Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2018

Schedule of Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present fair value information for assets and liabilities measured at fair value on a recurring basis:



March 31, 2018
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
Trading and equity securities	$	623	$	368	$	255	$	—
AFS securities:
U.S. Treasury	2,335		—		2,335		—
GSE	176		—		176		—
Agency MBS	20,687		—		20,687		—
States and political subdivisions	1,199		—		1,199		—
Non-agency MBS	578		—		137		441
Other	42		—		42		—
Total AFS securities	25,017		—		24,576		441
LHFS	1,189		—		1,189		—
MSRs	1,119		—		—		1,119
Derivative assets:
Interest rate contracts	196		1		184		11
Foreign exchange contracts	3		—		3		—
Total derivative assets	199		1		187		11
Private equity investments	400		—		—		400
Total assets	$	28,547	$	369	$	26,207	$	1,971
Liabilities:
Derivative liabilities:
Interest rate contracts	$	409	$	—	$	405	$	4
Foreign exchange contracts	3		—		3		—
Total derivative liabilities	412		—		408		4
Securities sold short	113		—		113		—
Total liabilities	$	525	$	—	$	521	$	4



December 31, 2017
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
Trading and equity securities	$	633	$	363	$	270	$	—
AFS securities:
U.S. Treasury	2,291		—		2,291		—
GSE	179		—		179		—
Agency MBS	20,101		—		20,101		—
States and political subdivisions	1,392		—		1,392		—
Non-agency MBS	576		—		144		432
Other	8		6		2		—
Total AFS securities	24,547		6		24,109		432
LHFS	1,099		—		1,099		—
MSRs	1,056		—		—		1,056
Derivative assets:
Interest rate contracts	440		—		434		6
Foreign exchange contracts	3		—		3		—
Total derivative assets	443		—		437		6
Private equity investments	404		—		—		404
Total assets	$	28,182	$	369	$	25,915	$	1,898
Liabilities:
Derivative liabilities:
Interest rate contracts	$	708	$	—	$	705	$	3
Foreign exchange contracts	6		—		6		—
Total derivative liabilities	714		—		711		3
Securities sold short	120		—		120		—
Total liabilities	$	834	$	—	$	831	$	3

Rollforward of Level 3 Assets and Liabilities

Activity for Level 3 assets and liabilities is summarized below:



(Dollars in millions)	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
Balance at January 1, 2017	$	507		$	1,052		$	(13	)	$	362
Total realized and unrealized gains (losses):
Included in earnings	9			37			(4		)	5
Included in unrealized net holding gains (losses) in OCI	(18		)	—			—			—
Purchases	—			—			—			68
Issuances	—			38			15			—
Sales	—			—			—			(18		)
Settlements	(18		)	(39		)	12			(4		)
Transfers out of Level 3	—			—			—			(13		)
Balance at March 31, 2017	$	480		$	1,088		$	10		$	400

Balance at January 1, 2018	$	432		$	1,056		$	3		$	404
Total realized and unrealized gains (losses):
Included in earnings	(1		)	68			—			6
Included in unrealized net holding gains (losses) in OCI	23			—			—			—
Purchases	—			—			—			24
Issuances	—			37			(5		)	—
Sales	—			—			—			(24		)
Settlements	(13		)	(42		)	9			(10		)
Balance at March 31, 2018	$	441		$	1,119		$	7		$	400

Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at March 31, 2018	$	(1	)	$	68		$	5		$	12
Primary income statement location of realized gains (losses) included in earnings	Net interest income			Mortgage banking income			Mortgage banking income			Other income

Fair Value and UPB of LHFS

The following table details the fair value and UPB of LHFS that were elected to be carried at fair value:



	March 31, 2018						December 31, 2017
(Dollars in millions)	Fair Value		Aggregate UPB		Difference		Fair Value		Aggregate UPB		Difference
LHFS reported at fair value	$	1,189	$	1,180	$	9	$	1,099	$	1,084	$	15

Assets Measured at Fair Value on a Nonrecurring Basis

The following table provides information about certain assets measured at fair value on a nonrecurring basis, which are primarily collateral dependent and may be subject to liquidity adjustments. The carrying values represent end of period values, which approximate the fair value measurements that occurred on the various measurement dates throughout the period. The valuation adjustments represent the amounts recorded during the period regardless of whether the asset is still held at period end. These assets are considered to be Level 3 assets (excludes PCI).



As of / For The Three Months Ended March 31,	2018					2017
(Dollars in millions)	Carrying Value		Valuation Adjustments			Carrying Value		Valuation Adjustments
Impaired loans	$	185	$	(12	)	$	255	$	(8	)
Foreclosed real estate	40		(66		)	49		(66		)

Carrying Amounts and Fair Value of Financial Assets and Liabilities Not Recorded at Fair Value

Financial assets and liabilities not recorded at fair value are summarized below:



		March 31, 2018				December 31, 2017
(Dollars in millions)	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
HTM securities	Level 2	$	22,390	$	21,829	$	23,027	$	22,837
Loans and leases HFI, net of ALLL	Level 3	141,519		140,461		142,211		141,664
Financial liabilities:
Time deposits	Level 2	13,725		13,775		13,170		13,266
Long-term debt	Level 2	23,410		23,495		23,648		23,885

Selected Information Pertaining to Off-Balance Sheet Financial Instruments

The following is a summary of selected information pertaining to off-balance sheet financial instruments:



	March 31, 2018				December 31, 2017
(Dollars in millions)	Notional/Contract Amount		Fair Value		Notional/Contract Amount		Fair Value
Commitments to extend, originate or purchase credit	$	69,814	$	324	$	67,860	$	259
Residential mortgage loans sold with recourse	473		5		490		5
Other loans sold with recourse	4,175		5		4,153		5
Letters of credit	2,460		22		2,466		21

- 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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