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Fair Value Disclosures (Tables)

9 Months Ended

Sep. 30, 2016

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present fair value information for assets and liabilities measured at fair value on a recurring basis:



September 30, 2016	Total		Level 1		Level 2		Level 3
	(Dollars in millions)
Assets:
Trading securities	$	992	$	318	$	674	$	—
AFS securities:
U.S. Treasury	2,650		—		2,650		—
GSE	176		—		176		—
Agency MBS	23,535		—		23,535		—
States and political subdivisions	2,356		—		2,356		—
Non-agency MBS	722		—		183		539
Other	10		10		—		—
LHFS	2,664		—		2,664		—
MSRs	828		—		—		828
Derivative assets:
Interest rate contracts	1,264		—		1,242		22
Foreign exchange contracts	3		—		3		—
Private equity and similar investments	340		—		—		340
Total assets	$	35,540	$	328	$	33,483	$	1,729

Liabilities:
Derivative liabilities:
Interest rate contracts	$	1,184	$	—	$	1,182	$	2
Foreign exchange contracts	3		—		3		—
Securities sold short	181		—		181		—
Total liabilities	$	1,368	$	—	$	1,366	$	2



December 31, 2015	Total		Level 1		Level 2		Level 3
	(Dollars in millions)
Assets:
Trading securities	$	1,180	$	311	$	869	$	—
AFS securities:
U.S. Treasury	1,832		—		1,832		—
GSE	51		—		51		—
Agency MBS	20,046		—		20,046		—
States and political subdivisions	2,375		—		2,375		—
Non-agency MBS	989		—		363		626
Other	4		4		—		—
LHFS	1,035		—		1,035		—
MSRs	880		—		—		880
Derivative assets:
Interest rate contracts	964		—		956		8
Foreign exchange contracts	6		—		6		—
Private equity and similar investments	289		—		—		289
Total assets	$	29,651	$	315	$	27,533	$	1,803

Liabilities:
Derivative liabilities:
Interest rate contracts	$	788	$	—	$	784	$	4
Foreign exchange contracts	4		—		4		—
Securities sold short	147		—		147		—
Total liabilities	$	939	$	—	$	935	$	4

Summary of Activity for Level 3 Assets and Liabilities



Nine Months Ended September 30, 2016	Non-agency MBS			MSRs			Net Derivatives			Private Equity and Similar Investments
	(Dollars in millions)
Balance at January 1, 2016	$	626		$	880		$	4		$	289
Total realized and unrealized gains (losses):
Included in earnings:
Interest income	38			—			—			—
Mortgage banking income	—			(154		)	101			—
Other noninterest income	—			—			—			6
Included in unrealized net holding gains (losses) in OCI	(50		)	—			—			—
Purchases	—			—			—			89
Issuances	—			100			85			—
Sales	—			—			—			(37		)
Settlements	(75		)	(121		)	(170		)	(7		)
Other	—			123			—			—
Balance at September 30, 2016	$	539		$	828		$	20		$	340

Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at September 30, 2016	$	38		$	(154	)	$	20		$	1

Other represents the adoption of the fair value method for commercial MSRs as of January 1, 2016.



Nine Months Ended September 30, 2015	Non-agency MBS			MSRs			Net Derivatives			Private Equity and Similar Investments
	(Dollars in millions)
Balance at January 1, 2015	$	745		$	844		$	17		$	329
Total realized and unrealized gains (losses):
Included in earnings:
Interest income	21			—			—			—
Mortgage banking income	—			(21		)	68			—
Other noninterest income	—			—			(3		)	44
Included in unrealized net holding gains (losses) in OCI	(36		)	—			—			—
Purchases	—			—			—			62
Issuances	—			125			67			—
Sales	—			—			—			(119		)
Settlements	(73		)	(100		)	(132		)	(15		)
Balance at September 30, 2015	$	657		$	848		$	17		$	301

Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at September 30, 2015	$	21		$	(21	)	$	19		$	8

The following tables summarize activity for Level 3 assets and liabilities.



