Bank of America Corporation Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2015

Assets and Liabilities Carried at Fair Value on a Recurring Basis

Assets and liabilities carried at fair value on a recurring basis at December 31, 2015 and 2014, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	December 31, 2015
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments ⁽¹⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	55,143	$	—	$	—		$	55,143
Trading account assets:
U.S. government and agency securities ⁽²⁾	33,034		15,501		—		—			48,535
Corporate securities, trading loans and other	325		22,738		2,838		—			25,901
Equity securities	41,735		20,887		407		—			63,029
Non-U.S. sovereign debt	15,651		12,915		521		—			29,087
Mortgage trading loans and ABS	—		8,107		1,868		—			9,975
Total trading account assets	90,745		80,148		5,634		—			176,527
Derivative assets ⁽³⁾	5,149		679,458		5,134		(639,751		)	49,990
AFS debt securities:
U.S. Treasury and agency securities	23,374		1,903		—		—			25,277
Mortgage-backed securities:
Agency	—		228,947		—		—			228,947
Agency-collateralized mortgage obligations	—		10,985		—		—			10,985
Non-agency residential	—		3,073		106		—			3,179
Commercial	—		7,165		—		—			7,165
Non-U.S. securities	2,768		2,999		—		—			5,767
Corporate/Agency bonds	—		243		—		—			243
Other taxable securities	—		9,445		757		—			10,202
Tax-exempt securities	—		13,439		569		—			14,008
Total AFS debt securities	26,142		278,199		1,432		—			305,773
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		7		—		—			7
Non-agency residential	—		3,460		30		—			3,490
Non-U.S. securities	11,691		1,152		—		—			12,843
Other taxable securities	—		267		—		—			267
Total other debt securities carried at fair value	11,691		4,886		30		—			16,607
Loans and leases	—		5,318		1,620		—			6,938
Mortgage servicing rights	—		—		3,087		—			3,087
Loans held-for-sale	—		4,031		787		—			4,818
Other assets ⁽⁴⁾	11,923		2,023		374		—			14,320
Total assets	$	145,650	$	1,109,206	$	18,098	$	(639,751	)	$	633,203
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,116	$	—	$	—		$	1,116
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		24,239		335		—			24,574
Trading account liabilities:
U.S. government and agency securities	14,803		169		—		—			14,972
Equity securities	27,898		2,392		—		—			30,290
Non-U.S. sovereign debt	13,589		1,951		—		—			15,540
Corporate securities and other	193		5,947		21		—			6,161
Total trading account liabilities	56,483		10,459		21		—			66,963
Derivative liabilities ⁽³⁾	4,941		671,613		5,575		(643,679		)	38,450
Short-term borrowings	—		1,295		30		—			1,325
Accrued expenses and other liabilities	11,656		2,234		9		—			13,899
Long-term debt	—		28,584		1,513		—			30,097
Total liabilities	$	73,080	$	739,540	$	7,483	$	(643,679	)	$	176,424


⁽¹⁾	Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.


⁽²⁾	Includes $14.8 billion of government-sponsored enterprise obligations.

⁽³⁾

During 2015, $6.6 billion of derivative assets and $6.7 billion of derivative liabilities were transferred from Level 1 to Level 2 based on inputs used to measure fair value. Additionally, $6.4 billion of derivative assets and $6.2 billion of derivative liabilities were transferred from Level 2 to Level 1 due to additional information related to certain options. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.


⁽⁴⁾	During 2015, approximately $327 million of assets were transferred from Level 2 to Level 1 due to a restriction that was lifted for an equity investment.




