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Fair Value (Tables) | 6 Months Ended
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Jun. 30, 2020
Fair Value [Abstract] |
Fair Value Measurements - Recurring Basis Summary | Table 69: Fair Value Measurements – Recurring Basis Summary
| June 30, 2020 |  |  | December 31, 2019 |
In millions | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total Fair Value |  |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total Fair Value |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale |  |  | $ | 743 |  |  | $ | 88 |  |  | $ | 831 |  |  |  |  |  | $ | 817 |  |  | $ | 2 |  |  | $ | 819 |  |
Commercial mortgage loans held for sale |  |  | 344 |  |  | 60 |  |  | 404 |  |  |  |  |  | 182 |  |  | 64 |  |  | 246 |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Treasury and government agencies | $ | 19,907 |  |  | 281 |  |  |  |  | 20,188 |  |  |  | $ | 16,236 |  |  | 280 |  |  |  |  | 16,516 |  |
Residential mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 57,480 |  |  |  |  | 57,480 |  |  |  |  |  | 36,321 |  |  |  |  | 36,321 |  |
Non-agency |  |  | 191 |  |  | 1,491 |  |  | 1,682 |  |  |  |  |  | 73 |  |  | 1,741 |  |  | 1,814 |  |
Commercial mortgage-backed |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Agency |  |  | 3,140 |  |  |  |  | 3,140 |  |  |  |  |  | 3,118 |  |  |  |  | 3,118 |  |
Non-agency |  |  | 4,020 |  |  | 19 |  |  | 4,039 |  |  |  |  |  | 3,372 |  |  |  |  | 3,372 |  |
Asset-backed |  |  | 5,158 |  |  | 210 |  |  | 5,368 |  |  |  |  |  | 4,874 |  |  | 240 |  |  | 5,114 |  |
Other |  |  | 5,083 |  |  | 72 |  |  | 5,155 |  |  |  |  |  | 2,834 |  |  | 74 |  |  | 2,908 |  |
Total securities available for sale | 19,907 |  |  | 75,353 |  |  | 1,792 |  |  | 97,052 |  |  |  | 16,236 |  |  | 50,872 |  |  | 2,055 |  |  | 69,163 |  |
Loans |  |  | 424 |  |  | 607 |  |  | 1,031 |  |  |  |  |  | 442 |  |  | 300 |  |  | 742 |  |
Equity investments (a) | 821 |  |  |  |  | 1,183 |  |  | 2,280 |  |  |  | 855 |  |  |  |  | 1,276 |  |  | 2,421 |  |
Residential mortgage servicing rights |  |  |  |  | 577 |  |  | 577 |  |  |  |  |  |  |  | 995 |  |  | 995 |  |
Commercial mortgage servicing rights |  |  |  |  | 490 |  |  | 490 |  |  |  |  |  |  |  | 649 |  |  | 649 |  |
Trading securities (b) | 1,815 |  |  | 1,261 |  |  |  |  | 3,076 |  |  |  | 433 |  |  | 2,787 |  |  |  |  | 3,220 |  |
Financial derivatives (b) (c) |  |  | 8,038 |  |  | 141 |  |  | 8,179 |  |  |  |  |  | 3,448 |  |  | 54 |  |  | 3,502 |  |
Other assets | 328 |  |  | 63 |  |  |  |  | 391 |  |  |  | 339 |  |  | 131 |  |  |  |  | 470 |  |
Total assets (d) | $ | 22,871 |  |  | $ | 86,226 |  |  | $ | 4,938 |  |  | $ | 114,311 |  |  |  | $ | 17,863 |  |  | $ | 58,679 |  |  | $ | 5,395 |  |  | $ | 82,227 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 1,961 |  |  | $ | 38 |  |  | $ | 2 |  |  | $ | 2,001 |  |  |  | $ | 385 |  |  | $ | 126 |  |  | $ | 7 |  |  | $ | 518 |  |
Financial derivatives (c) (e) | 4 |  |  | 3,016 |  |  | 209 |  |  | 3,229 |  |  |  |  |  | 1,819 |  |  | 200 |  |  | 2,019 |  |
Other liabilities |  |  |  |  | 85 |  |  | 85 |  |  |  |  |  |  |  | 137 |  |  | 137 |  |
Total liabilities (f) | $ | 1,965 |  |  | $ | 3,054 |  |  | $ | 296 |  |  | $ | 5,315 |  |  |  | $ | 385 |  |  | $ | 1,945 |  |  | $ | 344 |  |  | $ | 2,674 |  |
(a) | Certain investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy.
