Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2016

Fair Value Disclosures [Abstract]

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 March 31, 2016 and December 31, 2015:

Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

	March 31, 2016
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	4,966	$	0	$	0	$	4,966
RMBS	0		27,763		505		28,268
CMBS	0		5,253		251		5,504
Other ABS	0		1,008		30		1,038
Other securities	303		2		11		316
Total securities available for sale	5,269		34,026		797		40,092
Other assets:
Consumer MSRs	0		0		59		59
Derivative assets(1)(2)	2		1,950		71		2,023
Retained interests in securitizations	0		0		201		201
Total assets	$	5,271	$	35,976	$	1,128	$	42,375
Liabilities:
Other liabilities:
Derivative liabilities(1)(2)	$	3	$	752	$	40	$	795
Total liabilities	$	3	$	752	$	40	$	795

	December 31, 2015
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	4,660	$	0	$	0	$	4,660
RMBS	0		26,807		504		27,311
CMBS	0		5,282		97		5,379
Other ABS	0		1,340		0		1,340
Other securities	355		2		14		371
Total securities available for sale	5,015		33,431		615		39,061
Other assets:
Consumer MSRs	0		0		68		68
Derivative assets(1)(2)	2		1,459		57		1,518
Retained interests in securitizations	0		0		211		211
Total assets	$	5,017	$	34,890	$	951	$	40,858
Liabilities:
Other liabilities:
Derivative liabilities(1)(2)	$	2	$	491	$	27	$	520
Total liabilities	$	2	$	491	$	27	$	520

__________

⁽¹⁾  The balances represent gross derivative amounts and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and the related payables and receivables for cash collateral held or placed with the same counterparty. The net derivative assets were $1.7 billion and $986 million, and the net derivative liabilities were $445 million and $377 million as of March 31, 2016 and December 31, 2015, respectively. See “Note 9—Derivative Instruments and Hedging Activities” for further information.

⁽²⁾  Does not reflect $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of both March 31, 2016 and December 31, 2015. Non-performance risk is reflected in other assets and liabilities on the consolidated balance sheets and offset through non-interest income in the consolidated statements of income.

T

Schedule of Level 3 Inputs Reconciliation for Assets

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) for the three months ended March 31, 2016 and 2015. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 12.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended March 31, 2016
				Total Gains (Losses) (Realized/Unrealized)																								Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2016(3)
(Dollars in millions)	Balance, January 1, 2016			Included in Net Income(1)			Included in OCI			Purchases		Sales		Issuances			Settlements			Transfers Into Level 3(2)		Transfers Out of Level 3(2)			Balance, March 31, 2016
Assets:
Securities available for sale:
RMBS	$	504		$	6		$	(5	)	$	0	$	0	$	0		$	(17	)	$	127	$	(110	)	$	505		$	6
CMBS	97			0			1			93		0		0			(4		)	64		0			251			0
Other ABS	0			0			0			30		0		0			0			0		0			30			0
Other securities	14			0			0			0		0		0			(3		)	0		0			11			0
Total securities available for sale	615			6			(4		)	123		0		0			(24		)	191		(110		)	797			6
Other assets:
Consumer MSRs	68			(12		)	0			0		0		4			(1		)	0		0			59			(12		)
Derivative assets(4)	57			19			0			0		0		12			(11		)	0		(6		)	71			19
Retained interest in securitizations	211			(10		)	0			0		0		0			0			0		0			201			(10		)
Liabilities:
Other liabilities:
Derivative liabilities(4)	$	(27	)	$	(14	)	$	0		$	0	$	0	$	(7	)	$	3		$	0	$	5		$	(40	)	$	(14	)

