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Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Valuation Assumption Ranges for MSRs
The following table shows the significant valuation assumption ranges for MSRs at March 31, 2021:
 
 
     Minimum     Maximum    
Weighted-
average (a)
  
Expected prepayment
     4 %      15 %      10 % 
Option adjusted spread
     6       11       7  
 
(a)
Determined based on the relative fair value of the related mortgage loans serviced.
Valuation Assumption Ranges for Derivative Commitments
The following table shows the significant valuation assumption ranges for the Company’s derivative commitments to purchase and originate mortgage loans at March 31, 2021:
 
 
     Minimum     Maximum    
Weighted-
average (a)
  
Expected loan close rate
     4 %      100 %      76 % 
Inherent MSR value (basis points per loan)
     53       201       123  
 
(a)
Determined based on the relative fair value of the related mortgage loans.
Balances of Assets and Liabilities Measured at Fair Value on Recurring Basis
The following table summarizes the balances of assets and liabilities measured at fair value on a recurring basis:     
 
(Dollars in Millions)   Level 1      Level 2      Level 3      Netting     Total  
March 31, 2021
                                           
Available-for-sale
securities
                                           
U.S. Treasury and agencies
   $ 21,406      $ 2,911      $ –      $ –     $ 24,317  
Mortgage-backed securities
                                           
Residential agency
     –        116,176        –        –       116,176  
Commercial agency
     –        6,086        –        –       6,086  
Asset-backed securities
     –        195        7        –       202  
Obligations of state and political subdivisions
     –        9,214        1        –       9,215  
Other
     –        7        –        –       7  
Total
available-for-sale
     21,406        134,589        8        –       156,003  
Mortgage loans held for sale
     –        8,869        –        –       8,869  
Mortgage servicing rights
     –        –        2,787        –       2,787  
Derivative assets
     7        3,066        1,821        (1,938 )      2,956  
Other assets
     120        2,029        –        –       2,149  
Total
   $ 21,533      $ 148,553      $ 4,616      $ (1,938 )    $ 172,764  
Derivative liabilities
   $ –      $ 2,821      $ 665      $ (2,084 )    $ 1,402  
Short-term borrowings and other liabilities (a)
     199        1,890        –        –       2,089  
Total
   $ 199      $ 4,711      $ 665      $ (2,084 )    $ 3,491  
December 31, 2020
                                           
Available-for-sale
securities
                                           
U.S. Treasury and agencies
   $ 19,251      $ 3,140      $ –      $ –     $ 22,391  
Mortgage-backed securities
                                           
Residential agency
     –        99,968        –        –       99,968  
Commercial agency
     –        5,406        –        –       5,406  
Asset-backed securities
     –        198        7        –       205  
Obligations of state and political subdivisions
     –        8,860        1        –       8,861  
Other
     –        9        –        –       9  
Total
available-for-sale
     19,251        117,581        8        –       136,840  
Mortgage loans held for sale
     –        8,524        –        –       8,524  
Mortgage servicing rights
     –        –        2,210        –       2,210  
Derivative assets
     4        3,235        2,762        (1,874 )      4,127  
Other assets
     302        1,601        –        –       1,903  
Total
   $ 19,557      $ 130,941      $ 4,980      $ (1,874 )    $ 153,604  
Derivative liabilities
   $ –      $ 3,166      $ 436      $ (2,312 )    $ 1,290  
Short-term borrowings and other liabilities (a)
     85        1,672        –        –       1,757  
Total
   $ 85      $ 4,838      $ 436      $ (2,312 )    $ 3,047  
 
Note:
Excluded from the table above are equity investments without readily determinable fair values. The Company has elected to carry these investments at historical cost, adjusted for impairment and any changes resulting from observable price changes for identical or similar investments of the issuer. The aggregate carrying amount of these equity investments was $71 million and $85 million at March 31, 2021 and December 31, 2020, respectively. The Company has not recorded impairments or adjustments for observable price changes on these equity investments during the first three months of 2021 and 2020, or on a cumulative basis.
(a)
Primarily represents the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
Changes in Fair Value for All Assets and Liabilities Measured at Fair Value on Recurring Basis Using Significant Unobservable Inputs (Level 3)
The following table presents the changes in fair value for all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31:
 
(Dollars in Millions)   Beginning
of Period
Balance		      Net Gains
(Losses)
Included in
Net Income		     Net Gains
(Losses)
Included in
Other
Comprehensive
Income (Loss)		      Purchases      Sales      Issuances     Settlements     End
of Period
Balance		      Net Change
in Unrealized
Gains (Losses)
Relating to
Assets and
Liabilities
Held at End
of Period		  
2021
                                                                             
Available-for-sale
securities
                                                                             
Asset-backed securities
   $ 7      $ –     $ –      $ –      $ –      $ –     $ –     $ 7      $ –  
Obligations of state and political subdivisions
     1        –       –        –        –        –       –       1        –  
Total
available-for-sale
     8        –       –        –        –        –       –       8        –  
Mortgage servicing rights
     2,210        242   (a)      –        16        –        319  (c)      –       2,787        242   (a) 
Net derivative assets and liabilities
     2,326        (935 ) (b)      –        2        –       
–
       (237 )      1,156        (900 ) (d) 
                   
