Fair Value Disclosures (Tables)

6 Months Ended

Jun. 30, 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:



June 30, 2018
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
AFS securities:
U.S. Treasury	$	2,323	$	—	$	2,323	$	—
GSE	175		—		175		—
Agency MBS	19,848		—		19,848		—
States and political subdivisions	980		—		980		—
Non-agency MBS	554		—		129		425
Other	39		—		39		—
Total AFS securities	23,919		—		23,494		425
LHFS	1,615		—		1,615		—
MSRs	1,143		—		—		1,143
Other assets:
Trading and equity securities	820		380		440		—
Derivative assets	192		—		185		7
Private equity investments	399		—		—		399
Total assets	$	28,088	$	380	$	25,734	$	1,974
Liabilities:
Derivative liabilities	$	395	$	—	$	392	$	3
Securities sold short	235		—		235		—
Total liabilities	$	630	$	—	$	627	$	3



December 31, 2017
(Dollars in millions)	Total		Level 1		Level 2		Level 3
Assets:
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
Other assets:
Trading and equity securities	633		363		270		—
Total derivative assets	443		—		437		6
Private equity investments	404		—		—		404
Total assets	$	28,182	$	369	$	25,915	$	1,898
Liabilities:
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:



Three Months Ended June 30, 2018 and 2017	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
(Dollars in millions)	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
Balance at April 1, 2017	$	480		$	1,088		$	10		$	400
Total realized and unrealized gains (losses):
Included in earnings	14			(17		)	23			—
Included in unrealized net holding gains (losses) in OCI	(2		)	—			—			—
Purchases	—			—			—			7
Issuances	—			25			9			—
Sales	—			—			—			(12		)
Settlements	(18		)	(44		)	(39		)	(1		)
Balance at June 30, 2017	$	474		$	1,052		$	3		$	394

Balance at April 1, 2018	$	441		$	1,119		$	7		$	400
Total realized and unrealized gains (losses):
Included in earnings	7			23			1			5
Included in unrealized net holding gains (losses) in OCI	(9		)	—			—			—
Purchases	—			—			—			3
Issuances	—			46			11			—
Sales	—			—			—			—
Settlements	(14		)	(45		)	(15		)	(9		)
Balance at June 30, 2018	$	425		$	1,143		$	4		$	399
Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at June 30, 2018	$	7		$	23		$	4		$	4



Six Months Ended June 30, 2018 and 2017	Non-agency MBS			MSRs			Net Derivatives			Private Equity Investments
(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	23			20			19			5
Included in unrealized net holding gains (losses) in OCI	(20		)	—			—			—
Purchases	—			—			—			75
Issuances	—			63			24			—
Sales	—			—			—			(30		)
Settlements	(36		)	(83		)	(27		)	(5		)
Transfers out of Level 3	—			—			—			(13		)
Balance at June 30, 2017	$	474		$	1,052		$	3		$	394

Balance at January 1, 2018	$	432		1,056			$	3		$	404
Total realized and unrealized gains (losses):
Included in earnings	6			91			1			11
Included in unrealized net holding gains (losses) in OCI	14			—			—			—
Purchases	—			—			—			27
Issuances	—			83			6			—
Sales	—			—			—			(24		)
Settlements	(27		)	(87		)	(6		)	(19		)
Balance at June 30, 2018	$	425		$	1,143		$	4		$	399
Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at June 30, 2018	$	6		$	91		$	4		$	11
Primary income statement location of realized gains (losses) included in earnings	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:



	June 30, 2018						December 31, 2017
(Dollars in millions)	Fair Value		UPB		Difference		Fair Value		UPB		Difference
LHFS reported at fair value	$	1,615	$	1,596	$	19	$	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 Six Months Ended June 30,	2018					2017
(Dollars in millions)	Carrying Value		Valuation Adjustments			Carrying Value		Valuation Adjustments
Impaired loans	$	174	$	(22	)	$	190	$	(14	)
Foreclosed real estate	43		(114		)	48		(126		)

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:



		June 30, 2018				December 31, 2017
(Dollars in millions)	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Financial assets:
HTM securities	Level 2	$	21,749	$	21,080	$	23,027	$	22,837
Loans and leases HFI, net of ALLL	Level 3	144,653		143,345		142,211		141,664
Financial liabilities:
Time deposits	Level 2	14,781		14,817		13,170		13,266
Long-term debt	Level 2	24,081		24,155		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:



	June 30, 2018				December 31, 2017
(Dollars in millions)	Notional/Contract Amount		Fair Value		Notional/Contract Amount		Fair Value
Commitments to extend, originate or purchase credit	$	70,601	$	312	$	67,860	$	259
Residential mortgage loans sold with recourse	452		5		490		5
Other loans sold with recourse	4,475		5		4,153		5
Letters of credit	2,465		20		2,466		21