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Fair Value (Tables)
 6 Months Ended
Jun. 30, 2018
Fair Value [Abstract]  
Fair Value Measurements - Recurring Basis Summary
Table 51: Fair Value Measurements – Recurring Basis Summary
 
June 30, 2018
 
 
December 31, 2017
 
In millions
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
 
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
 
 
$
763

 
$
4

 
$
767

 
 
 
 
$
829

 
$
3

 
$
832

 
Commercial mortgage loans held for sale
 
 
377

 
91

 
468

 
 
 
 
723

 
107

 
830

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
$
15,766

 
434

 
 
 
16,200

 
 
$
14,088

 
433

 
 
 
14,521

 
Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
27,619

 
 
 
27,619

 
 
 
 
25,406

 
 
 
25,406

 
Non-agency
 
 
89

 
2,405

 
2,494

 
 
 
 
97

 
2,661

 
2,758

 
Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
1,808

 
 
 
1,808

 
 
 
 
1,904

 
 
 
1,904

 
Non-agency
 
 
2,567

 
 
 
2,567

 
 
 
 
2,613

 
 
 
2,613

 
Asset-backed
 
 
5,153

 
308

 
5,461

 
 
 
 
5,065

 
332

 
5,397

 
Other debt
 
 
4,035

 
91

 
4,126

 
 
 
 
4,347

 
87

 
4,434

 
Total debt securities
15,766

 
41,705

 
2,804

 
60,275

 
 
14,088

 
39,865

 
3,080

 
57,033

 
Other (a)
 
 
 
 
 
 


 
 
524

 
61

 
 
 
585

 
Total securities available for sale
15,766

 
41,705

 
2,804

 
60,275

 
 
14,612

 
39,926

 
3,080

 
57,618

 
Loans
 
 
471

 
282

 
753

 
 
 
 
571

 
298

 
869

 
Equity investments (b)
672

 
59

 
1,167

 
2,115

 
 
 
 
 
 
1,036

 
1,265

 
Residential mortgage servicing rights
 
 
 
 
1,297

 
1,297

 
 
 
 
 
 
1,164

 
1,164

 
Commercial mortgage servicing rights
 
 
 
 
748

 
748

 
 
 
 
 
 
668

 
668

 
Trading securities (c)
1,370

 
1,700

 
2

 
3,072

 
 
1,243

 
1,670

 
2

 
2,915

 
Financial derivatives (c) (d)
 
 
1,876

 
16

 
1,892

 
 
 
 
2,864

 
10

 
2,874

 
Other assets
282

 
204

 
63

 
549

 
 
278

 
253

 
107

 
638

 
Total assets
$
18,090

 
$
47,155

 
$
6,474

 
$
71,936

 
 
$
16,133

 
$
46,836

 
$
6,475

 
$
69,673

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
479

 
$
352

 
$
7

 
$
838

 
 
$
1,079

 
$
254

 
$
11

 
$
1,344

 
Financial derivatives (d) (e)
 
 
2,499

 
384

 
2,883

 
 
 
 
2,369

 
487

 
2,856

 
Other liabilities
 
 
 
 
47

 
47

 
 
 
 
 
 
33

 
33

 
Total liabilities
$
479

 
$
2,851

 
$
438

 
$
3,768

 
 
$
1,079

 
$
2,623

 
$
531

 
$
4,233

 
(a)
Prior period amounts included $.6 billion of available for sale securities, primarily money market funds, that were reclassified to equity investments on January 1, 2018 as the result of the adoption of ASU 2016-01. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies in our First Quarter 2018 Form 10-Q for additional details on this adoption.
(b)
Certain investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented on the Consolidated Balance Sheet.
(c)
Included in Other assets on the Consolidated Balance Sheet.
(d)
Amounts at June 30, 2018 and December 31, 2017 are presented gross 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 Note 9 Financial Derivatives for additional information related to derivative offsetting.
(e)
Included in Other liabilities on the Consolidated Balance Sheet.
Reconciliation of Level 3 Assets and Liabilities
Table 52: Reconciliation of Level 3 Assets and Liabilities
Three Months Ended June 30, 2018
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
 
  
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
June 30, 2018
(a) (b)
Level 3 Instruments Only
In millions
Fair 
Value
Mar. 31,
2018

