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Fair Value Measurement (Tables)
9 Months Ended
Sep. 30, 2015
Fair Value Disclosures [Abstract]  
Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of September 30, 2015 and December 31, 2014:
Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 
September 30, 2015
 
 
Fair Value Measurements Using
 
 
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
4,445

 
$
0

 
$
0

 
$
4,445

Corporate debt securities guaranteed by U.S. government agencies
 
0

 
312

 
43

 
355

RMBS
 
0

 
27,246

 
519

 
27,765

CMBS
 
0

 
5,115

 
105

 
5,220

Other ABS
 
0

 
1,483

 
0

 
1,483

Other securities
 
118

 
33

 
12

 
163

Total securities available for sale
 
4,563

 
34,189

 
679

 
39,431

Other assets:
 
 
 
 
 
 
 
 
Consumer MSRs
 
0

 
0

 
63

 
63

Derivative assets(1)(2)
 
2

 
1,844

 
65

 
1,911

Retained interests in securitizations
 
0

 
0

 
214

 
214

Total assets
 
$
4,565

 
$
36,033

 
$
1,021

 
$
41,619

Liabilities:
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
Derivative liabilities(1)(2)
 
$
4

 
$
433

 
$
35

 
$
472

Total liabilities
 
$
4

 
$
433

 
$
35

 
$
472

 
 
December 31, 2014
 
 
Fair Value Measurements Using
 
 
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
Total
Assets:
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
4,117

 
$
1

 
$
0

 
$
4,118

Corporate debt securities guaranteed by U.S. government agencies
 
0

 
467

 
333

 
800

RMBS
 
0

 
24,820

 
561

 
25,381

CMBS
 
0

 
5,291

 
228

 
5,519

Other ABS
 
0

 
2,597

 
65

 
2,662

Other securities
 
111

 
899

 
18

 
1,028

Total securities available for sale
 
4,228

 
34,075

 
1,205

 
39,508

Other assets:
 
 
 
 
 
 
 
 
Consumer MSRs
 
0

 
0

 
53

 
53

Derivative assets(1)(2)
 
4

 
1,382

 
66

 
1,452

Retained interests in securitizations
 
0

 
0

 
221

 
221

Total assets
 
$
4,232

 
$
35,457

 
$
1,545

 
$
41,234

Liabilities:
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
Derivative liabilities(1)(2)
 
$
3

 
$
293

 
$
43

 
$
339

Total liabilities
 
$
3

 
$
293

 
$
43

 
$
339

__________
(1) 
As of January 1, 2015, we changed our accounting principle to move from a gross basis of presentation to a net basis, for presenting qualifying derivative assets and liabilities, as well as the related right to reclaim cash collateral or obligation to return cash collateral. See “Note 1—Summary of Significant Accounting Policies” for additional information. Prior period results have been recast to conform to this presentation.
The balances represent gross derivative amounts and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. The net derivative assets were $1.4 billion and $828 million, and the net derivative liabilities were $291 million and $175 million as of September 30, 2015 and December 31, 2014, respectively. See “Note 9—Derivative Instruments and Hedging Activities” for further information.
(2) 
Does not reflect $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of both September 30, 2015 and December 31, 2014. Non-performance risk is reflected in other assets and liabilities on the consolidated balance sheets and offset through non-interest income in the consolidated statements of income.
Schedule of Level 3 Inputs Reconciliation for Assets
The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2015 and 2014. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 12.2: Level 3 Recurring Fair Value Rollforward
 
 
                                                                  Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended September 30, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
September 30, 2015(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
July 1,
2015
 
Included
in Net
Income
(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3
(2)
 
Transfers
Out of
Level 3
(2)
 
Balance, September 30, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
91

 
$
1

 
$
1

 
$
0

 
$
(36
)
 
$
0

 
$
(2
)
 
$
0

 
$
(12
)
 
$
43

 
$
0

RMBS
 
459

 
9

 
(1
)
 
