Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

Assets and Liabilities Carried at Fair Value on a Recurring Basis

Assets and liabilities carried at fair value on a recurring basis at September 30, 2016 and December 31, 2015, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	September 30, 2016
	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	$	—	$	51,638	$	—	$	—		$	51,638
Trading account assets:
U.S. government and agency securities ⁽²⁾	38,950		18,404		—		—			57,354
Corporate securities, trading loans and other	168		27,702		2,562		—			30,432
Equity securities	37,641		22,858		366		—			60,865
Non-U.S. sovereign debt	14,931		13,956		639		—			29,526
Mortgage trading loans and ABS	—		8,506		1,166		—			9,672
Total trading account assets ⁽³⁾	91,690		91,426		4,733		—			187,849
Derivative assets ⁽⁴⁾	7,515		775,954		4,867		(740,440		)	47,896
AFS debt securities:
U.S. Treasury and agency securities	43,798		1,486		—		—			45,284
Mortgage-backed securities:
Agency	—		201,051		—		—			201,051
Agency-collateralized mortgage obligations	—		9,081		—		—			9,081
Non-agency residential	—		1,391		227		—			1,618
Commercial	—		12,936		—		—			12,936
Non-U.S. securities	2,689		3,321		—		—			6,010
Other taxable securities	—		8,729		687		—			9,416
Tax-exempt securities	—		15,413		571		—			15,984
Total AFS debt securities	46,487		253,408		1,485		—			301,380
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		6		—		—			6
Non-agency residential	—		3,167		26		—			3,193
Non-U.S. securities	16,212		1,468		—		—			17,680
Other taxable securities	—		246		—		—			246
Total other debt securities carried at fair value	16,212		4,887		26		—			21,125
Loans and leases ⁽⁵⁾	—		6,753		1,355		—			8,108
Mortgage servicing rights	—		—		2,477		—			2,477
Loans held-for-sale	—		4,065		587		—			4,652
Other assets	11,488		2,040		363		—			13,891
Total assets	$	173,392	$	1,190,171	$	15,893	$	(740,440	)	$	639,016
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	913	$	—	$	—		$	913
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		31,530		338		—			31,868
Trading account liabilities:
U.S. government and agency securities	9,515		273		—		—			9,788
Equity securities	42,193		3,344		—		—			45,537
Non-U.S. sovereign debt	13,131		2,234		—		—			15,365
Corporate securities and other	115		6,167		26		—			6,308
Total trading account liabilities	64,954		12,018		26		—			76,998
Derivative liabilities ⁽⁴⁾	7,555		769,162		5,854		(739,087		)	43,484
Short-term borrowings	—		1,055		—		—			1,055
Accrued expenses and other liabilities	13,752		2,052		9		—			15,813
Long-term debt	—		30,685		1,934		—			32,619
Total liabilities	$	86,261	$	847,415	$	8,161	$	(739,087	)	$	202,750


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


⁽²⁾	Includes $18.4 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $11.2 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

⁽⁴⁾

During the nine months ended September 30, 2016, $1.4 billion of derivative assets and $1.5 billion of derivative liabilities were transferred from Level 1 to Level 2 and $1.6 billion of derivative assets and $1.5 billion of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.


⁽⁵⁾	Includes $655 million from CFEs that were measured using the fair value of the financial liabilities of those entities as the measurement basis.



	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 ⁽³⁾	90,745		80,148		5,634		—			176,527
Derivative assets ⁽⁴⁾	5,149		678,355		5,134		(638,648		)	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
Other taxable securities	—		9,688		757		—			10,445
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 ⁽⁵⁾	11,923		2,023		374		—			14,320
Total assets	$	145,650	$	1,108,103	$	18,098	$	(638,648	)	$	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 ⁽⁴⁾	4,941		670,600		5,575		(642,666		)	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	$	738,527	$	7,483	$	(642,666	)	$	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 GSE obligations.


⁽³⁾	Includes securities with a fair value of $16.4 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

⁽⁴⁾

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.


⁽⁵⁾	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.

