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Fair Value Measurement (Tables)
 12 Months Ended
Dec. 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 December 31, 2016 and 2015:
Table 17.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis
 
 
December 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
 
$
5,065

 
$
0

 
$
0

 
$
5,065

RMBS
 
0

 
28,731

 
518

 
29,249

CMBS
 
0

 
4,937

 
51

 
4,988

Other ABS
 
0

 
714

 
0

 
714

Other securities
 
295

 
417

 
9

 
721

Total securities available for sale
 
5,360

 
34,799

 
578

 
40,737

Other assets:
 
 
 
 
 
 
 
 
Derivative assets(1)(2)
 
7

 
1,440

 
47

 
1,494

Other(3)
 
219

 
0

 
281

 
500

Total assets
 
$
5,586

 
$
36,239

 
$
906

 
$
42,731

Liabilities:
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
Derivative liabilities(1)(2)
 
$
12

 
$
1,397

 
$
29

 
$
1,438

Total liabilities
 
$
12

 
$
1,397

 
$
29

 
$
1,438

 
 
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:
 
 
 
 
 
 
 
 
Derivative assets(1)(2)
 
2

 
1,459

 
57

 
1,518

Other(3)
 
183

 
0

 
279

 
462

Total assets
 
$
5,200

 
$
34,890

 
$
951

 
$
41,041

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 $955 million and $986 million, and the net derivative liabilities were $1.1 billion and $377 million as of December 31, 2016 and 2015, respectively. See “Note 10—Derivative Instruments and Hedging Activities” for further information, including further disaggregation of the balance composition.
(2) 
Does not reflect $5 million and $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2016 and 2015, respectively. Non-performance risk is included in the derivative assets and liabilities, which are part of other assets and liabilities on the consolidated balance sheets and offset through non-interest income in the consolidated statements of income.
(3) 
Other includes consumer MSRs of $80 million and $68 million, retained interests in securitizations of $201 million and $211 million and deferred compensation plan assets of $219 million and $183 million as of December 31, 2016 and 2015, respectively.
Schedule of Level 3 Inputs Reconciliation for Assets
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) for the years ended December 31, 2016 and 2015. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.
Table 17.2: Level 3 Recurring Fair Value Rollforward
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Year Ended December 31, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
December 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, December 31, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
504

 
$
31

 
$
9

 
$
110

 
$
0

 
$
0

 
$
(98
)
 
$
380

 
$
(418
)
 
$
518

 
$
32

CMBS
 
97

 
0

 
0

 
266

 
0

 
0

 
(14
)
 
64

 
(362
)
 
51

 
0

Other ABS
 
0

 
0

 
0

 
30

 
0

 
0

 
0

 
0

 
(30
)
 
0

 
0

Other securities
 
14

 
(9
)
 
0

 
14

 
0

 
0

 
(10
)
 
0

 
0

 
9

 
0

Total securities available for sale
 
615

 
22

 
9

 
420

 
0

 
0

 
(122
)
 
444

 
(810
)
 
578

 
32

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
57

 
12

 
0

 
0

 
0

 
69

 
(73
)
 
0

 
(18
)
 
47

 
12

Consumer MSRs
 
68

 
(5
)
 
0

 
0

 
0

 
23

 
(6
)
 
0

 
0

 
80

 
(5
)
Retained interest in securitizations
 
211

 
(10
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
201

 
(10
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(17
)
 
$
0

 
$
0

 
$
0

 
$
(33
)
 
$
40

 
$
0

 
$
8

 
$
(29
)
 
$
(17
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Year Ended December 31, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
December 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,
December 31, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
333

 
$
(1
)
 
$
6

 
$
0

 
$
(226
)
 
$
0

 
$
(12
)
 
$
0

 
$
(100
)
 
$
0

 
$
0

RMBS
 
561

 
35

 
(3
)
 
0

 
0

 
0

 
(63
)
 
343

 
(369
)
 
