discounted cash flow	Option adjusted spread	62-784 bps (181 bps)
				Conditional prepayment rate	7-24 CPR (13 CPR)
				Conditional default rate	0-2 CDR (0.7 CDR)
	5		Collateral based pricing	Appraised value	NM ²
Residential MSRs	1,916		Monte Carlo/Discounted cash flow	Conditional prepayment rate	6-33 CPR (13 CPR)
Residential MSRs	1,916		Monte Carlo/Discounted cash flow	Option adjusted spread	0-116% (4%)

¹Amount represents the net of IRLC assets and liabilities and includes the derivative liability associated with the Company's sale of Visa shares. Refer to the "Trading Liabilities and Derivative Instruments" section herein for a discussion of valuation assumptions related to the Visa derivative liability.

²Not meaningful.



	Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)	Fair value December 31, 2017		Valuation Technique	Unobservable Input ¹	Range (weighted average)
Assets
Trading assets and derivative instruments:
Derivative instruments, net ²		$—	Internal model	Pull through rate	41-100% (81%)
Derivative instruments, net ²		$—	Internal model	MSR value	41-190 bps (113 bps)
Securities AFS:
MBS - non-agency residential	59		Third party pricing	N/A
ABS	8		Third party pricing	N/A
Corporate and other debt securities	5		Cost	N/A
LHFI	192		Monte Carlo/Discounted cash flow	Option adjusted spread	62-784 bps (215 bps)
				Conditional prepayment rate	2-34 CPR (11 CPR)
				Conditional default rate	0-5 CDR (0.7 CDR)
	4		Collateral based pricing	Appraised value	NM ³
Residential MSRs	1,710		Monte Carlo/Discounted cash flow	Conditional prepayment rate	6-30 CPR (13 CPR)
Residential MSRs	1,710		Monte Carlo/Discounted cash flow	Option adjusted spread	1-125% (4%)

¹For 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").

²Amount represents the net of IRLC assets and liabilities and includes the derivative liability associated with the Company's sale of Visa shares. Refer to the "Trading Liabilities and Derivative Instruments" section herein for a discussion of valuation assumptions related to the Visa derivative liability.

³Not meaningful.

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, 2018		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, 2018		Included in Earnings (held at March 31, 2018 ¹)
Assets
Trading assets:
Derivative instruments, net		$—		($6	)	²		$—		$—		$—		$1			$6		$—		$—			$1		$16		²
Securities AFS:
MBS - non-agency residential	59		—				—		—		—		(2		)	—		—		(57		)	—		—
ABS	8		—				—		—		—		(1		)	—		—		(7		)	—		—
Corporate and other debt securities	5		—				—		—		—		—			—		—		(5		)	—		—
Total securities AFS	72		—				—		—		—		(3		)	—		—		(69		)	—		—

LHFI	196		(2		)	³	—		—		—		(7		)	—		1		—			188		(3		)	³

¹ Change in unrealized gains/(losses) included in earnings during the period related to financial assets still held at March 31, 2018.

² Includes issuances, fair value changes, and expirations. Amount related to residential IRLCs is recognized in Mortgage production related income, amount related to commercial IRLCs is recognized in Commercial real estate related income, and amount related to Visa derivative liability is recognized in Other noninterest expense.

³ 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, 2017		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, 2017		Included in Earnings (held at March 31, 2017 ¹)
Assets
Trading assets:
Derivative instruments, net		$6		$48	²		$—				$—		$—			($1	)		($36	)		$—		$—		$17		$30	²
Securities AFS:
U.S. states and political subdivisions	4		—			—				—		—			—			—			—		—		4		—
MBS - non-agency residential	74		—			(1		)	³	—		—			(2		)	—			—		—		71		—
ABS	10		—			—			^—	—		—			(1		)	—			—		—		9		—
Corporate and other debt securities	5		—			—				—		—			—			—			—		—		5		—
Total securities AFS	93		—			(1		)	³	—		—			(3		)	—			—		—		89		—

Residential LHFS	12		—			—				—		(14		)	—			(2		)	10		—		6		—
LHFI	222		—			—				—		—			(6		)	1			4		—		221		—

¹ Change in unrealized gains included in earnings during the period related to financial assets still held at March 31, 2017.

