Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2014

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

The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of December 31, 2014 and 2013:

Table 18.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis



	December 31, 2014
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury and agency debt obligations	$	4,117	$	1	$	0	$	4,118
Corporate debt securities guaranteed by U.S. government agencies	0		467		333		800
RMBS	0		24,820		561		25,381
CMBS	0		5,291		228		5,519
Other ABS	0		2,597		65		2,662
Other securities	111		899		18		1,028
Total securities available for sale	4,228		34,075		1,205		39,508
Other assets:
Consumer MSRs	0		0		53		53
Derivative assets⁽¹⁾	4		1,026		66		1,096
Retained interests in securitizations	0		0		221		221
Total assets	$	4,232	$	35,101	$	1,545	$	40,878
Liabilities:
Other liabilities:
Derivative liabilities⁽¹⁾	$	3	$	230	$	43	$	276
Total liabilities	$	3	$	230	$	43	$	276



	December 31, 2013
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury and agency debt obligations	$	833	$	1	$	0	$	834
Corporate debt securities guaranteed by U.S. government agencies	0		307		927		1,234
RMBS	0		23,775		1,304		25,079
CMBS	0		5,267		739		6,006
Other ABS	0		6,793		343		7,136
Other securities	127		1,367		17		1,511
Total securities available for sale	960		37,510		3,330		41,800
Other assets:
Consumer MSRs	0		4		69		73
Derivative assets⁽¹⁾	3		906		50		959
Retained interests in securitizations	0		0		199		199
Total assets	$	963	$	38,420	$	3,648	$	43,031
Liabilities:
Other liabilities:
Derivative liabilities⁽¹⁾	$	4	$	668	$	38	$	710
Total liabilities	$	4	$	668	$	38	$	710

__________


⁽¹⁾	Does not reflect $4 million and $1 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2014 and 2013, respectively. Non-performance risk is reflected in other assets/liabilities on the consolidated balance sheets and offset through other income in the consolidated statements of income.

Schedule of Level 3 Inputs Reconciliation for Assets

Table 18.2: Level 3 Recurring Fair Value Rollforward



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2014
			Total Gains (Losses) (Realized/Unrealized)																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2014⁽³⁾
			Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2014		Included in Net Income⁽¹⁾			Included in OCI		Purchases		Sales			Issuances		Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, December 31, 2014
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	927	$	(5	)	$	20	$	0	$	(248	)	$	0	$	(63	)	$	64	$	(362	)	$	333	$	0
RMBS	1,304		65			39		1,022		0			0		(171		)	259		(1,957		)	561		64
CMBS	739		0			3		192		0			0		(75		)	66		(697		)	228		0
Other ABS	343		5			12		0		0			0		(3		)	75		(367		)	65		5
Other securities	17		(1		)	0		0		0			0		(8		)	10		0			18		0
Total securities available for sale	3,330		64			74		1,214		(248		)	0		(320		)	474		(3,383		)	1,205		69
Other assets:
Consumer MSRs	69		(27		)	0		0		0			15		(4		)	0		0			53		(27		)
Derivative assets	50		20			0		0		0			20		(21		)	0		(3		)	66		19
Retained interest in securitizations	199		22			0		0		0			0		0			0		0			221		22
Liabilities:
Other liabilities:
Derivative liabilities	$	38	$	20		$	0	$	0	$	0		$	15	$	(29	)	$	0	$	(1	)	$	43	$	20



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2013
			Total Gains (Losses) (Realized/Unrealized)																							Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2013⁽³⁾
			Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2013		Included in Net Income⁽¹⁾			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, December 31, 2013
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	650	$	0		$	(39	)	$	272	$	0		$	0	$	(67	)	$	156	$	(45	)	$	927	$	0
RMBS	1,335		(16		)	203			287		0			0		(239		)	794		(1,060		)	1,304		(20		)
CMBS	587		0			(57		)	1,085		(10		)	0		11			284		(1,161		)	739		0
Other ABS	102		(1		)	14			279		(56		)	0		(2		)	103		(96		)	343		(1		)
Other securities	15		0			0			32		(23		)	0		(7		)	1		(1		)	17		0
Total securities available for sale	2,689		(17		)	121			1,955		(89		)	0		(304		)	1,338		(2,363		)	3,330		(21		)
Other assets:
Consumer MSRs	55		34			0			0		0			13		(7		)	0		(26		)	69		18
Derivative assets	90		(22		)	0			0		0			10		(19		)	0		(9		)	50		(22		)
Retained interest in securitization	204		(5		)	0			0		0			0		0			0		0			199		(5		)
Liabilities:
Other liabilities:
Derivative liabilities	$	38	$	14		$	0		$	0	$	0		$	14	$	(28	)	$	1	$	(1	)	$	38	$	14