(b) | Included in Other assets on the Consolidated Balance Sheet.
(c) | Amounts at June 30, 2020 and December 31, 2019 are presented gross and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See Note 13 Financial Derivatives for additional information related to derivative offsetting.
(d) | Total assets at fair value as a percentage of total consolidated assets was 25% and 20% as of June 30, 2020 and December 31, 2019, respectively. Level 3 assets as a percentage of total assets at fair value was 4% and 7% as of June 30, 2020 and December 31, 2019, respectively. Level 3 assets as a percentage of total consolidated assets was 1% at both June 30, 2020 and December 31, 2019.
(e) | Included in Other liabilities on the Consolidated Balance Sheet.
(f) | Total liabilities at fair value as a percentage of total consolidated liabilities was 1% at both June 30, 2020 and December 31, 2019. Level 3 liabilities as a percentage of total liabilities at fair value was 6% and 13% as of June 30, 2020 and December 31, 2019, respectively. Level 3 liabilities as a percentage of total consolidated liabilities was less than 1% at both June 30, 2020 and December 31, 2019.
Reconciliation of Level 3 Assets and Liabilities | Table 70: Reconciliation of Level 3 Assets and Liabilities Three Months Ended June 30, 2020
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  |  | Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2020 (a) (c)
Level 3 Instruments Only In millions | Fair Value Mar. 31, 2020 |  | Included in Earnings |  | Included in Other comprehensive income (b) |  | Purchases |  | Sales |  | Issuances |  | Settlements |  |  | Transfers into Level 3 |  | Transfers out of Level 3 |  |  | Fair Value June 30, 2020 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 4 |  |  |  |  | $ | 5 |  | $ | (1 | ) |  | $ | (3 | ) |  | $ | 83 |  |  |  | $ | 88 |  |  |
Commercial mortgage loans held for sale | 60 |  |  |  |  |  |  |  |  |  |  |  |  | 60 |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 1,442 |  | $ | 12 |  |  | $ | 123 |  |  |  |  | (86 | ) |  |  |  |  | 1,491 |  |  |
Commercial mortgage- backed non-agency |  |  |  |  |  |  |  |  |  | 19 |  |  |  | 19 |  |  |
Asset-backed | 202 |  | 2 |  |  | 16 |  |  |  |  | (10 | ) |  |  |  |  | 210 |  |  |
Other | 73 |  |  |  | 2 |  |  |  |  | (3 | ) |  |  |  |  | 72 |  |  |
Total securities available for sale | 1,717 |  | 14 |  |  | 141 |  |  |  |  |  |  |  | (99 | ) |  | 19 |  |  |  |  | 1,792 |  |  |
Loans | 655 |  | 2 |  |  |  | 55 |  | (5 | ) |  | (22 | ) |  |  | (78 | ) | (e) | 607 |  | $ | 2 |  |
Equity investments | 1,220 |  | (62 | ) |  |  | 42 |  | (17 | ) |  |  |  |  |  |  | 1,183 |  | (62 | ) |
Residential mortgage servicing rights | 605 |  | (40 | ) |  |  | 43 |  |  | $ | 12 |  | (43 | ) |  |  |  |  | 577 |  | (41 | ) |
Commercial mortgage servicing rights | 477 |  | 1 |  |  |  | 4 |  |  | 34 |  | (26 | ) |  |  |  |  | 490 |  | 1 |  |
Trading securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives | 135 |  | 50 |  |  |  | 4 |  |  |  | (48 | ) |  |  |  |  | 141 |  | 84 |  |
Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total assets | $ | 4,873 |  | $ | (35 | ) |  | $ | 141 |  | $ | 153 |  | $ | (23 | ) | $ | 46 |  | $ | (241 | ) |  | $ | 102 |  | $ | (78 | ) |  | $ | 4,938 |  | $ | (16 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 5 |  |  |  |  |  |  | $ | 13 |  | $ | (16 | ) |  |  |  |  | $ | 2 |  |  |
Financial derivatives | 185 |  | $ | 28 |  |  |  |  | $ | 1 |  |  | (5 | ) |  |  |  |  | 209 |  | $ | 27 |  |
Other liabilities | 72 |  | 4 |  |  |  |  |  | 26 |  | (19 | ) |  |  | $ | 2 |  |  | 85 |  | (2 | ) |
Total liabilities | $ | 262 |  | $ | 32 |  |  |  |  |  | $ | 1 |  | $ | 39 |  | $ | (40 | ) |  |  |  | $ | 2 |  |  | $ | 296 |  | $ | 25 |  |
Net gains (losses) |  | $ | (67 | ) | (f) |  |  |  |  |  |  |  |  |  |  | $ | (41 | ) | (g)
Three Months Ended June 30, 2019
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  | Unrealized gains/losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2019 (a) (c)
Level 3 Instruments Only In millions | Fair Value Mar. 31, 2019 |  | Included in Earnings |  | Included in Other comprehensive income (b) |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers into Level 3 |  | Transfers out of Level 3 |  |  | Fair Value June 30, 2019 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 2 |  |  |  |  | $ | 1 |  |  |  |  | $ | 1 |  | $ | (2 | ) | (e) | $ | 2 |  |  |
Commercial mortgage loans held for sale | 73 |  | $ | 1 |  |  |  |  |  |  | $ | (1 | ) |  |  |  | 73 |  | $ | 1 |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 2,042 |  | 18 |  |  | $ | 19 |  |  |  |  | (103 | ) |  |  |  | 1,976 |  |  |
Asset-backed | 266 |  | 2 |  |  | 4 |  |  |  |  | (11 | ) |  |  |  | 261 |  |  |
Other | 85 |  |  |  | (1 | ) | 2 |  | $ | (3 | ) |  | (3 | ) |  |  |  | 80 |  |  |
Total securities available for sale | 2,393 |  | 20 |  |  | 22 |  | 2 |  | (3 | ) |  | (117 | ) |  |  |  | 2,317 |  |  |
Loans | 272 |  | 2 |  |  |  | 13 |  | (8 | ) | $ | (1 | ) | (11 | ) | 1 |  | (9 | ) | (e) | 259 |  | 1 |  |
Equity investments | 1,217 |  | 4 |  |  |  | 150 |  | (48 | ) |  |  |  |  |  | 1,323 |  | 3 |  |
Residential mortgage servicing rights | 1,131 |  | (156 | ) |  |  | 59 |  |  | 7 |  | (44 | ) |  |  |  | 997 |  | (156 | ) |
Commercial mortgage servicing rights | 681 |  | (55 | ) |  |  | 32 |  |  | 9 |  | (37 | ) |  |  |  | 630 |  | (55 | ) |
Trading securities | 2 |  |  |  |  |  |  |  | (2 | ) |  |  |  |  |  |
Financial derivatives | 56 |  | 48 |  |  |  | (2 | ) |  |  | (16 | ) |  |  |  | 86 |  | 45 |  |
Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total assets | $ | 5,827 |  | $ | (136 | ) |  | $ | 22 |  | $ | 255 |  | $ | (59 | ) | $ | 15 |  | $ | (228 | ) | $ | 2 |  | $ | (11 | ) |  | $ | 5,687 |  | $ | (161 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 6 |  |  |  |  |  |  | $ | 12 |  | $ | (13 | ) |  |  |  | $ | 5 |  |  |
Financial derivatives | 230 |  | $ | 20 |  |  |  |  | $ | (1 | ) |  | (28 | ) |  |  |  | 221 |  | $ | 19 |  |
Other liabilities | 62 |  | 11 |  |  |  |  | 2 |  | 51 |  | (48 | ) |  |  |  | 78 |  | 3 |  |
Total liabilities | $ | 298 |  | $ | 31 |  |  |  |  | $ | 1 |  | $ | 63 |  | $ | (89 | ) |  |  |  | $ | 304 |  | $ | 22 |  |
Net gains (losses) |  | $ | (167 | ) | (f) |  |  |  |  |  |  |  |  |  | $ | (183 | ) | (g)