0

 
0

 
0

 
(19
)
 
93

 
(22
)
 
519

 
10

CMBS
 
170

 
0

 
(1
)
 
28

 
0

 
0

 
(10
)
 
0

 
(82
)
 
105

 
0

Other ABS
 
7

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
(7
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
0

 
0

 
0

 
(6
)
 
0

 
0

 
12

 
0

Total securities available for sale
 
745

 
10

 
(1
)
 
28

 
(36
)
 
0

 
(37
)
 
93

 
(123
)
 
679

 
10

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
65

 
(7
)
 
0

 
0

 
0

 
7

 
(2
)
 
0

 
0

 
63

 
(7
)
Derivative assets(4)
 
61

 
16

 
0

 
0

 
0

 
13

 
(18
)
 
0

 
(7
)
 
65

 
16

Retained interest in securitizations
 
220

 
(6
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
214

 
(6
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(11
)
 
$
0

 
$
0

 
$
0

 
$
(9
)
 
$
7

 
$
0

 
$
5

 
$
(35
)
 
$
(11
)
 
 
                                                                  Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to
Assets and Liabilities
Still Held as of September 30, 2014
(3)
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
July 1,
2014
 
Included
in Net
Income
(1)
 
Included 
in OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3
(2)
 
Transfers
Out of
Level 3
(2)
 
Balance,
September 30, 2014
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
739

 
$
(5
)
 
$
3

 
$
0

 
$
(91
)
 
$
0

 
$
(16
)
 
$
0

 
$
(246
)
 
$
384

 
$
(1
)
RMBS
 
836

 
16

 
3

 
42

 
0

 
0

 
(24
)
 
79

 
(295
)
 
657

 
16

CMBS
 
449

 
0

 
(2
)
 
158

 
0

 
0

 
(34
)
 
0

 
(268
)
 
303

 
0

Other ABS
 
175

 
1

 
3

 
0

 
0

 
0

 
0

 
9

 
(78
)
 
110

 
1

Other securities
 
20

 
(1
)
 
0

 
0

 
0

 
0

 
(7
)
 
0

 
0

 
12

 
(1
)
Total securities available for sale
 
2,219

 
11

 
7

 
200

 
(91
)
 
0

 
(81
)
 
88

 
(887
)
 
1,466

 
15

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
57

 
(2
)
 
0

 
0

 
0

 
4

 
(1
)
 
0

 
0

 
58

 
(2
)
Derivative assets
 
50

 
2

 
0

 
0

 
0

 
6

 
(8
)
 
0

 
1

 
51

 
2

Retained interest in securitizations
 
195

 
8

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
8

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(37
)
 
(4
)
 
0

 
0

 
0

 
(4
)
 
6

 
0

 
0

 
(39
)
 
(4
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Nine Months Ended September 30, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
September 30, 2015(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2015
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, September 30, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
333

 
$
0

 
$
6

 
$
0

 
$
(184
)
 
$
0

 
$
(12
)
 
$
0

 
$
(100
)
 
$
43

 
$
0

RMBS
 
561

 
28

 
(2
)
 
0

 
0

 
0

 
(46
)
 
285

 
(307
)
 
519

 
29

CMBS
 
228

 
0

 
0

 
114

 
0

 
0

 
(47
)
 
0

 
(190
)
 
105

 
0

Other ABS
 
65

 
1

 
(2
)
 
0

 
(20
)
 
0

 
0

 
0

 
(44
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
0

 
0

 
0

 
(6
)
 
0

 
0

 
12

 
0

Total securities available for sale
 
1,205

 
29

 
2

 
114

 
(204
)
 
0

 
(111
)
 
285

 
(641
)
 
679

 
29

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
53

 
(2
)
 
0

 
0

 
0

 
17

 
(5
)
 
0

 
0

 
63

 
(2
)
Derivative assets(4)
 
66

 
17

 
0

 
0

 
0

 
40

 
(46
)
 