	December 31, 2014
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments ⁽¹⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	62,182	$	—	$	—		$	62,182
Trading account assets:
U.S. government and agency securities ⁽²⁾	33,470		17,549		—		—			51,019
Corporate securities, trading loans and other	243		31,699		3,270		—			35,212
Equity securities	33,518		22,488		352		—			56,358
Non-U.S. sovereign debt	20,348		15,332		574		—			36,254
Mortgage trading loans and ABS	—		10,879		2,063		—			12,942
Total trading account assets	87,579		97,947		6,259		—			191,785
Derivative assets ⁽³⁾	4,957		972,977		6,851		(932,103		)	52,682
AFS debt securities:
U.S. Treasury and agency securities	67,413		2,182		—		—			69,595
Mortgage-backed securities:
Agency	—		165,039		—		—			165,039
Agency-collateralized mortgage obligations	—		14,248		—		—			14,248
Non-agency residential	—		4,175		279		—			4,454
Commercial	—		4,000		—		—			4,000
Non-U.S. securities	3,191		3,029		10		—			6,230
Corporate/Agency bonds	—		368		—		—			368
Other taxable securities	20		9,104		1,667		—			10,791
Tax-exempt securities	—		8,950		599		—			9,549
Total AFS debt securities	70,624		211,095		2,555		—			284,274
Other debt securities carried at fair value:
U.S. Treasury and agency securities	1,541		—		—		—			1,541
Mortgage-backed securities:
Agency	—		15,704		—		—			15,704
Non-agency residential	—		3,745		—		—			3,745
Non-U.S. securities	13,270		1,862		—		—			15,132
Other taxable securities	—		299		—		—			299
Total other debt securities carried at fair value	14,811		21,610		—		—			36,421
Loans and leases	—		6,698		1,983		—			8,681
Mortgage servicing rights	—		—		3,530		—			3,530
Loans held-for-sale	—		6,628		173		—			6,801
Other assets ⁽⁴⁾	11,581		1,381		911		—			13,873
Total assets	$	189,552	$	1,380,518	$	22,262	$	(932,103	)	$	660,229
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,469	$	—	$	—		$	1,469
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		35,357		—		—			35,357
Trading account liabilities:
U.S. government and agency securities	18,514		446		—		—			18,960
Equity securities	24,679		3,670		—		—			28,349
Non-U.S. sovereign debt	16,089		3,625		—		—			19,714
Corporate securities and other	189		6,944		36		—			7,169
Total trading account liabilities	59,471		14,685		36		—			74,192
Derivative liabilities ⁽³⁾	4,493		969,502		7,771		(934,857		)	46,909
Short-term borrowings	—		2,697		—		—			2,697
Accrued expenses and other liabilities	10,795		1,250		10		—			12,055
Long-term debt	—		34,042		2,362		—			36,404
Total liabilities	$	74,759	$	1,059,002	$	10,179	$	(934,857	)	$	209,083


⁽¹⁾	Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.


⁽²⁾	Includes $17.2 billion of government-sponsored enterprise obligations.


⁽³⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.

⁽⁴⁾

During 2014, the Corporation reclassified certain assets and liabilities within its fair value hierarchy based on a review of its inputs used to measure fair value. Accordingly, approximately $4.1 billion of assets related to U.S. government and agency securities, non-U.S. government securities and equity derivatives, and $570 million of liabilities related to equity derivatives were transferred from Level 1 to Level 2.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation




Level 3 – Fair Value Measurements ⁽¹⁾

	2014
										Gross
(Dollars in millions)	Balance January 1 2014			Gains (Losses) in Earnings			Gains (Losses) in OCI			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2014
Trading account assets:
U.S. government and agency securities	$	—		$	—		$	—		$	87	$	(87	)	$	—		$	—		$	—		$	—		$	—
Corporate securities, trading loans and other	3,559			180			—			1,675		(857		)	—			(938		)	1,275			(1,624		)	3,270
Equity securities	386			—			—			104		(86		)	—			(16		)	146			(182		)	352
Non-U.S. sovereign debt	468			30			—			120		(34		)	—			(19		)	11			(2		)	574
Mortgage trading loans and ABS	4,631			199			—			1,643		(1,259		)	—			(585		)	39			(2,605		)	2,063
Total trading account assets	9,044			409			—			3,629		(2,323		)	—			(1,558		)	1,471			(4,413		)	6,259
Net derivative assets ⁽²⁾	(224		)	463			—			823		(1,738		)	—			(432		)	28			160			(920		)
AFS debt securities:
Non-agency residential MBS	—			(2		)	—			11		—			—			—			270			—			279
Non-U.S. securities	107			(7		)	(11		)	241		—			—			(147		)	—			(173		)	10
Corporate/Agency bonds	—			—			—			—		—			—			—			93			(93		)	—
Other taxable securities	3,847			9			(8		)	154		—			—			(1,381		)	—			(954		)	1,667
Tax-exempt securities	806			8			—			—		(16		)	—			(235		)	36			—			599
Total AFS debt securities	4,760			8			(19		)	406		(16		)	—			(1,763		)	399			(1,220		)	2,555
Loans and leases ^{(3, 4)}	3,057			69			—			—		(3		)	699			(1,591		)	25			(273		)	1,983
Mortgage servicing rights ⁽⁴⁾	5,042			(1,231		)	—			—		(61		)	707			(927		)	—			—			3,530
Loans held-for-sale ⁽⁴⁾	929			45			—			59		(725		)	23			(216		)	83			(25		)	173
Other assets ⁽⁵⁾	1,669			(98		)	—			—		(430		)	—			(245		)	39			(24		)	911
Trading account liabilities – Corporate securities and other	(35		)	1			—			10		(13		)	—			—			(9		)	10			(36		)
Accrued expenses and other liabilities	(10		)	2			—			—		—			(3		)	—			—			1			(10		)
Long-term debt ⁽³⁾	(1,990		)	49			—			169		—			(615		)	540			(1,581		)	1,066			(2,362		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.8 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of certain long-term fixed-rate margin loans that are accounted for under the fair value option and certain private equity investments.