2020
                                                                             
Available-for-sale
securities
                                                                             
Asset-backed securities
   $ 8      $ –     $ –      $ –      $ –      $ –     $ –     $ 8      $ –  
Obligations of state and political subdivisions
     1        –       1        –        –        –       –       2        1  
Total
available-for-sale
     9        –       1        –        –        –       –       10        1  
Mortgage servicing rights
     2,546        (866 ) (a)      –        5        1        201  (c)      –       1,887        (866 ) (a) 
Net derivative assets and liabilities
     810        1,742   (e)      –        4        –        –       (60 )      2,496        1,726   (f) 
 
(a)
Included in mortgage banking revenue.
(b)
Approximately $60 million included in mortgage banking revenue and $(995) million included in commercial products revenue.
(c)
Represents MSRs capitalized during the period.
(d)
Approximately $78 
million included in mortgage banking revenue and $(978) million included in commercial products revenue.
(e)
Approximately $357 million, $1.4 billion and $(1) million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
(f)
Approximately $214 million, $1.5 billion and $(1) million included in mortgage banking revenue, commercial products revenue and other noninterest income, respectively.
Adjusted Carrying Values for Assets Measured at Fair Value on Nonrecurring Basis
The following table summarizes the balances as of the measurement date of assets measured at fair value on a nonrecurring basis, and still held as of the reporting date:
 
    March 31, 2021              December 31, 2020  
(Dollars in Millions)   Level 1      Level 2      Level 3      Total              Level 1      Level 2      Level 3      Total  
Loans (a)
   $ –      $ –      $ 81      $ 81         
 
    $ –      $ –      $ 385      $ 385  
                   
Other assets (b)
     –        –        9        9     
 
 
 
      –        –        30        30  
 
(a)
Represents the carrying value of loans for which adjustments were based on the fair value of the collateral, excluding loans fully
charged-off.
(b)
Primarily represents the fair value of foreclosed properties that were measured at fair value based on an appraisal or broker price opinion of the collateral subsequent to their initial acquisition.
Losses Recognized Related to Nonrecurring Fair Value Measurements of Individual Assets or Portfolios
The following table summarizes losses recognized related to nonrecurring fair value measurements of individual assets or portfolios for the three months ended March 31:
 
(Dollars in Millions)   2021      2020  
Loans (a)
   $ 31      $ 5  
     
Other assets (b)
     1        3  
 
(a)
Represents write-downs of loans which were based on the fair value of the collateral, excluding loans fully
charged-off.
(b)
Primarily represents related losses of foreclosed properties that were measured at fair value subsequent to their initial acquisition.
Differences Between Aggregate Fair Value Carrying Amount of MLHFS for which Fair Value Option has been Elected and Aggregate Unpaid Principal Amount Contractually Obligated to Receive at Maturity
The following table summarizes the differences between the aggregate fair value carrying amount of MLHFS for which the fair value option has been elected and the aggregate unpaid principal amount that the Company is contractually obligated to receive at maturity:
 
    March 31, 2021              December 31, 2020  
(Dollars in Millions)   Fair
Value
Carrying
Amount		      Aggregate
Unpaid
Principal		      Carrying
Amount Over
(Under) Unpaid
Principal		              Fair
Value
Carrying
Amount		      Aggregate
Unpaid
Principal		      Carrying
Amount Over
(Under) Unpaid
Principal		  
Total loans
   $ 8,869      $ 8,685      $ 184         
 
    $ 8,524      $ 8,136      $ 388  
Nonaccrual loans
     1        1        –         
 
      1        1        –  
Loans 90 days or more past due
     1        1        –     
 
 
 
      2        2        –  
Estimated Fair Values of Financial Instruments
The estimated fair values of the Company’s financial instruments are shown in the table below:
 
    March 31, 2021      December 31, 2020  
   
Carrying
Amount
            Fair Value            
Carrying
Amount
             Fair Value  
(Dollars in Millions)   Level 1     Level 2     Level 3     Total             Level 1      Level 2      Level 3      Total  
Financial Assets
                                                      
 
                                                     
Cash and due from banks
   $ 43,501             $ 43,501     $ –     $ –     $ 43,501        
 
    $ 62,580              $ 62,580      $ –      $ –      $ 62,580  
Federal funds sold and securities purchased under resale agreements
     403               –       403       –       403        
 
      377                –        377        –        377  
Loans held for sale (a)
     122               –       –       122       122        
 
      237                –        –        237        237  
Loans
     288,084               –       –       296,703       296,703        
 
      290,393                –        –        300,419        300,419  
Other (b)
     1,877               –       899       978       1,877        
 
      1,772                –        731        1,041        1,772  
                           
Financial Liabilities
                                                      
 
                                                     
Time deposits
     23,711               –       23,834       –       23,834        
 
      30,694                –        30,864        –        30,864  
Short-term borrowings (c)
     10,009               –       9,963       –       9,963        
 
      10,009                –        9,956        –        9,956  
Long-term debt
     37,419               –       38,086       –       38,086        
 
      41,297                –        42,485        –        42,485  
Other (d)
     3,905    
 
 
 
     –       1,175       2,730       3,905    
 
 
 
      4,052    
 
 
 
      –        1,234        2,818        4,052  
 
(a)
Excludes mortgages held for sale for which the fair value option under applicable accounting guidance was elected.
(b)
Includes investments in Federal Reserve Bank and Federal Home Loan Bank stock and
tax-advantaged
investments.
(c)
Excludes the Company’s obligation on securities sold short required to be accounted for at fair value per applicable accounting guidance.
(d)
Includes operating lease liabilities and liabilities related to
tax-advantaged
investments.