__________


⁽¹⁾	Gains (losses) related to Level 3 Consumer MSRs, derivative assets and derivative liabilities, and retained interests in securitizations are reported in other non-interest income, which is a component of non-interest income, in our consolidated statements of income.


⁽²⁾	During the years ended December 31, 2014 and 2013, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 for 2014 and 2013 were primarily driven by greater consistency among multiple pricing sources.

⁽³⁾

The amount presented for unrealized gains (losses) for assets still held as of the reporting date primarily represents impairments of securities available for sale, accretion on certain fixed maturity securities, changes in fair value of derivative instruments and mortgage servicing rights transactions. Impairment is reported in total other-than-temporary impairment, which is a component of non-interest income, in our consolidated statements of income.

Schedule of Level 3 Inputs Reconciliation for Liabilities

The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2014 and 2013. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 18.2: Level 3 Recurring Fair Value Rollforward



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2014
			Total Gains (Losses) (Realized/Unrealized)																						Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2014⁽³⁾
			Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2014		Included in Net Income⁽¹⁾			Included in OCI		Purchases		Sales			Issuances		Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, December 31, 2014
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	927	$	(5	)	$	20	$	0	$	(248	)	$	0	$	(63	)	$	64	$	(362	)	$	333	$	0
RMBS	1,304		65			39		1,022		0			0		(171		)	259		(1,957		)	561		64
CMBS	739		0			3		192		0			0		(75		)	66		(697		)	228		0
Other ABS	343		5			12		0		0			0		(3		)	75		(367		)	65		5
Other securities	17		(1		)	0		0		0			0		(8		)	10		0			18		0
Total securities available for sale	3,330		64			74		1,214		(248		)	0		(320		)	474		(3,383		)	1,205		69
Other assets:
Consumer MSRs	69		(27		)	0		0		0			15		(4		)	0		0			53		(27		)
Derivative assets	50		20			0		0		0			20		(21		)	0		(3		)	66		19
Retained interest in securitizations	199		22			0		0		0			0		0			0		0			221		22
Liabilities:
Other liabilities:
Derivative liabilities	$	38	$	20		$	0	$	0	$	0		$	15	$	(29	)	$	0	$	(1	)	$	43	$	20



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2013
			Total Gains (Losses) (Realized/Unrealized)																							Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2013⁽³⁾
			Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2013		Included in Net Income⁽¹⁾			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, December 31, 2013
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	650	$	0		$	(39	)	$	272	$	0		$	0	$	(67	)	$	156	$	(45	)	$	927	$	0
RMBS	1,335		(16		)	203			287		0			0		(239		)	794		(1,060		)	1,304		(20		)
CMBS	587		0			(57		)	1,085		(10		)	0		11			284		(1,161		)	739		0
Other ABS	102		(1		)	14			279		(56		)	0		(2		)	103		(96		)	343		(1		)
Other securities	15		0			0			32		(23		)	0		(7		)	1		(1		)	17		0
Total securities available for sale	2,689		(17		)	121			1,955		(89		)	0		(304		)	1,338		(2,363		)	3,330		(21		)
Other assets:
Consumer MSRs	55		34			0			0		0			13		(7		)	0		(26		)	69		18
Derivative assets	90		(22		)	0			0		0			10		(19		)	0		(9		)	50		(22		)
Retained interest in securitization	204		(5		)	0			0		0			0		0			0		0			199		(5		)
Liabilities:
Other liabilities:
Derivative liabilities	$	38	$	14		$	0		$	0	$	0		$	14	$	(28	)	$	1	$	(1	)	$	38	$	14

__________


⁽¹⁾	Gains (losses) related to Level 3 Consumer MSRs, derivative assets and derivative liabilities, and retained interests in securitizations are reported in other non-interest income, which is a component of non-interest income, in our consolidated statements of income.