0

 
(12
)
 
65

 
17

Retained interest in securitizations
 
221

 
(7
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
214

 
(7
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(43
)
 
$
(12
)
 
$
0

 
$
0

 
$
0

 
$
(19
)
 
$
30

 
$
0

 
$
9

 
$
(35
)
 
$
(12
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Nine Months Ended September 30, 2014
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and Liabilities Still Held as of September 30, 2014(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2014
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance,
September 30, 2014
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
927

 
$
(5
)
 
$
18

 
$
0

 
$
(203
)
 
$
0

 
$
(55
)
 
$
64

 
$
(362
)
 
$
384

 
$
(1
)
RMBS
 
1,304

 
53

 
39

 
1,022

 
0

 
0

 
(156
)
 
199

 
(1,804
)
 
657

 
53

CMBS
 
739

 
0

 
3

 
192

 
0

 
0

 
(64
)
 
66

 
(633
)
 
303

 
0

Other ABS
 
343

 
4

 
13

 
0

 
0

 
0

 
(2
)
 
52

 
(300
)
 
110

 
4

Other securities
 
17

 
(1
)
 
0

 
0

 
0

 
0

 
(7
)
 
3

 
0

 
12

 
(1
)
Total securities available for sale
 
3,330

 
51

 
73

 
1,214

 
(203
)
 
0

 
(284
)
 
384

 
(3,099
)
 
1,466

 
55

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
69

 
(19
)
 
0

 
0

 
0

 
11

 
(3
)
 
0

 
0

 
58

 
(19
)
Derivative assets(4)
 
50

 
5

 
0

 
0

 
0

 
13

 
(14
)
 
0

 
(3
)
 
51

 
5

Retained interest in securitization
 
199

 
4

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
4

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(38
)
 
$
(8
)
 
$
0

 
$
0

 
$
0

 
$
(8
)
 
$
14

 
$
0

 
$
1

 
$
(39
)
 
$
(8
)
__________
(1) 
Gains (losses) related to Level 3 Consumer MSRs, derivative assets and derivative liabilities, and retained interests in securitizations are reported in other non-interest income, which is a component of non-interest income, in our consolidated statements of income.
(2) 
During the three and nine months ended September 30, 2015 and 2014, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 were primarily driven by greater consistency among multiple pricing sources.
(3) 
The amount presented for unrealized gains (losses) for assets still held as of the reporting date primarily represents impairments of securities available for sale, accretion on certain fixed maturity securities, changes in fair value of derivative instruments and mortgage servicing rights transactions. Impairment is reported in total other-than-temporary impairment, which is a component of non-interest income, in our consolidated statements of income.
(4) 
All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.
Schedule of Level 3 Inputs Reconciliation for Liabilities
The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2015 and 2014. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 12.2: Level 3 Recurring Fair Value Rollforward
 
 
                                                                  Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended September 30, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
September 30, 2015(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
July 1,
2015
 
Included
in Net
Income
(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3
(2)
 
Transfers
Out of
Level 3
(2)
 
Balance, September 30, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
91

 
$
1

 
$
1

 
$
0

 
$
(36
)
 
$
0

 
$
(2
)
 
$
0

 
$
(12
)
 
$
43

 
$
0

RMBS
 
459

 
9

 
(1
)
 
0

 
0

 
0

 
(19
)
 
93

 
(22
)
 
519

 
10

CMBS
 
170

 
0

 
(1
)
 
28

 
0

 
0

 
(10
)
 
0

 
(82
)
 
105

 
0

Other ABS
 
7

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
(7
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
0

 
0

 
0

 
(6
)
 
0

 
0

 
12

 
0

Total securities available for sale
 
745

 
10

 
(1
)
 
28

 
(36
)
 
0

 
(37
)
 
93

 
(123
)
 
679

 
10

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
65

 
(7
)
 
0

 
0

 
0

 
7

 
(2
)
 
