Fair Value Election and Measurement (Tables)

9 Months Ended

Sep. 30, 2019

Fair Value Disclosures [Abstract]

Assets and Liabilities Measured at Fair Value on a Recurring Basis

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. There have been no significant changes in the Company’s valuation techniques or inputs used

in estimating fair value for assets and liabilities measured on a recurring basis from those disclosed in Note 20, “Fair Value Election and Measurement,” to the Company's 2018 Annual Report on Form 10-K.

	September 30, 2019
	Fair Value Measurements						Netting  Adjustments 1			Assets/Liabilities at Fair Value
(Dollars in millions)	Level 1		Level 2		Level 3
Assets
Trading assets and derivative instruments:
U.S. Treasury securities		$212		$—		$—		$—			$212
Federal agency securities	—		319		—		—			319
U.S. states and political subdivisions	—		43		—		—			43
MBS - agency residential	—		1,004		—		—			1,004
MBS - agency commercial	—		51		—		—			51
ABS	—		7		—		—			7
Corporate and other debt securities	—		628		—		—			628
CP	—		122		—		—			122
Equity securities	86		—		—		—			86
Derivative instruments	466		3,385		27		(2,108		)	1,770
Trading loans 2	—		2,862		—		—			2,862
Total trading assets and derivative instruments	764		8,421		27		(2,108		)	7,104
Securities AFS:
U.S. Treasury securities	4,018		—		—		—			4,018
Federal agency securities	—		124		—		—			124
U.S. states and political subdivisions	—		572		—		—			572
MBS - agency residential	—		22,585		—		—			22,585
MBS - agency commercial	—		2,983		—		—			2,983
MBS - non-agency commercial	—		1,064		—		—			1,064
Corporate and other debt securities	—		12		—		—			12
Total securities AFS	4,018		27,340		—		—			31,358
LHFS	—		1,488		—		—			1,488
LHFI	—		—		124		—			124
Residential MSRs	—		—		1,564		—			1,564
Other assets	76		—		—		—			76
Liabilities
Trading liabilities and derivative instruments:
U.S. Treasury securities	538		—		—		—			538
Corporate and other debt securities	—		539		—		—			539
Equity securities	20		—		—		—			20
Derivative instruments	135		2,886		10		(2,757		)	274
Trading loans	—		9		—		—			9
Total trading liabilities and derivative instruments	693		3,434		10		(2,757		)	1,380
Brokered time deposits	—		552		—		—			552
Long-term debt	—		302		—		—			302

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 16, “Derivative Financial Instruments,” for additional information.

² At September 30, 2019, includes $2.5 billion of loans related to the Company’s TRS business, $70 million of loans related to the Company’s loan sales and trading business held in inventory, and $227 million of loans backed by the SBA held in inventory.

	December 31, 2018
	Fair Value Measurements						Netting  Adjustments 1			Assets/Liabilities at Fair Value
(Dollars in millions)	Level 1		Level 2		Level 3
Assets
Trading assets and derivative instruments:
U.S. Treasury securities		$262		$—		$—		$—			$262
Federal agency securities	—		188		—		—			188
U.S. states and political subdivisions	—		54		—		—			54
MBS - agency residential	—		860		—		—			860
Corporate and other debt securities	—		700		—		—			700
CP	—		190		—		—			190
Equity securities	73		—		—		—			73
Derivative instruments	186		2,425		20		(1,992		)	639
Trading loans 2	—		2,540		—		—			2,540
Total trading assets and derivative instruments	521		6,957		20		(1,992		)	5,506
Securities AFS:
U.S. Treasury securities	4,211		—		—		—			4,211
Federal agency securities	—		221		—		—			221
U.S. states and political subdivisions	—		589		—		—			589
MBS - agency residential	—		22,864		—		—			22,864
MBS - agency commercial	—		2,627		—		—			2,627
MBS - non-agency commercial	—		916		—		—			916
Corporate and other debt securities	—		14		—		—			14
Total securities AFS	4,211		27,231		—		—			31,442
LHFS	—		1,178		—		—			1,178
LHFI	—		—		163		—			163
Residential MSRs	—		—		1,983		—			1,983
Other assets	95		—		—		—			95
Liabilities
Trading liabilities and derivative instruments:
U.S. Treasury securities	801		—		—		—			801
MBS - agency	—		3		—		—			3
Corporate and other debt securities	—		385		—		—			385
Equity securities	5		—		—		—			5
Derivative instruments	119		2,590		7		(2,306		)	410
Total trading liabilities and derivative instruments	925		2,978		7		(2,306		)	1,604
Brokered time deposits	—		403		—		—			403
Long-term debt	—		289		—		—			289

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 16, “Derivative Financial Instruments,” for additional information.