504

 
36

CMBS
 
228

 
0

 
(1
)
 
138

 
0

 
0

 
(52
)
 
0

 
(216
)
 
97

 
0

Other ABS
 
65

 
1

 
(2
)
 
0

 
(20
)
 
0

 
0

 
0

 
(44
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
4

 
0

 
0

 
(8
)
 
0

 
0

 
14

 
0

Total securities available for sale
 
1,205

 
35

 
0

 
142

 
(246
)
 
0

 
(135
)
 
343

 
(729
)
 
615

 
36

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
66

 
14

 
0

 
0

 
0

 
49

 
(59
)
 
0

 
(13
)
 
57

 
14

Consumer MSRs
 
53

 
(1
)
 
0

 
0

 
0

 
22

 
(6
)
 
0

 
0

 
68

 
(1
)
Retained interest in securitizations
 
221

 
(10
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
211

 
(10
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(43
)
 
$
(9
)
 
$
0

 
$
0

 
$
0

 
$
(20
)
 
$
36

 
$
0

 
$
9

 
$
(27
)
 
$
(9
)
 
 
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)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
50

 
20

 
0

 
0

 
0

 
20

 
(21
)
 
0

 
(3
)
 
66

 
19

Consumer MSRs
 
69

 
(27
)
 
0

 
0

 
0

 
15

 
(4
)
 
0

 
0

 
53

 
(27
)
Retained interest in securitization
 
199

 
22

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
221

 
22

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(38
)
 
$
(20
)
 
$
0

 
$
0

 
$
0

 
$
(15
)
 
$
29

 
$
0

 
$
1

 
$
(43
)
 
$
(20
)
__________
(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) 
For the years ended December 31, 2016, 2015 and 2014, 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.
(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.
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) for the years ended December 31, 2016 and 2015. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.
Table 17.2: Level 3 Recurring Fair Value Rollforward
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Year Ended December 31, 2016
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
December 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, December 31, 2016
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
504

 
$
31

 
$
9

 
$
110

 
$
0

 
$
0

 
$
(98
)
 
$
380

 
$
(418
)
 
$
518

 
$
32

CMBS
 
97

 
0

 
0

 
266

 
0

 
0

 
(14
)
 
64

 
(362
)
 
51

 
0

Other ABS
 
0

 
0

 
0

 
30

 
0

 
0

 
0

 
0

 
(30
)
 
0

 
0

Other securities
 
14

 
(9
)
 
0

 
14

 
0

 
0

 
(10
)
 
0

 
0

 
9

 
0

Total securities available for sale
 
615

 
22

 
9

 
420

 
0

 
0

 
(122
)
 
444

 
(810
)
 
578

 
32

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
57

 
12

 
0

 
0

 
0

 
69

 
(73
)
 
0

 
(18
)
 
47

 
12

Consumer MSRs
 
68

 
(5
)
 
0

 
0

 
0

 
23

 
(6
)
 
0

 
0

 
80

 
(5
)
Retained interest in securitizations
 
211

 
(10
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
201

 
(10
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(27
)
 
$
(17
)
 
$
0

 
$
0

 
$
0

 
$
(33
)
 
$
40

 
$
0

 
$
8

 
$
(29
)
 
$
(17
)
 
 
Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
 
 
Year Ended December 31, 2015
 
 
 
 
Total Gains (Losses)
(Realized/Unrealized)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net Unrealized
Gains (Losses)
Included in Net
Income Related to Assets and
Liabilities Still Held as of
December 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,
December 31, 2015
 
Assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Corporate debt securities guaranteed by U.S. government agencies
 
$
333

 
$
(1
)
 
$
6

 
$
0

 
$
(226
)
 
$
0

 
$
(12
)
 
$
0

 
$
(100
)
 
$
0

 
$
0

RMBS
 
561

 
35

 
(3
)
 
0

 
0

 
0

 
(63
)
 
343

 
(369
)
 