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

 
Transfers
out of
Level 3

Fair
Value
June 30,
2018

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
1

 
 
 
$
3

 
$
(2
)
$
4

 
 
Commercial mortgage
loans held for sale
92

$
(1
)
 
 
 
 
 
 
 
 
 
91

$
(1
)
 
Securities available for sale

 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
2,545

1

 
$
5

 
 
 
$
(146
)
 
 
 
2,405

 
 
Asset-backed
321

1

 
(1
)
 
 
 
(13
)
 
 
 
308

 
 
Other debt
94

 
 
6

2

 
 
(11
)
 
 
 
91

 
 
Total securities
available for sale
2,960

2


10

2





(170
)





2,804

 
 
Loans
302

3

 
 
18

$
(2
)
 
(25
)
(2
)
 
(12
)
282

(1
)
 
Equity investments
1,129

62

 
 
79

(103
)
 
 
 
 
 
1,167

35

 
Residential mortgage
servicing rights
1,256

40

 
 
38

 
$
10

(47
)
 
 
 
1,297

35

 
Commercial mortgage
servicing rights
723

33

 
 
21

 
6

(35
)
 
 
 
748

33

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
12

17

 
 
1

 
 
(14
)
 
 
 
16

18

 
Other assets
68

(5
)
 
 
 
 
 
 
 
 
 
63

(5
)
 
Total assets
$
6,546

$
151


$
10

$
160

$
(105
)
$
16

$
(291
)
$
1


$
(14
)
$
6,474

$
114

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
9

 
 
 
 
 
$
13

$
(15
)
 
 
 
$
7

 
 
Financial derivatives
437

$
(33
)
 
 
 
$
2

 
(22
)
 
 
 
384

$
(31
)
 
Other liabilities
42

3

 
 
 
 
29

(27
)
 
 
 
47

3

 
Total liabilities
$
488

$
(30
)





$
2

$
42

$
(64
)





$
438

$
(28
)
 
Net gains (losses)
 
$
181

(c) 
 
 
 
 
 
 
 
 
 
$
142

(d) 

Three Months Ended June 30, 2017
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
June 30, 2017
(a) (b)
Level 3 Instruments Only
In millions
Fair 
Value
Mar.
31,
2017

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair
Value
Jun.
30,
2017

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
4

 
 
 
$
4

$
(1
)
 
 
$
3

$
(5
)
 
$
5

 
 
Commercial mortgage
loans held for sale
581

$
28

 
 
 
(743
)
$
1,144

$
(28
)
 
 
 
982


 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
3,096

24

 
$
51

 

 
(207
)
 
 
 
2,964

 
 
Commercial mortgage-
backed non-agency
 
12

 
 
 
(12
)
 
 
 
 
 
 
 
 
Asset-backed
366

4

 
11

 


 
(20
)
 
 
 
361

 
 
Other debt
75


 
3

1



 
(1
)
 
 
 
78

 
 
Total securities
available for sale
3,537

40

 
65

1

(12
)
 
(228
)
 
 
 
3,403

 
 
Loans
323

(6
)
 
 
18

(15
)
 
(18
)
4

(16
)
 
290

$
(8
)
 
Equity investments
1,106

61

 
 
44

(224
)
 
 





987

22

 
Residential mortgage
servicing rights
1,261

(48
)
 
 
71

 
11

(46
)
 
 
 
1,249

(42
)
 
Commercial mortgage
servicing rights
606

1

 
 
21

 
17

(27
)
 
 
 
618


 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
24

18

 
 
2

 
 
(22
)
 
 
 
22

16

 
Other assets
82

7

 
 
 
 
 


 
 
 
89

8

 
Total assets
$
7,526

$
101

 
$
65

$
161

$
(995
)
$
1,172

$
(369
)
$
7

$
(21
)

$
7,647

$
(4
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
7

 
 
 
 
 
$
16

$
(15
)
 
 
 
$
8

 
 
Financial derivatives
254

$
9

 
 
 

 
(15
)
 
 
 
248

$
12

 
Other liabilities
31

3

 
 
 
 
72

(73
)
 
 
 
33

3

 
Total liabilities
$
292

$
12

 
 
 


$
88

$
(103
)
 
 
 
$
289

$
15

 
Net gains (losses)
 
$
89

(c) 
 
 
 
 
 
 
 
