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

Fair Value Measurements

6 Months Ended

Jun. 30, 2017

Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of its fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are considered to be effective as of the beginning of the quarter in which they occur. During the six months ended June 30, 2017, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.

For more information regarding the fair value hierarchy and how the Corporation measures fair value and valuation processes and techniques see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For additional information, see Note 15 – Fair Value Option.

Recurring Fair Value

Assets and liabilities carried at fair value on a recurring basis at June 30, 2017 and December 31, 2016, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	June 30, 2017
	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	$	—	$	50,758	$	—	$	—		$	50,758
Trading account assets:
U.S. Treasury and agency securities ⁽²⁾	40,147		776		—		—			40,923
Corporate securities, trading loans and other	259		28,313		1,777		—			30,349
Equity securities	60,435		27,568		229		—			88,232
Non-U.S. sovereign debt	13,451		13,927		506		—			27,884
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		19,530		—		—			19,530
Mortgage trading loans, ABS and other MBS	—		8,219		1,232		—			9,451
Total trading account assets ⁽³⁾	114,292		98,333		3,744		—			216,369
Derivative assets ⁽⁴⁾	7,156		499,252		3,970		(471,188		)	39,190
AFS debt securities:
U.S. Treasury and agency securities	49,793		1,630		—		—			51,423
Mortgage-backed securities:
Agency	—		192,174		—		—			192,174
Agency-collateralized mortgage obligations	—		7,484		—		—			7,484
Non-agency residential	—		1,914		—		—			1,914
Commercial	—		12,441		—		—			12,441
Non-U.S. securities	1,998		4,465		139		—			6,602
Other taxable securities	—		8,568		483		—			9,051
Tax-exempt securities	—		17,959		518		—			18,477
Total AFS debt securities	51,791		246,635		1,140		—			299,566
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		5		—		—			5
Non-agency residential	—		3,014		23		—			3,037
Non-U.S. securities	11,305		1,360		—		—			12,665
Other taxable securities	—		236		—		—			236
Total other debt securities carried at fair value	11,305		4,615		23		—			15,943
Loans and leases	—		6,658		667		—			7,325
Mortgage servicing rights ⁽⁵⁾	—		—		2,501		—			2,501
Loans held-for-sale	—		1,941		766		—			2,707
Customer and other receivables	—		250		—		—			250
Other assets	13,443		1,128		294		—			14,865
Total assets	$	197,987	$	909,570	$	13,105	$	(471,188	)	$	649,474
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	456	$	—	$	—		$	456
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		31,997		135		—			32,132
Trading account liabilities:
U.S. Treasury and agency securities	17,531		407		—		—			17,938
Equity securities	29,099		4,045		—		—			33,144
Non-U.S. sovereign debt	13,940		3,303		—		—			17,243
Corporate securities and other	213		9,373		22		—			9,608
Total trading account liabilities	60,783		17,128		22		—			77,933
Derivative liabilities ⁽⁴⁾	6,827		501,925		5,773		(479,645		)	34,880
Short-term borrowings	—		1,572		—		—			1,572
Accrued expenses and other liabilities	15,968		1,301		9		—			17,278
Long-term debt	—		27,427		1,646		—			29,073
Total liabilities	$	83,578	$	581,806	$	7,585	$	(479,645	)	$	193,324


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


⁽²⁾	Includes $20.1 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $15.1 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 six months ended June 30, 2017, $1.8 billion of derivative assets and $1.1 billion of derivative liabilities were transferred from Level 1 to Level 2 and $373 million of derivative assets and $335 million 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⁾	MSRs include the $1.8 billion core MSR portfolio held in Consumer Banking, the $211 million non-core MSR portfolio held in All Other and the $505 million non-U.S. MSR portfolio held in Global Markets.