0

 
0

 
63

 
(7
)
Derivative assets(4)
 
61

 
16

 
0

 
0

 
0

 
13

 
(18
)
 
0

 
(7
)
 
65

 
16

Retained interest in securitizations
 
220

 
(6
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
214

 
(6
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(11
)
 
$
0

 
$
0

 
$
0

 
$
(9
)
 
$
7

 
$
0

 
$
5

 
$
(35
)
 
$
(11
)
 
 
                                                                  Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended September 30, 2014
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to
Assets and Liabilities
Still Held as of September 30, 2014
(3)
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
July 1,
2014
 
Included
in Net
Income
(1)
 
Included 
in OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3
(2)
 
Transfers
Out of
Level 3
(2)
 
Balance,
September 30, 2014
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
739

 
$
(5
)
 
$
3

 
$
0

 
$
(91
)
 
$
0

 
$
(16
)
 
$
0

 
$
(246
)
 
$
384

 
$
(1
)
RMBS
 
836

 
16

 
3

 
42

 
0

 
0

 
(24
)
 
79

 
(295
)
 
657

 
16

CMBS
 
449

 
0

 
(2
)
 
158

 
0

 
0

 
(34
)
 
0

 
(268
)
 
303

 
0

Other ABS
 
175

 
1

 
3

 
0

 
0

 
0

 
0

 
9

 
(78
)
 
110

 
1

Other securities
 
20

 
(1
)
 
0

 
0

 
0

 
0

 
(7
)
 
0

 
0

 
12

 
(1
)
Total securities available for sale
 
2,219

 
11

 
7

 
200

 
(91
)
 
0

 
(81
)
 
88

 
(887
)
 
1,466

 
15

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
57

 
(2
)
 
0

 
0

 
0

 
4

 
(1
)
 
0

 
0

 
58

 
(2
)
Derivative assets
 
50

 
2

 
0

 
0

 
0

 
6

 
(8
)
 
0

 
1

 
51

 
2

Retained interest in securitizations
 
195

 
8

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
8

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(37
)
 
(4
)
 
0

 
0

 
0

 
(4
)
 
6

 
0

 
0

 
(39
)
 
(4
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Nine Months Ended September 30, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
September 30, 2015(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2015
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, September 30, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
333

 
$
0

 
$
6

 
$
0

 
$
(184
)
 
$
0

 
$
(12
)
 
$
0

 
$
(100
)
 
$
43

 
$
0

RMBS
 
561

 
28

 
(2
)
 
0

 
0

 
0

 
(46
)
 
285

 
(307
)
 
519

 
29

CMBS
 
228

 
0

 
0

 
114

 
0

 
0

 
(47
)
 
0

 
(190
)
 
105

 
0

Other ABS
 
65

 
1

 
(2
)
 
0

 
(20
)
 
0

 
0

 
0

 
(44
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
0

 
0

 
0

 
(6
)
 
0

 
0

 
12

 
0

Total securities available for sale
 
1,205

 
29

 
2

 
114

 
(204
)
 
0

 
(111
)
 
285

 
(641
)
 
679

 
29

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
53

 
(2
)
 
0

 
0

 
0

 
17

 
(5
)
 
0

 
0

 
63

 
(2
)
Derivative assets(4)
 
66

 
17

 
0

 
0

 
0

 
40

 
(46
)
 
0

 
(12
)
 
65

 
17

Retained interest in securitizations
 
221

 
(7
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
214

 
(7
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(43
)
 
$
(12
)
 
$
0

 
$
0

 
$
0

 
$
(19
)
 
$
30

 
$
0

 
$
9

 
$
(35
)
 
$
(12
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Nine Months Ended September 30, 2014
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and Liabilities Still Held as of September 30, 2014(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2014
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance,
September 30, 2014
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
927

 
$
(5
)
 
$
18

 
$
0

 
$
(203
)
 
$
0

 
$
(55
)
 
$
64

 
$
(362
)
 