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

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 the three and nine months ended September 30, 2016 and 2015, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2016
										Gross
(Dollars in millions)	Balance July 1 2016			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 September 30 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,654		$	57		$	—		$	226	$	(245	)	$	—		$	(134	)	$	202		$	(198	)	$	2,562
Equity securities	455			11			—			10		(98		)	—			—			27			(39		)	366
Non-U.S. sovereign debt	630			20			(7		)	—		—			—			(4		)	—			—			639
Mortgage trading loans and ABS	1,286			102			—			331		(441		)	—			(103		)	15			(24		)	1,166
Total trading account assets	5,025			190			(7		)	567		(784		)	—			(241		)	244			(261		)	4,733
Net derivative assets ⁽³⁾	(648		)	(131		)	—			114		(346		)	—			118			(53		)	(41		)	(987		)
AFS debt securities:
Non-agency residential MBS	134			—			—			189		—			—			(102		)	6			—			227
Other taxable securities	717			1			(1		)	—		—			—			(30		)	—			—			687
Tax-exempt securities	559			—			2			—		—			—			—			10			—			571
Total AFS debt securities	1,410			1			1			189		—			—			(132		)	16			—			1,485
Other debt securities carried at fair value – Non-agency residential MBS	28			(2		)	—			—		—			—			—			—			—			26
Loans and leases ^{(4, 5)}	1,459			(9		)	—			—		—			—			(54		)	—			(41		)	1,355
Mortgage servicing rights ⁽⁵⁾	2,269			313			—			—		—			101			(206		)	—			—			2,477
Loans held-for-sale ⁽⁴⁾	690			13			(4		)	—		(56		)	—			(25		)	4			(35		)	587
Other assets	348			11			—			4		—			—			—			—			—			363
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(313		)	(17		)	—			—		—			—			10			(19		)	1			(338		)
Trading account liabilities – Corporate securities and other	(26		)	2			—			—		(2		)	—			—			—			—			(26		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,156		)	(22		)	(23		)	15		—			(3		)	363			(206		)	98			(1,934		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $4.9 billion and derivative liabilities of $5.9 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2015
										Gross
(Dollars in millions)	Balance July 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 September 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,326		$	(6	)	$	(11	)	$	553	$	(681	)	$	—		$	(295	)	$	238		$	(225	)	$	2,899
Equity securities	386			(1		)	—			32		—			—			(6		)	2			(3		)	410
Non-U.S. sovereign debt	468			12			(102		)	7		(1		)	—			—			—			—			384
Mortgage trading loans and ABS	2,159			(7		)	—			293		(264		)	—			(157		)	2			(21		)	2,005
Total trading account assets	6,339			(2		)	(113		)	885		(946		)	—			(458		)	242			(249		)	5,698
Net derivative assets ⁽³⁾	(351		)	1,042			(5		)	80		(290		)	—			(115		)	(20		)	56			397
AFS debt securities:
Non-agency residential MBS	234			—			(2		)	41		—			—			(47		)	—			(37		)	189
Non-U.S. securities	9			—			—			—		—			—			(6		)	—			—			3
Other taxable securities	677			—			(2		)	—		—			—			(88		)	—			(6		)	581
Tax-exempt securities	584			—			—			—		—			—			(15		)	—			—			569
Total AFS debt securities	1,504			—			(4		)	41		—			—			(156		)	—			(43		)	1,342
Other debt securities carried at fair value – Non-agency residential MBS	34			(3		)	—			—		—			—			—			—			—			31
Loans and leases ^{(4, 5)}	1,970			17			—			—		(1		)	57			(59		)	7			(7		)	1,984
Mortgage servicing rights ⁽⁵⁾	3,521			(363		)	—			—		(87		)	185			(213		)	—			—			3,043
Loans held-for-sale ⁽⁴⁾	660			—			—			2		(79		)	3			(6		)	7			(28		)	559
Other assets	756			(42		)	—			3		(11		)	—			(17		)	—			(15		)	674
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(368		)	—			—			—		—			(5		)	208			(32		)	1			(196		)
Trading account liabilities – Corporate securities and other	(57		)	—			—			—		19			—			—			—			—			(38		)
Short-term borrowings ⁽⁴⁾	—			4			—			—		—			(3		)	—			(19		)	—			(18		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,716		)	252			—			139		—			(40		)	59			(264		)	660			(1,910		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $6.0 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 30, 2016