 
 
$
(19
)
(d) 
Six Months Ended June 30, 2018
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
June 30, 2018
(a) (b)
Level 3 Instruments Only
In millions
Fair
Value
Dec. 31,
2017

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair
Value
June 30,
2018

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
3

 
 
 
$
2

$
(1
)
 
 
$
5

$
(5
)
 
$
4

 
 
Commercial mortgage
loans held for sale
107

$
(1
)
 
 
 
 
 
$
(15
)
 
 
 
91

$
(1
)
 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
2,661

20

 
$
8

 
 
 
(284
)
 
 
 
2,405

 
 
Asset-backed
332

 
 
4

 
 
 
(28
)
 
 
 
308

 
 
Other debt
87

5

 
7

4

 
 
(12
)
 
 
 
91

 
 
Total securities
available for sale
3,080

25

 
19

4


 
(324
)
 
 
 
2,804


 
Loans
298

5

 
 
55

(9
)
 
(43
)
 
(24
)
 
282

$
1

 
Equity investments
1,036

88

 
 
161

(118
)
 
 
 
 
 
1,167

60

 
Residential mortgage
servicing rights
1,164

147

 
 
47

 
$
23

(84
)
 
 
 
1,297

140

 
Commercial mortgage
servicing rights
668

81

 
 
44

 
23

(68
)
 
 
 
748

81

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
10

24

 
 
2

 
 
(20
)
 
 
 
16

27

 
Other assets
107

(2
)
 
 
 
 
 
(42
)
 
 
 
63

(2
)
 
Total assets
$
6,475

$
367

 
$
19

$
315

$
(128
)
$
46

$
(596
)
$
5

$
(29
)
 
$
6,474

$
306

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
11

 
 
 
 
 
$
32

$
(36
)
 
 
 
$
7

 
 
Financial derivatives
487

$
(23
)
 
 
 
$
5

 
(85
)
 
 
 
384

$
(26
)
 
Other liabilities
33

5

 
 
$
12

 
34

(37
)
 
 
 
47

5

 
Total liabilities
$
531

$
(18
)
 
 
$
12

$
5

$
66

$
(158
)
 
 
 
$
438

$
(21
)
 
Net gains (losses)
 
$
385

(c) 
 
 
 
 
 
 
 
 
 
$
327

(d) 


Six Months Ended June 30, 2017
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
June 30, 2017
(a) (b)
Level 3 Instruments Only
In millions
Fair
Value
Dec. 31,
2016

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair
Value
Jun.
30,
2017

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
6

$
(1
)
 
 
$
5

$
(7
)
 
$
5

 
 
Commercial mortgage
loans held for sale
1,400

$
37

 
 
 
(2,360
)
$
1,945

$
(40
)
 
 
 
982


 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
3,254

50

 
$
69

 

 
(409
)
 
 
 
2,964

$
(1
)
 
Commercial mortgage-
backed non-agency
 
12

 
 
 
(12
)
 
 
 
 
 
 
 
 
Asset-backed
403

8

 
15

 
(25
)
 
(40
)
 
 
 
361

 
 
Other debt
66


 
12

2

(1
)
 
(1
)
 
 
 
78

 
 
Total securities
available for sale
3,723

70

 
96

2

(38
)
 
(450
)
 
 
 
3,403

(1
)
 
Loans
335

(5
)
 
 
40

(19
)
 
(37
)
6

(30
)
 
290

(7
)
 
Equity investments
1,331

157

 
 
81

(399
)
 
 

(183
)
(e)
987

88

 
Residential mortgage
servicing rights
1,182

(30
)
 
 
154

 
28

(85
)
 
 
 
1,249

(29
)
 
Commercial mortgage
servicing rights
576

14

 
 
34

 
46

(52
)
 
 
 
618


 
Trading securities
2

 
 
 
 
 
 

 
 
 
2

 
 
Financial derivatives
40

17

 
 
2

 
 
(37
)
 
 
 
22

35

 
Other assets
239

5

 

 

 
(155
)
 
 
 
89

6

 
Total assets
$
8,830

$
265

 
$
96

$
319

$
(2,817
)
$
2,019

$
(856
)
$
11

$
(220
)
 
$
7,647

$
92

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
10

 
 
 
 
 
$
35

$
(37
)
 
 
 