² At December 31, 2018, includes $2.0 billion of loans related to the Company’s TRS business, $137 million of loans related to the Company’s loan sales and trading business held in inventory, and $366 million of loans backed by the SBA loans held in inventory, measured at fair value.

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

The following tables present the difference between fair value and the aggregate UPB for which the FVO has been elected for certain trading loans, LHFS, LHFI, brokered time deposits, and long-term debt instruments.

(Dollars in millions)	Fair Value at September 30, 2019		Aggregate UPB at September 30, 2019		Fair Value Over/(Under) Unpaid Principal
Assets:
Trading loans		$2,862		$2,779		$83
LHFS:
Accruing	1,488		1,446		42
LHFI:
Accruing	121		119		2
Nonaccrual	3		4		(1		)
Liabilities:
Trading loans	9		9		—
Brokered time deposits	552		539		13
Long-term debt	302		290		12
(Dollars in millions)	Fair Value at December 31, 2018		Aggregate UPB at December 31, 2018		Fair Value Over/(Under) Unpaid Principal
Assets:
Trading loans		$2,540		$2,526		$14
LHFS:
Accruing	1,178		1,128		50
LHFI:
Accruing	158		163		(5		)
Nonaccrual	5		6		(1		)
Liabilities:
Brokered time deposits	403		403		—
Long-term debt	289		286		3

Fair Value Gains/(Losses) for Items Measured at Fair Value Option [Table Text Block]

	Fair Value (Loss)/Gain for the Three Months Ended September 30, 2019 for Items Measured at Fair Value Pursuant to Election of the FVO											Fair Value Gain/(Loss) for the Nine Months Ended September 30, 2019 for Items Measured at Fair Value Pursuant to Election of the FVO
(Dollars in millions)	Trading Income			Mortgage 1 Related Income			Other Noninterest Income		Total 2 Changes in Fair Values Included in Earnings			Trading Income			Mortgage 1 Related Income			Other Noninterest Income		Total 2 Changes in Fair Values Included in Earnings
Assets:
Trading loans 3		($1	)		$—			$—		($1	)		$18			$—			$—		$18
LHFS 4	—			40			—		40			—			80			—		80
LHFI	—			—			2		2			—			—			5		5
Residential MSRs	—			(250		)	—		(250		)	—			(650		)	—		(650		)
Liabilities:
Brokered time deposits	(3		)	—			—		(3		)	(24		)	—			—		(24		)
Long-term debt	(2		)	—			—		(2		)	(15		)	—			—		(15		)

¹ Income related to LHFS does not include income from IRLCs. For the three and nine months ended September 30, 2019, income related to residential MSRs includes income recognized upon the sale of loans reported at LOCOM.

² Changes in fair value for the three and nine months ended September 30, 2019 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.

³ Includes an immaterial amount of gains or losses in the Consolidated Statements of Income due to changes in fair value attributable to instrument-specific credit risk for three and nine months ended September 30, 2019.

⁴ Includes an immaterial amount of gains or losses in the Consolidated Statements of Income due to changes in fair value attributable to borrower-specific credit risk for the three and nine months ended September 30, 2019.

	Fair Value Gain/(Loss) for the Three Months Ended September 30, 2018 for Items Measured at Fair Value Pursuant to Election of the FVO												Fair Value Gain/(Loss) for the Nine Months Ended September 30, 2018 for Items Measured at Fair Value Pursuant to Election of the FVO
(Dollars in millions)	Trading Income			Mortgage 1 Related Income			Other Noninterest Income			Total 2 Changes in Fair Values Included in Earnings			Trading Income		Mortgage 1 Related Income			Other Noninterest Income			Total 2 Changes in Fair Values Included in Earnings
Assets:
Trading loans 3		$3			$—			$—			$3			$10		$—			$—			$10
LHFS 4	—			5			—			5			—		(3		)	—			(3		)
LHFI	—			—			(1		)	(1		)	—		—			(4		)	(4		)
Residential MSRs	—			(8		)	—			(8		)	—		22			—			22
Liabilities:
Brokered time deposits	(4		)	—			—			(4		)	6		—			—			6
Long-term debt	1			—			—			1			6		—			—			6

¹ Income related to LHFS does not include income from IRLCs. For the three and nine months ended September 30, 2018, income related to residential MSRs includes income recognized upon the sale of loans reported at LOCOM.

² Changes in fair value for the three and nine months ended September 30, 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.

³ Includes an immaterial amount of gains or losses in the Consolidated Statements of Income due to changes in fair value attributable to instrument-specific credit risk for three and nine months ended September 30, 2018.