										Gross
(Dollars in millions)	Balance January 1 2016			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 September 30 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,838		$	118		$	2		$	925	$	(638	)	$	—		$	(479	)	$	432		$	(636	)	$	2,562
Equity securities	407			93			—			53		(135		)	—			(72		)	60			(40		)	366
Non-U.S. sovereign debt	521			112			91			3		(1		)	—			(87		)	—			—			639
Mortgage trading loans and ABS	1,868			197			(2		)	681		(1,264		)	—			(270		)	91			(135		)	1,166
Total trading account assets	5,634			520			91			1,662		(2,038		)	—			(908		)	583			(811		)	4,733
Net derivative assets ⁽³⁾	(441		)	356			—			313		(965		)	—			7			(177		)	(80		)	(987		)
AFS debt securities:
Non-agency residential MBS	106			—			3			385		(92		)	—			(181		)	6			—			227
Other taxable securities	757			3			(7		)	—		—			—			(66		)	—			—			687
Tax-exempt securities	569			—			(8		)	1		—			—			(1		)	10			—			571
Total AFS debt securities	1,432			3			(12		)	386		(92		)	—			(248		)	16			—			1,485
Other debt securities carried at fair value – Non-agency residential MBS	30			(4		)	—			—		—			—			—			—			—			26
Loans and leases ^{(4, 5)}	1,620			(13		)	—			69		—			50			(143		)	6			(234		)	1,355
Mortgage servicing rights ⁽⁵⁾	3,087			(295		)	—			—		—			307			(622		)	—			—			2,477
Loans held-for-sale ⁽⁴⁾	787			97			51			20		(236		)	—			(77		)	43			(98		)	587
Other assets	374			(27		)	—			38		—			—			(24		)	2			—			363
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(335		)	12			—			—		—			(14		)	17			(19		)	1			(338		)
Trading account liabilities – Corporate securities and other	(21		)	4			—			1		(10		)	—			—			—			—			(26		)
Short-term borrowings ⁽⁴⁾	(30		)	1			—			—		—			—			29			—			—			—
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,513		)	(192		)	(41		)	44		—			(326		)	496			(751		)	349			(1,934		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $4.9 billion and derivative liabilities of $5.9 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 30, 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 September 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	28		$	(11	)	$	1,030	$	(1,119	)	$	—		$	(944	)	$	1,221		$	(576	)	$	2,899
Equity securities	352			13			—			48		(3		)	—			(11		)	33			(22		)	410
Non-U.S. sovereign debt	574			94			(180		)	34		(1		)	—			(110		)	—			(27		)	384
Mortgage trading loans and ABS	2,063			154			—			1,102		(891		)	—			(401		)	12			(34		)	2,005
Total trading account assets	6,259			289			(191		)	2,214		(2,014		)	—			(1,466		)	1,266			(659		)	5,698
Net derivative assets ⁽³⁾	(920		)	1,608			(5		)	193		(683		)	—			106			(80		)	178			397
AFS debt securities:
Non-agency residential MBS	279			(12		)	5			103		—			—			(281		)	132			(37		)	189
Non-U.S. securities	10			—			—			—		—			—			(7		)	—			—			3
Other taxable securities	1,667			—			(2		)	6		—			—			(151		)	—			(939		)	581
Tax-exempt securities	599			—			(1		)	—		—			—			(29		)	—			—			569
Total AFS debt securities	2,555			(12		)	2			109		—			—			(468		)	132			(976		)	1,342
Other debt securities carried at fair value – Non-agency residential MBS	—			(2		)	—			33		—			—			—			—			—			31
Loans and leases ^{(4, 5)}	1,983			22			—			—		(3		)	57			(179		)	125			(21		)	1,984
Mortgage servicing rights ⁽⁵⁾	3,530			10			—			—		(399		)	568			(666		)	—			—			3,043
Loans held-for-sale ⁽⁴⁾	173			(48		)	—			493		(174		)	36			(12		)	184			(93		)	559
Other assets	911			(46		)	—			12		(129		)	—			(32		)	8			(50		)	674
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—			—		—			(33		)	208			(358		)	1			(196		)
Trading account liabilities – Corporate securities and other	(36		)	3			—			33		(38		)	—			—			—			—			(38		)
Short-term borrowings ⁽⁴⁾	—			9			—			—		—			(24		)	1			(23		)	19			(18		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	322			—			316		—			(179		)	219			(1,380		)	1,154			(1,910		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $6.0 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.

