Fair Value Measurement (Tables)

12 Months Ended

Dec. 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 December 31, 2017 and 2016.

Table 17.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis



	December 31, 2017
	Fair Value Measurements Using						Netting Adjustments⁽¹⁾
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments⁽¹⁾			Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	5,171	$	0	$	0	$	—		$	5,171
RMBS	0		27,178		614		—			27,792
CMBS	0		3,161		14		—			3,175
Other ABS	0		512		0		—			512
Other securities	320		680		5		—			1,005
Total securities available for sale	5,491		31,531		633		—			37,655
Other assets:
Derivative assets⁽²⁾	1		1,002		37		(275		)	765
Other⁽³⁾	281		0		264		—			545
Total assets	$	5,773	$	32,533	$	934	$	(275	)	$	38,965
Liabilities:
Other liabilities:
Derivative liabilities⁽²⁾	$	1	$	1,243	$	24	$	(662	)	$	606
Total liabilities	$	1	$	1,243	$	24	$	(662	)	$	606



	December 31, 2016
	Fair Value Measurements Using						Netting Adjustments⁽¹⁾
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments⁽¹⁾			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⁽²⁾	7		1,440		47		(539		)	955
Other⁽³⁾	219		0		281		—			500
Total assets	$	5,586	$	36,239	$	906	$	(539	)	$	42,192
Liabilities:
Other liabilities:
Derivative liabilities⁽²⁾	$	12	$	1,397	$	29	$	(336	)	$	1,102
Total liabilities	$	12	$	1,397	$	29	$	(336	)	$	1,102

__________


⁽¹⁾	Represents balance sheet netting of derivative assets and liabilities, and related payable and receivables for cash collateral held or placed with the same counterparty. See “Note 10—Derivative Instruments and Hedging Activities” for additional information.

⁽²⁾

Does not reflect $2 million and $5 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2017 and 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 $92 million and $80 million, retained interests in securitizations of $172 million and $201 million and deferred compensation plan assets of $281 million and $219 million as of December 31, 2017 and 2016, respectively.

Schedule of Level 3 Inputs Reconciliation

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, 2017, 2016 and 2015. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period. Generally, transfers into Level 3 were primarily driven by the usage of unobservable assumptions in the pricing of these financial instruments as evidenced by wider pricing variations among pricing vendors and transfers out of Level 3 were primarily driven by the usage of assumptions corroborated by market observable information as evidenced by tighter pricing among multiple pricing sources.

Table 17.2: Level 3 Recurring Fair Value Rollforward



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Year Ended December 31, 2017
			Total Gains (Losses) (Realized/Unrealized)																							Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2017⁽¹⁾
			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		Transfers Out of Level 3			Balance, December 31, 2017
Securities available for sale:
RMBS	$	518	$	90		$	(24	)	$	0	$	(116	)	$	0	$	(92	)	$	572	$	(334	)	$	614	$	19
CMBS	51		0			0			110		(50		)	0		(4		)	0		(93		)	14		0
Other securities	9		0			0			0		0			0		(4		)	0		0			5		0
Total securities available for sale	578		90			(24		)	110		(166		)	0		(100		)	572		(427		)	633		19
Other assets:
Consumer MSRs	80		(5		)	0			0		(3		)	27		(7		)	0		0			92		(5		)
Retained interest in securitizations	201		(29		)	0			0		0			0		0			0		0			172		(29		)
Net derivative assets (liabilities)⁽²⁾	18		0			0			0		0			46		(44		)	0		(7		)	13		0



	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⁽¹⁾
			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		Transfers Out of Level 3			Balance, December 31, 2016
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:
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		)
Net derivative assets (liabilities)⁽²⁾	30		(5		)	0		0		0		36		(33		)	0		(10		)	18		(5		)



	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⁽¹⁾
			Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2015		Included in Net Income⁽¹⁾ ⁾			Included in OCI			Purchases		Sales			Issuances		Settlements			Transfers Into Level 3		Transfers Out of Level 3			Balance, December 31, 2015
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:
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		)
Net derivative assets (liabilities)⁽²⁾	23		5			0			0		0			29		(23		)	0		(4		)	30		5

__________


⁽¹⁾	Gains (losses) related to Level 3 securities available for sale, consumer MSRs, retained interests in securitizations, and derivative assets and liabilities are included as a component of non-interest income in our consolidated statements of income.


