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)

3 Months Ended

Mar. 31, 2018

Assets and Liabilities Carried at Fair Value on a Recurring Basis

Assets and liabilities carried at fair value on a recurring basis at March 31, 2018 and December 31, 2017, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	March 31, 2018
	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	$	—	$	68,556	$	—	$	—		$	68,556
Trading account assets:
U.S. Treasury and agency securities ⁽²⁾	35,219		2,473		—		—			37,692
Corporate securities, trading loans and other	—		31,556		1,716		—			33,272
Equity securities	40,949		24,724		212		—			65,885
Non-U.S. sovereign debt	7,459		25,381		401		—			33,241
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		18,380		—		—			18,380
Mortgage trading loans, ABS and other MBS	—		8,635		1,372		—			10,007
Total trading account assets ⁽³⁾	83,627		111,149		3,701		—			198,477
Derivative assets ⁽⁴⁾	9,873		345,940		4,545		(312,489		)	47,869
AFS debt securities:
U.S. Treasury and agency securities	51,412		1,560		—		—			52,972
Mortgage-backed securities:
Agency	—		184,111		—		—			184,111
Agency-collateralized mortgage obligations	—		6,398		—		—			6,398
Non-agency residential	—		2,604		—		—			2,604
Commercial	—		13,559		—		—			13,559
Non-U.S. securities	751		6,151		23		—			6,925
Other taxable securities	—		4,671		43		—			4,714
Tax-exempt securities	—		19,077		—		—			19,077
Total AFS debt securities	52,163		238,131		66		—			290,360
Other debt securities carried at fair value:
Mortgage-backed securities:
Non-agency residential	—		2,736		—		—			2,736
Non-U.S. securities	8,621		1,355		—		—			9,976
Other taxable securities	—		226		—		—			226
Total other debt securities carried at fair value	8,621		4,317		—		—			12,938
Loans and leases	—		5,463		526		—			5,989
Loans held-for-sale	—		2,406		685		—			3,091
Other assets ⁽⁵⁾	15,376		1,904		3,295		—			20,575
Total assets	$	169,660	$	777,866	$	12,818	$	(312,489	)	$	647,855
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	435	$	—	$	—		$	435
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		35,116		—		—			35,116
Trading account liabilities:
U.S. Treasury and agency securities	15,205		293		—		—			15,498
Equity securities	43,434		5,061		—		—			48,495
Non-U.S. sovereign debt	17,210		11,080		—		—			28,290
Corporate securities and other	—		7,909		26		—			7,935
Total trading account liabilities	75,849		24,343		26		—			100,218
Derivative liabilities ⁽⁴⁾	9,374		325,832		5,683		(306,989		)	33,900
Short-term borrowings	—		2,284		—		—			2,284
Accrued expenses and other liabilities	18,131		2,037		8		—			20,176
Long-term debt	—		28,711		1,351		—			30,062
Total liabilities	$	103,354	$	418,758	$	7,068	$	(306,989	)	$	222,191


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


⁽²⁾	Includes $19.1 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 the three months ended March 31, 2018, $364 million of derivative assets and $188 million of derivative liabilities were transferred from Level 1 to Level 2 and $916 million of derivative assets and $663 million of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.


⁽⁵⁾	Includes MSRs of $2.3 billion.