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



Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 30, 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 September 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	28		$	(11	)	$	1,030	$	(1,119	)	$	—		$	(944	)	$	1,221		$	(576	)	$	2,899
Equity securities	352			13			—			48		(3		)	—			(11		)	33			(22		)	410
Non-U.S. sovereign debt	574			94			(180		)	34		(1		)	—			(110		)	—			(27		)	384
Mortgage trading loans and ABS	2,063			154			—			1,102		(891		)	—			(401		)	12			(34		)	2,005
Total trading account assets	6,259			289			(191		)	2,214		(2,014		)	—			(1,466		)	1,266			(659		)	5,698
Net derivative assets ⁽³⁾	(920		)	1,608			(5		)	193		(683		)	—			106			(80		)	178			397
AFS debt securities:
Non-agency residential MBS	279			(12		)	5			103		—			—			(281		)	132			(37		)	189
Non-U.S. securities	10			—			—			—		—			—			(7		)	—			—			3
Other taxable securities	1,667			—			(2		)	6		—			—			(151		)	—			(939		)	581
Tax-exempt securities	599			—			(1		)	—		—			—			(29		)	—			—			569
Total AFS debt securities	2,555			(12		)	2			109		—			—			(468		)	132			(976		)	1,342
Other debt securities carried at fair value – Non-agency residential MBS	—			(2		)	—			33		—			—			—			—			—			31
Loans and leases ^{(4, 5)}	1,983			22			—			—		(3		)	57			(179		)	125			(21		)	1,984
Mortgage servicing rights ⁽⁵⁾	3,530			10			—			—		(399		)	568			(666		)	—			—			3,043
Loans held-for-sale ⁽⁴⁾	173			(48		)	—			493		(174		)	36			(12		)	184			(93		)	559
Other assets	911			(46		)	—			12		(129		)	—			(32		)	8			(50		)	674
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—			—		—			(33		)	208			(358		)	1			(196		)
Trading account liabilities – Corporate securities and other	(36		)	3			—			33		(38		)	—			—			—			—			(38		)
Short-term borrowings ⁽⁴⁾	—			9			—			—		—			(24		)	1			(23		)	19			(18		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	322			—			316		—			(179		)	219			(1,380		)	1,154			(1,910		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $6.0 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2016
										Gross
(Dollars in millions)	Balance July 1 2016			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 September 30 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,654		$	57		$	—		$	226	$	(245	)	$	—		$	(134	)	$	202		$	(198	)	$	2,562
Equity securities	455			11			—			10		(98		)	—			—			27			(39		)	366
Non-U.S. sovereign debt	630			20			(7		)	—		—			—			(4		)	—			—			639
Mortgage trading loans and ABS	1,286			102			—			331		(441		)	—			(103		)	15			(24		)	1,166
Total trading account assets	5,025			190			(7		)	567		(784		)	—			(241		)	244			(261		)	4,733
Net derivative assets ⁽³⁾	(648		)	(131		)	—			114		(346		)	—			118			(53		)	(41		)	(987		)
AFS debt securities:
Non-agency residential MBS	134			—			—			189		—			—			(102		)	6			—			227
Other taxable securities	717			1			(1		)	—		—			—			(30		)	—			—			687
Tax-exempt securities	559			—			2			—		—			—			—			10			—			571
Total AFS debt securities	1,410			1			1			189		—			—			(132		)	16			—			1,485
Other debt securities carried at fair value – Non-agency residential MBS	28			(2		)	—			—		—			—			—			—			—			26
Loans and leases ^{(4, 5)}	1,459			(9		)	—			—		—			—			(54		)	—			(41		)	1,355
Mortgage servicing rights ⁽⁵⁾	2,269			313			—			—		—			101			(206		)	—			—			2,477
Loans held-for-sale ⁽⁴⁾	690			13			(4		)	—		(56		)	—			(25		)	4			(35		)	587
Other assets	348			11			—			4		—			—			—			—			—			363
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(313		)	(17		)	—			—		—			—			10			(19		)	1			(338		)
Trading account liabilities – Corporate securities and other	(26		)	2			—			—		(2		)	—			—			—			—			(26		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,156		)	(22		)	(23		)	15		—			(3		)	363			(206		)	98			(1,934		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $4.9 billion and derivative liabilities of $5.9 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2015