$
8

 
 
Financial derivatives
414

$
18

 
 
 
$
2

 
(186
)
 
 
 
248

$
34

 
Other liabilities
9

19

 
 
 
 
149

(144
)
 
 
 
33

19

 
Total liabilities
$
433

$
37

 
 
 
$
2

$
184

$
(367
)
 
 
 
$
289

$
53

 
Net gains (losses)
 
$
228

(c) 
 
 
 
 
 
 
 
 
 
$
39

(d) 
(a)
Losses for assets are bracketed while losses for liabilities are not.
(b)
The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.
(c)
Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.
(d)
Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.
(e)
Reflects transfer out of Level 3 associated with change in valuation methodology for certain equity investments subject to the Volcker Rule provisions of the Dodd-Frank Act.
Fair Value Measurements - Recurring Quantitative Information
Table 53: Fair Value Measurements – Recurring Quantitative Information

June 30, 2018
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted-Average)
Commercial mortgage loans held for sale
$
91

Discounted cash flow
Spread over the benchmark curve (a)
525bps - 1,650bps (1,109bps)
Residential mortgage-backed
non-agency securities
2,405

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 33.0% (10.6%)
Constant default rate (CDR)
0.0% - 17.8% (5.5%)
Loss severity
10.0% - 95.7% (50.0%)
Spread over the benchmark curve (a)
184bps weighted-average
Asset-backed securities
308

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 19.0% (8.5%)
Constant default rate (CDR)
1.0% - 9.3% (4.2%)
Loss severity
15.0% - 100.0% (66.4%)
Spread over the benchmark curve (a)
126bps weighted-average
Loans
136

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (82.1%)
Loss severity
0.0% - 100.0% (18.0%)
Discount rate
5.5% - 8.3% (5.9%)
 
92

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
5.6% weighted-average
 
54

Consensus pricing (b)
Credit and Liquidity discount
0.0% - 99.0% (62.0%)
Equity investments
1,167

Multiple of adjusted earnings
Multiple of earnings
5.0x - 29.7x (9.0x)
Residential mortgage servicing rights
1,297

Discounted cash flow
Constant prepayment rate (CPR)
0.0% - 44.4% (8.4%)
Spread over the benchmark curve (a)
429bps - 1,795bps (828bps)
Commercial mortgage servicing rights
748

Discounted cash flow
Constant prepayment rate (CPR)
6.5% - 14.4% (7.5%)
Discount rate
6.9% - 8.7% (8.5%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(314
)
Discounted cash flow
Estimated conversion factor of Visa
Class B shares into Class A shares
161.5% weighted-average
Estimated growth rate of Visa
Class A share price
16.0%
Estimated length of litigation
resolution date
Q4 2020
Insignificant Level 3 assets, net of
liabilities (c)
52

 
 
 
Total Level 3 assets, net of liabilities (d)
$
6,036

 
 
 

December 31, 2017
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted-Average)
Commercial mortgage loans held for sale
$
107

Discounted cash flow
Spread over the benchmark curve (a)
525bps - 1,470bps (1020bps)
Residential mortgage-backed
non-agency securities
2,661

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 31.6% (10.8%)
Constant default rate (CDR)
0.1% - 18.8% (5.4%)
Loss severity
15.0% - 100.0% (51.5%)
Spread over the benchmark curve (a)
190bps weighted-average
Asset-backed securities
332

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 19.0% (7.9%)
Constant default rate (CDR)
2.0% - 11.8% (5.4%)
Loss severity
15.0% - 100.0% (68.5%)
Spread over the benchmark curve (a)
179bps weighted-average
Loans
133

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (85.7%)
Loss severity
0.0% - 100.0% (20.6%)
Discount rate
5.5% - 8.0% (5.7%)
 
104

Discounted cash flow
Loss severity
8.0% weighted-average
Discount rate
4.9% weighted-average
 
61

Consensus pricing (b)
Credit and Liquidity discount
0.0% - 99.0% (61.1%)
Equity investments
1,036

Multiple of adjusted earnings
Multiple of earnings
4.5x - 29.7x (8.3x)
Residential mortgage servicing rights
1,164

Discounted cash flow
Constant prepayment rate (CPR)
0.0% - 36.7% (10.0%)
Spread over the benchmark curve (a)
390bps - 1,839bps (830bps)
Commercial mortgage servicing rights
668