Level 3 – Fair Value Measurements ⁽¹⁾

	2013
									Gross
(Dollars in millions)	Balance January 1 2013			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	242		$	—	$	3,848	$	(3,110	)	$	59		$	(651	)	$	890		$	(1,445	)	$	3,559
Equity securities	545			74			—		96		(175		)	—			(100		)	70			(124		)	386
Non-U.S. sovereign debt	353			50			—		122		(18		)	—			(36		)	2			(5		)	468
Mortgage trading loans and ABS	4,935			53			—		2,514		(1,993		)	—			(868		)	20			(30		)	4,631
Total trading account assets	9,559			419			—		6,580		(5,296		)	59			(1,655		)	982			(1,604		)	9,044
Net derivative assets ⁽²⁾	1,468			(304		)	—		824		(1,467		)	—			(1,362		)	(10		)	627			(224		)
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			5			2		1		(1		)	—			—			100			—			107
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(96		)	—
Other taxable securities	3,928			9			15		1,055		—			—			(1,155		)	—			(5		)	3,847
Tax-exempt securities	1,061			3			19		—		—			—			(109		)	—			(168		)	806
Total AFS debt securities	5,091			17			40		1,056		(1		)	—			(1,274		)	100			(269		)	4,760
Loans and leases ^{(3, 4)}	2,287			98			—		310		(128		)	1,252			(757		)	19			(24		)	3,057
Mortgage servicing rights ⁽⁴⁾	5,716			1,941			—		—		(2,044		)	472			(1,043		)	—			—			5,042
Loans held-for-sale ⁽³⁾	2,733			62			—		8		(402		)	4			(1,507		)	34			(3		)	929
Other assets ⁽⁵⁾	3,129			(288		)	—		46		(383		)	—			(1,019		)	239			(55		)	1,669
Trading account liabilities – Corporate securities and other	(64		)	10			—		43		(54		)	(5		)	—			(9		)	44			(35		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	30			—		—		—			(751		)	724			(1		)	3			(10		)
Long-term debt ⁽³⁾	(2,301		)	13			—		358		(4		)	(172		)	258			(1,331		)	1,189			(1,990		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Net derivatives include derivative assets of $7.3 billion and derivative liabilities of $7.5 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of certain long-term fixed-rate margin loans that are accounted for under the fair value option and certain private equity investments.

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during 2015, 2014 and 2013, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.




Level 3 – Fair Value Measurements ⁽¹⁾

	2015
										Gross
(Dollars in millions)	Balance January 1 2015			Gains (Losses) in Earnings			Gains (Losses) in OCI ⁽²⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	(31	)	$	(11	)	$	1,540	$	(1,616	)	$	—		$	(1,122	)	$	1,570		$	(762	)	$	2,838
Equity securities	352			9			—			49		(11		)	—			(11		)	41			(22		)	407
Non-U.S. sovereign debt	574			114			(179		)	185		(1		)	—			(145		)	—			(27		)	521
Mortgage trading loans and ABS	2,063			154			1			1,250		(1,117		)	—			(493		)	50			(40		)	1,868
Total trading account assets	6,259			246			(189		)	3,024		(2,745		)	—			(1,771		)	1,661			(851		)	5,634
Net derivative assets ⁽³⁾	(920		)	1,335			(7		)	273		(863		)	—			(261		)	(40		)	42			(441		)
AFS debt securities:
Non-agency residential MBS	279			(12		)	—			134		—			—			(425		)	167			(37		)	106
Non-U.S. securities	10			—			—			—		—			—			(10		)	—			—			—
Other taxable securities	1,667			—			—			189		—			—			(160		)	—			(939		)	757
Tax-exempt securities	599			—			—			—		—			—			(30		)	—			—			569
Total AFS debt securities	2,555			(12		)	—			323		—			—			(625		)	167			(976		)	1,432
Other debt securities carried at fair value – Non-agency residential MBS	—			(3		)	—			33		—			—			—			—			—			30
Loans and leases ^{(4, 5)}	1,983			(23		)	—			—		(4		)	57			(237		)	144			(300		)	1,620
Mortgage servicing rights ⁽⁵⁾	3,530			187			—			—		(393		)	637			(874		)	—			—			3,087
Loans held-for-sale ⁽⁴⁾	173			(51		)	(8		)	771		(203		)	61			(61		)	203			(98		)	787
Other assets ⁽⁶⁾	911			(55		)	—			11		(130		)	—			(51		)	10			(322		)	374
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(11		)	—			—		—			(131		)	217			(411		)	1			(335		)
Trading account liabilities – Corporate securities and other	(36		)	19			—			30		(34		)	—			—			—			—			(21		)
Short-term borrowings ⁽⁴⁾	—			17			—			—		—			(52		)	10			(24		)	19			(30		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	287			19			616		—			(188		)	273			(1,592		)	1,434			(1,513		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation’s credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.1 billion and derivative liabilities of $5.6 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁶⁾	Other assets is primarily comprised of certain private equity investments