										Gross
(Dollars in millions)	Balance July 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 September 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,326		$	(6	)	$	(11	)	$	553	$	(681	)	$	—		$	(295	)	$	238		$	(225	)	$	2,899
Equity securities	386			(1		)	—			32		—			—			(6		)	2			(3		)	410
Non-U.S. sovereign debt	468			12			(102		)	7		(1		)	—			—			—			—			384
Mortgage trading loans and ABS	2,159			(7		)	—			293		(264		)	—			(157		)	2			(21		)	2,005
Total trading account assets	6,339			(2		)	(113		)	885		(946		)	—			(458		)	242			(249		)	5,698
Net derivative assets ⁽³⁾	(351		)	1,042			(5		)	80		(290		)	—			(115		)	(20		)	56			397
AFS debt securities:
Non-agency residential MBS	234			—			(2		)	41		—			—			(47		)	—			(37		)	189
Non-U.S. securities	9			—			—			—		—			—			(6		)	—			—			3
Other taxable securities	677			—			(2		)	—		—			—			(88		)	—			(6		)	581
Tax-exempt securities	584			—			—			—		—			—			(15		)	—			—			569
Total AFS debt securities	1,504			—			(4		)	41		—			—			(156		)	—			(43		)	1,342
Other debt securities carried at fair value – Non-agency residential MBS	34			(3		)	—			—		—			—			—			—			—			31
Loans and leases ^{(4, 5)}	1,970			17			—			—		(1		)	57			(59		)	7			(7		)	1,984
Mortgage servicing rights ⁽⁵⁾	3,521			(363		)	—			—		(87		)	185			(213		)	—			—			3,043
Loans held-for-sale ⁽⁴⁾	660			—			—			2		(79		)	3			(6		)	7			(28		)	559
Other assets	756			(42		)	—			3		(11		)	—			(17		)	—			(15		)	674
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(368		)	—			—			—		—			(5		)	208			(32		)	1			(196		)
Trading account liabilities – Corporate securities and other	(57		)	—			—			—		19			—			—			—			—			(38		)
Short-term borrowings ⁽⁴⁾	—			4			—			—		—			(3		)	—			(19		)	—			(18		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,716		)	252			—			139		—			(40		)	59			(264		)	660			(1,910		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $6.0 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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 30, 2016
										Gross
(Dollars in millions)	Balance January 1 2016			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 September 30 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,838		$	118		$	2		$	925	$	(638	)	$	—		$	(479	)	$	432		$	(636	)	$	2,562
Equity securities	407			93			—			53		(135		)	—			(72		)	60			(40		)	366
Non-U.S. sovereign debt	521			112			91			3		(1		)	—			(87		)	—			—			639
Mortgage trading loans and ABS	1,868			197			(2		)	681		(1,264		)	—			(270		)	91			(135		)	1,166
Total trading account assets	5,634			520			91			1,662		(2,038		)	—			(908		)	583			(811		)	4,733
Net derivative assets ⁽³⁾	(441		)	356			—			313		(965		)	—			7			(177		)	(80		)	(987		)
AFS debt securities:
Non-agency residential MBS	106			—			3			385		(92		)	—			(181		)	6			—			227
Other taxable securities	757			3			(7		)	—		—			—			(66		)	—			—			687
Tax-exempt securities	569			—			(8		)	1		—			—			(1		)	10			—			571
Total AFS debt securities	1,432			3			(12		)	386		(92		)	—			(248		)	16			—			1,485
Other debt securities carried at fair value – Non-agency residential MBS	30			(4		)	—			—		—			—			—			—			—			26
Loans and leases ^{(4, 5)}	1,620			(13		)	—			69		—			50			(143		)	6			(234		)	1,355
Mortgage servicing rights ⁽⁵⁾	3,087			(295		)	—			—		—			307			(622		)	—			—			2,477
Loans held-for-sale ⁽⁴⁾	787			97			51			20		(236		)	—			(77		)	43			(98		)	587
Other assets	374			(27		)	—			38		—			—			(24		)	2			—			363
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(335		)	12			—			—		—			(14		)	17			(19		)	1			(338		)
Trading account liabilities – Corporate securities and other	(21		)	4			—			1		(10		)	—			—			—			—			(26		)
Short-term borrowings ⁽⁴⁾	(30		)	1			—			—		—			—			29			—			—			—
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,513		)	(192		)	(41		)	44		—			(326		)	496			(751		)	349			(1,934		)