Six Months Ended June 30, 2020
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  |  | Unrealized gains / losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2020 (a) (c)
Level 3 Instruments Only In millions | Fair Value Dec. 31, 2019 |  | Included in Earnings |  | Included in Other comprehensive income (b) |  | Purchases |  | Sales |  | Issuances |  | Settlements |  |  | Transfers into Level 3 |  | Transfers out of Level 3 |  |  | Fair Value June 30, 2020 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 2 |  |  |  |  | $ | 7 |  | $ | (2 | ) |  | $ | (3 | ) |  | $ | 87 |  | $ | (3 | ) | (e) | $ | 88 |  |  |
Commercial mortgage loans held for sale | 64 |  | $ | (1 | ) |  |  |  |  |  | (3 | ) |  |  |  |  | 60 |  | $ | (1 | ) |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 1,741 |  | 28 |  |  | $ | (99 | ) |  |  |  | (179 | ) |  |  |  |  | 1,491 |  |  |
Commercial mortgage- backed non-agency |  |  |  |  |  |  |  |  |  | 19 |  |  |  | 19 |  |  |
Asset-backed | 240 |  | 4 |  |  | (13 | ) |  |  |  | (21 | ) |  |  |  |  | 210 |  |  |
Other | 74 |  |  |  | (3 | ) | 4 |  |  |  | (3 | ) |  |  |  |  | 72 |  |  |
Total securities available for sale | 2,055 |  | 32 |  |  | (115 | ) | 4 |  |  |  | (203 | ) |  | 19 |  |  |  | 1,792 |  |  |
Loans | 300 |  | 13 |  |  |  | 71 |  | (31 | ) |  | 340 |  | (d) |  | (86 | ) | (e) | 607 |  | 13 |  |
Equity investments | 1,276 |  | (131 | ) |  |  | 113 |  | (75 | ) |  |  |  |  |  |  | 1,183 |  | (125 | ) |
Residential mortgage servicing rights | 995 |  | (419 | ) |  |  | 61 |  |  | $ | 22 |  | (82 | ) |  |  |  |  | 577 |  | (420 | ) |
Commercial mortgage servicing rights | 649 |  | (166 | ) |  |  | 23 |  |  | 45 |  | (61 | ) |  |  |  |  | 490 |  | (166 | ) |
Trading securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Financial derivatives | 54 |  | 151 |  |  |  | 6 |  |  |  | (70 | ) |  |  |  |  | 141 |  | 158 |  |
Other assets |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Total assets | $ | 5,395 |  | $ | (521 | ) |  | $ | (115 | ) | $ | 285 |  | $ | (108 | ) | $ | 67 |  | $ | (82 | ) |  | $ | 106 |  | $ | (89 | ) |  | $ | 4,938 |  | $ | (541 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 7 |  |  |  |  |  |  | $ | 25 |  | $ | (30 | ) |  |  |  |  | $ | 2 |  |  |
Financial derivatives | 200 |  | $ | 36 |  |  |  |  | $ | 2 |  |  | (29 | ) |  |  |  |  | 209 |  | $ | 37 |  |
Other liabilities | 137 |  | 6 |  |  |  |  |  | 37 |  | (97 | ) |  | $ | 2 |  |  |  | 85 |  | (8 | ) |
Total liabilities | $ | 344 |  | $ | 42 |  |  |  |  | $ | 2 |  | $ | 62 |  | $ | (156 | ) |  | $ | 2 |  |  |  | $ | 296 |  | $ | 29 |  |
Net gains (losses) |  | $ | (563 | ) | (f) |  |  |  |  |  |  |  |  |  |  | $ | (570 | ) | (g)
Six Months Ended June 30, 2019
|  | Total realized / unrealized gains or losses for the period (a) |  |  |  |  |  |  |  |  | Unrealized gains/losses on assets and liabilities held on Consolidated Balance Sheet at June 30, 2019 (a) (c)
Level 3 Instruments Only In millions | Fair Value Dec. 31, 2018 |  | Included in Earnings |  | Included in Other comprehensive income (b) |  | Purchases |  | Sales |  | Issuances |  | Settlements |  | Transfers into Level 3 |  | Transfers out of Level 3 |  |  | Fair Value June 30, 2019 |