⁽²⁾	During the years ended December 31, 2014 and 2013, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 for 2014 and 2013 were primarily driven by greater consistency among multiple pricing sources.

⁽³⁾

Schedule of Assets Measured at Fair Value on Recurring Basis Quantitative Information

Table 18.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31,
2014

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

561

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

0-18%
0-23%
0-15%
0-85%

6%
4%
5%
55%

CMBS

228

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

1-4%
0-100%

1%
5%

Other ABS

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

2-7%
0-3%
1-10%
30-88%

5%
2%
7%
71%

U.S. government guaranteed debt and other securities

351

Discounted cash flows (3rd party pricing)

Yield

1-4%

Other assets:

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option Adjusted Spread rate
Servicing cost ($ per loan)

12-27%
12%
435-1,500 bps
$93.18-$208.70

18%
12%
478 bps
$100.63

Derivative assets

Discounted cash flows

Swap rates

2-3%

Retained interests in securitization⁽¹⁾

221

Discounted cash flows

Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity

25-72
2-13%
4-9%
2-8%
19-95%

N/A

Liabilities:

Other liabilities:

Derivative liabilities

Discounted cash flows

Swap rates

2-3%



	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2013		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	1,304	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-23% 0-21% 0-18% 0-95%	5% 5% 8% 49%
CMBS	739		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1-4% 0-20%	2% 3%
Other ABS	343		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	1-8% 1-6% 1-19% 44-80%	3% 2% 12% 69%
U.S. government guaranteed debt and other securities	944		Discounted cash flows (3rd party pricing)	Yield	0-3%	2%
Other assets:
Consumer MSRs	69		Discounted cash flows	Total prepayment rate Discount rate Servicing cost ($ per loan)	9-32% 10-17% $81.39-$393.52	14% 11% $89.32
Derivative assets	50		Discounted cash flows	Swap rates	3-4%	4%
Retained interests in securitization⁽¹⁾	199		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	34-101 2-7% 5-14% 2-7% 15-89%	N/A
Liabilities:
Other liabilities:
Derivative liabilities	$	38	Discounted cash flows	Swap rates	3-4%	4%

__________


⁽¹⁾	Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.

Schedule of Liabilities Measured at Fair Value on Recurring Basis Quantitative Information

Table 18.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31,
2014

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

561

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

0-18%
0-23%
0-15%
0-85%

6%
4%
5%
55%

CMBS

228

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

1-4%
0-100%

1%
5%

Other ABS

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

2-7%
0-3%
1-10%
30-88%

5%
2%
7%
71%

U.S. government guaranteed debt and other securities

351

Discounted cash flows (3rd party pricing)

Yield

1-4%

Other assets:

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option Adjusted Spread rate
Servicing cost ($ per loan)

12-27%
12%
435-1,500 bps
$93.18-$208.70

18%
12%
478 bps
$100.63

Derivative assets

Discounted cash flows

Swap rates

2-3%

Retained interests in securitization⁽¹⁾

221

Discounted cash flows

Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity

25-72
2-13%
4-9%
2-8%
19-95%

N/A

Liabilities:

Other liabilities:

Derivative liabilities

Discounted cash flows

Swap rates

2-3%



	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2013		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	1,304	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-23% 0-21% 0-18% 0-95%	5% 5% 8% 49%
CMBS	739		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1-4% 0-20%	2% 3%
Other ABS	343		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	1-8% 1-6% 1-19% 44-80%	3% 2% 12% 69%
U.S. government guaranteed debt and other securities	944		Discounted cash flows (3rd party pricing)	Yield	0-3%	2%
Other assets:
Consumer MSRs	69		Discounted cash flows	Total prepayment rate Discount rate Servicing cost ($ per loan)	9-32% 10-17% $81.39-$393.52	14% 11% $89.32
Derivative assets	50		Discounted cash flows	Swap rates	3-4%	4%
Retained interests in securitization⁽¹⁾	199		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	34-101 2-7% 5-14% 2-7% 15-89%	N/A
Liabilities:
Other liabilities:
Derivative liabilities	$	38	Discounted cash flows	Swap rates	3-4%	4%