⁽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 additional information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $4.9 billion and derivative liabilities of $5.9 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.

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 the three and nine months ended September 30, 2016 and 2015. These amounts include gains (losses) on financial instruments that are accounted for under the fair value option.



Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
	Three Months Ended September 30, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	57		$	—		$	—		$	57
Equity securities	11			—			—			11
Non-U.S. sovereign debt	20			—			—			20
Mortgage trading loans and ABS	102			—			—			102
Total trading account assets	190			—			—			190
Net derivative assets	(325		)	185			9			(131		)
AFS debt securities – Other taxable securities	—			—			1			1
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(2		)	(2		)
Loans and leases ⁽²⁾	—			—			(9		)	(9		)
Mortgage servicing rights	(22		)	335			—			313
Loans held-for-sale ⁽²⁾	—			—			13			13
Other assets	—			(4		)	15			11
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(17		)	—			—			(17		)
Trading account liabilities – Corporate securities and other	2			—			—			2
Long-term debt ⁽²⁾	(22		)	—			—			(22		)
Total	$	(194	)	$	516		$	27		$	349

	Three Months Ended September 30, 2015
Trading account assets:
Corporate securities, trading loans and other	$	(6	)	$	—		$	—		$	(6	)
Equity securities	(1		)	—			—			(1		)
Non-U.S. sovereign debt	12			—			—			12
Mortgage trading loans and ABS	(7		)	—			—			(7		)
Total trading account assets	(2		)	—			—			(2		)
Net derivative assets	837			184			21			1,042
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(3		)	(3		)
Loans and leases ⁽²⁾	1			—			16			17
Mortgage servicing rights	13			(376		)	—			(363		)
Loans held-for-sale ⁽²⁾	(4		)	—			4			—
Other assets	—			(32		)	(10		)	(42		)
Short-term borrowings ⁽²⁾	4			—			—			4
Long-term debt ⁽²⁾	251			—			1			252
Total	$	1,100		$	(224	)	$	29		$	905


⁽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
	Nine Months Ended September 30, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	118		$	—		$	—		$	118
Equity securities	93			—			—			93
Non-U.S. sovereign debt	112			—			—			112
Mortgage trading loans and ABS	197			—			—			197
Total trading account assets	520			—			—			520
Net derivative assets	(142		)	513			(15		)	356
AFS debt securities – Other taxable securities	—			—			3			3
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(4		)	(4		)
Loans and leases ⁽²⁾	8			—			(21		)	(13		)
Mortgage servicing rights	7			(302		)	—			(295		)
Loans held-for-sale ⁽²⁾	11			—			86			97
Other assets	—			(41		)	14			(27		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	12			—			—			12
Trading account liabilities – Corporate securities and other	4			—			—			4
Short-term borrowings ⁽²⁾	1			—			—			1
Long-term debt ⁽²⁾	(193		)	—			1			(192		)
Total	$	228		$	170		$	64		$	462

	Nine Months Ended September 30, 2015
Trading account assets:
Corporate securities, trading loans and other	$	28		$	—		$	—		$	28
Equity securities	13			—			—			13
Non-U.S. sovereign debt	94			—			—			94
Mortgage trading loans and ABS	154			—			—			154
Total trading account assets	289			—			—			289
Net derivative assets	902			662			44			1,608
AFS debt securities – Non-agency residential MBS	—			—			(12		)	(12		)
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(2		)	(2		)
Loans and leases ⁽²⁾	(5		)	—			27			22
Mortgage servicing rights	2			8			—			10
Loans held-for-sale ⁽²⁾	(58		)	—			10			(48		)
Other assets	—			(56		)	10			(46		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(14		)	—			—			(14		)
Trading account liabilities – Corporate securities and other	3			—			—			3
Short-term borrowings ⁽²⁾	9			—			—			9
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	350			—			(28		)	322
Total	$	1,478		$	614		$	50		$	2,142


⁽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 following tables summarize changes in unrealized gains (losses) recorded in earnings during the three and nine months ended September 30, 2016 and 2015 for Level 3 assets and liabilities that were still held at September 30, 2016 and 2015. These amounts include changes in fair value on financial 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
	Three Months Ended September 30, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	20		$	—		$	—		$	20
Equity securities	5			—			—			5
Non-U.S. sovereign debt	19			—			—			19
Mortgage trading loans and ABS	62			—			—			62
Total trading account assets	106			—			—			106
Net derivative assets	(281		)	74			9			(198		)
Loans and leases ⁽²⁾	—			—			(8		)	(8		)
Mortgage servicing rights	(22		)	284			—			262
Loans held-for-sale ⁽²⁾	—			—			10			10
Other assets	—			2			15			17
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(17		)	—			—			(17		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	(24		)	—			—			(24		)
Total	$	(237	)	$	360		$	26		$	149

	Three Months Ended September 30, 2015
Trading account assets:
Corporate securities, trading loans and other	$	(34	)	$	—		$	—		$	(34	)
Equity securities	(1		)	—			—			(1		)
Non-U.S. sovereign debt	12			—			—			12
Mortgage trading loans and ABS	(34		)	—			—			(34		)
Total trading account assets	(57		)	—			—			(57		)
Net derivative assets	735			58			21			814
Loans and leases ⁽²⁾	1			—			26			27
Mortgage servicing rights	13			(413		)	—			(400		)
Other assets	—			(26		)	(12		)	(38		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Short-term borrowings ⁽²⁾	4			—			—			4
Long-term debt ⁽²⁾	250			—			—			250
Total	$	947		$	(381	)	$	35		$	601