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation




Level 3 – Fair Value Measurements ⁽¹⁾

	2014
										Gross
(Dollars in millions)	Balance January 1 2014			Gains (Losses) in Earnings			Gains (Losses) in OCI			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2014
Trading account assets:
U.S. government and agency securities	$	—		$	—		$	—		$	87	$	(87	)	$	—		$	—		$	—		$	—		$	—
Corporate securities, trading loans and other	3,559			180			—			1,675		(857		)	—			(938		)	1,275			(1,624		)	3,270
Equity securities	386			—			—			104		(86		)	—			(16		)	146			(182		)	352
Non-U.S. sovereign debt	468			30			—			120		(34		)	—			(19		)	11			(2		)	574
Mortgage trading loans and ABS	4,631			199			—			1,643		(1,259		)	—			(585		)	39			(2,605		)	2,063
Total trading account assets	9,044			409			—			3,629		(2,323		)	—			(1,558		)	1,471			(4,413		)	6,259
Net derivative assets ⁽²⁾	(224		)	463			—			823		(1,738		)	—			(432		)	28			160			(920		)
AFS debt securities:
Non-agency residential MBS	—			(2		)	—			11		—			—			—			270			—			279
Non-U.S. securities	107			(7		)	(11		)	241		—			—			(147		)	—			(173		)	10
Corporate/Agency bonds	—			—			—			—		—			—			—			93			(93		)	—
Other taxable securities	3,847			9			(8		)	154		—			—			(1,381		)	—			(954		)	1,667
Tax-exempt securities	806			8			—			—		(16		)	—			(235		)	36			—			599
Total AFS debt securities	4,760			8			(19		)	406		(16		)	—			(1,763		)	399			(1,220		)	2,555
Loans and leases ^{(3, 4)}	3,057			69			—			—		(3		)	699			(1,591		)	25			(273		)	1,983
Mortgage servicing rights ⁽⁴⁾	5,042			(1,231		)	—			—		(61		)	707			(927		)	—			—			3,530
Loans held-for-sale ⁽⁴⁾	929			45			—			59		(725		)	23			(216		)	83			(25		)	173
Other assets ⁽⁵⁾	1,669			(98		)	—			—		(430		)	—			(245		)	39			(24		)	911
Trading account liabilities – Corporate securities and other	(35		)	1			—			10		(13		)	—			—			(9		)	10			(36		)
Accrued expenses and other liabilities	(10		)	2			—			—		—			(3		)	—			—			1			(10		)
Long-term debt ⁽³⁾	(1,990		)	49			—			169		—			(615		)	540			(1,581		)	1,066			(2,362		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.8 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of certain long-term fixed-rate margin loans that are accounted for under the fair value option and certain private equity investments.




Level 3 – Fair Value Measurements ⁽¹⁾

	2013
									Gross
(Dollars in millions)	Balance January 1 2013			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	242		$	—	$	3,848	$	(3,110	)	$	59		$	(651	)	$	890		$	(1,445	)	$	3,559
Equity securities	545			74			—		96		(175		)	—			(100		)	70			(124		)	386
Non-U.S. sovereign debt	353			50			—		122		(18		)	—			(36		)	2			(5		)	468
Mortgage trading loans and ABS	4,935			53			—		2,514		(1,993		)	—			(868		)	20			(30		)	4,631
Total trading account assets	9,559			419			—		6,580		(5,296		)	59			(1,655		)	982			(1,604		)	9,044
Net derivative assets ⁽²⁾	1,468			(304		)	—		824		(1,467		)	—			(1,362		)	(10		)	627			(224		)
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			5			2		1		(1		)	—			—			100			—			107
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(96		)	—
Other taxable securities	3,928			9			15		1,055		—			—			(1,155		)	—			(5		)	3,847
Tax-exempt securities	1,061			3			19		—		—			—			(109		)	—			(168		)	806
Total AFS debt securities	5,091			17			40		1,056		(1		)	—			(1,274		)	100			(269		)	4,760
Loans and leases ^{(3, 4)}	2,287			98			—		310		(128		)	1,252			(757		)	19			(24		)	3,057
Mortgage servicing rights ⁽⁴⁾	5,716			1,941			—		—		(2,044		)	472			(1,043		)	—			—			5,042
Loans held-for-sale ⁽³⁾	2,733			62			—		8		(402		)	4			(1,507		)	34			(3		)	929
Other assets ⁽⁵⁾	3,129			(288		)	—		46		(383		)	—			(1,019		)	239			(55		)	1,669
Trading account liabilities – Corporate securities and other	(64		)	10			—		43		(54		)	(5		)	—			(9		)	44			(35		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	30			—		—		—			(751		)	724			(1		)	3			(10		)
Long-term debt ⁽³⁾	(2,301		)	13			—		358		(4		)	(172		)	258			(1,331		)	1,189			(1,990		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Net derivatives include derivative assets of $7.3 billion and derivative liabilities of $7.5 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of certain long-term fixed-rate margin loans that are accounted for under the fair value option and certain private equity investments.