	December 31, 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	$	—	$	49,750	$	—	$	—		$	49,750
Trading account assets:
U.S. Treasury and agency securities ⁽²⁾	34,587		1,927		—		—			36,514
Corporate securities, trading loans and other	171		22,861		2,777		—			25,809
Equity securities	50,169		21,601		281		—			72,051
Non-U.S. sovereign debt	9,578		9,940		510		—			20,028
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		15,799		—		—			15,799
Mortgage trading loans, ABS and other MBS	—		8,797		1,211		—			10,008
Total trading account assets ⁽³⁾	94,505		80,925		4,779		—			180,209
Derivative assets ⁽⁴⁾	7,337		619,848		3,931		(588,604		)	42,512
AFS debt securities:
U.S. Treasury and agency securities	46,787		1,465		—		—			48,252
Mortgage-backed securities:
Agency	—		189,486		—		—			189,486
Agency-collateralized mortgage obligations	—		8,330		—		—			8,330
Non-agency residential	—		2,013		—		—			2,013
Commercial	—		12,322		—		—			12,322
Non-U.S. securities	1,934		3,600		229		—			5,763
Other taxable securities	—		10,020		594		—			10,614
Tax-exempt securities	—		16,618		542		—			17,160
Total AFS debt securities	48,721		243,854		1,365		—			293,940
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		5		—		—			5
Non-agency residential	—		3,114		25		—			3,139
Non-U.S. securities	15,109		1,227		—		—			16,336
Other taxable securities	—		240		—		—			240
Total other debt securities carried at fair value	15,109		4,586		25		—			19,720
Loans and leases	—		6,365		720		—			7,085
Mortgage servicing rights ⁽⁵⁾	—		—		2,747		—			2,747
Loans held-for-sale	—		3,370		656		—			4,026
Debt securities in assets of business held for sale	619		—		—		—			619
Other assets	11,824		1,739		239		—			13,802
Total assets	$	178,115	$	1,010,437	$	14,462	$	(588,604	)	$	614,410
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	731	$	—	$	—		$	731
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		35,407		359		—			35,766
Trading account liabilities:
U.S. Treasury and agency securities	15,854		197		—		—			16,051
Equity securities	25,884		3,014		—		—			28,898
Non-U.S. sovereign debt	9,409		2,103		—		—			11,512
Corporate securities and other	163		6,380		27		—			6,570
Total trading account liabilities	51,310		11,694		27		—			63,031
Derivative liabilities ⁽⁴⁾	7,173		615,896		5,244		(588,833		)	39,480
Short-term borrowings	—		2,024		—		—			2,024
Accrued expenses and other liabilities	12,978		1,643		9		—			14,630
Long-term debt	—		28,523		1,514		—			30,037
Total liabilities	$	71,461	$	695,918	$	7,153	$	(588,833	)	$	185,699


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


⁽²⁾	Includes $17.5 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $14.6 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 2016, $2.3 billion of derivative assets and $2.4 billion of derivative liabilities were transferred from Level 1 to Level 2 and $2.0 billion of derivative assets and $1.8 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⁾	MSRs include the $2.1 billion core MSR portfolio held in Consumer Banking, the $212 million non-core MSR portfolio held in All Other and the $469 million non-U.S. MSR portfolio held in Global Markets.

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 six months ended June 30, 2017 and 2016, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.




Level 3 – Fair Value Measurements ⁽¹⁾

	Three Months Ended June 30, 2017
										Gross
(Dollars in millions)	Balance April 1 2017			Total Realized/Unrealized Gains/(Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance June 30 2017			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	2,029		$	64		$	—		$	119	$	(120	)	$	—		$	(108	)	$	143		$	(350	)	$	1,777		$	30
Equity securities	288			3			—			22		(47		)	—			—			30			(67		)	229			—
Non-U.S. sovereign debt	527			12			(16		)	26		(50		)	—			(62		)	69			—			506			12
Mortgage trading loans, ABS and other MBS	1,215			78			(1		)	258		(314		)	—			(69		)	76			(11		)	1,232			53
Total trading account assets	4,059			157			(17		)	425		(531		)	—			(239		)	318			(428		)	3,744			95
Net derivative assets ⁽⁴⁾	(1,665		)	(372		)	—			208		(229		)	—			274			—			(19		)	(1,803		)	(368		)
AFS debt securities:
Non-U.S. securities	207			1			9			22		—			—			(100		)	—			—			139			—
Other taxable securities	579			—			1			5		—			—			(8		)	—			(94		)	483			—
Tax-exempt securities	520			—			(2		)	—		—			—			—			—			—			518			—
Total AFS debt securities	1,306			1			8			27		—			—			(108		)	—			(94		)	1,140			—
Other debt securities carried at fair value – Non-agency residential MBS	24			—			—			—		—			—			(1		)	—			—			23			—
Loans and leases ^{(5, 6)}	702			6			—			—		—			—			(34		)	—			(7		)	667			6
Mortgage servicing rights ^{(6, 7)}	2,610			13			—			—		1			63			(186		)	—			—			2,501			(65		)
Loans held-for-sale ⁽⁵⁾	792			42			(9		)	2		(19		)	—			(128		)	100			(14		)	766			26
Other assets	231			(11		)	12			2		—			—			(4		)	64			—			294			(6		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(226		)	(6		)	—			—		—			(10		)	8			(58		)	157			(135		)	(6		)
Trading account liabilities – Corporate securities and other	(35		)	10			—			4		—			(1		)	—			—			—			(22		)	(1		)
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,660		)	10			(18		)	7		—			(20		)	124			(108		)	19			(1,646		)	10


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

⁽²⁾

Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve, and periodic adjustments to the valuation model to reflect changes in the modeled relationships between inputs and projected cash flows, as well as changes in cash flow assumptions including cost to service.

