Fair Value Measurement (Tables)

3 Months Ended

Mar. 31, 2017

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, 2017 and December 31, 2016. During the three months ended March 31, 2017, we had minimal movements between Levels 1 and 2.

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



	March 31, 2017
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	5,170	$	0	$	0	$	5,170
RMBS	0		29,190		449		29,639
CMBS	0		4,784		78		4,862
Other ABS	0		688		0		688
Other securities	274		618		9		901
Total securities available for sale	5,444		35,280		536		41,260
Other assets:
Derivative assets⁽¹⁾⁽²⁾	2		1,014		53		1,069
Other⁽³⁾	248		0		281		529
Total assets	$	5,694	$	36,294	$	870	$	42,858
Liabilities:
Other liabilities:
Derivative liabilities⁽¹⁾⁽²⁾	$	2	$	1,498	$	31	$	1,531
Total liabilities	$	2	$	1,498	$	31	$	1,531



	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

__________

⁽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 $694 million and $955 million, and the net derivative liabilities were $1.3 billion and $1.1 billion as of March 31, 2017 and December 31, 2016, respectively. See “Note 9—Derivative Instruments and Hedging Activities” for further information, including further disaggregation of the balance composition.

⁽²⁾

Does not reflect $4 million and $5 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of March 31, 2017 and December 31, 2016, 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 $86 million and $80 million, retained interests in securitizations of $195 million and $201 million and deferred compensation plan assets of $248 million and $219 million as of March 31, 2017 and December 31, 2016, 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 three months ended March 31, 2017 and 2016. 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, 2017
				Total Gains (Losses) (Realized/Unrealized)																							Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2017⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2017			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, 2017
Assets:
Securities available for sale:
RMBS	$	518		$	9		$	8	$	0	$	0	$	0		$	(22	)	$	53	$	(117	)	$	449		$	0
CMBS	51			0			0		60		0		0			(1		)	0		(32		)	78			9
Other securities	9			0			0		0		0		0			0			0		0			9			0
Total securities available for sale	578			9			8		60		0		0			(23		)	53		(149		)	536			9
Other assets:
Derivative assets⁽⁴⁾	47			(1		)	0		0		0		18			(10		)	0		(1		)	53			(1		)
Consumer MSRs	80			1			0		0		0		7			(2		)	0		0			86			1
Retained interest in securitizations	201			(6		)	0		0		0		0			0			0		0			195			(6		)
Liabilities:
Other liabilities:
Derivative liabilities⁽⁴⁾	$	(29	)	$	1		$	0	$	0	$	0	$	(6	)	$	3		$	0	$	0		$	(31	)	$	1



	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⁾
				Total Gains (Losses) (Realized/Unrealized)
(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:
Derivative assets⁽⁴⁾	57			19			0			0		0		12			(11		)	0		(6		)	71			19
Consumer MSRs	68			(12		)	0			0		0		4			(1		)	0		0			59			(12		)
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	)

__________


⁽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, 2017 and 2016, 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

Table 12.2: Level 3 Recurring Fair Value Rollforward



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended March 31, 2017
				Total Gains (Losses) (Realized/Unrealized)																							Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of March 31, 2017⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2017			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, 2017
Assets:
Securities available for sale:
RMBS	$	518		$	9		$	8	$	0	$	0	$	0		$	(22	)	$	53	$	(117	)	$	449		$	0
CMBS	51			0			0		60		0		0			(1		)	0		(32		)	78			9
Other securities	9			0			0		0		0		0			0			0		0			9			0
Total securities available for sale	578			9			8		60		0		0			(23		)	53		(149		)	536			9
Other assets:
Derivative assets⁽⁴⁾	47			(1		)	0		0		0		18			(10		)	0		(1		)	53			(1		)
Consumer MSRs	80			1			0		0		0		7			(2		)	0		0			86			1
Retained interest in securitizations	201			(6		)	0		0		0		0			0			0		0			195			(6		)
Liabilities:
Other liabilities:
Derivative liabilities⁽⁴⁾	$	(29	)	$	1		$	0	$	0	$	0	$	(6	)	$	3		$	0	$	0		$	(31	)	$	1