Level 3 – Fair Value Measurements ⁽¹⁾

	2015
										Gross
(Dollars in millions)	Balance January 1 2015			Gains (Losses) in Earnings			Gains (Losses) in OCI ⁽²⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	(31	)	$	(11	)	$	1,540	$	(1,616	)	$	—		$	(1,122	)	$	1,570		$	(762	)	$	2,838
Equity securities	352			9			—			49		(11		)	—			(11		)	41			(22		)	407
Non-U.S. sovereign debt	574			114			(179		)	185		(1		)	—			(145		)	—			(27		)	521
Mortgage trading loans and ABS	2,063			154			1			1,250		(1,117		)	—			(493		)	50			(40		)	1,868
Total trading account assets	6,259			246			(189		)	3,024		(2,745		)	—			(1,771		)	1,661			(851		)	5,634
Net derivative assets ⁽³⁾	(920		)	1,335			(7		)	273		(863		)	—			(261		)	(40		)	42			(441		)
AFS debt securities:
Non-agency residential MBS	279			(12		)	—			134		—			—			(425		)	167			(37		)	106
Non-U.S. securities	10			—			—			—		—			—			(10		)	—			—			—
Other taxable securities	1,667			—			—			189		—			—			(160		)	—			(939		)	757
Tax-exempt securities	599			—			—			—		—			—			(30		)	—			—			569
Total AFS debt securities	2,555			(12		)	—			323		—			—			(625		)	167			(976		)	1,432
Other debt securities carried at fair value – Non-agency residential MBS	—			(3		)	—			33		—			—			—			—			—			30
Loans and leases ^{(4, 5)}	1,983			(23		)	—			—		(4		)	57			(237		)	144			(300		)	1,620
Mortgage servicing rights ⁽⁵⁾	3,530			187			—			—		(393		)	637			(874		)	—			—			3,087
Loans held-for-sale ⁽⁴⁾	173			(51		)	(8		)	771		(203		)	61			(61		)	203			(98		)	787
Other assets ⁽⁶⁾	911			(55		)	—			11		(130		)	—			(51		)	10			(322		)	374
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(11		)	—			—		—			(131		)	217			(411		)	1			(335		)
Trading account liabilities – Corporate securities and other	(36		)	19			—			30		(34		)	—			—			—			—			(21		)
Short-term borrowings ⁽⁴⁾	—			17			—			—		—			(52		)	10			(24		)	19			(30		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	287			19			616		—			(188		)	273			(1,592		)	1,434			(1,513		)


⁽¹⁾	Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.


⁽²⁾	Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation’s credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.1 billion and derivative liabilities of $5.6 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.


⁽⁶⁾	Other assets is primarily comprised of certain private equity investments

Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings

The following tables summarize gains (losses) due to changes in fair value, including both realized and unrealized gains (losses), recorded in earnings for Level 3 assets and liabilities during 2015, 2014 and 2013. These amounts include gains (losses) on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.




Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings

	2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(31	)	$	—		$	—		$	(31	)
Equity securities	9			—			—			9
Non-U.S. sovereign debt	114			—			—			114
Mortgage trading loans and ABS	154			—			—			154
Total trading account assets	246			—			—			246
Net derivative assets	508			765			62			1,335
AFS debt securities – Non-agency residential MBS	—			—			(12		)	(12		)
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(3		)	(3		)
Loans and leases ⁽²⁾	(8		)	—			(15		)	(23		)
Mortgage servicing rights	73			114			—			187
Loans held-for-sale ⁽²⁾	(58		)	—			7			(51		)
Other assets	—			(66		)	11			(55		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(11		)	—			—			(11		)
Trading account liabilities – Corporate securities and other	19			—			—			19
Short-term borrowings ⁽²⁾	17			—			—			17
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	339			—			(52		)	287
Total	$	1,125		$	813		$	(1	)	$	1,937

	2014
Trading account assets:
Corporate securities, trading loans and other	$	180		$	—		$	—		$	180
Non-U.S. sovereign debt	30			—			—			30
Mortgage trading loans and ABS	199			—			—			199
Total trading account assets	409			—			—			409
Net derivative assets	(475		)	834			104			463
AFS debt securities:
Non-agency residential MBS	—			—			(2		)	(2		)
Non-U.S. securities	—			—			(7		)	(7		)
Other taxable securities	—			—			9			9
Tax-exempt securities	—			—			8			8
Total AFS debt securities	—			—			8			8
Loans and leases ⁽²⁾	—			—			69			69
Mortgage servicing rights	(6		)	(1,225		)	—			(1,231		)
Loans held-for-sale ⁽²⁾	(14		)	—			59			45
Other assets	—			(79		)	(19		)	(98		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities	—			—			2			2
Long-term debt⁽²⁾	78			—			(29		)	49
Total	$	(7	)	$	(470	)	$	194		$	(283	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts represent instruments that are accounted for under the fair value option.




Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings (continued)

	2013
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	242		$	—		$	—		$	242
Equity securities	74			—			—			74
Non-U.S. sovereign debt	50			—			—			50
Mortgage trading loans and ABS	53			—			—			53
Total trading account assets	419			—			—			419
Net derivative assets	(1,224		)	927			(7		)	(304		)
AFS debt securities:
Non-U.S. securities	—			—			5			5
Other taxable securities	—			—			9			9
Tax-exempt securities	—			—			3			3
Total AFS debt securities	—			—			17			17
Loans and leases ⁽²⁾	—			(38		)	136			98
Mortgage servicing rights	—			1,941			—			1,941
Loans held-for-sale ⁽²⁾	—			2			60			62
Other assets	—			122			(410		)	(288		)
Trading account liabilities – Corporate securities and other	10			—			—			10
Accrued expenses and other liabilities	—			30			—			30
Long-term debt⁽²⁾	45			—			(32		)	13
Total	$	(750	)	$	2,984		$	(236	)	$	1,998


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts represent instruments that are accounted for under the fair value option.

Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

The table below summarizes changes in unrealized gains (losses) recorded in earnings during 2015, 2014 and 2013 for Level 3 assets and liabilities that were still held at December 31, 2015, 2014 and 2013. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.




Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

	2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(123	)	$	—		$	—		$	(123	)
Equity securities	3			—			—			3
Non-U.S. sovereign debt	74			—			—			74
Mortgage trading loans and ABS	(93		)	—			—			(93		)
Total trading account assets	(139		)	—			—			(139		)
Net derivative assets	507			36			62			605
Loans and leases ⁽²⁾	(3		)	—			16			13
Mortgage servicing rights	73			(158		)	—			(85		)
Loans held-for-sale ⁽²⁾	(1		)	—			(38		)	(39		)
Other assets	—			(41		)	(20		)	(61		)
Trading account liabilities – Corporate securities and other	(3		)	—			—			(3		)
Short-term borrowings ⁽²⁾	1			—			—			1
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	277			—			(22		)	255
Total	$	712		$	(163	)	$	(1	)	$	548

	2014
Trading account assets:
Corporate securities, trading loans and other	$	69		$	—		$	—		$	69
Equity securities	(8		)	—			—			(8		)
Non-U.S. sovereign debt	31			—			—			31
Mortgage trading loans and ABS	79			—			—			79
Total trading account assets	171			—			—			171
Net derivative assets	(276		)	85			104			(87		)
Loans and leases ⁽²⁾	—			—			76			76
Mortgage servicing rights	(6		)	(1,747		)	—			(1,753		)
Loans held-for-sale ⁽²⁾	(14		)	—			10			(4		)
Other assets	—			(50		)	102			52
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	29			—			(37		)	(8		)
Total	$	(95	)	$	(1,712	)	$	256		$	(1,551	)

	2013
Trading account assets:
Corporate securities, trading loans and other	$	(130	)	$	—		$	—		$	(130	)
Equity securities	40			—			—			40
Non-U.S. sovereign debt	80			—			—			80
Mortgage trading loans and ABS	(174		)	—			—			(174		)
Total trading account assets	(184		)	—			—			(184		)
Net derivative assets	(1,375		)	42			(7		)	(1,340		)
Loans and leases ⁽²⁾	—			(34		)	152			118
Mortgage servicing rights	—			1,541			—			1,541
Loans held-for-sale ⁽²⁾	—			6			57			63
Other assets	—			166			14			180
Long-term debt ⁽²⁾	(4		)	—			(32		)	(36		)
Total	$	(1,563	)	$	1,721		$	184		$	342


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts represent instruments that are accounted for under the fair value option.

Fair Value Inputs, Assets, Quantitative Information

The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at December 31, 2015 and 2014.




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2015

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,017		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	400				Prepayment speed	0% to 27% CPR	11	%
Loans and leases	1,520				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	97				Loss severity	0% to 90%	40	%
Instruments backed by commercial real estate assets	$	852		Discounted cash flow, Market comparables	Yield	0% to 25%	8	%
Trading account assets – Mortgage trading loans and ABS	162				Price	$0 to $100	$73
Loans held-for-sale	690
Commercial loans, debt securities and other	$	4,558		Discounted cash flow, Market comparables	Yield	0% to 37%	13	%
Trading account assets – Corporate securities, trading loans and other	2,503				Prepayment speed	5% to 20%	16	%
Trading account assets – Non-U.S. sovereign debt	521				Default rate	2% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	1,306				Loss severity	25% to 50%	37	%
AFS debt securities – Other taxable securities	128				Duration	0 to 5 years	3 years
Loans and leases	100				Price	$0 to $258	$64
Auction rate securities	$	1,533		Discounted cash flow, Market comparables	Price	$10 to $100	$94
Trading account assets – Corporate securities, trading loans and other	335
AFS debt securities – Other taxable securities	629
AFS debt securities – Tax-exempt securities	569
Structured liabilities
Long-term debt	$	(1,513	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ^{(2, 3)}	Long-dated equity volatilities	4% to 101%	28	%
Net derivative assets
Credit derivatives	$	(75	)	Discounted cash flow, Stochastic recovery correlation model	Yield	6% to 25%	16	%
					Upfront points	0 to 100 points	60 points
					Credit spreads	0 bps to 447 bps	111 bps
					Credit correlation	31% to 99%	38	%
					Prepayment speed	10% to 20% CPR	19	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	35% to 40%	35	%
Equity derivatives	$	(1,037	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%	28	%
Commodity derivatives	$	169		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $6/MMBtu	$4/MMBtu
					Propane forward price	$0/Gallon to $1/Gallon	$1/Gallon
					Correlation	66% to 93%	84	%
					Volatilities	18% to 125%	39	%
Interest rate derivatives	$	502		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	17% to 99%	48	%
					Correlation (FX/IR)	-15% to 40%	-9	%
					Long-dated inflation rates	0% to 7%	3	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(441	)