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended March 31, 2015
				Total Gains (Losses) (Realized/Unrealized)																									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2015(3)
(Dollars in millions)	Balance, January 1, 2015			Included in Net Income(1)			Included in OCI			Purchases		Sales			Issuances			Settlements			Transfers Into Level 3(2)		Transfers Out of Level 3(2)			Balance, March 31, 2015
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	333		$	(2	)	$	5		$	0	$	(68	)	$	0		$	(8	)	$	0	$	(88	)	$	172		$	0
RMBS	561			8			8			0		0			0			(13		)	85		(94		)	555			9
CMBS	228			0			1			0		0			0			(21		)	0		(34		)	174			0
Other ABS	65			1			(2		)	0		(20		)	0			0			0		(37		)	7			0
Other securities	18			0			0			0		0			0			0			0		0			18			0
Total securities available for sale	1,205			7			12			0		(88		)	0			(42		)	85		(253		)	926			9
Other assets:
Consumer MSRs	53			(3		)	0			0		0			4			(1		)	0		0			53			(3		)
Derivative assets(4)	66			11			0			0		0			9			(12		)	0		(1		)	73			11
Retained interest in securitization	221			2			0			0		0			0			0			0		0			223			2
Liabilities:
Other liabilities:
Derivative liabilities(4)	$	(43	)	$	(10	)	$	0		$	0	$	0		$	(7	)	$	12		$	0	$	0		$	(48	)	$	(10	)

__________

⁽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 three months ended March 31, 2016 and 2015, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 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 OTTI, which is a component of non-interest income, in our consolidated statements of income.

⁽⁴⁾  All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and the related payables and receivables for cash collateral held or placed with the same counterparty.

Si

Schedule of Level 3 Inputs Reconciliation for Liabilities

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) for the three months ended March 31, 2016 and 2015. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 12.2: Level 3 Recurring Fair Value Rollforward

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended March 31, 2016
				Total Gains (Losses) (Realized/Unrealized)																								Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2016(3)
(Dollars in millions)	Balance, January 1, 2016			Included in Net Income(1)			Included in OCI			Purchases		Sales		Issuances			Settlements			Transfers Into Level 3(2)		Transfers Out of Level 3(2)			Balance, March 31, 2016
Assets:
Securities available for sale:
RMBS	$	504		$	6		$	(5	)	$	0	$	0	$	0		$	(17	)	$	127	$	(110	)	$	505		$	6
CMBS	97			0			1			93		0		0			(4		)	64		0			251			0
Other ABS	0			0			0			30		0		0			0			0		0			30			0
Other securities	14			0			0			0		0		0			(3		)	0		0			11			0
Total securities available for sale	615			6			(4		)	123		0		0			(24		)	191		(110		)	797			6
Other assets:
Consumer MSRs	68			(12		)	0			0		0		4			(1		)	0		0			59			(12		)
Derivative assets(4)	57			19			0			0		0		12			(11		)	0		(6		)	71			19
Retained interest in securitizations	211			(10		)	0			0		0		0			0			0		0			201			(10		)
Liabilities:
Other liabilities:
Derivative liabilities(4)	$	(27	)	$	(14	)	$	0		$	0	$	0	$	(7	)	$	3		$	0	$	5		$	(40	)	$	(14	)

	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended March 31, 2015
				Total Gains (Losses) (Realized/Unrealized)																									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2015(3)
(Dollars in millions)	Balance, January 1, 2015			Included in Net Income(1)			Included in OCI			Purchases		Sales			Issuances			Settlements			Transfers Into Level 3(2)		Transfers Out of Level 3(2)			Balance, March 31, 2015
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	333		$	(2	)	$	5		$	0	$	(68	)	$	0		$	(8	)	$	0	$	(88	)	$	172		$	0
RMBS	561			8			8			0		0			0			(13		)	85		(94		)	555			9
CMBS	228			0			1			0		0			0			(21		)	0		(34		)	174			0
Other ABS	65			1			(2		)	0		(20		)	0			0			0		(37		)	7			0
Other securities	18			0			0			0		0			0			0			0		0			18			0
Total securities available for sale	1,205			7			12			0		(88		)	0			(42		)	85		(253		)	926			9
Other assets:
Consumer MSRs	53			(3		)	0			0		0			4			(1		)	0		0			53			(3		)
Derivative assets(4)	66			11			0			0		0			9			(12		)	0		(1		)	73			11
Retained interest in securitization	221			2			0			0		0			0			0			0		0			223			2
Liabilities:
Other liabilities:
Derivative liabilities(4)	$	(43	)	$	(10	)	$	0		$	0	$	0		$	(7	)	$	12		$	0	$	0		$	(48	)	$	(10	)

__________

⁽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 three months ended March 31, 2016 and 2015, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 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 OTTI, which is a component of non-interest income, in our consolidated statements of income.

