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Fair Value Measurement (Tables)
 6 Months Ended
Jun. 30, 2017
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 June 30, 2017 and December 31, 2016. During the six months ended June 30, 2017, we had minimal movements between Levels 1 and 2.
Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 
June 30, 2017
 
 
Fair Value Measurements Using
 
Netting Adjustments (1)
 
 
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
 
Total
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
5,215

 
$
0

 
$
0

 
$
—

 
$
5,215

RMBS
 
0

 
28,699

 
429

 
—

 
29,128

CMBS
 
0

 
4,909

 
17

 
—

 
4,926

Other ABS
 
0

 
627

 
0

 
—

 
627

Other securities
 
281

 
934

 
9

 
—

 
1,224

Total securities available for sale
 
5,496

 
35,169

 
455

 
—

 
41,120

Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)(2)
 
2

 
714

 
57

 
(309
)
 
464

Other(3)
 
256

 
0

 
273

 
—

 
529

Total assets
 
$
5,754

 
$
35,883

 
$
785

 
$
(309
)
 
$
42,113

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

 
$
846

 
$
32

 
$
(355
)
 
$
524

Total liabilities
 
$
1

 
$
846

 
$
32

 
$
(355
)
 
$
524

 
 
December 31, 2016
 
 
Fair Value Measurements Using
 
Netting Adjustments (1)
 
 
(Dollars in millions)
 
Level 1
 
Level 2
 
Level 3
 
 
Total
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
U.S. Treasury securities
 
$
5,065

 
$
0

 
$
0

 
$
—

 
$
5,065

RMBS
 
0

 
28,731

 
518

 
—

 
29,249

CMBS
 
0

 
4,937

 
51

 
—

 
4,988

Other ABS
 
0

 
714

 
0

 
—

 
714

Other securities
 
295

 
417

 
9

 
—

 
721

Total securities available for sale
 
5,360

 
34,799

 
578

 
—

 
40,737

Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)(2)
 
7

 
1,440

 
47

 
(539
)
 
955

Other(3)
 
219

 
0

 
281

 
—

 
500

Total assets
 
$
5,586

 
$
36,239

 
$
906

 
$
(539
)
 
$
42,192

Liabilities:
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)(2)
 
$
12

 
$
1,397

 
$
29

 
$
(336
)
 
$
1,102

Total liabilities
 
$
12

 
$
1,397

 
$
29

 
$
(336
)
 
$
1,102

__________
(1) 
Represents balance sheet netting of derivative assets and liabilities, and related payable and receivables for cash collateral held or placed with the same counterparty. See “Note 9—Derivative Instrument and Hedging Activities” for additional information.
(2) 
Does not reflect $3 million and $5 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of June 30, 2017 and December 31, 2016, respectively. Non-performance risk is included in the derivative assets and liabilities which are part of other assets and liabilities on the consolidated balance sheets and offset through non-interest income in the consolidated statements of income.
(3) 
Other includes consumer MSRs of $85 million and $80 million, retained interests in securitizations of $188 million and $201 million and deferred compensation plan assets of $256 million and $219 million as of June 30, 2017 and December 31, 2016, respectively.
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 six months ended June 30, 2017 and 2016. 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 June 30, 2017
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2017(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
April 1,
2017
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2017
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
449

 
$
8

 
$
10

 
$
0

 
$
(5
)
 
$
0

 
$
(24
)
 
$
159

 
$
(168
)
 
$
429

 
$
8

CMBS
 
78

 
0

 
0

 
0

 
0

 
0

 
(1
)
 
0

 
(60
)
 
17

 
0

Other securities
 
9

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
9

 
0

Total securities available for sale
 
536

 
8

 
10

 
0

 
(5
)
 
0

 
(25
)
 
159

 
(228
)
 
455

 
8

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
53

 
4

 
0

 
0

 
0

 
22

 
(15
)
 
0

 
(7
)
 
57

 
4

Consumer MSRs
 
86

 
(5
)
 
0

 
0

 
0

 
5

 
(1
)
 
0

 
0

 
85

 
(5
)
Retained interest in securitizations
 
195

 
(7
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
188

 
(7
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(31
)
 
$
(3
)
 
$
0

 
$
0

 
$
0

 
$
(7
)
 