⁽²⁾	Includes derivative assets and liabilities of $37 million and $24 million, respectively, as of December 31, 2017, $47 million and $29 million, respectively, as of December 31, 2016, and $57 million and $27 million, respectively, as of December 31, 2015.

Schedule of Assets and 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 vendor pricing services to obtain fair value for our securities. Several of our vendor pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other vendor 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,
2017

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Securities available for sale:

RMBS

614

Discounted cash flows (vendor pricing)

Yield
Voluntary prepayment rate
Default rate
Loss severity

2-9%
0-15%
0-8%
0-90%

5%
4%
3%
62%

CMBS

Discounted cash flows (vendor pricing)

Yield
Voluntary prepayment rate

3%
0%

Other securities

Discounted cash flows

Yield

Other assets:

Consumer MSRs

Discounted cash flows

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

7-30%
14%
200-1,500 bps
$75-$100

16%
14%
458 bps
$76

Retained interests in securitization⁽¹⁾

172

Discounted cash flows

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

6-79
2-12%
3-10%
1-6%
3-115%

N/A

Net derivative assets (liabilities)

Discounted cash flows

Swap rates

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

Securities available for sale:

RMBS

518

Discounted cash flows (vendor pricing)

Yield
Voluntary prepayment rate
Default rate
Loss severity

0-15%
0-30%
0-16%
9-87%

5%
4%
4%
57%

CMBS

Discounted cash flows (vendor pricing)

Yield
Voluntary prepayment rate

2%
0%

Other securities

Discounted cash flows

Yield

1-2%

Other assets:

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⁽¹⁾

201

Discounted cash flows

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

6-87
2-11%
4-11%
1-6%
7-102%

N/A

Net derivative assets (liabilities)

Discounted cash flows

Swap rates

__________


⁽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 value of the assets measured at fair value on a nonrecurring basis and still held as of December 31, 2017 and 2016, and for which a nonrecurring fair value measurement was recorded during the year then ended:

Table 17.4: Nonrecurring Fair Value Measurements



	December 31, 2017
	Estimated Fair Value Hierarchy				Total
(Dollars in millions)	Level 2		Level 3		Total
Loans held for investment	$	0	$	182	$	182
Loans held for sale	177		1		178
Other assets⁽¹⁾	0		35		35
Total	$	177	$	218	$	395



	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 $17 million and long-lived assets held for sale of $18 million as of December 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 December 31, 2017, 2016 and 2015.

Table 17.5: Nonrecurring Fair Value Measurements Included in Earnings



	Total Gains (Losses)
	Year Ended December 31,
(Dollars in millions)	2017			2016			2015
Loans held for investment	$	(100	)	$	(230	)	$	(80	)
Loans held for sale	(3		)	(2		)	(1		)
Other assets⁽¹⁾	(12		)	(19		)	(45		)
Total	$	(115	)	$	(251	)	$	(126	)

__________


⁽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 value 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 December 31, 2017 and 2016.

Table 17.6: Fair Value of Financial Instruments



	December 31, 2017
	Carrying Value		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	14,040	$	14,040	$	4,458	$	9,582	$	0
Restricted cash for securitization investors	312		312		312		0		0
Securities held to maturity	28,984		29,437		200		29,217		20
Net loans held for investment	246,971		251,468		0		0		251,468
Loans held for sale	971		952		0		949		3
Interest receivable	1,536		1,536		0		1,536		0
Other investments⁽¹⁾	1,689		1,689		0		1,680		9
Financial liabilities:
Deposits	243,702		243,732		26,404		217,328		0
Securitized debt obligations	20,010		20,122		0		20,122		0
Senior and subordinated notes	30,755		31,392		0		31,392		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	576		576		0		576		0
Other borrowings⁽²⁾	8,892		8,892		0		8,892		0
Interest payable	413		413		0		413		0



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


⁽²⁾	Other borrowings excludes capital lease obligations.