⁽³⁾

Includes gains/losses in OCI related to unrealized gains/losses on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For additional information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.


⁽⁴⁾	Net derivatives include derivative assets of $4.0 billion and derivative liabilities of $5.8 billion.


⁽⁵⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁶⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁷⁾	Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Significant transfers into Level 3, primarily due to decreased price observability, during the three months ended June 30, 2017 included $318 million of trading account assets, $100 million of LHFS and $108 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Significant transfers out of Level 3, primarily due to increased price observability, during the three months ended June 30, 2017 included $428 million of trading account assets and $157 million of federal funds purchased and securities loaned or sold under agreements to repurchase.




Level 3 – Fair Value Measurements ⁽¹⁾

	Three Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance April 1 2016			Total Realized/Unrealized Gains/(Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance June 30 2016			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	2,954		$	11		$	1		$	472	$	(246	)	$	—		$	(197	)	$	72		$	(413	)	$	2,654		$	(52	)
Equity securities	417			22			—			33		(35		)	—			(10		)	29			(1		)	455			20
Non-U.S. sovereign debt	572			50			49			—		—			—			(41		)	—			—			630			50
Mortgage trading loans, ABS and other MBS	1,614			67			—			156		(419		)	—			(94		)	45			(83		)	1,286			41
Total trading account assets	5,557			150			50			661		(700		)	—			(342		)	146			(497		)	5,025			59
Net derivative assets ⁽⁴⁾	(315		)	84			—			110		(444		)	—			(123		)	(8		)	48			(648		)	(49		)
AFS debt securities:
Non-agency residential MBS	150			—			(2		)	61		—			—			(75		)	—			—			134			—
Other taxable securities	739			1			(3		)	—		—			—			(20		)	—			—			717			—
Tax-exempt securities	562			—			(3		)	—		—			—			—			—			—			559			—
Total AFS debt securities	1,451			1			(8		)	61		—			—			(95		)	—			—			1,410			—
Other debt securities carried at fair value – Non-agency residential MBS	29			(1		)	—			—		—			—			—			—			—			28			—
Loans and leases ^{(5, 6)}	1,697			(47		)	—			—		—			25			(54		)	1			(163		)	1,459			(44		)
Mortgage servicing rights ^{(6, 7)}	2,631			(228		)	—			—		(1		)	72			(205		)	—			—			2,269			(282		)
Loans held-for-sale ⁽⁵⁾	660			11			28			—		(17		)	—			(18		)	26			—			690			8
Other assets	375			(13		)	—			—		—			—			(14		)	—			—			348			(11		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(345		)	32			—			—		—			—			—			—			—			(313		)	31
Trading account liabilities – Corporate securities and other	(28		)	1			—			1		—			—			—			—			—			(26		)	1
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,814		)	(79		)	(11		)	20		—			(154		)	77			(359		)	164			(2,156		)	(79		)


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

⁽²⁾

Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve.

⁽³⁾


⁽⁴⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁵⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁶⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁷⁾	Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Significant transfers into Level 3, primarily due to decreased price observability, during the three months ended June 30, 2016 included $146 million of trading account assets and $359 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Significant transfers out of Level 3, primarily due to increased price observability, during the three months ended June 30, 2016 included $497 million of trading account assets, $163 million of loans and leases and $164 million of long-term debt.




Level 3 – Fair Value Measurements ⁽¹⁾

	Six Months Ended June 30, 2017
										Gross
(Dollars in millions)	Balance January 1 2017			Total Realized/Unrealized Gains/(Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance June 30 2017			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	2,777		$	148		$	—		$	318	$	(600	)	$	—		$	(235	)	$	218		$	(849	)	$	1,777		$	57
Equity securities	281			15			—			42		(64		)	—			(10		)	102			(137		)	229			(1		)
Non-U.S. sovereign debt	510			31			(6		)	26		(59		)	—			(68		)	72			—			506			27
Mortgage trading loans, ABS and other MBS	1,211			185			(1		)	597		(689		)	—			(123		)	104			(52		)	1,232			117
Total trading account assets	4,779			379			(7		)	983		(1,412		)	—			(436		)	496			(1,038		)	3,744			200
Net derivative assets ⁽⁴⁾	(1,313		)	(846		)	—			408		(476		)	—			444			29			(49		)	(1,803		)	(773		)
AFS debt securities:
Non-U.S. securities	229			1			12			42		—			—			(145		)	—			—			139			—
Other taxable securities	594			3			5			5		—			—			(30		)	—			(94		)	483			—
Tax-exempt securities	542			—			—			—		(56		)	—			(3		)	35			—			518			—
Total AFS debt securities	1,365			4			17			47		(56		)	—			(178		)	35			(94		)	1,140			—
Other debt securities carried at fair value – Non-agency residential MBS	25			(1		)	—			—		—			—			(1		)	—			—			23			—
Loans and leases ^{(5, 6)}	720			18			—			—		—			—			(64		)	—			(7		)	667			16
Mortgage servicing rights ^{(6, 7)}	2,747			(14		)	—			—		6			138			(376		)	—			—			2,501			(182		)
Loans held-for-sale ⁽⁵⁾	656			71			(3		)	2		(155		)	—			(188		)	415			(32		)	766			71
Other assets	239			(17		)	12			2		—			—			(6		)	64			—			294			(12		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(359		)	(5		)	—			—		—			(12		)	36			(58		)	263			(135		)	(3		)
Trading account liabilities – Corporate securities and other	(27		)	12			—			4		(10		)	(1		)	—			—			—			(22		)	(1		)
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,514		)	(73		)	(11		)	18		—			(150		)	283			(286		)	87			(1,646		)	(38		)


