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Fair Value Measurement (Tables)

12 Months Ended

Dec. 31, 2019

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, 2019 and 2018.

Table 16.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis

		December 31, 2019
		Fair Value Measurements Using												Netting Adjustments(1)
(Dollars in millions)		Level 1				Level 2				Level 3								Total
Assets:
Securities available for sale:
U.S. Treasury securities		$	4,124			$	0			$	0			—				$	4,124
RMBS		0				63,909				429				—				64,338
CMBS		0				9,413				13				—				9,426
Other securities		231				1,094				0				—				1,325
Total securities available for sale		4,355				74,416				442				—				79,213
Loans held for sale		0				251				0				—				251
Other assets:
Derivative assets(2)		84				1,568				77				$	(633	)		1,096
Other(3)		344				0				66				—				410
Total assets		$	4,783			$	76,235			$	585			$	(633	)		$	80,970
Liabilities:
Other liabilities:
Derivative liabilities(2)		$	17			$	1,129			$	51			$	(523	)		$	674
Total liabilities		$	17			$	1,129			$	51			$	(523	)		$	674

		December 31, 2018
		Fair Value Measurements Using												Netting Adjustments(1)
(Dollars in millions)		Level 1				Level 2				Level 3								Total
Assets:
Securities available for sale:
U.S. Treasury securities		$	6,144			$	0			$	0			—				$	6,144
RMBS		0				33,212				433				—				33,645
CMBS		0				4,729				10				—				4,739
Other securities		219				1,403				0				—				1,622
Total securities available for sale		6,363				39,344				443				—				46,150
Other assets:
Derivative assets(2)		0				1,501				38				$	(1,079	)		460
Other(3)		265				0				158				—				423
Total assets		$	6,628			$	40,845			$	639			$	(1,079	)		$	47,033
Liabilities:
Other liabilities:
Derivative liabilities(2)		$	0			$	1,153			$	48			$	(287	)		$	914
Total liabilities		$	0			$	1,153			$	48			$	(287	)		$	914

__________

⁽¹⁾  Represents balance sheet netting of derivative assets and liabilities, and related payables and receivables for cash collateral held or placed with the same counterparty. See “Note 9—Derivative Instruments and Hedging Activities” for additional information.

⁽²⁾  Does not reflect $12 million and $2 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of December 31, 2019 and 2018, respectively. Non-performance risk is included in derivative assets and liabilities, which are part of other assets and liabilities on the consolidated balance sheets, and is offset through non-interest income in the consolidated statements of income.

⁽³⁾ 

As of December 31, 2019 and 2018, other includes retained interests in securitizations of $66 million and $158 million, deferred compensation plan assets of $343 million and $264 million, and equity securities of $1 million and $1 million, 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, 2019, 2018 and 2017. 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 16.2: Level 3 Recurring Fair Value Rollforward

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Year Ended December 31, 2019
						Total Gains (Losses) (Realized/Unrealized)																																				Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2019(1)
(Dollars in millions)		Balance, January 1, 2019				Included in Net Income(1)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfers Into Level 3				Transfers Out of Level 3				Balance, December 31, 2019
Securities available for sale:(2)
RMBS		$	433			$	35			$	5			$	0			$	0			$	0			$	(63	)		$	177			$	(158	)		$	429			$	34
CMBS		10				0				0				0				0				0				(2		)		5				0				13				0
Total securities available for sale		443				35				5				0				0				0				(65		)		182				(158		)		442				34
Other assets:
Retained interests in securitizations		158				18				0				0				0				0				(110		)		0				0				66				(19		)
Net derivative assets (liabilities)(3)		(10		)		6				0				0				0				(16		)		52				0				(6		)		26				1

		Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
		Year Ended December 31, 2018
						Total Gains (Losses) (Realized/Unrealized)																																				Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of December 31, 2018(1)
(Dollars in millions)		Balance, January 1, 2018				Included in Net Income(1)				Included in OCI				Purchases				Sales				Issuances				Settlements				Transfers Into Level 3				Transfers Out of Level 3				Balance, December 31, 2018
Securities available for sale:
RMBS		$	614			$	32			$	(8	)		$	0			$	0			$	0			$	(74	)		$	203			$	(334	)		$	433			$	28
CMBS		14				0				0				0				0				0				(4		)		0				0				10				0
Other securities		5				0				0				0				0				0				(5		)		0				0				0				0
Total securities available for sale		633				32				(8		)		0				0				0				(83		)		203				(334		)		443				28
Other assets:
Consumer MSRs		92				3				0				0				(97		)		2				0				0				0				0				0
Retained interests in securitizations		172				(14		)		0				0				0				0				0				0				0				158				(14		)
Net derivative assets (liabilities)(3)		13				(20		)		0				0				0				13				(17		)		0				1				(10		)		(20		)

		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)
(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 interests in securitizations		201				(29		)		0				0				0				0				0				0				0				172				(29		)
Net derivative assets (liabilities)(3)		18				0				0				0				0				46				(44		)		0				(7		)		13				0

__________

⁽¹⁾  Realized gains (losses) on securities available for sale are included in net securities gains (losses), and retained interests in securitizations are reported as a component of non-interest income in our consolidated statements of income. Gains (losses) on derivatives are included as a component of net interest income or non-interest income in our consolidated statements of income.

⁽²⁾  Net unrealized losses included in other comprehensive income related to Level 3 securities available for sale still held as of December 31, 2019 were $4 million.