⁽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
	Nine Months Ended September 30, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	11		$	—		$	—		$	11
Equity securities	(19		)	—			—			(19		)
Non-U.S. sovereign debt	110			—			—			110
Mortgage trading loans and ABS	110			—			—			110
Total trading account assets	212			—			—			212
Net derivative assets	(168		)	75			(15		)	(108		)
Loans and leases ⁽²⁾	—			—			(3		)	(3		)
Mortgage servicing rights	7			(464		)	—			(457		)
Loans held-for-sale ⁽²⁾	—			—			76			76
Other assets	—			(25		)	10			(15		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(21		)	—			—			(21		)
Trading account liabilities – Corporate securities and other	3			—			—			3
Long-term debt ⁽²⁾	(208		)	—			—			(208		)
Total	$	(175	)	$	(414	)	$	68		$	(521	)

	Nine Months Ended September 30, 2015
Trading account assets:
Corporate securities, trading loans and other	$	(102	)	$	—		$	—		$	(102	)
Equity securities	7			—			—			7
Non-U.S. sovereign debt	81			—			—			81
Mortgage trading loans and ABS	(28		)	—			—			(28		)
Total trading account assets	(42		)	—			—			(42		)
Net derivative assets	1,037			59			44			1,140
Loans and leases ⁽²⁾	—			—			50			50
Mortgage servicing rights	2			(213		)	—			(211		)
Loans held-for-sale ⁽²⁾	(1		)	—			(30		)	(31		)
Other assets	—			(38		)	(8		)	(46		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(3		)	—			—			(3		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Short-term borrowings ⁽²⁾	4			—			—			4
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	308			—			1			309
Total	$	1,306		$	(192	)	$	58		$	1,172


⁽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 September 30, 2016 and December 31, 2015.



Quantitative Information about Level 3 Fair Value Measurements at September 30, 2016
(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	$	1,688		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	324				Prepayment speed	0% to 37% CPR		14	%
Loans and leases	1,353				Default rate	0% to 10% CDR		3	%
Loans held-for-sale	11				Loss severity	0% to 100%		45	%
Instruments backed by commercial real estate assets	$	295		Discounted cash flow, Market comparables	Yield	0% to 25%		12	%
Trading account assets – Corporate securities, trading loans and other	219				Price	$0 to $100		$69
Trading account assets – Mortgage trading loans and ABS	62
Loans held-for-sale	14
Commercial loans, debt securities and other	$	4,397		Discounted cash flow, Market comparables	Yield	0% to 46%		18	%
Trading account assets – Corporate securities, trading loans and other	2,304				Prepayment speed	5% to 20%		14	%
Trading account assets – Non-U.S. sovereign debt	639				Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans and ABS	780				Loss severity	35% to 50%		38	%
AFS debt securities – Other taxable securities	110				Duration	0 to 5 years		3 years
Loans and leases	2				Price	$0 to $205		$70
Loans held-for-sale	562
Auction rate securities	$	1,187		Discounted cash flow, Market comparables	Price	$10 to $100		$93
Trading account assets – Corporate securities, trading loans and other	39
AFS debt securities – Other taxable securities	577
AFS debt securities – Tax-exempt securities	571
Structured liabilities
Long-term debt	$	(1,934	)	Discounted cash flow, Market comparables, Industry standard derivative pricing ⁽²⁾	Equity correlation	19% to 100%		68	%
					Long-dated equity volatilities	4% to 101%		26	%
					Yield	9% to 46%		18	%
					Duration	0 to 5 years		2 years
					Price	$0 to $100		$79
Net derivative assets
Credit derivatives	$	(45	)	Discounted cash flow, Stochastic recovery correlation model	Yield	1% to 25%		16	%
					Upfront points	1 point to 100 points		74 points
					Credit spreads	18 bps to 924 bps		287 bps
					Credit correlation	11% to 93%		37	%
					Prepayment speed	7% to 20% CPR		18	%
					Default rate	0% to 4% CDR		3	%
					Loss severity	35	%	n/a
Equity derivatives	$	(1,298	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	19% to 100%		68	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%		26	%
Commodity derivatives	$	7		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$4/MMBtu
					Correlation	66% to 93%		86	%
					Volatilities	23% to 71%		36	%
Interest rate derivatives	$	349		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	15% to 99%		60	%
					Correlation (FX/IR)	-2% to 40%		3	%
					Illiquid IR and long-dated inflation rates	-12% to 38%		5	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(987	)

⁽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 163: Trading account assets – Corporate securities, trading loans and other of $2.6 billion, Trading account assets – Non-U.S. sovereign debt of $639 million, Trading account assets – Mortgage trading loans and ABS of $1.2 billion, AFS debt securities – Other taxable securities of $687 million, AFS debt securities – Tax-exempt securities of $571 million, Loans and leases of $1.4 billion and LHFS of $587 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

n/a = not applicable



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 164: 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