	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⁾
				Total Gains (Losses) (Realized/Unrealized)
(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:
Derivative assets⁽⁴⁾	57			19			0			0		0		12			(11		)	0		(6		)	71			19
Consumer MSRs	68			(12		)	0			0		0		4			(1		)	0		0			59			(12		)
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	)

__________


⁽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, 2017 and 2016, 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 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,
2017

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

449

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

1-7%
0-30%
0-17%
3-85%

5%
4%
4%
54%

CMBS

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

2%
0%

Other securities

Discounted cash flows

Yield

1-2%

Other assets:

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

2-3%

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)

7-20%
16%
500-1500 bps
$75-$100

15%
16%
584 bps
$76

Retained interests in securitization⁽²⁾

195

Discounted cash flows

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

2-79
2-13%
4-12%
1-5%
8-104%

N/A

Liabilities:

Derivative liabilities⁽¹⁾

Discounted cash flows

Swap rates

2-3%

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

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

2%
0%

Other securities

Discounted cash flows

Yield

1-2%

Other assets:

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

Consumer MSRs

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⁾

Discounted cash flows

Swap rates

__________


⁽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

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,
2017

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

449

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

1-7%
0-30%
0-17%
3-85%

5%
4%
4%
54%

CMBS

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

2%
0%

Other securities

Discounted cash flows

Yield

1-2%

Other assets:

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

2-3%

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)

7-20%
16%
500-1500 bps
$75-$100

15%
16%
584 bps
$76

Retained interests in securitization⁽²⁾

195

Discounted cash flows

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

2-79
2-13%
4-12%
1-5%
8-104%

N/A

Liabilities:

Derivative liabilities⁽¹⁾

Discounted cash flows

Swap rates

2-3%

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

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

2%
0%

Other securities

Discounted cash flows

Yield

1-2%

Other assets:

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

Consumer MSRs

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⁾

Discounted cash flows

Swap rates

__________


⁽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 March 31, 2017 and December 31, 2016, 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



	March 31, 2017
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3		Total
Loans held for investment	$	0	$	265	$	265
Loans held for sale	246		2		248
Other assets⁽¹⁾	0		35		35
Total	$	246	$	302	$	548



	December 31, 2016
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3		Total
Loans held for investment	$	0	$	587	$	587
Loans held for sale	157		0		157
Other assets⁽¹⁾	0		83		83
Total	$	157	$	670	$	827

__________


⁽¹⁾	Other assets includes foreclosed property and repossessed assets of $29 million and long-lived assets held for sale of $6 million as of March 31, 2017, compared to foreclosed property and repossessed assets of $43 million and long-lived assets held for sale of $40 million as of December 31, 2016.

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 March 31, 2017 and 2016.

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings



	Total Gains (Losses)
	Three Months Ended March 31,
(Dollars in millions)	2017			2016
Loans held for investment	$	(38	)	$	(71	)
Loans held for sale	0			0
Other assets⁽¹⁾	(5		)	(4		)
Total	$	(43	)	$	(75	)

__________


⁽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 at fair value on a recurring basis on our consolidated balance sheets as of March 31, 2017 and December 31, 2016.

Table 12.6: Fair Value of Financial Instruments



	March 31, 2017
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	9,315	$	9,315	$	3,489	$	5,826	$	0
Restricted cash for securitization investors	486		486		486		0		0
Securities held to maturity	26,170		26,657		199		26,409		49
Net loans held for investment	233,604		237,406		0		0		237,406
Loans held for sale	735		742		0		740		2
Interest receivable	1,368		1,368		0		1,368		0
Other investments⁽¹⁾	1,306		1,306		0		1,297		9
Financial liabilities:
Deposits	$	241,182	$	241,599	$	26,364	$	215,235	$	0
Securitized debt obligations	18,528		18,647		0		18,647		0
Senior and subordinated notes	26,405		26,817		0		26,817		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,046		1,046		0		1,046		0
Other borrowings	2,460		2,428		0		2,428		0
Interest payable	260		260		0		260		0



	December 31, 2016
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		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

__________

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