⁽³⁾ 

Includes derivative assets and liabilities of $77 million and $51 million, respectively, as of December 31, 2019, $38 million and $48 million, respectively, as of December 31, 2018, and $37 million and $24 million, respectively as of December 31, 2017.

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 16.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2019

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

429

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

2-18% 0-18% 1-6% 30-95%

5% 10% 2% 67%

CMBS

13

Discounted cash flows (vendor pricing)

Yield

2-3%

2%

Other assets:

Retained interests in securitizations(2)

66

Discounted cash flows

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

35-51 4-14% 3-10% 2-3% 74-88%

N/A

Net derivative assets (liabilities)

26

Discounted cash flows

Swap rates

2%

2%

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at December 31, 2018

Significant Valuation Techniques

Significant Unobservable Inputs

Range

Weighted Average(1)

Securities available for sale:

RMBS

$

433

Discounted cash flows (vendor pricing)

Yield Voluntary prepayment rate Default rate Loss severity

3-11% 0-17% 0-7% 0-75%

5% 5% 3% 65%

CMBS

10

Discounted cash flows (vendor pricing)

Yield

3%

3%

Other assets:

Retained interests in securitizations(2)

158

Discounted cash flows

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

3-56 3-14% 4-6% 2-4% 50-104%

N/A

Net derivative assets (liabilities)

(10

)

Discounted cash flows

Swap rates

3%

3%

__________

⁽¹⁾  Weighted averages are calculated by using the product of the input multiplied by the relative fair value of the instruments.

⁽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 value of the assets measured at fair value on a nonrecurring basis and still held as of December 31, 2019 and 2018, and for which a nonrecurring fair value measurement was recorded during the year then ended.

Table 16.4: Nonrecurring Fair Value Measurements

		December 31, 2019
		Estimated Fair Value Hierarchy								Total
(Dollars in millions)		Level 2				Level 3
Loans held for investment		$	0			$	294			$	294
Other assets(1)		0				103				103
Total		$	0			$	397			$	397

		December 31, 2018
		Estimated Fair Value Hierarchy								Total
(Dollars in millions)		Level 2				Level 3
Loans held for investment		$	0			$	129			$	129
Loans held for sale		38				0				38
Other assets(1)		0				100				100
Total		$	38			$	229			$	267

__________

⁽¹⁾ 

As of December 31, 2019, other assets included equity investments accounted for under the measurement alternative of $5 million, repossessed assets of $61 million and long-lived assets held for sale of $37 million. As of December 31, 2018, other assets included equity investments accounted for under the measurement alternative of $24 million, foreclosed property and repossessed assets of $57 million and long-lived assets held for sale of $19 million.

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, 2019 and 2018.

Table 16.5: Nonrecurring Fair Value Measurements Included in Earnings

		Total Gains (Losses)
		Year Ended December 31,
(Dollars in millions)		2019				2018
Loans held for investment		$	(268	)		$	(85	)
Other assets(1)		(76		)		(74		)
Total		$	(344	)		$	(159	)

__________

⁽¹⁾ 

Other assets include fair value adjustments related to repossessed assets, long-lived assets held for sale and equity investments accounted for under the measurement alternative. Other assets also included foreclosed property as of December 31, 2018.

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, 2019 and 2018.

Table 16.6: Fair Value of Financial Instruments

		December 31, 2019
		Carrying Value				Estimated Fair Value				Estimated Fair Value Hierarchy
(Dollars in millions)										Level 1				Level 2				Level 3
Financial assets:
Cash and cash equivalents		$	13,407			$	13,407			$	4,129			$	9,278			$	0
Restricted cash for securitization investors		342				342				342				0				0
Net loans held for investment		258,601				258,696				0				0				258,696
Loans held for sale		149				149				0				149				0
Interest receivable		1,758				1,758				0				1,758				0
Other investments(1)		1,638				1,638				0				1,638				0
Financial liabilities:
Deposits with defined maturities		44,958				45,225				0				45,225				0
Securitized debt obligations		17,808				17,941				0				17,941				0
Senior and subordinated notes		30,472				31,233				0				31,233				0
Federal funds purchased and securities loaned or sold under agreements to repurchase		314				314				0				314				0
Other borrowings(2)		7,000				7,001				0				7,001				0
Interest payable		439				439				0				439				0

		December 31, 2018
		Carrying Value				Estimated Fair Value				Estimated Fair Value Hierarchy
(Dollars in millions)										Level 1				Level 2				Level 3
Financial assets:
Cash and cash equivalents		$	13,186			$	13,186			$	4,768			$	8,418			$	0
Restricted cash for securitization investors		303				303				303				0				0
Securities held to maturity		36,771				36,619				0				36,513				106
Net loans held for investment		238,679				241,556				0				0				241,556
Loans held for sale		1,192				1,218				0				1,218				0
Interest receivable		1,614				1,614				0				1,614				0
Other investments(1)		1,725				1,725				0				1,725				0
Financial liabilities:
Deposits with defined maturities		38,471				38,279				0				38,279				0
Securitized debt obligations		18,307				18,359				0				18,359				0
Senior and subordinated notes		30,826				30,635				0				30,635				0
Federal funds purchased and securities loaned or sold under agreements to repurchase		352				352				0				352				0
Other borrowings(2)		9,354				9,354				0				9,354				0
Interest payable		458				458				0				458				0

__________

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

⁽²⁾ 

Other borrowings excludes finance lease liabilities.

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