$
7

 
$
0

 
$
2

 
$
(32
)
 
$
(3
)

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended June 30, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2016(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
April 1,
2016
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
505

 
$
7

 
$
11

 
$
59

 
$
0

 
$
0

 
$
(31
)
 
$
80

 
$
(76
)
 
$
555

 
$
8

CMBS
 
251

 
0

 
1

 
63

 
0

 
0

 
(6
)
 
0

 
(181
)
 
128

 
0

Other ABS
 
30

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
30

 
0

Other securities
 
11

 
0

 
0

 
8

 
0

 
0

 
0

 
0

 
0

 
19

 
0

Total securities available for sale
 
797

 
7

 
12

 
130

 
0

 
0

 
(37
)
 
80

 
(257
)
 
732

 
8

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
71

 
9

 
0

 
0

 
0

 
30

 
(15
)
 
0

 
(10
)
 
85

 
9

Consumer MSRs
 
59

 
(8
)
 
0

 
0

 
0

 
4

 
(2
)
 
0

 
0

 
53

 
(8
)
Retained interest in securitizations
 
201

 
2

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
2

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(40
)
 
$
(15
)
 
$
0

 
$
0

 
$
0

 
$
(24
)
 
$
10

 
$
0

 
$
2

 
$
(67
)
 
$
(15
)

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Six Months Ended June 30, 2017
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2017(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2017
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2017
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
$
17

 
$
18

 
$
0

 
$
(5
)
 
$
0

 
$
(46
)
 
$
212

 
$
(285
)
 
$
429

 
$
17

CMBS
 
51

 
0

 
0

 
60

 
0

 
0

 
(2
)
 
0

 
(92
)
 
17

 
0

Other securities
 
9

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
9

 
0

Total securities available for sale
 
578

 
17

 
18

 
60

 
(5
)
 
0

 
(48
)
 
212

 
(377
)
 
455

 
17

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
47

 
3

 
0

 
0

 
0

 
40

 
(25
)
 
0

 
(8
)
 
57

 
3

Consumer MSRs
 
80

 
(4
)
 
0

 
0

 
0

 
12

 
(3
)
 
0

 
0

 
85

 
(4
)
Retained interest in securitizations
 
201

 
(13
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
188

 
(13
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(29
)
 
$
(2
)
 
$
0

 
$
0

 
$
0

 
$
(13
)
 
$
10

 
$
0

 
$
2

 
$
(32
)
 
$
(2
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Six Months Ended June 30, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2016(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2016
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
504

 
$
13

 
$
6

 
$
59

 
$
0

 
$
0

 
$
(48
)
 
$
207

 
$
(186
)
 
$
555

 
$
14

CMBS
 
97

 
0

 
2

 
156

 
0

 
0

 
(10
)
 
64

 
(181
)
 
128

 
0

Other ABS
 
0

 
0

 
0

 
30

 
0

 
0

 
0

 
0

 
0

 
30

 
0

Other securities
 
14

 
0

 
0

 
8

 
0

 
0

 
(3
)
 
0

 
0

 
19

 
0

Total securities available for sale
 
615

 
13

 
8

 
253

 
0

 
0

 
(61
)
 
271

 
(367
)
 
732

 
14

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
57

 
28

 
0

 
0

 
0

 
42

 
(26
)
 
0

 
(16
)
 
85

 
28

Consumer MSRs
 
68

 
(20
)
 
0

 
0

 
0

 
8

 
(3
)
 
0

 
0

 
53

 
(20
)
Retained interest in securitizations
 
211

 
(8
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
(8
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(29
)
 
$
0

 
$
0

 
$
0

 
$
(31
)
 
$
13

 
$
0

 
$
7

 
$
(67
)
 
$
(29
)
__________
(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 six months ended June 30, 2017 and 2016, the transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these securities as evidenced by wider pricing variations among pricing vendors. Transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing 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.
(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 the related payables and receivables for 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 six months ended June 30, 2017 and 2016. 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 June 30, 2017
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2017(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
April 1,
2017
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2017
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
449

 
$
8

 
$
10

 
$
0

 
$
(5
)
 
$
0

 
$
(24
)
 
$
159

 
$
(168
)
 
$
429

 
$
8

CMBS
 
78

 
0

 
0

 
0

 
0

 
0

 
(1
)
 