$
384

 
$
(1
)
RMBS
 
1,304

 
53

 
39

 
1,022

 
0

 
0

 
(156
)
 
199

 
(1,804
)
 
657

 
53

CMBS
 
739

 
0

 
3

 
192

 
0

 
0

 
(64
)
 
66

 
(633
)
 
303

 
0

Other ABS
 
343

 
4

 
13

 
0

 
0

 
0

 
(2
)
 
52

 
(300
)
 
110

 
4

Other securities
 
17

 
(1
)
 
0

 
0

 
0

 
0

 
(7
)
 
3

 
0

 
12

 
(1
)
Total securities available for sale
 
3,330

 
51

 
73

 
1,214

 
(203
)
 
0

 
(284
)
 
384

 
(3,099
)
 
1,466

 
55

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
69

 
(19
)
 
0

 
0

 
0

 
11

 
(3
)
 
0

 
0

 
58

 
(19
)
Derivative assets(4)
 
50

 
5

 
0

 
0

 
0

 
13

 
(14
)
 
0

 
(3
)
 
51

 
5

Retained interest in securitization
 
199

 
4

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
4

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(38
)
 
$
(8
)
 
$
0

 
$
0

 
$
0

 
$
(8
)
 
$
14

 
$
0

 
$
1

 
$
(39
)
 
$
(8
)
__________
(1) 
Gains (losses) related to Level 3 Consumer MSRs, derivative assets and derivative liabilities, and retained interests in securitizations are reported in other non-interest income, which is a component of non-interest income, in our consolidated statements of income.
(2) 
During the three and nine months ended September 30, 2015 and 2014, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 were primarily driven by greater consistency among multiple pricing sources.
(3) 
The amount presented for unrealized gains (losses) for assets still held as of the reporting date primarily represents impairments of securities available for sale, accretion on certain fixed maturity securities, changes in fair value of derivative instruments and mortgage servicing rights transactions. Impairment is reported in total other-than-temporary impairment, which is a component of non-interest income, in our consolidated statements of income.
(4) 
All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.
Schedule of Assets Measured at Fair Value on Recurring Basis Quantitative Information
The following table presents the significant unobservable inputs relied upon to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple third-party pricing services to obtain fair value measures for our securities. Several of our third-party pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other third-party pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain for a majority of our securities. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 12.3: Quantitative Information about Level 3 Fair Value Measurements
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at September 30,
2015
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
519

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
1-19%
0-21%
0-19%
0-85%
 
6%
4%
5%
56%
CMBS
 
105

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
2-3%
0-15%
 
2%
6%
U.S. government guaranteed debt and other securities
 
55

 
Discounted cash flows (3rd party pricing)
 
Yield
 
2-3%
 
2%
Other assets:
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
63

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
11-19%
12%
435-1500 bps
$93-213
 
16%
12%
479 bps
$100
Derivative assets(1)
 
65

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Retained interests in securitization(2)
 
214

 
Discounted cash flows
 
Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity
 
18-69
2-15%
4-8%
2-7%
19-99%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
35

 
Discounted cash flows
 
Swap rates
 
2%
 
2%

 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at
December 31,
2014
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
561

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
0-18%
0-23%
0-15%
0-85%
 
6%
4%
5%
55%
CMBS
 
228

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
1-4%
0-100%
 
1%
5%
Other ABS
 
65

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
2-7%
0-3%
1-10%
30-88%
 
5%
2%
7%
71%
U.S. government guaranteed debt and other securities
 
351

 
Discounted cash flows (3rd party pricing)
 
Yield
 
1-4%
 
3%
Other assets:
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
53

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
12-27%
12%
435-1,500 bps
$93-$209
 
18%
12%
478 bps
$101
Derivative assets(1)
 
66

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
Retained interests in securitization(2)
 
221

 
Discounted cash flows
 
Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity
 
25-72
2-13%
4-9%
2-8%
19-95%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
43