	December 31, 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	$	—	$	52,906	$	—	$	—		$	52,906
Trading account assets:
U.S. Treasury and agency securities ^{(2, 3)}	38,720		1,922		—		—			40,642
Corporate securities, trading loans and other	—		28,714		1,864		—			30,578
Equity securities ⁽³⁾	60,747		23,958		235		—			84,940
Non-U.S. sovereign debt ⁽³⁾	6,545		15,839		556		—			22,940
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		20,586		—		—			20,586
Mortgage trading loans, ABS and other MBS	—		8,174		1,498		—			9,672
Total trading account assets ⁽⁴⁾	106,012		99,193		4,153		—			209,358
Derivative assets ⁽³⁾	6,305		341,178		4,067		(313,788		)	37,762
AFS debt securities:
U.S. Treasury and agency securities	51,915		1,608		—		—			53,523
Mortgage-backed securities:
Agency	—		192,929		—		—			192,929
Agency-collateralized mortgage obligations	—		6,804		—		—			6,804
Non-agency residential	—		2,669		—		—			2,669
Commercial	—		13,684		—		—			13,684
Non-U.S. securities	772		5,880		25		—			6,677
Other taxable securities	—		5,261		509		—			5,770
Tax-exempt securities	—		20,106		469		—			20,575
Total AFS debt securities	52,687		248,941		1,003		—			302,631
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		5		—		—			5
Non-agency residential	—		2,764		—		—			2,764
Non-U.S. securities	8,191		1,297		—		—			9,488
Other taxable securities	—		229		—		—			229
Total other debt securities carried at fair value	8,191		4,295		—		—			12,486
Loans and leases	—		5,139		571		—			5,710
Loans held-for-sale	—		1,466		690		—			2,156
Other assets ⁽⁵⁾	19,367		789		2,425		—			22,581
Total assets	$	192,562	$	753,907	$	12,909	$	(313,788	)	$	645,590
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	449	$	—	$	—		$	449
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		36,182		—		—			36,182
Trading account liabilities:
U.S. Treasury and agency securities	17,266		734		—		—			18,000
Equity securities ⁽³⁾	33,019		3,885		—		—			36,904
Non-U.S. sovereign debt ⁽³⁾	11,976		7,382		—		—			19,358
Corporate securities and other	—		6,901		24		—			6,925
Total trading account liabilities	62,261		18,902		24		—			81,187
Derivative liabilities ⁽³⁾	6,029		334,261		5,781		(311,771		)	34,300
Short-term borrowings	—		1,494		—		—			1,494
Accrued expenses and other liabilities	21,887		945		8		—			22,840
Long-term debt	—		29,923		1,863		—			31,786
Total liabilities	$	90,177	$	422,156	$	7,676	$	(311,771	)	$	208,238


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


⁽²⁾	Includes $21.3 billion of GSE obligations.

⁽³⁾

During 2017, for trading account assets and liabilities, $1.1 billion of U.S. Treasury and agency securities assets, $5.3 billion of equity securities assets, $3.1 billion of equity securities liabilities, $3.3 billion of non-U.S. sovereign debt assets and $1.5 billion of non-U.S. sovereign debt liabilities were transferred from Level 1 to Level 2 based on the liquidity of the positions. In addition, $14.1 billion of equity securities assets and $4.3 billion of equity securities liabilities were transferred from Level 2 to Level 1. Also in 2017, $4.2 billion of derivative assets and $3.0 billion of derivative liabilities were transferred from Level 1 to Level 2 and $758 million of derivative assets and $608 million of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.


⁽⁴⁾	Includes securities with a fair value of $16.8 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.


⁽⁵⁾	Includes MSRs of $2.3 billion.

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 months ended March 31, 2018 and 2017, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.




Level 3 – Fair Value Measurements for the Three Months Ended March 31, 2018 ⁽¹⁾

(Dollars in millions)	Balance January 1 2018			Total Realized/Unrealized Gains (Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾		Gross											Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2018			Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held ⁽²⁾
									Purchases		Sales			Issuances			Settlements
Trading account assets:
Corporate securities, trading loans and other	$	1,864		$	9		$	—	$	193	$	(136	)	$	—		$	(139	)	$	103		$	(178	)	$	1,716		$	(15	)
Equity securities	235			8			—		6		(7		)	—			—			1			(31		)	212			8
Non-U.S. sovereign debt	556			16			2		—		(50		)	—			(8		)	—			(115		)	401			16
Mortgage trading loans, ABS and other MBS	1,498			99			3		125		(320		)	—			(69		)	94			(58		)	1,372			83
Total trading account assets	4,153			132			5		324		(513		)	—			(216		)	198			(382		)	3,701			92
Net derivative assets ⁽⁴⁾	(1,714		)	495			—		153		(262		)	—			202			71			(83		)	(1,138		)	517
AFS debt securities:
Non-U.S. securities	25			—			—		—		—			—			(2		)	—			—			23			—
Other taxable securities	509			1			—		—		—			—			(7		)	—			(460		)	43			—
Tax-exempt securities	469			—			—		—		—			—			—			—			(469		)	—			—
Total AFS debt securities ⁽⁵⁾	1,003			1			—		—		—			—			(9		)	—			(929		)	66			—
Loans and leases ^{(6, 7)}	571			(16		)	—		—		(4		)	—			(25		)	—			—			526			(16		)
Loans held-for-sale ⁽⁶⁾	690			24			—		12		—			—			(41		)	—			—			685			21
Other assets ^{(5, 7, 8)}	2,425			192			—		—		(38		)	29			(242		)	929			—			3,295			120
Trading account liabilities – Corporate securities and other	(24		)	1			—		—		(2		)	(1		)	—			—			—			(26		)	1
Accrued expenses and other liabilities ⁽⁶⁾	(8		)	—			—		—		—			—			—			—			—			(8		)	—
Long-term debt ⁽⁶⁾	(1,863		)	23			1		5		—			(67		)	172			(33		)	411			(1,351		)	26