__________


⁽¹⁾	Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

The following table presents the carrying amount of the assets measured at fair value on a nonrecurring basis and still held as of December 31, 2014 and 2013, and for which a nonrecurring fair value measurement was recorded during the years then ended:

Table 18.4: Nonrecurring Fair Value Measurements Related to Assets Still Held at Period End



	December 31, 2014
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Loans held for investment	$	0	$	0	$	121	$	121
Loans held for sale	0		34		0		34
Other assets⁽¹⁾	0		0		65		65
Total	$	0	$	34	$	186	$	220



	December 31, 2013
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Loans held for investment	$	0	$	0	$	84	$	84
Loans held for sale	0		145		0		145
Other assets⁽¹⁾	0		0		64		64
Total	$	0	$	145	$	148	$	293

__________


⁽¹⁾	Includes foreclosed property and repossessed assets of $60 million and long-lived assets held for sale of $5 million as of December 31, 2014, compared to foreclosed property and repossessed assets of $42 million and long-lived assets held for sale of $22 million as of December 31, 2013.

Schedule of Earnings Related to Assets Measured at Fair Value on Nonrecurring Basis

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at December 31, 2014 and 2013:

Table 18.5: Nonrecurring Fair Value Measurements Included in Earnings Related to Assets Still Held at Period End



	Total Gains (Losses)
	Year Ended December 31,
(Dollars in millions)	2014			2013
Assets:
Loans held for investment	$	(24	)	$	(28	)
Loans held for sale	0			(1		)
Other assets⁽¹⁾	(12		)	(23		)
Total	$	(36	)	$	(52	)

__________


⁽¹⁾	Includes losses related to foreclosed property and repossessed assets and long-lived assets held for sale.

Schedule of Fair Value of Financial Instruments

The following table presents the fair value of financial instruments, whether or not recognized on the consolidated balance sheets at fair value, as of December 31, 2014 and 2013:

Table 18.6: Fair Value of Financial Instruments



	December 31, 2014				Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	7,242	$	7,242	$	7,242	$	0	$	0
Restricted cash for securitization investors	234		234		234		0		0
Securities available for sale	39,508		39,508		4,228		34,075		1,205
Securities held to maturity	22,500		23,634		0		23,503		131
Net loans held for investment	203,933		207,104		0		0		207,104
Loans held for sale	626		650		0		650		0
Interest receivable	1,435		1,435		0		1,435		0
Derivative assets	1,096		1,096		4		1,026		66
Retained interests in securitizations	221		221		0		0		221
Financial liabilities:
Non-interest bearing deposits	$	25,081	$	25,081	$	25,081	$	0	$	0
Interest-bearing deposits	180,467		174,074		0		11,668		162,406
Securitized debt obligations	11,624		11,745		0		11,745		0
Senior and subordinated notes	18,684		19,083		0		19,083		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	880		880		880		0		0
Other borrowings	17,269		17,275		0		17,275		0
Interest payable	317		317		0		317		0
Derivative liabilities	276		276		3		230		43



	December 31, 2013				Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	6,291	$	6,291	$	6,291	$	0	$	0
Restricted cash for securitization investors	874		874		874		0		0
Securities available for sale	41,800		41,800		960		37,510		3,330
Securities held to maturity	19,132		19,185		0		18,895		290
Net loans held for investment	192,884		198,138		0		0		198,138
Loans held for sale	218		219		0		219		0
Interest receivable	1,418		1,418		0		1,418		0
Derivatives assets	959		959		3		906		50
Retained interests in securitizations	199		199		0		0		199
Financial liabilities:
Non-interest bearing deposits	$	22,643	$	22,643	$	22,643	$	0	$	0
Interest-bearing deposits	181,880		175,516		0		14,346		161,170
Securitized debt obligations	10,289		11,081		0		10,835		246
Senior and subordinated notes	13,134		13,715		0		13,715		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	915		915		915		0		0
Other borrowings	16,316		16,324		0		16,324		0
Interest payable	307		307		0		307		0
Derivatives liabilities	710		710		4		668		38

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

+ References+ Details

- Definition

Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

+ References+ Details