Fair Value Disclosures (Tables)

12 Months Ended

Dec. 31, 2017

Schedule of Assets and Liabilities Measured at Fair Value

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



December 31, 2017
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
Trading securities	$	633	$	363	$	270	$	—
AFS securities:
U.S. Treasury	2,291		—		2,291		—
GSE	179		—		179		—
Agency MBS	20,101		—		20,101		—
States and political subdivisions	1,392		—		1,392		—
Non-agency MBS	576		—		144		432
Other	8		6		2		—
Total AFS securities	24,547		6		24,109		432
LHFS	1,099		—		1,099		—
MSRs	1,056		—		—		1,056
Derivative assets:
Interest rate contracts	440		—		434		6
Foreign exchange contracts	3		—		3		—
Total derivative assets	443		—		437		6
Private equity investments	404		—		—		404
Total assets	$	28,182	$	369	$	25,915	$	1,898
Liabilities:
Derivative liabilities:
Interest rate contracts	$	708	$	—	$	705	$	3
Foreign exchange contracts	6		—		6		—
Total derivative liabilities	714		—		711		3
Securities sold short	120		—		120		—
Total liabilities	$	834	$	—	$	831	$	3



December 31, 2016
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
Trading securities	$	748	$	324	$	424	$	—
AFS securities:
U.S. Treasury	2,587		—		2,587		—
GSE	180		—		180		—
Agency MBS	21,264		—		21,264		—
States and political subdivisions	2,205		—		2,205		—
Non-agency MBS	679		—		172		507
Other	11		8		3		—
Total AFS securities	26,926		8		26,411		507
LHFS	1,716		—		1,716		—
MSRs	1,052		—		—		1,052
Derivative assets:
Interest rate contracts	814		—		807		7
Foreign exchange contracts	8		—		8		—
Total derivative assets	822		—		815		7
Private equity investments	362		—		—		362
Total assets	$	31,626	$	332	$	29,366	$	1,928
Liabilities:
Derivative liabilities:
Interest rate contracts	$	998	$	—	$	978	$	20
Foreign exchange contracts	5		—		5		—
Total derivative liabilities	1,003		—		983		20
Securities sold short	137		—		137		—
Total liabilities	$	1,140	$	—	$	1,120	$	20

Roll Forward of Level 3 Assets and Liabilities

The following table summarizes activity for Level 3 assets and liabilities:



	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
(Dollars in millions)	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
Balance at January 1, 2015	$	745		$	844		$	17		$	329
Total realized and unrealized gains (losses):
Included in earnings (1)	23			10			81			49
Included in unrealized holding gains (losses) in OCI	(45		)	—			—			—
Purchases	—			—			1			81
Issuances	—			156			74			—
Sales	—			—			—			(132		)
Settlements	(97		)	(130		)	(169		)	(38		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			—
Balance at December 31, 2015	626			880			4			289
Total realized and unrealized gains (losses):
Included in earnings (1)	25			63			97			20
Included in unrealized net holding gains (losses) in OCI	(45		)	—			—			—
Purchases	—			—			—			106
Issuances	—			146			82			—
Sales	—			—			—			(4		)
Settlements	(99		)	(160		)	(196		)	(49		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			—
Adoption of fair value option for commercial MSRs	—			123			—			—
Balance at December 31, 2016	507			1,052			(13		)	362
Total realized and unrealized gains (losses):
Included in earnings (1)	36			48			38			58
Included in unrealized net holding gains (losses) in OCI	(40		)	—			—			—
Purchases	—			—			—			142
Issuances	—			124			43			—
Sales	—			—			—			(119		)
Settlements	(71		)	(168		)	(65		)	(26		)
Transfers into Level 3	—			—			—			—
Transfers out of Level 3	—			—			—			(13		)
Balance at December 31, 2017	$	432		$	1,056		$	3		$	404

Change in unrealized gains (losses) included in earnings for the year attributable to assets and liabilities still held at December 31, 2017	$	35		$	48		$	3		$	12


(1)	Amounts related to non-agency MBS are included in interest income, amounts related to MSRs and net derivatives are primarily included in mortgage banking income and amounts related to private equity investments are included in other income in the Consolidated Statements of Income.

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:



	December 31, 2017						December 31, 2016
(Dollars in millions)	Fair Value		Aggregate UPB		Difference		Fair Value		Aggregate UPB		Difference
LHFS reported at fair value	$	1,099	$	1,084	$	15	$	1,716	$	1,736	$	(20	)

Financial Assets Measured at Fair Value on 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 (excludes PCI).



	As Of / For the Year Ended
	December 31, 2017					December 31, 2016
(Dollars in millions)	Carrying Value		Valuation Adjustments			Carrying Value		Valuation Adjustments
Impaired loans	$	163	$	(22	)	$	278	$	(89	)
Foreclosed real estate	32		(255		)	50		(221		)

Carrying Amounts and Fair Values of Financial Assets and Liabilities Not Recorded at Fair Value

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



December 31, 2017	Carrying Amount		Total Fair Value		Level 2		Level 3
(Dollars in millions)	Carrying Amount		Total Fair Value		Level 2		Level 3
Financial assets:
HTM securities	$	23,027	$	22,837	$	22,837	$	—
Loans and leases HFI, net of ALLL	142,211		141,664		—		141,664
Financial liabilities:
Deposits	157,371		157,466		157,466		—
Long-term debt	23,648		23,885		23,885		—



December 31, 2016	Carrying Amount		Total Fair Value		Level 2		Level 3
(Dollars in millions)	Carrying Amount		Total Fair Value		Level 2		Level 3
Financial assets:
HTM securities	$	16,680	$	16,546	$	16,546	$	—
Loans and leases HFI, net of ALLL	141,833		142,044		—		142,044
Financial liabilities:
Deposits	160,234		160,403		160,403		—
Long-term debt	21,965		22,423		22,423		—

Notional or Contractual Amounts and Fair Values of Off-Balance Sheet Financial Instruments

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



	December 31, 2017				December 31, 2016
(Dollars in millions)	Notional/Contract Amount		Fair Value		Notional/Contract Amount		Fair Value
Commitments to extend, originate or purchase credit	$	67,860	$	259	$	64,395	$	250
Residential mortgage loans sold with recourse	490		5		578		7
Other loans sold with recourse	4,153		5		4,240		7
Letters of credit	2,466		21		2,786		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.

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