⁽⁴⁾  All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and the related payables and receivables for cash collateral held or placed with the same counterparty.

Si

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

following table presents the significant unobservable inputs relied upon to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple third-party pricing services to obtain fair value measures for our securities. Several of our third-party pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other third-party pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain for a majority of our securities. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 12.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at March 31, 2016		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	505	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-15% 0-27% 0-11% 9-88%	6% 5% 4% 54%
CMBS	251		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1-3% 0-15%	2% 2%
Other ABS	30		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1% 3%	1% 3%
Other securities	11		Discounted cash flows	Yield	1%	1%
Other assets:
Consumer MSRs	59		Discounted cash flows	Total prepayment rate Discount rate Option-adjusted spread rate Servicing cost ($ per loan)	10-20% 15% 435-1,500 bps $93-$201	17% 15% 477 bps $98
Derivative assets(1)	71		Discounted cash flows	Swap rates	2%	2%
Retained interests in securitization(2)	201		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	14-83 1-12% 3-11% 1-6% 6-117%	N/A
Liabilities:
Derivative liabilities(1)	$	40	Discounted cash flows	Swap rates	2%	2%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2015		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	504	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-12% 0-28% 0-8% 16-85%	6% 4% 4% 55%
CMBS	97		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	2-3% 0-15%	3% 9%
Other securities	14		Discounted cash flows	Yield	1%	1%
Other assets:
Consumer MSRs	68		Discounted cash flows	Total prepayment rate Discount rate Option-adjusted spread rate Servicing cost ($ per loan)	11-18% 12% 435-1,500 bps $93-$201	16% 12% 474 bps $98
Derivative assets(1)	57		Discounted cash flows	Swap rates	2%	2%
Retained interests in securitization(2)	211		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	16-75 1-13% 4-9% 2-6% 15-94%	N/A
Liabilities:
Derivative liabilities(1)	$	27	Discounted cash flows	Swap rates	2%	2%

__________

⁽¹⁾  All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and the related payables and receivables for cash collateral held or placed with the same counterparty.

⁽²⁾  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.

Ass

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

following table presents the significant unobservable inputs relied upon to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple third-party pricing services to obtain fair value measures for our securities. Several of our third-party pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other third-party pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain for a majority of our securities. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 12.3: Quantitative Information about Level 3 Fair Value Measurements

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at March 31, 2016		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	505	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-15% 0-27% 0-11% 9-88%	6% 5% 4% 54%
CMBS	251		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1-3% 0-15%	2% 2%
Other ABS	30		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	1% 3%	1% 3%
Other securities	11		Discounted cash flows	Yield	1%	1%
Other assets:
Consumer MSRs	59		Discounted cash flows	Total prepayment rate Discount rate Option-adjusted spread rate Servicing cost ($ per loan)	10-20% 15% 435-1,500 bps $93-$201	17% 15% 477 bps $98
Derivative assets(1)	71		Discounted cash flows	Swap rates	2%	2%
Retained interests in securitization(2)	201		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	14-83 1-12% 3-11% 1-6% 6-117%	N/A
Liabilities:
Derivative liabilities(1)	$	40	Discounted cash flows	Swap rates	2%	2%

	Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)	Fair Value at December 31, 2015		Significant Valuation Techniques	Significant Unobservable Inputs	Range	Weighted Average
Assets:
Securities available for sale:
RMBS	$	504	Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate Default rate Loss severity	0-12% 0-28% 0-8% 16-85%	6% 4% 4% 55%
CMBS	97		Discounted cash flows (3rd party pricing)	Yield Constant prepayment rate	2-3% 0-15%	3% 9%
Other securities	14		Discounted cash flows	Yield	1%	1%
Other assets:
Consumer MSRs	68		Discounted cash flows	Total prepayment rate Discount rate Option-adjusted spread rate Servicing cost ($ per loan)	11-18% 12% 435-1,500 bps $93-$201	16% 12% 474 bps $98
Derivative assets(1)	57		Discounted cash flows	Swap rates	2%	2%
Retained interests in securitization(2)	211		Discounted cash flows	Life of receivables (months) Constant prepayment rate Discount rate Default rate Loss severity	16-75 1-13% 4-9% 2-6% 15-94%	N/A
Liabilities:
Derivative liabilities(1)	$	27	Discounted cash flows	Swap rates	2%	2%

__________

⁽¹⁾  All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and the related payables and receivables for cash collateral held or placed with the same counterparty.