0

 
(60
)
 
17

 
0

Other securities
 
9

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
9

 
0

Total securities available for sale
 
536

 
8

 
10

 
0

 
(5
)
 
0

 
(25
)
 
159

 
(228
)
 
455

 
8

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
53

 
4

 
0

 
0

 
0

 
22

 
(15
)
 
0

 
(7
)
 
57

 
4

Consumer MSRs
 
86

 
(5
)
 
0

 
0

 
0

 
5

 
(1
)
 
0

 
0

 
85

 
(5
)
Retained interest in securitizations
 
195

 
(7
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
188

 
(7
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(31
)
 
$
(3
)
 
$
0

 
$
0

 
$
0

 
$
(7
)
 
$
7

 
$
0

 
$
2

 
$
(32
)
 
$
(3
)

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Three Months Ended June 30, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2016(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
April 1,
2016
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
505

 
$
7

 
$
11

 
$
59

 
$
0

 
$
0

 
$
(31
)
 
$
80

 
$
(76
)
 
$
555

 
$
8

CMBS
 
251

 
0

 
1

 
63

 
0

 
0

 
(6
)
 
0

 
(181
)
 
128

 
0

Other ABS
 
30

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
30

 
0

Other securities
 
11

 
0

 
0

 
8

 
0

 
0

 
0

 
0

 
0

 
19

 
0

Total securities available for sale
 
797

 
7

 
12

 
130

 
0

 
0

 
(37
)
 
80

 
(257
)
 
732

 
8

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
71

 
9

 
0

 
0

 
0

 
30

 
(15
)
 
0

 
(10
)
 
85

 
9

Consumer MSRs
 
59

 
(8
)
 
0

 
0

 
0

 
4

 
(2
)
 
0

 
0

 
53

 
(8
)
Retained interest in securitizations
 
201

 
2

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
2

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(40
)
 
$
(15
)
 
$
0

 
$
0

 
$
0

 
$
(24
)
 
$
10

 
$
0

 
$
2

 
$
(67
)
 
$
(15
)

 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Six Months Ended June 30, 2017
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2017(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2017
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2017
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
$
17

 
$
18

 
$
0

 
$
(5
)
 
$
0

 
$
(46
)
 
$
212

 
$
(285
)
 
$
429

 
$
17

CMBS
 
51

 
0

 
0

 
60

 
0

 
0

 
(2
)
 
0

 
(92
)
 
17

 
0

Other securities
 
9

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
9

 
0

Total securities available for sale
 
578

 
17

 
18

 
60

 
(5
)
 
0

 
(48
)
 
212

 
(377
)
 
455

 
17

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
47

 
3

 
0

 
0

 
0

 
40

 
(25
)
 
0

 
(8
)
 
57

 
3

Consumer MSRs
 
80

 
(4
)
 
0

 
0

 
0

 
12

 
(3
)
 
0

 
0

 
85

 
(4
)
Retained interest in securitizations
 
201

 
(13
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
188

 
(13
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(29
)
 
$
(2
)
 
$
0

 
$
0

 
$
0

 
$
(13
)
 
$
10

 
$
0

 
$
2

 
$
(32
)
 
$
(2
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Six Months Ended June 30, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
June 30, 2016(3)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
 
Balance,
January 1,
2016
 
Included
in Net
Income(1)
 
Included in
OCI
 
Purchases
 
Sales
 
Issuances
 
Settlements
 
Transfers
Into
Level 3(2)
 
Transfers
Out of
Level 3(2)
 
Balance, June 30, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
504

 
$
13

 
$
6

 
$
59

 
$
0

 
$
0

 
$
(48
)
 
$
207

 
$
(186
)
 
$
555

 
$
14

CMBS
 
97

 
0

 
2

 
156

 
0

 
0

 
(10
)
 
64

 
(181
)
 
128

 
0

Other ABS
 
0

 
0

 
0

 
30

 
0

 
0

 
0

 
0

 
0

 
30

 
0

Other securities
 
14

 
0

 
0

 
8

 
0

 
0

 
(3
)
 
0

 
0

 
19

 
0

Total securities available for sale
 
615

 
13

 
8

 
253

 
0

 
0

 
(61
)
 
271

 
(367
)
 