Discounted cash flow
Constant prepayment rate (CPR)
7.7% - 14.2% (8.5%)
Discount rate
6.4% - 7.9% (7.8%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(380
)
Discounted cash flow
Estimated conversion factor of Visa Class B shares into Class A shares
163.8% weighted-average
Estimated growth rate of Visa Class
A share price
16.0%
Estimated length of litigation
resolution date
Q2 2021
Insignificant Level 3 assets, net of
liabilities (c)
58

 
 
 
Total Level 3 assets, net of liabilities (d)
$
5,944

 
 
 
(a)
The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks.
(b)
Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.
(c)
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other debt securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.
(d)
Consisted of total Level 3 assets of $6.5 billion and total Level 3 liabilities of $.4 billion as of June 30, 2018 and $6.4 billion and $.5 billion as of December 31, 2017, respectively.
Fair Value Measurements - Nonrecurring
Table 54: Fair Value Measurements – Nonrecurring
 
Fair Value (a)
 
Gains (Losses)
Three months ended
 
Gains (Losses)
Six months ended
 
In millions
June 30
2018

 
December 31
2017

 
June 30
2018

 
June 30
2017

 
June 30
2018

 
June 30
2017

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans
$
123

 
$
100

 
$
(15
)
 
$
(23
)
 
$
(33
)
 
$
(23
)
 
OREO and foreclosed assets
44

 
70

 
(3
)
 
(5
)
 
(2
)
 
(8
)
 
Long-lived assets
9

 
80

 
(6
)
 
(5
)
 
(6
)
 
(8
)
 
Total assets
$
176

 
$
250

 
$
(24
)
 
$
(33
)
 
$
(41
)
 
$
(39
)
 
(a)
All Level 3 as of June 30, 2018 and December 31, 2017.
Fair Value Measurements - Nonrecurring Quantitative Information
Table 55: Fair Value Measurements – Nonrecurring Quantitative Information
Level 3 Instruments Only
In millions
Fair Value

 
Valuation Techniques
Unobservable Inputs
June 30, 2018
 
 
 
 
Assets
 
 
 
 
Nonaccrual loans
$
123

 
Fair value of property or collateral
Appraised value/sales price
OREO and foreclosed assets
44

 
Fair value of property or collateral
Appraised value/sales price
Long-lived assets
9

 
Fair value of property or collateral
Appraised value/sales price
Total assets
$
176

 
 
 
December 31, 2017
 
 
 
 
Assets
 
 
 
 
Nonaccrual loans
$
100

 
Fair value of property or collateral
Appraised value/sales price
OREO and foreclosed assets
70

 
Fair value of property or collateral
Appraised value/sales price
Long-lived assets
47

 
Fair value of property or collateral
Appraised value/sales price
 
20

 
Fair value of property or collateral
Broker opinion
 
13

 
Fair value of property or collateral
Projected income/required improvement costs
Total assets
$
250

 
 
 
Fair Value Option - Fair Value and Principal Balances
Table 56: Fair Value Option – Fair Value and Principal Balances
 
June 30, 2018
 
December 31, 2017
 
In millions
Fair Value

 
Aggregate Unpaid
Principal Balance

 
Difference

 
Fair Value

 
Aggregate Unpaid
Principal Balance

 
Difference

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
 
 
 
 
 
 
 
 
 
 
 
 
Performing loans
$
758

 
$
738

 
$
20

 
$
822

 
$
796

 
$
26

 
Accruing loans 90 days or more past due
2

 
2

 


 
3

 
3

 


 
Nonaccrual loans
7

 
8

 
(1
)
 
7

 
8

 
(1
)
 
Total
$
767

 
$
748

 
$
19

 
$
832

 
$
807

 
$
25

 
Commercial mortgage loans held for sale (a)
 
 
 
 
 
 
 
 
 
 
 
 
Performing loans
$
467

 
$
485

 
$
(18
)
 
$
828

 
$
842

 
$
(14
)
 
Nonaccrual loans
1

 
2

 
(1
)
 
2

 
3

 
(1
)
 
Total
$
468

 
$
487

 
$
(19
)
 
$
830

 
$
845

 
$
(15
)
 
Residential mortgage loans
 
 
 
 
 
 
 
 
 
 
 
