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, 2017

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, 2017 and December 31, 2016, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	September 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	$	—	$	56,780	$	—	$	—		$	56,780
Trading account assets:
U.S. Treasury and agency securities ⁽²⁾	32,688		589		—		—			33,277
Corporate securities, trading loans and other	535		27,760		1,742		—			30,037
Equity securities	58,886		29,149		244		—			88,279
Non-U.S. sovereign debt	16,623		14,346		552		—			31,521
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		18,973		—		—			18,973
Mortgage trading loans, ABS and other MBS	—		6,980		1,252		—			8,232
Total trading account assets ⁽³⁾	108,732		97,797		3,790		—			210,319
Derivative assets ^{(4, 5)}	6,756		360,066		3,878		(332,316		)	38,384
AFS debt securities:
U.S. Treasury and agency securities	48,591		1,677		—		—			50,268
Mortgage-backed securities:
Agency	—		196,194		—		—			196,194
Agency-collateralized mortgage obligations	—		7,049		—		—			7,049
Non-agency residential	—		2,657		—		—			2,657
Commercial	—		12,464		—		—			12,464
Non-U.S. securities	774		4,630		36		—			5,440
Other taxable securities	—		6,555		483		—			7,038
Tax-exempt securities	—		18,725		467		—			19,192
Total AFS debt securities	49,365		249,951		986		—			300,302
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		5		—		—			5
Non-agency residential	—		3,036		22		—			3,058
Non-U.S. securities	11,911		1,349		—		—			13,260
Other taxable securities	—		239		—		—			239
Total other debt securities carried at fair value	11,911		4,629		22		—			16,562
Loans and leases	—		5,667		618		—			6,285
Mortgage servicing rights ⁽⁶⁾	—		—		2,407		—			2,407
Loans held-for-sale	—		2,353		775		—			3,128
Customer and other receivables	—		230		—		—			230
Other assets	17,991		1,083		267		—			19,341
Total assets	$	194,755	$	778,556	$	12,743	$	(332,316	)	$	653,738
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	468	$	—	$	—		$	468
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		38,852		—		—			38,852
Trading account liabilities:
U.S. Treasury and agency securities	20,390		366		—		—			20,756
Equity securities	31,647		4,018		—		—			35,665
Non-U.S. sovereign debt	16,606		4,118		—		—			20,724
Corporate securities and other	211		9,053		25		—			9,289
Total trading account liabilities	68,854		17,555		25		—			86,434
Derivative liabilities ^{(4, 5)}	6,589		349,863		5,901		(330,572		)	31,781
Short-term borrowings	—		1,904		—		—			1,904
Accrued expenses and other liabilities	21,121		1,239		9		—			22,369
Long-term debt	—		28,007		1,890		—			29,897
Total liabilities	$	96,564	$	437,888	$	7,825	$	(330,572	)	$	211,705


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


⁽²⁾	Includes $19.5 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $15.3 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, 2017, $3.0 billion of derivative assets and $2.4 billion of derivative liabilities were transferred from Level 1 to Level 2 and $543 million of derivative assets and $496 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⁾

Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.


⁽⁶⁾	MSRs include the $1.7 billion core MSR portfolio held in Consumer Banking, the $162 million non-core MSR portfolio held in All Other and the $518 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.