⁴ Includes an immaterial amount of gains or losses in the Consolidated Statements of Income due to changes in fair value attributable to borrower-specific credit risk for the three and nine months ended September 30, 2018.

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 September 30, 2019		Valuation Technique	Unobservable Input	Range  (Weighted Average) 1
Assets
Trading assets and derivative instruments:
Derivative instruments, net 2		$17	Internal model	Pull through rate	2-100% (83%)
				MSR value	21-155 bps (102 bps)
LHFI	121		Monte Carlo/Discounted cash flow	Option adjusted spread	62-250 bps (172 bps)
				Conditional prepayment rate	7-31 CPR (16 CPR)
				Conditional default rate	0-2 CDR (0.5 CDR)
	3		Collateral based pricing	Appraised value	NM 3
Residential MSRs	1,564		Monte Carlo/Discounted cash flow	Conditional prepayment rate	6-31 CPR (15 CPR)
				Option adjusted spread	1-29% (3%)

¹ Unobservable inputs were weighted by the relative fair value of the financial instruments.

² Amount 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 in Note 20, “Fair Value Election and Measurement,” to the Company's 2018 Annual Report on Form 10-K, for a discussion of valuation assumptions related to the Visa derivative liability.

³ Not meaningful.

	Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)	Fair value December 31, 2018		Valuation Technique	Unobservable Input	Range (Weighted Average) 1
Assets
Trading assets and derivative instruments:
Derivative instruments, net 2		$13	Internal model	Pull through rate	41-100% (81%)
				MSR value	11-165 bps (108 bps)
LHFI	158		Monte Carlo/Discounted cash flow	Option adjusted spread	0-250 bps (164 bps)
				Conditional prepayment rate	7-22 CPR (12 CPR)
				Conditional default rate	0-1 CDR (0.6 CDR)
	5		Collateral based pricing	Appraised value	NM 3
Residential MSRs	1,983		Monte Carlo/Discounted cash flow	Conditional prepayment rate	6-30 CPR (13 CPR)
				Option adjusted spread	0-116% (2%)

¹ Unobservable inputs were weighted by the relative fair value of the financial instruments.

² Amount 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 in Note 20, “Fair Value Election and Measurement,” to the Company's 2018 Annual Report on Form 10-K, for a discussion of valuation assumptions related to the Visa derivative liability.

³ Not meaningful.

Reconciliation of the Beginning and Ending Balances for Fair Valued Assets and Liabilities Measured on a Recurring Basis Using Significant Unobservable Inputs

The following tables present a reconciliation of the beginning and ending balances for assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (other than residential MSRs which are disclosed in Note 8, “Goodwill and Other Intangible Assets”). Transfers into and out

of the fair value hierarchy levels are assumed to occur at the end of the period in which the transfer occurred. None of the transfers into or out of level 3 have been the result of using alternative valuation approaches to estimate fair values.

	Fair Value Measurements Using Significant Unobservable Inputs
(Dollars in millions)	Beginning Balance July 1, 2019		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 September 30, 2019
Trading assets:
Derivative instruments, net		$24		$60	1		$—		$—		$—		($3	)		($64	)	2		$—		$—		$17
LHFI	127		2		3	—		—		—		(6		)	—				1		—		124

(Dollars in millions)	Beginning Balance January 1, 2019		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 September 30, 2019
Trading assets:
Derivative instruments, net		$13		$147	1		$—		$—		$—		($5	)		($138	)	2		$—		$—			$17
LHFI	163		5		3	—		—		—		(21		)	—				2		(25		)	124

¹ Includes issuances, fair value changes, and expirations. Amount related to residential IRLCs is recognized in Mortgage-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. Included $23 million in earnings during both the three and nine months ended September 30, 2019, related to changes in unrealized gains on net derivative instruments still held at September 30, 2019.

² During the three and nine months ended September 30, 2019, the Company transferred $64 million and $138 million, respectively, of net IRLC assets out of level 3 as the associated loans were closed.

³ Amounts are generally included in Mortgage-related income; however, the mark on certain fair value loans is included in Other noninterest income. Included $3 million and $5 million in earnings during the three and nine months ended September 30, 2019, respectively, related to changes in unrealized gains on LHFI still held at September 30, 2019.