⁽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; Net derivative assets - primarily trading account profits and other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily trading account profits. 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 unrealized gains (losses) in OCI on 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 more information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2017 Annual Report on Form 10-K.


⁽⁴⁾	Net derivatives include derivative assets of $4.5 billion and derivative liabilities of $5.7 billion.


⁽⁵⁾	Transfer relates to the reclassification of certain securities.


⁽⁶⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁷⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁸⁾	Settlements primarily 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 for the Three Months Ended March 31, 2017 ⁽¹⁾

	Balance January 1 2017			Total Realized/Unrealized Gains (Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾		Gross											Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2017			Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held ⁽²⁾
(Dollars in millions)									Purchases		Sales			Issuances			Settlements
Trading account assets:
Corporate securities, trading loans and other	$	2,777		$	84		$	—	$	199	$	(480	)	$	—		$	(127	)	$	75		$	(499	)	$	2,029		$	56
Equity securities	281			12			—		20		(17		)	—			(10		)	72			(70		)	288			8
Non-U.S. sovereign debt	510			19			10		—		(9		)	—			(6		)	3			—			527			19
Mortgage trading loans, ABS and other MBS	1,211			107			—		339		(375		)	—			(54		)	28			(41		)	1,215			74
Total trading account assets	4,779			222			10		558		(881		)	—			(197		)	178			(610		)	4,059			157
Net derivative assets ⁽⁴⁾	(1,313		)	(474		)	—		200		(247		)	—			170			29			(30		)	(1,665		)	(489		)
AFS debt securities:
Non-U.S. securities	229			—			3		20		—			—			(45		)	—			—			207			—
Other taxable securities	594			3			4		—		—			—			(22		)	—			—			579			—
Tax-exempt securities	542			—			2		—		(56		)	—			(3		)	35			—			520			—
Total AFS debt securities	1,365			3			9		20		(56		)	—			(70		)	35			—			1,306			—
Other debt securities carried at fair value – Non-agency residential MBS	25			(1		)	—		—		—			—			—			—			—			24			—
Loans and leases ^{(5, 6)}	720			12			—		—		—			—			(30		)	—			—			702			12
Loans held-for-sale ⁽⁵⁾	656			29			6		—		(136		)	—			(60		)	315			(18		)	792			22
Other assets ^{(6, 7)}	2,986			(33		)	—		—		5			75			(192		)	—			—			2,841			(123		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(359		)	1			—		—		—			(2		)	28			—			106			(226		)	1
Trading account liabilities – Corporate securities and other	(27		)	2			—		—		(10		)	—			—			—			—			(35		)	2
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—		—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,514		)	(83		)	7		11		—			(130		)	159			(178		)	68			(1,660		)	(83		)


⁽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; Net derivative assets - primarily trading account profits and other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily trading account profits. 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 debt 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 2017 Annual Report on Form 10-K.


⁽⁴⁾	Net derivatives include derivative assets of $4.2 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.