⁽²⁾  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.

As

Schedule of Assets Measured at Fair Value on Nonrecurring Basis

following table presents the carrying amount of the assets measured at fair value on a nonrecurring basis and still held as of March 31, 2016 and December 31, 2015, and for which a nonrecurring fair value measurement was recorded during the three and twelve months then ended:

Table 12.4: Nonrecurring Fair Value Measurements Related to Assets Still Held at Period End

	March 31, 2016
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3
Loans held for investment	$	0	$	0	$	716	$	716
Loans held for sale	0		6		0		6
Other assets(1)	0		0		39		39
Total	$	0	$	6	$	755	$	761

	December 31, 2015
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3
Loans held for investment	$	0	$	0	$	362	$	362
Loans held for sale	0		149		0		149
Other assets(1)	0		0		92		92
Total	$	0	$	149	$	454	$	603

__________

⁽¹⁾  Includes foreclosed property and repossessed assets of $39 million and long-lived assets held for sale of $0 million as of March 31, 2016, compared to foreclosed property and repossessed assets of $54 million and long-lived assets held for sale of $38 million as of December 31, 2015.

In

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

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 March 31, 2016 and 2015:

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings Related to Assets Still Held at Period End

	Total Gains (Losses)
	Three Months Ended March 31,
(Dollars in millions)	2016			2015
Loans held for investment	$	(71	)	$	(5	)
Loans held for sale	0			0
Other assets(1)	(4		)	(4		)
Total	$	(75	)	$	(9	)

__________

⁽¹⁾  Includes losses related to foreclosed property and repossessed assets.

Fai

Schedule of Fair Value of Financial Instruments

ble 12.6: Fair Value of Financial Instruments

	March 31, 2016
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	5,235	$	5,235	$	5,235	$	0	$	0
Restricted cash for securitization investors	960		960		960		0		0
Securities held to maturity	25,080		26,455		200		26,204		51
Net loans held for investment	222,197		224,489		0		0		224,489
Loans held for sale	1,251		1,308		0		1,308		0
Interest receivable	1,221		1,221		0		1,221		0
Other investments(1)	1,754		1,754		0		1,754		0
Financial liabilities:
Non-interest bearing deposits	$	25,182	$	25,182	$	25,182	$	0	$	0
Interest-bearing deposits	196,597		192,475		0		16,336		176,139
Securitized debt obligations	14,913		14,961		0		14,961		0
Senior and subordinated notes	21,736		21,697		0		21,697		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	917		917		917		0		0
Other borrowings	12,931		12,920		0		12,920		0
Interest payable	217		217		0		217		0

	December 31, 2015
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)					Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	8,023	$	8,023	$	8,023	$	0	$	0
Restricted cash for securitization investors	1,017		1,017		1,017		0		0
Securities held to maturity	24,619		25,317		198		25,068		51
Net loans held for investment	224,721		222,007		0		0		222,007
Loans held for sale	904		933		0		860		73
Interest receivable	1,189		1,189		0		1,189		0
Other investments(1)	2,060		2,060		0		2,060		0
Financial liabilities:
Non-interest bearing deposits	$	25,847	$	25,847	$	25,847	$	0	$	0
Interest-bearing deposits	191,874		185,075		0		15,848		169,227
Securitized debt obligations	16,166		16,225		0		16,225		0
Senior and subordinated notes	21,837		22,062		0		22,062		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	981		981		981		0		0
Other borrowings	20,131		20,134		0		20,134		0
Interest payable	299		299		0		299		0

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⁽¹⁾  Primarily includes our investments in Federal Home Loan Banks (“FHLB”) and the Board of Governors of the Federal Reserve System (“Federal Reserve”) stock. These investments are included in other assets on our consolidated balance sheets.