Three Months Ended September 30, 2016	Non-agency MBS			MSRs			Net Derivatives			Private Equity and Similar Investments
	(Dollars in millions)
Balance at July 1, 2016	$	559		$	785		$	33		$	353
Total realized and unrealized gains (losses):
Included in earnings:
Interest income	6			—			—			—
Mortgage banking income	—			42			45			—
Other noninterest income	—			—			—			3
Included in unrealized net holding gains (losses) in OCI	(5		)	—			—			—
Purchases	—			—			—			15
Issuances	—			44			22			—
Sales	—			—			—			(29		)
Settlements	(21		)	(43		)	(80		)	(2		)
Balance at September 30, 2016	$	539		$	828		$	20		$	340

Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at September 30, 2016	$	6		$	42		$	20		$	1



Three Months Ended September 30, 2015	Non-agency MBS			MSRs			Net Derivatives			Private Equity and Similar Investments
	(Dollars in millions)
Balance at July 1, 2015	$	688		$	912		$	(2	)	$	359
Total realized and unrealized gains (losses):
Included in earnings:
Interest income	5			—			—			—
Mortgage banking income	—			(90		)	20			—
Other noninterest income	—			—			(1		)	25
Included in unrealized net holding gains (losses) in OCI	(11		)	—			—			—
Purchases	—			—			—			7
Issuances	—			57			26			—
Sales	—			—			—			(90		)
Settlements	(25		)	(31		)	(26		)	—
Balance at September 30, 2015	$	657		$	848		$	17		$	301

Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at September 30, 2015	$	5		$	(90	)	$	19		$	(7	)

Schedule of Fair Value and UPB of LHFS

The following table details the fair value and UPB of LHFS that were elected to be carried at fair value:



	September 30, 2016				December 31, 2015
	Fair Value		Aggregate UPB	Difference	Fair Value		Aggregate UPB		Difference
	(Dollars in millions)
LHFS reported at fair value	$	2,664	2,609	55	$	1,035	$	1,023	$	12

Schedule of Assets Measured on a Nonrecurring Basis

The following table provides information about certain financial assets measured at fair value on a nonrecurring basis, which are primarily collateral dependent and may be subject to liquidity adjustments. The carrying values represent end of period values, which approximate the fair value measurements that occurred on the various measurement dates throughout the period. The valuation adjustments represent the amounts recorded during the period regardless of whether the asset is still held at period end. These assets are considered to be Level 3 assets. These amounts exclude assets acquired from the FDIC prior to the loss share termination as well as PCI loans.



	September 30, 2016							September 30, 2015
	Carrying Value		Valuation Adjustments					Carrying Value		Valuation Adjustments
	Carrying Value		Three Months Ended		Nine Months Ended			Carrying Value		Three Months Ended		Nine Months Ended
	(Dollars in millions)
Impaired loans	$	314	(22	)	$	(76	)	$	131	(6	)	$	(19	)
Foreclosed real estate	58		(59	)	(160		)	85		(54	)	(137		)

Summary of Assets and Liabilities Not Recorded at Fair Value

Financial assets and liabilities not recorded at fair value are summarized below:



September 30, 2016	Carrying Amount		Total Fair Value		Level 2		Level 3
	(Dollars in millions)
Financial assets:
HTM securities	$	17,750	$	18,083	$	18,083	$	—
Loans and leases HFI, net of ALLL	140,912		142,058		—		142,058

Financial liabilities:
Deposits	159,915		160,090		160,090		—
Long-term debt	22,776		23,376		23,376		—



December 31, 2015	Carrying Amount		Total Fair Value		Level 2		Level 3
	(Dollars in millions)
Financial assets:
HTM securities	$	18,530	$	18,519	$	18,519	$	—
Loans and leases HFI, net of ALLL	134,491		134,728		—		134,728
FDIC loss share receivable	285		11		—		11

Financial liabilities:
Deposits	149,124		149,300		149,300		—
FDIC loss share payable	685		676		—		676
Long-term debt	23,769		24,206		24,206		—

Summary of Off-Balance Sheet Financial Instruments

The following is a summary of selected information pertaining to off-balance sheet financial instruments:



	September 30, 2016				December 31, 2015
	Notional/ Contract Amount		Fair Value		Notional/ Contract Amount		Fair Value
	(Dollars in millions)
Commitments to extend, originate or purchase credit	$	64,174	$	265	$	59,019	$	253
Residential mortgage loans sold with recourse	610		8		702		8
Other loans sold with recourse	4,053		7		4,198		7
Letters of credit	2,952		29		3,033		27

- 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