504

 
36

CMBS
 
228

 
0

 
(1
)
 
138

 
0

 
0

 
(52
)
 
0

 
(216
)
 
97

 
0

Other ABS
 
65

 
1

 
(2
)
 
0

 
(20
)
 
0

 
0

 
0

 
(44
)
 
0

 
0

Other securities
 
18

 
0

 
0

 
4

 
0

 
0

 
(8
)
 
0

 
0

 
14

 
0

Total securities available for sale
 
1,205

 
35

 
0

 
142

 
(246
)
 
0

 
(135
)
 
343

 
(729
)
 
615

 
36

Other assets:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
66

 
14

 
0

 
0

 
0

 
49

 
(59
)
 
0

 
(13
)
 
57

 
14

Consumer MSRs
 
53

 
(1
)
 
0

 
0

 
0

 
22

 
(6
)
 
0

 
0

 
68

 
(1
)
Retained interest in securitizations
 
221

 
(10
)
 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
211

 
(10
)
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(43
)
 
$
(9
)
 
$
0

 
$
0

 
$
0

 
$
(20
)
 
$
36

 
$
0

 
$
9

 
$
(27
)
 
$
(9
)
 
 
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)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(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:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets(4)
 
50

 
20

 
0

 
0

 
0

 
20

 
(21
)
 
0

 
(3
)
 
66

 
19

Consumer MSRs
 
69

 
(27
)
 
0

 
0

 
0

 
15

 
(4
)
 
0

 
0

 
53

 
(27
)
Retained interest in securitization
 
199

 
22

 
0

 
0

 
0

 
0

 
0

 
0

 
0

 
221

 
22

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(4)
 
$
(38
)
 
$
(20
)
 
$
0

 
$
0

 
$
0

 
$
(15
)
 
$
29

 
$
0

 
$
1

 
$
(43
)
 
$
(20
)
__________
(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) 
For the years ended December 31, 2016, 2015 and 2014, 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.
(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.
Schedule of Assets Measured at Fair Value on Recurring Basis Quantitative Information
The following table presents the significant unobservable inputs used 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 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. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 17.3: Quantitative Information about Level 3 Fair Value Measurements
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at December 31,
2016
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
0-15%
0-30%
0-16%
9-87%
 
5%
4%
4%
57%
CMBS
 
51

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
2%
0%

 
2%
0%

Other securities
 
9

 
Discounted cash flows
 
Yield
 
1-2%
 
1%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
47

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Consumer MSRs
 
80

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-20%
15%
580-1,500 bps
$75-$100
 
15%
15%
636 bps
$76
Retained interests in securitization(2)
 
201

 
Discounted cash flows
 
Life of receivables (months)
Constant prepayment rate
Discount rate
Default rate
Loss severity
 
6-87
2-11%
4-11%
1-6%
7-102%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
29

 
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:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
57

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
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
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.
Schedule of Liabilities Measured at Fair Value on Recurring Basis Quantitative Information
The following table presents the significant unobservable inputs used 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 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. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.
Table 17.3: Quantitative Information about Level 3 Fair Value Measurements
 
 
Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Fair Value at December 31,
2016
 
Significant
Valuation
Techniques
 
Significant
Unobservable
Inputs
 
Range
 
Weighted
Average
Assets:
 
 
 
 
 
 
 
 
 
 
Securities available for sale:
 
 
 
 
 
 
 
 
 
 
RMBS
 
$
518

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
Default rate
Loss severity
 
0-15%
0-30%
0-16%
9-87%
 
5%
4%
4%
57%
CMBS
 
51

 
Discounted cash flows (3rd party pricing)
 
Yield
Constant prepayment rate
 
2%
0%

 
2%
0%

Other securities
 
9

 
Discounted cash flows
 
Yield
 
1-2%
 
1%
Other assets:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
47

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
Consumer MSRs
 
80

 
Discounted cash flows
 
Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)
 
