Fair Value Disclosures (Tables)

3 Months Ended

Mar. 31, 2020

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, 2020 (Dollars in millions)	Total		Level 1		Level 2		Level 3		Netting Adjustments (1)
Assets:
Trading assets:
U.S. Treasury	$	630	$	—	$	630	$	—	$	—
GSE	343		—		343		—		—
Agency MBS - residential	601		—		601		—		—
Agency MBS - commercial	58		—		58		—		—
States and political subdivisions	43		—		43		—		—

Corporate and other debt securities	536		—		536		—		—
Loans	1,569		—		1,569		—		—
Other	83		78		5		—		—
Total trading assets	3,863		78		3,785		—		—
AFS securities:
U.S. Treasury	2,319		—		2,319		—		—
GSE	1,933		—		1,933		—		—
Agency MBS - residential	71,753		—		71,753		—		—
Agency MBS - commercial	1,519		—		1,519		—		—
States and political subdivisions	539		—		539		—		—
Non-agency MBS	298		—		—		298		—
Other	37		—		37		—		—
Total AFS securities	78,398		—		78,100		298		—
LHFS at fair value	3,655		—		3,655		—		—
MSRs at fair value	2,150		—		—		2,150		—
Other assets:
Derivative assets	4,040		548		6,746		177		(3,431)
Equity securities	641		603		38		—		—
Private equity investments	448		—		—		448		—
Total assets	$	93,195	$	1,229	$	92,324	$	3,073	$	(3,431)
Liabilities:
Derivative liabilities	$	764	$	674	$	3,234	$	34	$	(3,178)
Securities sold short	1,085		—		1,085		—		—
Total liabilities	$	1,849	$	674	$	4,319	$	34	$	(3,178)


December 31, 2019 (Dollars in millions)	Total		Level 1		Level 2		Level 3		Netting Adjustments (1)
Assets:
Trading assets:
U.S. Treasury	$	227	$	—	$	227	$	—	$	—
GSE	296		—		296		—		—
Agency MBS - residential	497		—		497		—		—
Agency MBS - commercial	68		—		68		—		—
States and political subdivisions	82		—		82		—		—
Non-agency MBS	277		—		277		—		—
Corporate and other debt securities	1,204		—		1,204		—		—
Loans	2,948		—		2,948		—		—
Other	134		90		44		—		—
Total trading assets	5,733		90		5,643		—		—
AFS securities:
U.S. Treasury	2,276		—		2,276		—		—
GSE	1,881		—		1,881		—		—
Agency MBS - residential	68,236		—		68,236		—		—
Agency MBS - commercial	1,341		—		1,341		—		—
States and political subdivisions	585		—		585		—		—
Non-agency MBS	368		—		—		368		—
Other	40		—		40		—		—
Total AFS securities	74,727		—		74,359		368		—
LHFS	5,673		—		5,673		—		—
MSRs	2,618		—		—		2,618		—
Other assets:
Derivative assets	2,053		606		3,620		34		(2,207)
Equity securities	817		815		2		—		—
Private equity investments	440		—		—		440		—
Total assets	$	92,061	$	1,511	$	89,297	$	3,460	$	(2,207)
Liabilities:
Derivative liabilities	$	366	$	204	$	3,117	$	15	$	(2,970)
Securities sold short	1,074		18		1,056		—		—
Total liabilities	$	1,440	$	222	$	4,173	$	15	$	(2,970)

(1) Refer to "Note 15. Derivative Financial Instruments" for additional discussion on netting adjustments.

Rollforward of Level 3 Assets and Liabilities

Activity for Level 3 assets and liabilities is summarized below:




Three Months Ended (Dollars in millions)	Trading Securities		Non-agency MBS		MSRs		Net Derivatives		Private Equity Investments
Balance at January 1, 2019	$	3	$	391	$	1,108	$	12	$	393
Total realized and unrealized gains (losses):
Included in earnings	—		2		(54)		8		23
Included in unrealized net holding gains (losses) in OCI	—		1		—		—		—
Purchases	15		—		—		—		7
Issuances	—		—		22		17		—
Sales	(7)		—		—		—		(33)
Settlements	—		(8)		(40)		(30)		(2)


Balance at March 31, 2019	$	11	$	386	$	1,036	$	7	$	388

Balance at January 1, 2020	$	—	$	368	$	2,618	$	19	$	440
Total realized and unrealized gains (losses):
Included in earnings	—		3		(526)		111		2
Included in unrealized net holding gains (losses) in OCI	—		(64)		—		—		—
Purchases	—		—		—		—		27
Issuances	—		—		187		155		—
Sales	—		—		—		—		—
Settlements	—		(9)		(129)		(142)		(21)


Balance at March 31, 2020	$	—	$	298	$	2,150	$	143	$	448
Change in unrealized gains (losses) included in earnings for the period, attributable to assets and liabilities still held at March 31, 2020	$	—	$	3	$	(526)	$	154	$	—






































Primary income statement location of realized gains (losses) included in earnings	Interest income		Interest income		Residential mortgage income and Commercial real estate related income		Residential mortgage income and Commercial real estate related 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 measured at fair value. Trading loans, included in other trading assets, were also elected to be measured at fair value.


	March 31, 2020										December 31, 2019
(Dollars in millions)	Fair Value		UPB		Difference		Fair Value		UPB		Difference


Trading loans	$	1,569	$	1,891	$	(322)	$	2,948	$	2,982	$	(34)
LHFS at fair value	3,655		3,485		170		5,673		5,563		110

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. 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).



	2020						2019
As of / For The Three Months Ended March 31, (Dollars in millions)	Carrying Value		Valuation Adjustments		Carrying Value		Valuation Adjustments
LHFS	$	427	$	(25)	$	—	$	—
Loans and leases	101		(7)		154		(18)

Foreclosed real estate	63		(73)		33		(63)

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, 2020						December 31, 2019
(Dollars in millions)	Fair Value Hierarchy	Carrying Amount		Fair Value		Carrying Amount		Fair Value


Financial assets:

Loans and leases HFI, net of ALLL	Level 3	$	314,018	$	314,838	$	298,293	$	298,586
Financial liabilities:
Time deposits	Level 2	35,539		35,821		35,896		35,885
Long-term debt	Level 2	65,662		64,998		41,339		42,051