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

⁽²⁾

⁽³⁾


⁽⁴⁾	Net derivatives include derivative assets of $4.0 billion and derivative liabilities of $5.8 billion.


⁽⁵⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁶⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁷⁾	Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Significant transfers into Level 3, primarily due to decreased price observability, during the six months ended June 30, 2017 included $496 million of trading account assets, $415 million of LHFS and $286 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Significant transfers out of Level 3, primarily due to increased price observability, during the six months ended June 30, 2017 included $1.0 billion of trading account assets and $263 million of federal funds purchased and securities loaned or sold under agreements to repurchase.




Level 3 – Fair Value Measurements ⁽¹⁾

	Six Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance January 1 2016			Total Realized/Unrealized Gains/(Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance June 30 2016			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	2,838		$	61		$	2		$	699	$	(393	)	$	—		$	(345	)	$	230		$	(438	)	$	2,654		$	(29	)
Equity securities	407			82			—			43		(37		)	—			(72		)	33			(1		)	455			21
Non-U.S. sovereign debt	521			92			98			3		(1		)	—			(83		)	—			—			630			91
Mortgage trading loans, ABS and other MBS	1,868			95			(2		)	350		(823		)	—			(167		)	76			(111		)	1,286			48
Total trading account assets	5,634			330			98			1,095		(1,254		)	—			(667		)	339			(550		)	5,025			131
Net derivative assets ⁽⁴⁾	(441		)	487			—			199		(619		)	—			(111		)	(124		)	(39		)	(648		)	308
AFS debt securities:
Non-agency residential MBS	106			—			3			196		(92		)	—			(79		)	—			—			134			—
Other taxable securities	757			2			(6		)	—		—			—			(36		)	—			—			717			—
Tax-exempt securities	569			—			(10		)	1		—			—			(1		)	—			—			559			—
Total AFS debt securities	1,432			2			(13		)	197		(92		)	—			(116		)	—			—			1,410			—
Other debt securities carried at fair value – Non-agency residential MBS	30			(2		)	—			—		—			—			—			—			—			28			—
Loans and leases ^{(5, 6)}	1,620			(4		)	—			69		—			50			(89		)	6			(193		)	1,459			5
Mortgage servicing rights ^{(6, 7)}	3,087			(608		)	—			—		(2		)	208			(416		)	—			—			2,269			(719		)
Loans held-for-sale ⁽⁵⁾	787			84			55			20		(180		)	—			(52		)	39			(63		)	690			88
Other assets	374			(38		)	—			34		—			—			(24		)	2			—			348			(33		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(335		)	29			—			—		—			(14		)	7			—			—			(313		)	29
Trading account liabilities – Corporate securities and other	(21		)	2			—			1		(8		)	—			—			—			—			(26		)	1
Short-term borrowings ⁽⁵⁾	(30		)	1			—			—		—			—			29			—			—			—			—
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,513		)	(170		)	(18		)	29		—			(323		)	133			(545		)	251			(2,156		)	(152		)


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

⁽²⁾

Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve.

⁽³⁾


⁽⁴⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁵⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁶⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁷⁾	Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.

Significant transfers into Level 3, primarily due to decreased price observability, during the six months ended June 30, 2016 included $339 million of trading account assets, $124 million of net derivative assets and $545 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.

Significant transfers out of Level 3, primarily due to increased price observability, during the six months ended June 30, 2016 included $550 million of trading account assets, $193 million of loans and leases and $251 million of long-term debt.

The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at June 30, 2017 and December 31, 2016.




Quantitative Information about Level 3 Fair Value Measurements at June 30, 2017

(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	$