FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2015

Summary of difference between aggregated fair value and unpaid principal balance of loans held for sale

The following table summarizes the difference between the aggregate fair value and the aggregate unpaid principal balance loans held for sale measured at fair value:



	September 30, 2015						December 31, 2014
(in millions)	Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Aggregate Unpaid Principal		Aggregate Fair Value		Aggregate Unpaid Principal		Aggregate Fair Value Less Aggregate Unpaid Principal
Residential mortgage loans held for sale, at fair value		$269		$261		$8		$213		$206		$7
Commercial and commercial real estate loans held for sale, at fair value	100		100		—		43		43		—

Assets and liabilities measured on recurring basis

The following table presents assets and liabilities measured at fair value, including gross derivative assets and liabilities on a recurring basis at September 30, 2015:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$18,156		$—		$18,156		$—
State and political subdivisions	9		—		9		—
Equity securities	17		—		17		—
U.S. Treasury	15		15		—		—
Total securities available for sale	18,197		15		18,182		—
Loans held for sale:
Residential loans held for sale	269		—		269		—
Commercial loans held for sale	100		—		100		—
Total loans held for sale	369		—		369		—
Derivative assets:
Interest rate swaps	837		—		837		—
Foreign exchange contracts	163		—		163		—
Other contracts	10		—		10		—
Total derivative assets	1,010		—		1,010		—
Other investment securities, at fair value:
Money market mutual fund	45		45		—		—
Venture capital investments and other investments	5		—		5		—
Total other investment securities, at fair value	50		45		5		—
Total assets		$19,626		$60		$19,566		$—
Derivative liabilities:
Interest rate swaps		$648		$—		$648		$—
Foreign exchange contracts	158		—		158		—
Other contracts	10		—		10		—
Total derivative liabilities	816		—		816		—
Total liabilities		$816		$—		$816		$—

The following table presents assets and liabilities measured at fair value including gross derivative assets and liabilities on a recurring basis at December 31, 2014:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$18,606		$—		$18,606		$—
State and political subdivisions	10		—		10		—
Equity securities	25		8		17		—
U.S. Treasury	15		15		—		—
Total securities available for sale	18,656		23		18,633		—
Loans held for sale:
Residential loans held for sale	213		—		213		—
Commercial loans held for sale	43		—		43		—
Total loans held for sale	256		—		256		—
Derivative assets:
Interest rate swaps	613		—		613		—
Foreign exchange contracts	170		—		170		—
Other contracts	7		—		7		—
Total derivative assets	790		—		790		—
Other investment securities, at fair value:
Money market mutual fund	28		28		—		—
Venture capital investments and other investments	5		—		—		5
Total other investment securities, at fair value	33		28		—		5
Total assets		$19,735		$51		$19,679		$5
Derivative liabilities:
Interest rate swaps		$600		$—		$600		$—
Foreign exchange contracts	164		—		164		—
Other contracts	9		—		9		—
Total derivative liabilities	773		—		773		—
Total liabilities		$773		$—		$773		$—

The changes in Level 3 assets measured at fair value on a recurring basis are summarized as follows:



	Three Months Ended September 30,					Nine Months Ended September 30,
(in millions)	2015			2014		2015			2014
Beginning of period balance		$1			$6		$5			$5
Purchases, issuances, sales and settlements:
Purchases	—			—		1			—
Sales	—			—		—			—
Settlements	—			—		—			—
Net (losses) gains	(1		)	—		(1		)	1
Transfers from Level 3 to Level 2	—			—		(5		)	—
Balance as of period end		$—			$6		$—			$6
Net unrealized gain included in net income for the year relating to assets held at period end		$—			$—		$—			$—

Gains (losses) on assets and liabilities measured on a nonrecurring basis included in earnings

The following table presents gains (losses) on assets and liabilities measured at fair value on a nonrecurring basis and recorded in earnings:



	Three Months Ended September 30,						Nine Months Ended September 30,
(in millions)	2015			2014			2015			2014
Impaired collateral-dependent loans		($9	)		($5	)		($22	)		($99	)
MSRs	(1		)	5			6			8
Foreclosed assets	—			(1		)	(2		)	(2		)

Fair value of assets and liabilities measured on a nonrecurring basis

The following tables present assets and liabilities measured at fair value on a nonrecurring basis:



	September 30, 2015								December 31, 2014
(in millions)	Total		Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3
Impaired collateral-dependent loans		$107		$—		$107		$—		$102		$—		$102		$—
MSRs	177		—		—		177		166		—		—		166
Foreclosed assets	36		—		36		—		40		—		40		—

Assets and liabilities measured at fair value

The following table is a summary of fair value for financial instruments not recorded at fair value in the unaudited interim Consolidated Financial Statements. The carrying amounts in the following table are recorded in the Consolidated Balance Sheets under the indicated captions:



	September 30, 2015
	Total				Level 1				Level 2				Level 3
(in millions)	Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets:
Securities held to maturity		$5,285		$5,386		$—		$—		$5,285		$5,386		$—		$—
Other investment securities, at cost	822		822		—		—		822		822		—		—
Other loans held for sale	51		51		—		—		—		—		51		51
Loans and leases	97,431		97,314		—		—		107		107		97,324		97,207
Financial Liabilities:
Deposits	101,866		101,869		—		—		101,866		101,869		—		—
Federal funds purchased and securities sold under agreements to repurchase	1,293		1,294		—		—		1,293		1,294		—		—
Other short-term borrowed funds	5,861		5,861		—		—		5,861		5,861		—		—
Long-term borrowed funds	4,153		4,261		—		—		4,153		4,261		—		—



	December 31, 2014
	Total				Level 1				Level 2				Level 3
(in millions)	Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value		Carrying Value		Fair Value
Financial Assets:
Securities held to maturity		$5,148		$5,193		$—		$—		$5,148		$5,193		$—		$—
Other investment securities, at cost	867		867		—		—		867		867		—		—
Other loans held for sale	25		25		—		—		—		—		25		25
Loans and leases	93,410		93,674		—		—		102		102		93,308		93,572
Financial Liabilities:
Deposits	95,707		95,710		—		—		95,707		95,710		—		—
Federal funds purchased and securities sold under agreements to repurchase	4,276		4,276		—		—		4,276		4,276		—		—
Other short-term borrowed funds	6,253		6,253		—		—		6,253		6,253		—		—
Long-term borrowed funds	4,642		4,706		—		—		4,642		4,706		—		—

- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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