Assets |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 2 |  |  |  |  | $ | 2 |  | $ | (1 | ) |  |  | $ | 4 |  | $ | (5 | ) | (e) | $ | 2 |  |  |
Commercial mortgage loans held for sale | 87 |  | $ | 2 |  |  |  |  |  |  | $ | (16 | ) |  |  |  | 73 |  | $ | 2 |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage- backed non-agency | 2,128 |  | 36 |  |  | $ | 21 |  |  |  |  | (209 | ) |  |  |  | 1,976 |  |  |
Asset-backed | 274 |  | 2 |  |  | 6 |  |  |  |  | (21 | ) |  |  |  | 261 |  |  |
Other | 84 |  |  |  | (1 | ) | 3 |  | (3 | ) |  | (3 | ) |  |  |  | 80 |  |  |
Total securities available for sale | 2,486 |  | 38 |  |  | 26 |  | 3 |  | (3 | ) |  | (233 | ) |  |  |  | 2,317 |  |  |
Loans | 272 |  | 5 |  |  |  | 33 |  | (11 | ) | $ | (1 | ) | (25 | ) | 3 |  | (17 | ) | (e) | 259 |  | 2 |  |
Equity investments | 1,255 |  | 56 |  |  |  | 195 |  | (183 | ) |  |  |  |  |  | 1,323 |  | 3 |  |
Residential mortgage servicing rights | 1,257 |  | (262 | ) |  |  | 65 |  |  | 14 |  | (77 | ) |  |  |  | 997 |  | (261 | ) |
Commercial mortgage servicing rights | 726 |  | (88 | ) |  |  | 51 |  |  | 16 |  | (75 | ) |  |  |  | 630 |  | (88 | ) |
Trading securities | 2 |  |  |  |  |  |  |  | (2 | ) |  |  |  |  |  |
Financial derivatives | 25 |  | 87 |  |  |  |  |  |  | (26 | ) |  |  |  | 86 |  | (13 | ) |
Other assets | 45 |  |  |  |  |  |  |  | (45 | ) |  |  |  |  |  |
Total assets | $ | 6,157 |  | $ | (162 | ) |  | $ | 26 |  | $ | 349 |  | $ | (198 | ) | $ | 29 |  | $ | (499 | ) | $ | 7 |  | $ | (22 | ) |  | $ | 5,687 |  | $ | (355 | ) |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 7 |  |  |  |  |  |  | $ | 26 |  | $ | (28 | ) |  |  |  | $ | 5 |  |  |
Financial derivatives | 268 |  | $ | 50 |  |  |  |  | $ | 1 |  |  | (98 | ) |  |  |  | 221 |  | $ | 53 |  |
Other liabilities | 58 |  | 20 |  |  |  |  | 2 |  | 53 |  | (55 | ) |  |  |  | 78 |  | 11 |  |
Total liabilities | $ | 333 |  | $ | 70 |  |  |  |  |  |  | $ | 3 |  | $ | 79 |  | $ | (181 | ) |  |  |  |  |  | $ | 304 |  | $ | 64 |  |
Net gains (losses) |  | $ | (232 | ) | (f) |  |  |  |  |  |  |  |  |  | $ | (419 | ) | (g)
(a) | Losses for assets are bracketed while losses for liabilities are not.
(b) | The difference in unrealized gains and losses for the period included in Other comprehensive income and changes in unrealized gains and losses for the period included in Other comprehensive income for securities available for sale held at the end of the reporting period were not significant.
(c) | The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.
(d) | Upon adoption of ASU 2016-13 - Credit Losses, we discontinued the accounting for purchased impaired loans and elected the one-time fair value option election for some of these loans and certain nonperforming loans.
(e) | Residential mortgage loan transfers out of Level 3 are primarily driven by residential mortgage loans transferring to OREO as well as reclassification of mortgage loans held for sale to held for investment.
(f) | Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.
(g) Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.