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
__________
(1) 
All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.
(2) 
Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.
Schedule of Liabilities Measured at Fair Value on Recurring Basis Quantitative Information
The following table presents the significant unobservable inputs relied upon to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple third-party pricing services to obtain fair value measures for our securities. Several of our third-party pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other third-party pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain for a majority of our securities. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 12.3: Quantitative Information about Level 3 Fair Value Measurements
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at September 30,
2015
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
519

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
1-19%
0-21%
0-19%
0-85%
 
6%
4%
5%
56%
CMBS
 
105

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
2-3%
0-15%
 
2%
6%
U.S. government guaranteed debt and other securities
 
55

 
Discounted cash flows (3rd party pricing)
 
Yield
 
2-3%
 
2%
Other assets:
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
63

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
11-19%
12%
435-1500 bps
$93-213
 
16%
12%
479 bps
$100
Derivative assets(1)
 
65

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Retained interests in securitization(2)
 
214

 
Discounted cash flows
 
Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity
 
18-69
2-15%
4-8%
2-7%
19-99%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
35

 
Discounted cash flows
 
Swap rates
 
2%
 
2%

 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at
December 31,
2014
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
561

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
0-18%
0-23%
0-15%
0-85%
 
6%
4%
5%
55%
CMBS
 
228

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
1-4%
0-100%
 
1%
5%
Other ABS
 
65

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
2-7%
0-3%
1-10%
30-88%
 
5%
2%
7%
71%
U.S. government guaranteed debt and other securities
 
351

 
Discounted cash flows (3rd party pricing)
 
Yield
 
1-4%
 
3%
Other assets:
 
 
 
 
 
 
 
 
 
 
Consumer MSRs
 
53

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
12-27%
12%
435-1,500 bps
$93-$209
 
18%
12%
478 bps
$101
Derivative assets(1)
 
66

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
Retained interests in securitization(2)
 
221

 
Discounted cash flows
 
Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity
 
25-72
2-13%
4-9%
2-8%
19-95%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
43

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
__________
(1) 
All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.
(2) 
Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.
Schedule of Assets Measured at Fair Value on Nonrecurring Basis
The following table presents the carrying amount of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2015 and December 31, 2014, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended:
Table 12.4: Nonrecurring Fair Value Measurements Related to Assets Still Held at Period End
 
 
September 30, 2015
  
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
0

 
$
260

 
$
260

Loans held for sale
 
0

 
26

 
0

 
26

Other assets(1)
 
0

 
0

 
65

 
65

Total
 
$
0

 
$
26

 
$
325

 
$
351

 
 
December 31, 2014
  
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
0

 
$
121

 
$
121

Loans held for sale
 
0

 
34

 
0

 
34

Other assets(1)
 
0

 
0

 
65

 
65

Total
 
$
0

 
$
34

 
$
186

 
$
220

__________
(1) 
Includes foreclosed property and repossessed assets of $33 million and long-lived assets held for sale of $32 million as of September 30, 2015, compared to foreclosed property and repossessed assets of $60 million and long-lived assets held for sale of $5 million as of December 31, 2014.
Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis
The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2015 and 2014:
Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings Related to Assets Still Held at Period End
 
 
Total Losses
 
 
Nine Months Ended September 30,
(Dollars in millions)
 
2015
 
2014
Loans held for investment
 
$
(70
)
 
$
(19
)
Loans held for sale
 
0

 
0

Other assets(1)
 
(35
)
 
(6
)
Total
 
$
(105
)
 
$
(25
)
__________
(1) 
Includes losses related to foreclosed property, repossessed assets and long-lived assets.
Schedule of Fair Value of Financial Instruments
The following table presents the fair value of financial instruments, whether recognized or not on the consolidated balance sheets, as of September 30, 2015 and December 31, 2014:
Table 12.6: Fair Value of Financial Instruments
 