Fair Value Inputs, Liabilities, Quantitative Information



Quantitative Information about Level 3 Fair Value Measurements at September 30, 2016
(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	$	1,688		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	324				Prepayment speed	0% to 37% CPR		14	%
Loans and leases	1,353				Default rate	0% to 10% CDR		3	%
Loans held-for-sale	11				Loss severity	0% to 100%		45	%
Instruments backed by commercial real estate assets	$	295		Discounted cash flow, Market comparables	Yield	0% to 25%		12	%
Trading account assets – Corporate securities, trading loans and other	219				Price	$0 to $100		$69
Trading account assets – Mortgage trading loans and ABS	62
Loans held-for-sale	14
Commercial loans, debt securities and other	$	4,397		Discounted cash flow, Market comparables	Yield	0% to 46%		18	%
Trading account assets – Corporate securities, trading loans and other	2,304				Prepayment speed	5% to 20%		14	%
Trading account assets – Non-U.S. sovereign debt	639				Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans and ABS	780				Loss severity	35% to 50%		38	%
AFS debt securities – Other taxable securities	110				Duration	0 to 5 years		3 years
Loans and leases	2				Price	$0 to $205		$70
Loans held-for-sale	562
Auction rate securities	$	1,187		Discounted cash flow, Market comparables	Price	$10 to $100		$93
Trading account assets – Corporate securities, trading loans and other	39
AFS debt securities – Other taxable securities	577
AFS debt securities – Tax-exempt securities	571
Structured liabilities
Long-term debt	$	(1,934	)	Discounted cash flow, Market comparables, Industry standard derivative pricing ⁽²⁾	Equity correlation	19% to 100%		68	%
					Long-dated equity volatilities	4% to 101%		26	%
					Yield	9% to 46%		18	%
					Duration	0 to 5 years		2 years
					Price	$0 to $100		$79
Net derivative assets
Credit derivatives	$	(45	)	Discounted cash flow, Stochastic recovery correlation model	Yield	1% to 25%		16	%
					Upfront points	1 point to 100 points		74 points
					Credit spreads	18 bps to 924 bps		287 bps
					Credit correlation	11% to 93%		37	%
					Prepayment speed	7% to 20% CPR		18	%
					Default rate	0% to 4% CDR		3	%
					Loss severity	35	%	n/a
Equity derivatives	$	(1,298	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	19% to 100%		68	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%		26	%
Commodity derivatives	$	7		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$4/MMBtu
					Correlation	66% to 93%		86	%
					Volatilities	23% to 71%		36	%
Interest rate derivatives	$	349		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	15% to 99%		60	%
					Correlation (FX/IR)	-2% to 40%		3	%
					Illiquid IR and long-dated inflation rates	-12% to 38%		5	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(987	)

⁽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

n/a = not applicable



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 164: 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

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 the three and nine months ended September 30, 2016 and 2015.



Assets Measured at Fair Value on a Nonrecurring Basis
	September 30, 2016				Three Months Ended September 30, 2016			Nine Months Ended September 30, 2016
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	191	$	48	$	(1	)	$	(44	)
Loans and leases ⁽¹⁾	—		1,333		(143		)	(399		)
Foreclosed properties ^{(2, 3)}	—		113		(23		)	(41		)
Other assets	173		—		(18		)	(44		)

	September 30, 2015				Three Months Ended September 30, 2015			Nine Months Ended September 30, 2015
Assets
Loans held-for-sale	$	10	$	34	$	—		$	(7	)
Loans and leases ⁽¹⁾	67		2,363		(228		)	(811		)
Foreclosed properties ^{(2, 3)}	—		149		(36		)	(58		)
Other assets	39		—		(4		)	(8		)


⁽¹⁾	Includes $48 million and $112 million of losses on loans that were written down to a collateral value of zero during the three and nine months ended September 30, 2016 compared to losses of $72 million and $146 million for the same periods in 2015.


⁽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 $1.3 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at both September 30, 2016 and 2015.

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 September 30, 2016 and December 31, 2015. 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
	September 30, 2016
(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	$	1,333	Market comparables	OREO discount	8% to 56%	21	%
			Market comparables	Cost to sell	8% to 45%	10	%



	December 31, 2015
Loans and leases backed by residential real estate assets	$	2,739	Market comparables	OREO discount	7% to 55%	20	%
			Market comparables	Cost to sell	8% to 45%	10	%