 
Performing loans
$
255

 
$
281

 
$
(26
)
 
$
251

 
$
280

 
$
(29
)
 
Accruing loans 90 days or more past due
315

 
325

 
(10
)
 
421

 
431

 
(10
)
 
Nonaccrual loans
183

 
298

 
(115
)
 
197

 
317

 
(120
)
 
Total
$
753

 
$
904

 
$
(151
)
 
$
869

 
$
1,028

 
$
(159
)
 
Other assets
$
171

 
$
181

 
$
(10
)
 
$
216

 
$
212

 
$
4

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
60

 
$
61

 
$
(1
)
 
$
84

 
$
85

 
$
(1
)
 
(a)
There were no accruing loans 90 days or more past due within this category at June 30, 2018 or December 31, 2017.
Fair Value Option - Changes in Fair Value
Table 57: Fair Value Option – Changes in Fair Value (a)
 
Gains (Losses)
 
Gains (Losses)
 
 
Three months ended
 
Six months ended
 
 
June 30

 
June 30

 
June 30

 
June 30

 
In millions
2018

 
2017

 
2018

 
2017

 
Assets
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
$
8

 
$
32

 
$
12

 
$
62

 
Commercial mortgage loans held for sale
$
11

 
$
25

 
$
25

 
$
43

 
Residential mortgage loans
$
7

 
$
7

 
$
10

 
$
11

 
Other assets
$
(21
)
 
$
13

 
$
(10
)
 
$
20

 
Liabilities
 
 
 
 
 
 
 
 
Other liabilities
$
(3
)
 
$
(3
)
 
$
(5
)
 
$
(19
)
 
(a)
The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.
Additional Fair Value Information Related to Other Financial Instruments
Table 58: Additional Fair Value Information Related to Other Financial Instruments
 
Carrying

 
Fair Value
 
In millions
Amount

 
Total

 
Level 1

 
Level 2

 
Level 3

 
June 30, 2018
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
5,425

 
$
5,425

 
$
5,425

 
 
 
 
 
Interest-earning deposits with banks
21,972

 
21,972

 
 
 
$
21,972

 
 
 
Securities held to maturity
19,850

 
19,453

 
744

 
18,565

 
$
144

 
Net loans (excludes leases)
212,199

 
212,762

 
 
 
 
 
212,762

 
Other assets
4,816

 
4,816

 
 
 
4,814

 
2

 
Total assets
$
264,262

 
$
264,428

 
$
6,169

 
$
45,351

 
$
212,908

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Time deposits (a)
$
17,240

 
$
16,914

 
 
 
$
16,914

 
 
 
Borrowed funds
58,384

 
58,937

 
 
 
57,127

 
$
1,810

 
Unfunded loan commitments and letters of credit
289

 
289

 
 
 
 
 
289

 
Other liabilities
421

 
421

 
 
 
421

 
 
 
Total liabilities
$
76,334

 
$
76,561

 
 
 
$
74,462

 
$
2,099

 
December 31, 2017
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
5,249

 
$
5,249

 
$
5,249

 
 
 
 
 
Interest-earning deposits with banks
28,595

 
28,595

 
 
 
$
28,595

 
 
 
Securities held to maturity
18,513

 
18,565

 
765

 
17,658

 
$
142

 
Net loans (excludes leases)
209,044

 
211,175

 
 
 
 
 
211,175

 
Other assets
6,078

 
6,736

 
 
 
5,949

 
787

 
Total assets
$
267,479

 
$
270,320

 
$
6,014

 
$
52,202

 
$
212,104

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Deposits
$
265,053

 
$
264,854

 
 
 
$
264,854

 
 
 
Borrowed funds
57,744

 
58,503

 
 
 
56,853

 
$
1,650

 
Unfunded loan commitments and letters of credit
297

 
297

 
 
 
 
 
297

 
Other liabilities
399

 
399

 
 
 
399

 
 
 
Total liabilities
$
323,493

 
$
324,053

 
 
 
$
322,106

 
$
1,947

 

(a)
The amount at June 30, 2018 excludes deposit liabilities with no defined or contractual maturities in accordance with the adoption of ASU 2016-01. See the Recently Adopted Accounting Standards portion of Note 1 Accounting Policies in our First Quarter 2018 Form 10-Q for additional details on this adoption.