 
September 30, 2015
 
 
Carrying
Amount
 
Estimated
Fair Value
 
Estimated Fair Value Hierarchy
(Dollars in millions)
 
 
 
Level 1
 
Level 2
 
Level 3
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
6,837

 
$
6,837

 
$
6,837

 
$
0

 
$
0

Restricted cash for securitization investors
 
586

 
586

 
586

 
0

 
0

Securities available for sale
 
39,431

 
39,431

 
4,563

 
34,189

 
679

Securities held to maturity
 
23,711

 
24,913

 
200

 
24,662

 
51

Net loans held for investment
 
208,482

 
209,460

 
0

 
0

 
209,460

Loans held for sale
 
566

 
591

 
0

 
591

 
0

Interest receivable(1)
 
1,101

 
1,101

 
0

 
1,101

 
0

Derivative assets(1)(2)
 
1,911

 
1,911

 
2

 
1,844

 
65

Retained interests in securitizations
 
214

 
214

 
0

 
0

 
214

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
$
25,055

 
$
25,055

 
$
25,055

 
$
0

 
$
0

Interest-bearing deposits
 
187,848

 
182,583

 
0

 
14,605

 
167,978

Securitized debt obligations
 
15,656

 
15,731

 
0

 
15,731

 
0

Senior and subordinated notes
 
21,773

 
21,728

 
0

 
21,728

 
0

Federal funds purchased and securities loaned or sold under agreements to repurchase
 
1,021

 
1,021

 
1,021

 
0

 
0

Other borrowings
 
4,328

 
4,316

 
0

 
4,316

 
0

Interest payable(1)
 
198

 
198

 
0

 
198

 
0

Derivative liabilities(1)(2)
 
472

 
472

 
4

 
433

 
35

 
 
December 31, 2014
 
 
Carrying
Amount
 
Estimated
Fair Value
 
Estimated Fair Value Hierarchy
(Dollars in millions)
 
 
 
Level 1
 
Level 2
 
Level 3
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
7,242

 
$
7,242

 
$
7,242

 
$
0

 
$
0

Restricted cash for securitization investors
 
234

 
234

 
234

 
0

 
0

Securities available for sale
 
39,508

 
39,508

 
4,228

 
34,075

 
1,205

Securities held to maturity
 
22,500

 
23,634

 
0

 
23,503

 
131

Net loans held for investment
 
203,933

 
207,104

 
0

 
0

 
207,104

Loans held for sale
 
626

 
650

 
0

 
650

 
0

Interest receivable(1)
 
1,079

 
1,079

 
0

 
1,079

 
0

Derivatives assets(1)(2)
 
1,452

 
1,452

 
4

 
1,382

 
66

Retained interests in securitizations
 
221

 
221

 
0

 
0

 
221

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Non-interest bearing deposits
 
$
25,081

 
$
25,081

 
$
25,081

 
$
0

 
$
0

Interest-bearing deposits
 
180,467

 
174,074

 
0

 
11,668

 
162,406

Securitized debt obligations
 
11,624

 
11,745

 
0

 
11,745

 
0

Senior and subordinated notes
 
18,684

 
19,083

 
0

 
19,083

 
0

Federal funds purchased and securities loaned or sold under agreements to repurchase
 
880

 
880

 
880

 
0

 
0

Other borrowings
 
17,269

 
17,275

 
0

 
17,275

 
0

Interest payable(1)
 
254

 
254

 
0

 
254

 
0

Derivatives liabilities(1)(2)
 
339

 
339

 
3

 
293

 
43

__________
(1)
As of January 1, 2015, we changed our accounting principle to move from a gross basis of presentation to a net basis, for presenting qualifying derivative assets and liabilities, as well as the related right to reclaim cash collateral or obligation to return cash collateral. Prior period results have been recast to conform to this presentation. See additional information in “Note 1—Summary of Significant Accounting Policies.”
(2) 
The balances represent gross derivative amounts and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See additional information in “Note 9—Derivative Instruments and Hedging Activities.”