732

 
14

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
57

 
28

 
0

 
0

 
0

 
42

 
(26
)
 
0

 
(16
)
 
85

 
28

Consumer MSRs
 
68

 
(20
)
 
0

 
0

 
0

 
8

 
(3
)
 
0

 
0

 
53

 
(20
)
Retained interest in securitizations
 
211

 
(8
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
203

 
(8
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(29
)
 
$
0

 
$
0

 
$
0

 
$
(31
)
 
$
13

 
$
0

 
$
7

 
$
(67
)
 
$
(29
)
__________
(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 six months ended June 30, 2017 and 2016, the transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these securities as evidenced by wider pricing variations among pricing vendors. Transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing 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.
(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 the related payables and receivables for 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 used 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 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. 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 June 30,
2017
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
429

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
Default rate
Loss severity
 
1-9%
0-33%
0-17%
9-90%
 
5%
4%
4%
58%
CMBS
 
17

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
 
3%
0%
 
3%
0%
Other securities
 
9

 
Discounted cash flows
 
Yield
 
2%
 
2%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
57

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
Consumer MSRs
 
85

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-21%
16%
500-1,500 bps
$75-$100
 
15%
16%
585 bps
$76
Retained interests in securitization(2)
 
188

 
Discounted cash flows
 
Life of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
 
2-85
2-11%
3-12%
1-5%
9-111%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
32

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at
December 31,
2016
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
Default rate
Loss severity
 
0-15%
0-30%
0-16%
9-87%
 
5%
4%
4%
57%
CMBS
 
51

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
 
2%
0%

 
2%
0%

Other securities
 
9

 
Discounted cash flows
 
Yield
 
1-2%
 
1%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
47

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Consumer MSRs
 
80

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-20%
15%
580-1,500 bps
$75-$100
 
15%
15%
636 bps
$76
Retained interests in securitization(2)
 
201

 
Discounted cash flows
 
Life of receivables (months) Voluntary prepayment rate
Discount rate
Default rate
Loss severity
 
6-87
2-11%
4-11%
1-6%
7-102%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
29

 
Discounted cash flows
 
Swap rates
 
2%
 
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 the related payables and receivables for 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 used 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 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. 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 June 30,
2017
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
429

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
Default rate
Loss severity
 
1-9%
0-33%
0-17%
9-90%
 
5%
4%
4%
58%
CMBS
 
17

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
 
3%
0%
 
3%
0%
Other securities
 
9

 
Discounted cash flows
 
Yield
 
2%
 
2%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
57

 
Discounted cash flows
 
Swap rates
 
2-3%
 
2%
Consumer MSRs
 
85

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-21%
16%
500-1,500 bps
$75-$100
 
15%
16%
585 bps
$76
Retained interests in securitization(2)
 
188

 
Discounted cash flows
 
Life of receivables (months)
Voluntary prepayment rate
Discount rate
Default rate
Loss severity
 
2-85
2-11%
3-12%
1-5%
9-111%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
32

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at
December 31,
2016
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
Default rate
Loss severity
 
0-15%
0-30%
0-16%
9-87%
 
5%
4%
4%
57%
CMBS
 
51

 
Discounted cash flows (3rd party pricing)
 
Yield
Voluntary prepayment rate
 
2%
0%

 
2%
0%

Other securities
 
9

 
Discounted cash flows
 
Yield
 
1-2%
 
1%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
47

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Consumer MSRs
 
80

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-20%
15%
580-1,500 bps
$75-$100
 
15%
15%
636 bps
$76
Retained interests in securitization(2)
 
201

 
Discounted cash flows
 
Life of receivables (months) Voluntary prepayment rate
Discount rate
Default rate
Loss severity
 
6-87
2-11%
4-11%
1-6%
7-102%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
29

 
Discounted cash flows
 
Swap rates
 
2%
 
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 the related payables and receivables for 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 value of the assets measured at fair value on a nonrecurring basis and still held as of June 30, 2017 and December 31, 2016, and for which a nonrecurring fair value measurement was recorded during the six and twelve months then ended:
Table 12.4: Nonrecurring Fair Value Measurements
 
 
June 30, 2017
 
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
390

 
$
390

Loans held for sale
 
559

 
1

 
560

Other assets(1)
 