² Includes issuances, fair value changes, and expirations. Amount related to residential IRLCs is recognized in Mortgage production related income and amount related to Visa derivative liability is recognized in Other noninterest expense.

³ Amounts recognized in OCI are included in change in net unrealized losses on securities AFS, net of tax.

Change in Carrying Value of Assets Measured at Fair Value on a Non-Recurring Basis



			Fair Value Measurements						(Losses)/Gains for the Three Months Ended March 31, 2018
(Dollars in millions)	March 31, 2018		Level 1		Level 2		Level 3		(Losses)/Gains for the Three Months Ended March 31, 2018
LHFS		$13		$—		$13		$—		$—
LHFI	48		—		—		48		—
OREO	23		—		—		23		(2		)
Other assets	41		—		31		10		15

			Fair Value Measurements						Losses for the Year Ended December 31, 2017
(Dollars in millions)	December 31, 2017		Level 1		Level 2		Level 3		Losses for the Year Ended December 31, 2017
LHFS		$13		$—		$13		$—		$—
LHFI	49		—		—		49		—
OREO	24		—		1		23		(4		)
Other assets	53		—		4		49		(43		)

Carrying Amounts and Fair Values of the Company's Financial Instruments



			March 31, 2018				Fair Value Measurements
(Dollars in millions)	Measurement Category		Carrying Amount		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	Amortized cost			$7,304		$7,304		$7,304		$—		$—
Trading assets and derivative instruments	Fair value		5,112		5,112		485		4,610		17
Securities AFS	Fair value		30,934		30,934		4,340		26,594		—
LHFS	Fair value	¹	2,377		2,389		—		2,348		41
LHFI, net	Amortized cost	²	140,924		141,174		—		—		141,174
Other	Amortized cost	³	561		561		143		—		418
Financial liabilities:
Time deposits	Amortized cost		13,715		13,478		—		13,478		—
Short-term borrowings	Amortized cost		3,572		3,572		—		3,572		—
Long-term debt	Amortized cost	²	10,692		10,743		—		9,631		1,112
Trading liabilities and derivative instruments	Fair value		1,737		1,737		841		880		16

¹ Certain LHFS are recorded at the lower of cost or fair value.

²The Company elected to measure certain LHFI and fixed rate debt issuances at fair value on a recurring basis.

³Other financial assets recorded at amortized cost consist primarily of FHLB of Atlanta stock and Federal Reserve Bank of Atlanta stock. Other financial assets also include mutual fund investments and other equity securities with readily determinable fair values, which are measured at fair value on a recurring basis.



			December 31, 2017				Fair Value Measurements
(Dollars in millions)	Measurement Category		Carrying Amount		Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	Amortized cost			$6,912		$6,912		$6,912		$—		$—
Trading assets and derivative instruments	Fair value		5,093		5,093		608		4,469		16
Securities AFS	Fair value		30,947		30,947		4,331		26,544		72
LHFS	Fair value	¹	2,290		2,293		—		2,239		54
LHFI, net	Amortized cost	²	141,446		141,575		—		—		141,575
Other	Amortized cost	³	474		474		56		—		418
Financial liabilities:
Time deposits	Amortized cost		12,076		11,906		—		11,906		—
Short-term borrowings	Amortized cost		4,781		4,781		—		4,781		—
Long-term debt	Amortized cost	²	9,785		9,892		—		8,834		1,058
Trading liabilities and derivative instruments	Fair value		1,283		1,283		769		498		16

¹ Certain LHFS are recorded at the lower of cost or fair value.

²The Company elected to measure certain LHFI and fixed rate debt issuances at fair value on a recurring basis.

³Other financial assets recorded at amortized cost consist primarily of FHLB of Atlanta stock and Federal Reserve Bank of Atlanta stock. Other financial assets also include mutual fund investments and other equity securities with determinable fair values, which are measured at fair value on a recurring basis.

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

+ References + Details

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

+ References + Details