⁽¹⁾

The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 230: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $521 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $757 million, AFS debt securities – Tax-exempt securities of $569 million, Loans and leases of $1.6 billion and LHFS of $787 million.


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽³⁾	Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,030		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	483				Prepayment speed	0% to 35% CPR		14	%
Loans and leases	1,374				Default rate	2% to 15% CDR		7	%
Loans held-for-sale	173				Loss severity	26% to 100%		34	%
Commercial loans, debt securities and other	$	7,203		Discounted cash flow, Market comparables	Yield	0% to 40%		9	%
Trading account assets – Corporate securities, trading loans and other	3,224				Enterprise value/EBITDA multiple	0x to 30x		6x
Trading account assets – Non-U.S. sovereign debt	574				Prepayment speed	1% to 30%		12	%
Trading account assets – Mortgage trading loans and ABS	1,580				Default rate	1% to 5%		4	%
AFS debt securities – Other taxable securities	1,216				Loss severity	25% to 40%		38	%
Loans and leases	609				Duration	0 to 5 years		3 years
					Price	$0 to $107		$76
Auction rate securities	$	1,096		Discounted cash flow, Market comparables	Price	$60 to $100		$95
Trading account assets – Corporate securities, trading loans and other	46				Price
AFS debt securities – Other taxable securities	451
AFS debt securities – Tax-exempt securities	599
Structured liabilities
Long-term debt	$	(2,362	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%		65	%
					Long-dated equity volatilities	6% to 69%		24	%
					Long-dated volatilities (IR)	0% to 2%		1	%
Net derivative assets
Credit derivatives	$	22		Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 25%		14	%
					Upfront points	0 to 100 points		65 points
					Spread to index	25 bps to 450 bps		119 bps
					Credit correlation	24% to 99%		51	%
					Prepayment speed	3% to 20% CPR		11	%
					Default rate	4% CDR		n/a
					Loss severity	35	%	n/a
Equity derivatives	$	(1,560	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%		65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	6% to 69%		24	%
Commodity derivatives	$	141		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$5/MMBtu
					Correlation	82% to 93%		90	%
					Volatilities	16% to 98%		35	%
Interest rate derivatives	$	477		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	11% to 99%		55	%
					Correlation (FX/IR)	-48% to 40%		-5	%
					Long-dated inflation rates	0% to 3%		1	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(920	)

⁽¹⁾

The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 231: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $574 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $1.7 billion, AFS debt securities – Tax-exempt securities of $599 million, Loans and leases of $2.0 billion and LHFS of $173 million.


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽³⁾	Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

EBITDA = Earnings before interest, taxes, depreciation and amortization

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable

Fair Value Inputs, Liabilities, Quantitative Information




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2015

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,017		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	400				Prepayment speed	0% to 27% CPR	11	%
Loans and leases	1,520				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	97				Loss severity	0% to 90%	40	%
Instruments backed by commercial real estate assets	$	852		Discounted cash flow, Market comparables	Yield	0% to 25%	8	%
Trading account assets – Mortgage trading loans and ABS	162				Price	$0 to $100	$73
Loans held-for-sale	690
Commercial loans, debt securities and other	$	4,558		Discounted cash flow, Market comparables	Yield	0% to 37%	13	%
Trading account assets – Corporate securities, trading loans and other	2,503				Prepayment speed	5% to 20%	16	%
Trading account assets – Non-U.S. sovereign debt	521				Default rate	2% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	1,306				Loss severity	25% to 50%	37	%
AFS debt securities – Other taxable securities	128				Duration	0 to 5 years	3 years
Loans and leases	100				Price	$0 to $258	$64
Auction rate securities	$	1,533		Discounted cash flow, Market comparables	Price	$10 to $100	$94
Trading account assets – Corporate securities, trading loans and other	335
AFS debt securities – Other taxable securities	629
AFS debt securities – Tax-exempt securities	569
Structured liabilities
Long-term debt	$	(1,513	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ^{(2, 3)}	Long-dated equity volatilities	4% to 101%	28	%
Net derivative assets
Credit derivatives	$	(75	)	Discounted cash flow, Stochastic recovery correlation model	Yield	6% to 25%	16	%
					Upfront points	0 to 100 points	60 points
					Credit spreads	0 bps to 447 bps	111 bps
					Credit correlation	31% to 99%	38	%
					Prepayment speed	10% to 20% CPR	19	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	35% to 40%	35	%
Equity derivatives	$	(1,037	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%	28	%
Commodity derivatives	$	169		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $6/MMBtu	$4/MMBtu
					Propane forward price	$0/Gallon to $1/Gallon	$1/Gallon
					Correlation	66% to 93%	84	%
					Volatilities	18% to 125%	39	%
Interest rate derivatives	$	502		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	17% to 99%	48	%
					Correlation (FX/IR)	-15% to 40%	-9	%
					Long-dated inflation rates	0% to 7%	3	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(441	)