	Fair Value Measurements Using Significant Unobservable Inputs
(Dollars in millions)	Beginning Balance July 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 September 30, 2018
Trading assets:
Derivative instruments, net		$3		$18	1		$—		$—		$—		$8			($26	)	2		$—		$—		$3
LHFI	177		—		3	—		—		—		(9		)	—				—		—		168

(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 September 30, 2018
Trading assets:
Derivative instruments, net		$—		$36		1		$—		$—		$—		$10			($43	)	2		$—		$—			$3
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		(3		)	3	—		—		—		(26		)	—				1		—			168

¹ Includes issuances, fair value changes, and expirations. Amount related to residential IRLCs is recognized in Mortgage-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. Included $10 million and $7 million in earnings during the three and nine months ended September 30, 2018, respectively, related to changes in unrealized gains on net derivative instruments still held at September 30, 2018.

² During the three and nine months ended September 30, 2018, the Company transferred $26 million and $43 million, respectively, of net IRLC assets out of level 3 as the associated loans were closed.  

³ Amounts are generally included in Mortgage-related income; however, the mark on certain fair value loans is included in Other noninterest income. Included $0 and $4 million in earnings during the three and nine months ended September 30, 2018, respectively, related to changes in unrealized losses on LHFI still held at September 30, 2018.

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

The following tables present gains and losses recognized on assets still held at period end, and measured at fair value on a non-recurring basis, for the three and nine months ended September 30, 2019 and the year ended December 31, 2018. Adjustments to fair value generally result from the application

of LOCOM, or the measurement alternative, or through write-downs of individual assets. The tables do not reflect changes in fair value attributable to economic hedges the Company may have used to mitigate interest rate risk associated with LHFS.

			Fair Value Measurements						(Losses)/Gains for the Three Months Ended September 30, 2019			(Losses)/Gains for the Nine Months Ended September 30, 2019
(Dollars in millions)	September 30, 2019		Level 1		Level 2		Level 3
LHFS		$311		$—		$311		$—		($14	)		($14	)
LHFI	128		—		—		128		—			—
OREO	22		—		—		22		(1		)	(3		)
Other assets	74		—		61		13		16			14
			Fair Value Measurements						(Losses)/Gains for the Year Ended December 31, 2018
(Dollars in millions)	December 31, 2018		Level 1		Level 2		Level 3
LHFS		$47		$—		$47		$—		($1	)
LHFI	63		—		—		63		—
OREO	19		—		—		19		(4		)
Other assets	67		—		47		20		24

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

The carrying amounts and fair values of the Company’s financial instruments are as follows:

		September 30, 2019				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		$9,184		$9,184		$9,184		$—		$—
Trading assets and derivative instruments	Fair value	7,104		7,104		764		6,313		27
Securities AFS	Fair value	31,358		31,358		4,018		27,340		—
LHFS	Amortized cost	518		525		—		448		77
	Fair value	1,488		1,488		—		1,488		—
LHFI, net	Amortized cost	156,632		156,222		—		—		156,222
	Fair value	124		124		—		—		124
Other 1	Amortized cost	737		737		—		—		737
	Fair value	76		76		76		—		—
Financial liabilities:
Consumer and other time deposits	Amortized cost	16,727		16,637		—		16,637		—
Brokered time deposits	Amortized cost	993		964		—		964		—
	Fair value	552		552		—		552		—
Short-term borrowings	Amortized cost	7,144		7,144		—		7,144		—
Long-term debt	Amortized cost	20,067		20,257		—		18,490		1,767
	Fair value	302		302		—		302		—
Trading liabilities and derivative instruments	Fair value	1,380		1,380		693		677		10

		December 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		$7,495		$7,495		$7,495		$—		$—
Trading assets and derivative instruments	Fair value	5,506		5,506		521		4,965		20
Securities AFS	Fair value	31,442		31,442		4,211		27,231		—
LHFS	Amortized cost	290		291		—		261		30
	Fair value	1,178		1,178		—		1,178		—
LHFI, net	Amortized cost	150,061		148,167		—		—		148,167
	Fair value	163		163		—		—		163
Other 1	Amortized cost	630		630		—		—		630
	Fair value	95		95		95		—		—
Financial liabilities:
Consumer and other time deposits	Amortized cost	15,355		15,106		—		15,106		—
Brokered time deposits	Amortized cost	642		615		—		615		—
	Fair value	403		403		—		403		—
Short-term borrowings	Amortized cost	8,772		8,772		—		8,772		—
Long-term debt	Amortized cost	14,783		14,729		—		13,024		1,705
	Fair value	289		289		—		289		—
Trading liabilities and derivative instruments	Fair value	1,604		1,604		925		672		7

¹ Other financial assets recorded at amortized cost consist of FHLB of Atlanta stock and Federal Reserve Bank of Atlanta stock. Other financial assets recorded at fair value consist of mutual fund investments and other equity securities with readily determinable fair values.