Fair Value Measurements - Recurring Quantitative Information | Table 71: Fair Value Measurements – Recurring Quantitative Information June 30, 2020
Level 3 Instruments Only Dollars in millions | Fair Value |  | Valuation Techniques | Unobservable Inputs | Range (Weighted-Average) (a)
Commercial mortgage loans held for sale | $ | 60 |  | Discounted cash flow | Spread over the benchmark curve (b) | 630bps - 3,870bps (2,444bps)
Residential mortgage-backed non-agency securities | 1,491 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 37.6% (8.6%)
Constant default rate | 0.0% - 15.9% (4.7%)
Loss severity | 25.0% - 95.7% (48.6%)
Spread over the benchmark curve (b) | 327bps weighted-average
Asset-backed securities | 210 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 22.0% (7.5%)
Constant default rate | 1.0% - 7.2% (3.3%)
Loss severity | 30.0% - 100.0% (58.9%)
Spread over the benchmark curve (b) | 433bps weighted-average
Loans - Residential real estate | 436 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (78.4%)
Loss severity | 0.0% - 100.0% (12.7%)
Discount rate | 4.8% - 6.8% (5.3%)
| 80 |  | Discounted cash flow | Loss severity | 8.0% weighted-average
Discount rate | 3.3% weighted-average
Loans - Home equity | 23 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (91.4%)
Loss severity | 0.0% - 99.4% (37.1%)
Discount rate | 4.8% - 6.8% (6.3%)
| 68 |  | Consensus pricing (c) | Credit and liquidity discount | 17.1% - 97.0% (57.4%)
Equity investments | 1,183 |  | Multiple of adjusted earnings | Multiple of earnings | 5.0x - 16.5x (8.5x)
Residential mortgage servicing rights | 577 |  | Discounted cash flow | Constant prepayment rate | 0.0% - 65.2% (27.6%)
Spread over the benchmark curve (b) | 331bps - 3,793bps (912bps)
Commercial mortgage servicing rights | 490 |  | Discounted cash flow | Constant prepayment rate | 3.8% - 22.1% (4.8%)
Discount rate | 4.0% - 8.0% (7.4%)
Financial derivatives - Swaps related to sales of certain Visa Class B common shares | (171 | ) | Discounted cash flow | Estimated conversion factor of Visa Class B shares into Class A shares | 162.3% weighted-average
Estimated annual growth rate of Visa Class A share price | 16.0%
Estimated length of litigation resolution date | Q2 2021
Insignificant Level 3 assets, net of liabilities (d) | 195 |  |  |  |
Total Level 3 assets, net of liabilities (e) | $ | 4,642 |  |  |  |
December 31, 2019
Level 3 Instruments Only Dollars in millions | Fair Value |  | Valuation Techniques | Unobservable Inputs | Range (Weighted-Average) (a)
Commercial mortgage loans held for sale | $ | 64 |  | Discounted cash flow | Spread over the benchmark curve (b) | 530bps - 2,935bps (1,889bps)
Residential mortgage-backed non-agency securities | 1,741 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 36.2% (9.9%)
Constant default rate | 0.0% - 14.1% (4.3%)
Loss severity | 26.6% - 95.7% (51.9%)
Spread over the benchmark curve (b) | 188bps weighted-average
Asset-backed securities | 240 |  | Priced by a third-party vendor using a discounted cash flow pricing model | Constant prepayment rate | 1.0% - 22.0% (7.5%)
Constant default rate | 1.0% - 7.2% (3.4%)
Loss severity | 30.0% - 100.0% (57.6%)
Spread over the benchmark curve (b) | 215bps weighted-average
Loans | 184 |  | Consensus pricing (c) | Cumulative default rate | 3.6% - 100.0% (76.7%)
Loss severity | 0.0% - 100.0% (14.5%)
Discount rate | 5.0% - 8.0% (5.2%)
| 72 |  | Discounted cash flow | Loss severity | 8.0% weighted-average
Discount rate | 4.8% weighted-average
| 44 |  | Consensus pricing (c) | Credit and Liquidity discount | 0.0% - 99.0% (63.4%)
Equity investments | 1,276 |  | Multiple of adjusted earnings | Multiple of earnings | 5.0x - 16.5x (8.5x)
Residential mortgage servicing rights | 995 |  | Discounted cash flow | Constant prepayment rate | 0.0% - 53.8% (13.5%)
Spread over the benchmark curve (b) | 320bps - 1,435bps (769bps)
Commercial mortgage servicing rights | 649 |  | Discounted cash flow | Constant prepayment rate | 3.5% - 18.1% (4.6%)
Discount rate | 5.6% - 8.1% (7.9%)
Financial derivatives - Swaps related to sales of certain Visa Class B common shares | (176 | ) | Discounted cash flow | Estimated conversion factor of Visa Class B shares into Class A shares | 162.3% weighted-average
Estimated annual growth rate of Visa Class A share price | 16.0%
Estimated length of litigation resolution date | Q1 2021
Insignificant Level 3 assets, net of liabilities (d) | (38 | ) |  |  |
Total Level 3 assets, net of liabilities (e) | $ | 5,051 |  |  |  |
(a) | Unobservable inputs were weighted by the relative fair value of the instruments.
(b) | The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest rate risks, such as credit and liquidity risks.
(c) | Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.
(d) | Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes certain financial derivative assets and liabilities, trading securities, other securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.