⁽¹⁾


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽³⁾	Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,030		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	483				Prepayment speed	0% to 35% CPR		14	%
Loans and leases	1,374				Default rate	2% to 15% CDR		7	%
Loans held-for-sale	173				Loss severity	26% to 100%		34	%
Commercial loans, debt securities and other	$	7,203		Discounted cash flow, Market comparables	Yield	0% to 40%		9	%
Trading account assets – Corporate securities, trading loans and other	3,224				Enterprise value/EBITDA multiple	0x to 30x		6x
Trading account assets – Non-U.S. sovereign debt	574				Prepayment speed	1% to 30%		12	%
Trading account assets – Mortgage trading loans and ABS	1,580				Default rate	1% to 5%		4	%
AFS debt securities – Other taxable securities	1,216				Loss severity	25% to 40%		38	%
Loans and leases	609				Duration	0 to 5 years		3 years
					Price	$0 to $107		$76
Auction rate securities	$	1,096		Discounted cash flow, Market comparables	Price	$60 to $100		$95
Trading account assets – Corporate securities, trading loans and other	46				Price
AFS debt securities – Other taxable securities	451
AFS debt securities – Tax-exempt securities	599
Structured liabilities
Long-term debt	$	(2,362	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%		65	%
					Long-dated equity volatilities	6% to 69%		24	%
					Long-dated volatilities (IR)	0% to 2%		1	%
Net derivative assets
Credit derivatives	$	22		Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 25%		14	%
					Upfront points	0 to 100 points		65 points
					Spread to index	25 bps to 450 bps		119 bps
					Credit correlation	24% to 99%		51	%
					Prepayment speed	3% to 20% CPR		11	%
					Default rate	4% CDR		n/a
					Loss severity	35	%	n/a
Equity derivatives	$	(1,560	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%		65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	6% to 69%		24	%
Commodity derivatives	$	141		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$5/MMBtu
					Correlation	82% to 93%		90	%
					Volatilities	16% to 98%		35	%
Interest rate derivatives	$	477		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	11% to 99%		55	%
					Correlation (FX/IR)	-48% to 40%		-5	%
					Long-dated inflation rates	0% to 3%		1	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(920	)

⁽¹⁾

The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 231: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $574 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $1.7 billion, AFS debt securities – Tax-exempt securities of $599 million, Loans and leases of $2.0 billion and LHFS of $173 million.


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽³⁾	Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

EBITDA = Earnings before interest, taxes, depreciation and amortization

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during 2015, 2014 and 2013.




Assets Measured at Fair Value on a Nonrecurring Basis

	December 31
	2015					2014
(Dollars in millions)	Level 2		Level 3			Level 2			Level 3
Assets
Loans held-for-sale	$	9	$	33		$	156		$	30
Loans and leases ⁽¹⁾	—		2,739			5			4,636
Foreclosed properties ^{(2, 3)}	—		172			—			208
Other assets	54		—			13			—

			Gains (Losses)
			2015			2014			2013
Assets
Loans held-for-sale			$	(8	)	$	(19	)	$	(71	)
Loans and leases ⁽¹⁾			(980		)	(1,132		)	(1,104		)
Foreclosed properties ^{(2, 3)}			(57		)	(66		)	(63		)
Other assets			(15		)	(6		)	(20		)


⁽¹⁾	Includes $174 million of losses on loans that were written down to a collateral value of zero during 2015 compared to losses of $370 million and $365 million in 2014 and 2013.


⁽²⁾	Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses taken during the first 90 days after transfer of a loan to foreclosed properties.


⁽³⁾	Excludes $1.4 billion and $1.1 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of December 31, 2015 and 2014.

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques

The table below presents information about significant unobservable inputs related to the Corporation’s nonrecurring Level 3 financial assets and liabilities at December 31, 2015 and 2014. Instruments backed by residential real estate assets represent residential mortgages where the loan has been written down to the fair value of the underlying collateral.




Quantitative Information about Nonrecurring Level 3 Fair Value Measurements

	December 31, 2015
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average
Loans and leases backed by residential real estate assets	$	2,739	Market comparables	OREO discount	7% to 55%	20	%
				Cost to sell	8% to 45%	10	%



	December 31, 2014
Loans and leases backed by residential real estate assets	$	4,636	Market comparables	OREO discount	0% to 28%	8	%
				Cost to sell	7% to 14%	8	%