0

 
35

 
35

Total
 
$
559

 
$
426

 
$
985

 
 
December 31, 2016
  
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
587

 
$
587

Loans held for sale
 
157

 
0

 
157

Other assets(1)
 
0

 
83

 
83

Total
 
$
157

 
$
670

 
$
827

__________
(1) 
Other assets includes foreclosed property and repossessed assets of $34 million and long-lived assets held for sale of $1 million as of June 30, 2017, compared to foreclosed property and repossessed assets of $43 million and long-lived assets held for sale of $40 million as of December 31, 2016.
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 June 30, 2017 and 2016.
Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings
 
 
Total Gains (Losses)
 
 
Six Months Ended June 30,
(Dollars in millions)
 
2017
 
2016
Loans held for investment
 
$
(116
)
 
$
(105
)
Loans held for sale
 
(3
)
 
0

Other assets(1)
 
(6
)
 
(6
)
Total
 
$
(125
)
 
$
(111
)
__________
(1) 
Other assets includes losses related to foreclosed property, repossessed assets and long-lived assets held for sale.
Schedule of Fair Value of Financial Instruments
The following table presents the carrying value and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured at fair value on a recurring basis on our consolidated balance sheets as of June 30, 2017 and December 31, 2016.
Table 12.6: Fair Value of Financial Instruments
 
 
June 30, 2017
 
 
Carrying
Value
 
Estimated
Fair Value
 
Estimated Fair Value Hierarchy
(Dollars in millions)
 
 
 
Level 1
 
Level 2
 
Level 3
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
6,715

 
$
6,715

 
$
3,352

 
$
3,363

 
$
0

Restricted cash for securitization investors
 
300

 
300

 
300

 
0

 
0

Securities held to maturity
 
27,720

 
28,423

 
199

 
28,185

 
39

Net loans held for investment
 
237,132

 
241,048

 
0

 
0

 
241,048

Loans held for sale
 
777

 
785

 
0

 
783

 
2

Interest receivable
 
1,346

 
1,346

 
0

 
1,346

 
0

Other investments(1)
 
1,481

 
1,481

 
0

 
1,471

 
10

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits
 
$
239,763

 
$
240,273

 
$
25,953

 
$
214,320

 
$
0

Securitized debt obligations
 
18,358

 
18,477

 
0

 
18,477

 
0

Senior and subordinated notes
 
28,478

 
28,937

 
0

 
28,937

 
0

Federal funds purchased and securities loaned or sold under agreements to repurchase
 
958

 
958

 
0

 
958

 
0

Other borrowings
 
2,160

 
2,114

 
0

 
2,114

 
0

Interest payable
 
376

 
376

 
0

 
376

 
0

 
 
December 31, 2016
 
 
Carrying
Value
 
Estimated
Fair Value
 
Estimated Fair Value Hierarchy
(Dollars in millions)
 
 
 
Level 1
 
Level 2
 
Level 3
Financial assets:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
9,976

 
$
9,976

 
$
4,185

 
$
5,791

 
$
0

Restricted cash for securitization investors
 
2,517

 
2,517

 
2,517

 
0

 
0

Securities held to maturity
 
25,712

 
26,196

 
199

 
25,962

 
35

Net loans held for investment
 
239,083

 
242,935

 
0

 
0

 
242,935

Loans held for sale
 
1,043

 
1,038

 
0

 
1,038

 
0

Interest receivable
 
1,351

 
1,351

 
0

 
1,351

 
0

Other investments(1)
 
2,029

 
2,029

 
0

 
2,020

 
9

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits
 
$
236,768

 
$
237,082

 
$
25,502

 
$
211,580

 
$
0

Securitized debt obligations
 
18,826

 
18,920

 
0

 
18,920

 
0

Senior and subordinated notes
 
23,431

 
23,774

 
0

 
23,774

 
0

Federal funds purchased and securities loaned or sold under agreements to repurchase
 
992

 
992

 
0

 
992

 
0

Other borrowings
 
17,211

 
17,180

 
0

 
17,180

 
0

Interest payable
 
327

 
327

 
0

 
327

 
0

__________
(1) Other investments includes FHLB, Federal Reserve stock and cost method investments. These investments are included in other assets on our consolidated balance sheets.