(e) Consisted of total Level 3 assets of $4.9 billion and total Level 3 liabilities of $.3 billion as of June 30, 2020 and $5.4 billion and $.3 billion as of December 31, 2019, respectively.
Fair Value Measurements - Nonrecurring | Table 72: Fair Value Measurements – Nonrecurring (a) (b) (c)
| Fair Value |  | Gains (Losses) Three months ended |  | Gains (Losses) Six months ended |
In millions | June 30 2020 |  |  | December 31 2019 |  |  | June 30 2020 |  |  | June 30 2019 |  |  | June 30 2020 |  |  | June 30 2019 |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Nonaccrual loans | $ | 211 |  |  | $ | 136 |  |  | $ | (31 | ) |  | $ | (34 | ) |  | $ | (56 | ) |  | $ | (44 | ) |
OREO and foreclosed assets | 30 |  |  | 57 |  |  | (1 | ) |  | (2 | ) |  | (2 | ) |  | (4 | ) |
Long-lived assets | 4 |  |  | 5 |  |  | (2 | ) |  | (4 | ) |  | (3 | ) |  | (4 | ) |
Total assets | $ | 245 |  |  | $ | 198 |  |  | $ | (34 | ) |  | $ | (40 | ) |  | $ | (61 | ) |  | $ | (52 | ) |
(a) | All Level 3 for the periods presented.
(b) | Valuation techniques applied were fair value of property or collateral.
(c) | Unobservable inputs used were appraised value/sales price, broker opinions or projected income/required improvement costs. Additional quantitative information was not meaningful for the periods presented.
Fair Value Option - Fair Value and Principal Balances | Table 73: Fair Value Option – Fair Value and Principal Balances
| June 30, 2020 |  | December 31, 2019 |
In millions | Fair Value |  |  | Aggregate Unpaid Principal Balance |  |  | Difference |  |  | Fair Value |  |  | Aggregate Unpaid Principal Balance |  |  | Difference |  |
Assets |  |  |  |  |  |  |  |  |  |  |  |
Residential mortgage loans held for sale |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 813 |  |  | $ | 778 |  |  | $ | 35 |  |  | $ | 813 |  |  | $ | 792 |  |  | $ | 21 |  |
Accruing loans 90 days or more past due | 7 |  |  | 7 |  |  |  |  |  | 2 |  |  | 2 |  |  |  |  |
Nonaccrual loans | 11 |  |  | 12 |  |  | (1 | ) |  | 4 |  |  | 4 |  |  |  |
Total | $ | 831 |  |  | $ | 797 |  |  | $ | 34 |  |  | $ | 819 |  |  | $ | 798 |  |  | $ | 21 |  |
Commercial mortgage loans held for sale (a) |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 403 |  |  | $ | 416 |  |  | $ | (13 | ) |  | $ | 245 |  |  | $ | 263 |  |  | $ | (18 | ) |
Nonaccrual loans | 1 |  |  | 1 |  |  |  |  |  | 1 |  |  | 2 |  |  | (1 | ) |
Total | $ | 404 |  |  | $ | 417 |  |  | $ | (13 | ) |  | $ | 246 |  |  | $ | 265 |  |  | $ | (19 | ) |
Loans |  |  |  |  |  |  |  |  |  |  |  |
Accruing loans less than 90 days past due | $ | 273 |  |  | $ | 287 |  |  | $ | (14 | ) |  | $ | 291 |  |  | $ | 304 |  |  | $ | (13 | ) |
Accruing loans 90 days or more past due | 233 |  |  | 244 |  |  | (11 | ) |  | 285 |  |  | 296 |  |  | (11 | ) |
Nonaccrual loans | 525 |  |  | 794 |  |  | (269 | ) |  | 166 |  |  | 265 |  |  | (99 | ) |
Total | $ | 1,031 |  |  | $ | 1,325 |  |  | $ | (294 | ) |  | $ | 742 |  |  | $ | 865 |  |  | $ | (123 | ) |
Other assets | $ | 62 |  |  | $ | 59 |  |  | $ | 3 |  |  | $ | 132 |  |  | $ | 125 |  |  | $ | 7 |  |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Other borrowed funds | $ | 29 |  |  | $ | 29 |  |  |  |  |  |  | $ | 63 |  |  | $ | 64 |  |  | $ | (1 | ) |
(a) There were no accruing loans 90 days or more past due within this category at June 30, 2020 or December 31, 2019.
