FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2016

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:



	June 30, 2016						December 31, 2015
(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		$424		$408		$16		$268		$263		$5
Commercial and commercial real estate loans held for sale, at fair value	54		54		—		57		57		—

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 June 30, 2016:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$18,438		$—		$18,438		$—
State and political subdivisions	9		—		9		—
Equity securities	17		—		17		—
U.S. Treasury and other	15		15		—		—
Total securities available for sale	18,479		15		18,464		—
Loans held for sale, at fair value:
Residential loans held for sale	424		—		424		—
Commercial loans held for sale	54		—		54		—
Total loans held for sale, at fair value	478		—		478		—
Derivative assets:
Interest rate swaps	1,235		—		1,235		—
Foreign exchange contracts	193		—		193		—
Other contracts	15		—		15		—
Total derivative assets	1,443		—		1,443		—
Other investment securities, at fair value:
Money market mutual fund	68		68		—		—
Other investments	5		—		5		—
Total other investment securities, at fair value	73		68		5		—
Total assets		$20,473		$83		$20,390		$—
Derivative liabilities:
Interest rate swaps		$978		$—		$978		$—
Foreign exchange contracts	185		—		185		—
Other contracts	14		—		14		—
Total derivative liabilities	1,177		—		1,177		—
Total liabilities		$1,177		$—		$1,177		$—

The following table presents assets and liabilities measured at fair value including gross derivative assets and liabilities on a recurring basis at December 31, 2015:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$17,842		$—		$17,842		$—
State and political subdivisions	9		—		9		—
Equity securities	17		—		17		—
U.S. Treasury	16		15		1		—
Total securities available for sale	17,884		15		17,869		—
Loans held for sale, at fair value:
Residential loans held for sale	268		—		268		—
Commercial loans held for sale	57		—		57		—
Total loans held for sale, at fair value	325		—		325		—
Derivative assets:
Interest rate swaps	636		—		636		—
Foreign exchange contracts	163		—		163		—
Other contracts	8		—		8		—
Total derivative assets	807		—		807		—
Other investment securities, at fair value:
Money market mutual fund	65		65		—		—
Other investments	5		—		5		—
Total other investment securities, at fair value	70		65		5		—
Total assets		$19,086		$80		$19,006		$—
Derivative liabilities:
Interest rate swaps		$505		$—		$505		$—
Foreign exchange contracts	156		—		156		—
Other contracts	5		—		5		—
Total derivative liabilities	666		—		666		—
Total liabilities		$666		$—		$666		$—

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



	Three Months Ended June 30,				Six Months Ended June 30,
(in millions)	2016		2015		2016		2015
Beginning of period balance		$—		$1		$—		$5
Purchases, issuances, sales and settlements:
Purchases	—		—		—		1
Sales	—		—		—		—
Settlements	—		—		—		—
Net (losses) gains	—		—		—		—
Transfers from Level 3 to Level 2	—		—		—		(5		)
Balance as of June 30		$—		$1		$—		$1
Net unrealized gain (loss) included in net income for the year relating to assets held at period end		$—		$—		$—		$1

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 June 30,						Six Months Ended June 30,
(in millions)	2016			2015			2016			2015
Impaired collateral-dependent loans		($6	)		($10	)		($11	)		($13	)
MSRs	1			6			(4		)	7
Foreclosed assets	(1		)	(1		)	(2		)	(2		)

Fair value of assets and liabilities measured on a nonrecurring basis

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



	June 30, 2016								December 31, 2015
(in millions)	Total		Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3
Impaired collateral-dependent loans		$55		$—		$55		$—		$60		$—		$60		$—
MSRs	165		—		—		165		178		—		—		178
Foreclosed assets	46		—		46		—		42		—		42		—

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:



	June 30, 2016
	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		$4,973		$5,136		$—		$—		$4,973		$5,136		$—		$—
Other investment securities, at cost	873		873		—		—		873		873		—		—
Other loans held for sale	372		372		—		—		—		—		372		372
Loans and leases	103,551		104,381		—		—		55		55		103,496		104,326
Financial Liabilities:
Deposits	106,257		106,260		—		—		106,257		106,260		—		—
Federal funds purchased and securities sold under agreements to repurchase	717		717		—		—		717		717		—		—
Other short-term borrowed funds	2,770		2,770		—		—		2,770		2,770		—		—
Long-term borrowed funds	11,810		11,968		—		—		11,810		11,968		—		—



	December 31, 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		$5,258		$5,297		$—		$—		$5,258		$5,297		$—		$—
Other investment securities, at cost	863		863		—		—		863		863		—		—
Other loans held for sale	40		40		—		—		—		—		40		40
Loans and leases	99,042		99,026		—		—		60		60		98,982		98,966
Financial Liabilities:
Deposits	102,539		102,528		—		—		102,539		102,528		—		—
Federal funds purchased and securities sold under agreements to repurchase	802		802		—		—		802		802		—		—
Other short-term borrowed funds	2,630		2,630		—		—		2,630		2,630		—		—
Long-term borrowed funds	9,886		9,837		—		—		9,886		9,837		—		—

- 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.

+ References + Details