8-20%
15%
580-1,500 bps
$75-$100
 
15%
15%
636 bps
$76
Retained interests in securitization(2)
 
201

 
Discounted cash flows
 
Life of receivables (months)
Constant prepayment rate
Discount rate
Default rate
Loss severity
 
6-87
2-11%
4-11%
1-6%
7-102%
 
N/A
Liabilities:
 
 
 
 
 
 
 
 
 
 
Derivative liabilities(1)
 
$
29

 
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:
 
 
 
 
 
 
 
 
 
 
Derivative assets(1)
 
57

 
Discounted cash flows
 
Swap rates
 
2%
 
2%
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
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.
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, 2016 and 2015, and for which a nonrecurring fair value measurement was recorded during the years then ended:
Table 17.4: Nonrecurring Fair Value Measurements Related to Assets Still Held at Period End
 
 
December 31, 2016
 
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
587

 
$
587

Loans held for sale
 
157

 
0

 
157

Other assets(1)
 
0

 
83

 
83

Total
 
$
157

 
$
670

 
$
827

 
 
December 31, 2015
  
 
Estimated Fair Value Hierarchy
 
Total
(Dollars in millions)
 
Level 2
 
Level 3
 
Loans held for investment
 
$
0

 
$
362

 
$
362

Loans held for sale
 
149

 
0

 
149

Other assets(1)
 
0

 
92

 
92

Total
 
$
149

 
$
454

 
$
603

__________
(1) 
Other assets includes foreclosed property and repossessed assets of $43 million and long-lived assets held for sale of $40 million as of December 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.
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, 2016, 2015 and 2014:
Table 17.5: 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)
 
2016
 
2015
 
2014
Loans held for investment
 
$
(230
)
 
$
(80
)
 
$
(24
)
Loans held for sale
 
(2
)
 
(1
)
 
0

Other assets(1)
 
(19
)
 
(45
)
 
(12
)
Total
 
$
(251
)
 
$
(126
)
 
$
(36
)
__________
(1) 
Other assets includes losses related to foreclosed property, repossessed assets and long-lived assets held for sale.
Schedule of Fair Value of Financial Instruments
The following table presents the carrying amounts and estimated fair value, including the level within the fair value hierarchy, of our financial instruments that are not measured on our consolidated balance sheets at fair value as of December 31, 2016 and December 31, 2015.
Table 17.6: Fair Value of Financial Instruments
 
 
December 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
 
$
9,976

 
$
9,976

 
$
4,185

 
$
5,791

 
$
0

Restricted cash for securitization investors
 
2,517

 
2,517

 
2,517

 
0

 
0

Securities held to maturity
 
25,712

 
26,196

 
199

 
25,962

 
35

Net loans held for investment
 
239,083

 
242,935

 
0

 
0

 
242,935

Loans held for sale
 
1,043

 
1,038

 
0

 
1,038

 
0

Interest receivable
 
1,351

 
1,351

 
0

 
1,351

 
0

Other investments(1)
 
2,029

 
2,029

 
0

 
2,020

 
9

Financial liabilities:
 
 
 
 
 
 
 
 
 
 
Deposits
 
$
236,768

 
$
237,082

 
$
25,502

 
$
211,580

 
$
0

Securitized debt obligations
 
18,826

 
18,920

 
0

 
18,920

 
0

Senior and subordinated notes
 
23,431

 
23,774

 
0

 
23,774

 
0

Federal funds purchased and securities loaned or sold under agreements to repurchase
 
992

 
992

 
0

 
992

 
0

Other borrowings
 
17,211

 
17,180

 
0

 
17,180

 
0

Interest payable
 
327

 
327

 
0

 
327

 
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:
 
 
 
 
 
 
 
 
 
 
Deposits
 
$
217,721

 
$
210,922

 
$
25,847

 
$
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

__________
(1)
Other investments includes FHLB, Federal Reserve stock and cost method investments. These investments are included in other assets on our consolidated balance sheets.