Fair Value Option - Changes in Fair Value | Table 74: Fair Value Option – Changes in Fair Value (a)
| Gains (Losses) |  | Gains (Losses) |
| Three months ended |  | Six months ended |
| June 30 |  |  | June 30 |  |  | June 30 |  |  | June 30 |  |
In millions | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |
Assets |  |  |  |  |  |  |  |
Residential mortgage loans held for sale | $ | 52 |  |  | $ | 20 |  |  | $ | 98 |  |  | $ | 34 |  |
Commercial mortgage loans held for sale | $ | 12 |  |  | $ | 18 |  |  | $ | 60 |  |  | $ | 23 |  |
Loans | $ | 8 |  |  | $ | 5 |  |  | $ | 26 |  |  | $ | 9 |  |
Other assets | $ | 9 |  |  | $ | 12 |  |  | $ | (27 | ) |  | $ | 21 |  |
(a) The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.
Additional Fair Value Information Related to Other Financial Instruments | Table 75: Additional Fair Value Information Related to Other Financial Instruments
| Carrying |  |  | Fair Value |
In millions | Amount |  |  | Total |  |  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |
June 30, 2020 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Cash and due from banks | $ | 6,338 |  |  | $ | 6,338 |  |  | $ | 6,338 |  |  |  |  |  |
Interest-earning deposits with banks | 50,233 |  |  | 50,233 |  |  |  |  | $ | 50,233 |  |  |  |
Securities held to maturity | 1,443 |  |  | 1,615 |  |  | 931 |  |  | 487 |  |  | $ | 197 |  |
Net loans (excludes leases) | 244,181 |  |  | 251,421 |  |  |  |  |  |  | 251,421 |  |
Other assets | 5,198 |  |  | 5,184 |  |  |  |  | 5,180 |  |  | 4 |  |
Total assets | $ | 307,393 |  |  | $ | 314,791 |  |  | $ | 7,269 |  |  | $ | 55,900 |  |  | $ | 251,622 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Time deposits | $ | 21,220 |  |  | $ | 21,227 |  |  |  |  | $ | 21,227 |  |  |  |
Borrowed funds | 45,024 |  |  | 45,309 |  |  |  |  | 43,603 |  |  | $ | 1,706 |  |
Unfunded lending related commitments | 662 |  |  | 662 |  |  |  |  |  |  | 662 |  |
Other liabilities | 372 |  |  | 372 |  |  |  |  | 372 |  |  |  |
Total liabilities | $ | 67,278 |  |  | $ | 67,570 |  |  |  |  | $ | 65,202 |  |  | $ | 2,368 |  |
December 31, 2019 |  |  |  |  |  |  |  |  |  |
Assets |  |  |  |  |  |  |  |  |  |
Cash and due from banks | $ | 5,061 |  |  | $ | 5,061 |  |  | $ | 5,061 |  |  |  |  |  |
Interest-earning deposits with banks | 23,413 |  |  | 23,413 |  |  |  |  | $ | 23,413 |  |  |  |
Securities held to maturity | 17,661 |  |  | 18,044 |  |  | 832 |  |  | 17,039 |  |  | $ | 173 |  |
Net loans (excludes leases) | 229,205 |  |  | 232,670 |  |  |  |  |  |  | 232,670 |  |
Other assets | 5,700 |  |  | 5,700 |  |  |  |  | 5,692 |  |  | 8 |  |
Total assets | $ | 281,040 |  |  | $ | 284,888 |  |  | $ | 5,893 |  |  | $ | 46,144 |  |  | $ | 232,851 |  |
Liabilities |  |  |  |  |  |  |  |  |  |
Time deposits | $ | 21,663 |  |  | $ | 21,425 |  |  |  |  | $ | 21,425 |  |  |  |
Borrowed funds | 59,745 |  |  | 60,399 |  |  |  |  | 58,622 |  |  | $ | 1,777 |  |
Unfunded lending related commitments | 318 |  |  | 318 |  |  |  |  |  |  | 318 |  |
Other liabilities | 506 |  |  | 506 |  |  |  |  | 506 |  |  |  |
Total liabilities | $ | 82,232 |  |  | $ | 82,648 |  |  |  |  | $ | 80,553 |  |  | $ | 2,095 |  |

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