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




Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2016
										Gross
(Dollars in millions)	Balance July 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 September 30 2016			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	2,654		$	57		$	—		$	226	$	(245	)	$	—		$	(134	)	$	202		$	(198	)	$	2,562		$	20
Equity securities	455			11			—			10		(98		)	—			—			27			(39		)	366			5
Non-U.S. sovereign debt	630			20			(7		)	—		—			—			(4		)	—			—			639			19
Mortgage trading loans, ABS and other MBS	1,286			102			—			331		(441		)	—			(103		)	15			(24		)	1,166			62
Total trading account assets	5,025			190			(7		)	567		(784		)	—			(241		)	244			(261		)	4,733			106
Net derivative assets ⁽⁴⁾	(648		)	(131		)	—			114		(346		)	—			118			(53		)	(41		)	(987		)	(198		)
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 ^{(5, 6)}	1,459			(9		)	—			—		—			—			(54		)	—			(41		)	1,355			(8		)
Mortgage servicing rights ^{(6, 7)}	2,269			313			—			—		—			101			(206		)	—			—			2,477			262
Loans held-for-sale ⁽⁵⁾	690			13			(4		)	—		(56		)	—			(25		)	4			(35		)	587			10
Other assets	348			11			—			4		—			—			—			—			—			363			17
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(313		)	(17		)	—			—		—			—			10			(19		)	1			(338		)	(17		)
Trading account liabilities – Corporate securities and other	(26		)	2			—			—		(2		)	—			—			—			—			(26		)	1
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(2,156		)	(22		)	(23		)	15		—			(3		)	363			(206		)	98			(1,934		)	(24		)


⁽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 - 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⁾

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 $4.9 billion and derivative liabilities of $5.9 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.

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, 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 September 30, 2017
										Gross
(Dollars in millions)	Balance July 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 September 30 2017			Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held ⁽²⁾
Trading account assets:
Corporate securities, trading loans and other	$	1,777		$	77		$	—		$	35	$	(79	)	$	5		$	(208	)	$	288		$	(153	)	$	1,742		$	35
Equity securities	229			8			—			3		(3		)	—			—			17			(10		)	244			10
Non-U.S. sovereign debt	506			33			18			—		—			—			(5		)	—			—			552			33
Mortgage trading loans, ABS and other MBS	1,232			10			(1		)	150		(157		)	—			(46		)	83			(19		)	1,252			(2		)
Total trading account assets	3,744			128			17			188		(239		)	5			(259		)	388			(182		)	3,790			76
Net derivative assets ⁽⁴⁾	(1,803		)	(252		)	—			150		(367		)	—			278			7			(36		)	(2,023		)	(283		)
AFS debt securities:
Non-U.S. securities	139			1			4			7		—			—			(115		)	—			—			36			—
Other taxable securities	483			—			1			—		—			—			(1		)	—			—			483			—
Tax-exempt securities	518			—			1			—		—			—			(7		)	—			(45		)	467			—
Total AFS debt securities	1,140			1			6			7		—			—			(123		)	—			(45		)	986			—
Other debt securities carried at fair value – Non-agency residential MBS	23			—			—			—		—			—			(1		)	—			—			22			—
Loans and leases ^{(5, 6)}	667			2			—			2		(24		)	—			(29		)	—			—			618			2
Mortgage servicing rights ^{(6, 7)}	2,501			54			—			—		(28		)	69			(189		)	—			—			2,407			(20		)
Loans held-for-sale ⁽⁵⁾	766			38			10			—		(4		)	—			(93		)	58			—			775			27
Other assets	294			70			(43		)	—		(52		)	—			(2		)	—			—			267			28
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(135		)	—			—			—		—			—			135			—			—			—			—
Trading account liabilities – Corporate securities and other	(22		)	1			—			—		(3		)	(1		)	—			—			—			(25		)	—
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,646		)	(87		)	(7		)	63		—			(129		)	115			(244		)	45			(1,890		)	(87		)


⁽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 - primarily 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 - 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⁾


⁽⁴⁾	Net derivatives include derivative assets of $3.9 billion and derivative liabilities of $5.9 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.




Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 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 September 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		$	225		$	—		$	353	$	(679	)	$	5		$	(443	)	$	506		$	(1,002	)	$	1,742		$	72
Equity securities	281			23			—			45		(67		)	—			(10		)	119			(147		)	244			11
Non-U.S. sovereign debt	510			64			12			26		(59		)	—			(73		)	72			—			552			60
Mortgage trading loans, ABS and other MBS	1,211			195			(2		)	747		(846		)	—			(169		)	187			(71		)	1,252			107
Total trading account assets	4,779			507			10			1,171		(1,651		)	5			(695		)	884			(1,220		)	3,790			250
Net derivative assets ⁽⁴⁾	(1,313		)	(1,098		)	—			558		(843		)	—			722			36			(85		)	(2,023		)	(561		)
AFS debt securities:
Non-U.S. securities	229			2			16			49		—			—			(260		)	—			—			36			—
Other taxable securities	594			3			6			5		—			—			(31		)	—			(94		)	483			—
Tax-exempt securities	542			—			1			—		(56		)	—			(10		)	35			(45		)	467			—
Total AFS debt securities	1,365			5			23			54		(56		)	—			(301		)	35			(139		)	986			—
Other debt securities carried at fair value – Non-agency residential MBS	25			(1		)	—			—		—			—			(2		)	—			—			22			—
Loans and leases ^{(5, 6)}	720			20			—			2		(24		)	—			(93		)	—			(7		)	618			18
Mortgage servicing rights ^{(6, 7)}	2,747			40			—			—		(22		)	207			(565		)	—			—			2,407			(202		)
Loans held-for-sale ⁽⁵⁾	656			109			7			2		(159		)	—			(281		)	473			(32		)	775			60
Other assets	239			53			(31		)	2		(52		)	—			(8		)	64			—			267			21
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(359		)	(5		)	—			—		—			(12		)	171			(58		)	263			—			(5		)
Trading account liabilities – Corporate securities and other	(27		)	13			—			4		(13		)	(2		)	—			—			—			(25		)	(1		)
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,514		)	(160		)	(18		)	81		—			(279		)	398			(530		)	132			(1,890		)	(158		)


⁽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 $3.9 billion and derivative liabilities of $5.9 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.




Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 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 September 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		$	118		$	2		$	925	$	(638	)	$	—		$	(479	)	$	432		$	(636	)	$	2,562		$	11
Equity securities	407			93			—			53		(135		)	—			(72		)	60			(40		)	366			(19		)
Non-U.S. sovereign debt	521			112			91			3		(1		)	—			(87		)	—			—			639			110
Mortgage trading loans, ABS and other MBS	1,868			197			(2		)	681		(1,264		)	—			(270		)	91			(135		)	1,166			110
Total trading account assets	5,634			520			91			1,662		(2,038		)	—			(908		)	583			(811		)	4,733			212
Net derivative assets ⁽⁴⁾	(441		)	356			—			313		(965		)	—			7			(177		)	(80		)	(987		)	(108		)
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 ^{(5, 6)}	1,620			(13		)	—			69		—			50			(143		)	6			(234		)	1,355			(3		)
Mortgage servicing rights ^{(6, 7)}	3,087			(295		)	—			—		—			307			(622		)	—			—			2,477			(457		)
Loans held-for-sale ⁽⁵⁾	787			97			51			20		(236		)	—			(77		)	43			(98		)	587			76
Other assets	374			(27		)	—			38		—			—			(24		)	2			—			363			(15		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(335		)	12			—			—		—			(14		)	17			(19		)	1			(338		)	(21		)
Trading account liabilities – Corporate securities and other	(21		)	4			—			1		(10		)	—			—			—			—			(26		)	3
Short-term borrowings ⁽⁵⁾	(30		)	1			—			—		—			—			29			—			—			—			—
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—			—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,513		)	(192		)	(41		)	44		—			(326		)	496			(751		)	349			(1,934		)	(208		)


⁽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 $4.9 billion and derivative liabilities of $5.9 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.

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




Level 3 – Fair Value Measurements ⁽¹⁾
	Nine Months Ended September 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 September 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	$	118	$	2	$	925	$	(638	)	$	—	$	(479	)	$	432	$	(636	)	$	2,562	$	11
Equity securities	407		93		—		53		(135		)	—		(72		)	60		(40		)	366		(19		)
Non-U.S. sovereign debt	521		112