FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2017

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

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



	September 30, 2017						December 31, 2016
(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		$349		$349		$—		$504		$505		($1	)
Commercial and commercial real estate loans held for sale, at fair value	151		151		—		79		79		—

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, 2017:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$19,963		$—		$19,963		$—
State and political subdivisions	7		—		7		—
U.S. Treasury and other	12		12		—		—
Total securities available for sale	19,982		12		19,970		—
Loans held for sale, at fair value:
Residential loans held for sale	349		—		349		—
Commercial loans held for sale	151		—		151		—
Total loans held for sale, at fair value	500		—		500		—
Derivative assets⁽¹⁾:
Interest rate swaps	508		—		508		—
Foreign exchange contracts	146		—		146		—
Other contracts	10		—		10		—
Total derivative assets	664		—		664		—
Other investment securities, at fair value:
Money market mutual fund	160		160		—		—
Other investments	5		—		5		—
Total other investment securities, at fair value	165		160		5		—
Total assets		$21,311		$172		$21,139		$—
Derivative liabilities⁽¹⁾:
Interest rate swaps		$338		$—		$338		$—
Foreign exchange contracts	142		—		142		—
Other contracts	5		—		5		—
Total derivative liabilities	485		—		485		—
Total liabilities		$485		$—		$485		$—

⁽¹⁾ Amounts reflect changes in the treatment of variation margin on certain centrally cleared derivatives.

The following table presents assets and liabilities measured at fair value including gross derivative assets and liabilities on a recurring basis at December 31, 2016:



(in millions)	Total		Level 1		Level 2		Level 3
Securities available for sale:
Mortgage-backed securities		$19,446		$—		$19,446		$—
State and political subdivisions	8		—		8		—
Equity securities	17		—		17		—
U.S. Treasury	30		30		—		—
Total securities available for sale	19,501		30		19,471		—
Loans held for sale, at fair value:
Residential loans held for sale	504		—		504		—
Commercial loans held for sale	79		—		79		—
Total loans held for sale, at fair value	583		—		583		—
Derivative assets:
Interest rate swaps	609		—		609		—
Foreign exchange contracts	134		—		134		—
Other contracts	16		—		16		—
Total derivative assets	759		—		759		—
Other investment securities, at fair value:
Money market mutual fund	91		91		—		—
Other investments	5		—		5		—
Total other investment securities, at fair value	96		91		5		—
Total assets		$20,939		$121		$20,818		$—
Derivative liabilities:
Interest rate swaps		$645		$—		$645		$—
Foreign exchange contracts	126		—		126		—
Other contracts	7		—		7		—
Total derivative liabilities	778		—		778		—
Total liabilities		$778		$—		$778		$—

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)	2017			2016			2017				2016
Impaired collateral-dependent loans		($4	)		($18	)		($31	)			($29	)
MSRs	—			(2		)	1				(6		)
Foreclosed assets	(1		)	—			(3		)		(2		)
Leased assets	—			—			(15		)	—	—

Fair value of assets and liabilities measured on a nonrecurring basis

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



	September 30, 2017								December 31, 2016
(in millions)	Total		Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3
Impaired collateral-dependent loans		$300		$—		$300		$—		$355		$—		$355		$—
MSRs	183		—		—		183		182		—		—		182
Foreclosed assets	32		—		32		—		44		—		44		—
Leased assets	131		—		131		—		158		—		158		—

Assets and liabilities measured at fair value

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



	September 30, 2017
	Total				Level 1				Level 2				Level 3
(in millions)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Securities held to maturity		$4,823		$4,839		$—		$—		$4,823		$4,839		$—		$—
Other investment securities, at cost	772		772		—		—		772		772		—		—
Other loans held for sale	724		724		—		—		—		—		724		724
Loans and leases	110,151		110,710		—		—		300		300		109,851		110,410
Financial Liabilities:
Deposits	113,235		113,205		—		—		113,235		113,205		—		—
Federal funds purchased and securities sold under agreements to repurchase	453		453		—		—		453		453		—		—
Other short-term borrowed funds	1,505		1,505		—		—		1,505		1,505		—		—
Long-term borrowed funds	13,400		13,543		—		—		13,400		13,543		—		—



	December 31, 2016
	Total				Level 1				Level 2				Level 3
(in millions)	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value
Financial Assets:
Securities held to maturity		$5,071		$5,058		$—		$—		$5,071		$5,058		$—		$—
Other investment securities, at cost	942		942		—		—		942		942		—		—
Other loans held for sale	42		42		—		—		—		—		42		42
Loans and leases	107,669		107,537		—		—		355		355		107,314		107,182
Financial Liabilities:
Deposits	109,804		109,796		—		—		109,804		109,796		—		—
Federal funds purchased and securities sold under agreements to repurchase	1,148		1,148		—		—		1,148		1,148		—		—
Other short-term borrowed funds	3,211		3,211		—		—		3,211		3,211		—		—
Long-term borrowed funds	12,790		12,849		—		—		12,790		12,849		—		—

- 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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