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




Level 3 – Fair Value Measurements for the Three Months Ended March 31, 2018 ⁽¹⁾

(Dollars in millions)	Balance January 1 2018			Total Realized/Unrealized Gains (Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾		Gross											Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2018			Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held ⁽²⁾
									Purchases		Sales			Issuances			Settlements
Trading account assets:
Corporate securities, trading loans and other	$	1,864		$	9		$	—	$	193	$	(136	)	$	—		$	(139	)	$	103		$	(178	)	$	1,716		$	(15	)
Equity securities	235			8			—		6		(7		)	—			—			1			(31		)	212			8
Non-U.S. sovereign debt	556			16			2		—		(50		)	—			(8		)	—			(115		)	401			16
Mortgage trading loans, ABS and other MBS	1,498			99			3		125		(320		)	—			(69		)	94			(58		)	1,372			83
Total trading account assets	4,153			132			5		324		(513		)	—			(216		)	198			(382		)	3,701			92
Net derivative assets ⁽⁴⁾	(1,714		)	495			—		153		(262		)	—			202			71			(83		)	(1,138		)	517
AFS debt securities:
Non-U.S. securities	25			—			—		—		—			—			(2		)	—			—			23			—
Other taxable securities	509			1			—		—		—			—			(7		)	—			(460		)	43			—
Tax-exempt securities	469			—			—		—		—			—			—			—			(469		)	—			—
Total AFS debt securities ⁽⁵⁾	1,003			1			—		—		—			—			(9		)	—			(929		)	66			—
Loans and leases ^{(6, 7)}	571			(16		)	—		—		(4		)	—			(25		)	—			—			526			(16		)
Loans held-for-sale ⁽⁶⁾	690			24			—		12		—			—			(41		)	—			—			685			21
Other assets ^{(5, 7, 8)}	2,425			192			—		—		(38		)	29			(242		)	929			—			3,295			120
Trading account liabilities – Corporate securities and other	(24		)	1			—		—		(2		)	(1		)	—			—			—			(26		)	1
Accrued expenses and other liabilities ⁽⁶⁾	(8		)	—			—		—		—			—			—			—			—			(8		)	—
Long-term debt ⁽⁶⁾	(1,863		)	23			1		5		—			(67		)	172			(33		)	411			(1,351		)	26


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

⁽²⁾


⁽³⁾	Includes unrealized gains (losses) in OCI on 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 more information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation’s 2017 Annual Report on Form 10-K.


⁽⁴⁾	Net derivatives include derivative assets of $4.5 billion and derivative liabilities of $5.7 billion.


⁽⁵⁾	Transfer relates to the reclassification of certain securities.


⁽⁶⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁷⁾	Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.


⁽⁸⁾	Settlements primarily 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 for the Three Months Ended March 31, 2017 ⁽¹⁾

	Balance January 1 2017			Total Realized/Unrealized Gains (Losses) ⁽²⁾			Gains (Losses) in OCI ⁽³⁾		Gross											Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2017			Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held ⁽²⁾
(Dollars in millions)									Purchases		Sales			Issuances			Settlements
Trading account assets:
Corporate securities, trading loans and other	$	2,777		$	84		$	—	$	199	$	(480	)	$	—		$	(127	)	$	75		$	(499	)	$	2,029		$	56
Equity securities	281			12			—		20		(17		)	—			(10		)	72			(70		)	288			8
Non-U.S. sovereign debt	510			19			10		—		(9		)	—			(6		)	3			—			527			19
Mortgage trading loans, ABS and other MBS	1,211			107			—		339		(375		)	—			(54		)	28			(41		)	1,215			74
Total trading account assets	4,779			222			10		558		(881		)	—			(197		)	178			(610		)	4,059			157
Net derivative assets ⁽⁴⁾	(1,313		)	(474		)	—		200		(247		)	—			170			29			(30		)	(1,665		)	(489		)
AFS debt securities:
Non-U.S. securities	229			—			3		20		—			—			(45		)	—			—			207			—
Other taxable securities	594			3			4		—		—			—			(22		)	—			—			579			—
Tax-exempt securities	542			—			2		—		(56		)	—			(3		)	35			—			520			—
Total AFS debt securities	1,365			3			9		20		(56		)	—			(70		)	35			—			1,306			—
Other debt securities carried at fair value – Non-agency residential MBS	25			(1		)	—		—		—			—			—			—			—			24			—
Loans and leases ^{(5, 6)}	720			12			—		—		—			—			(30		)	—			—			702			12
Loans held-for-sale ⁽⁵⁾	656			29			6		—		(136		)	—			(60		)	315			(18		)	792			22
Other assets ^{(6, 7)}	2,986			(33		)	—		—		5			75			(192		)	—			—			2,841			(123		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁵⁾	(359		)	1			—		—		—			(2		)	28			—			106			(226		)	1
Trading account liabilities – Corporate securities and other	(27		)	2			—		—		(10		)	—			—			—			—			(35		)	2
Accrued expenses and other liabilities ⁽⁵⁾	(9		)	—			—		—		—			—			—			—			—			(9		)	—
Long-term debt ⁽⁵⁾	(1,514		)	(83		)	7		11		—			(130		)	159			(178		)	68			(1,660		)	(83		)


⁽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 $4.2 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.

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 March 31, 2018 and December 31, 2017.




Quantitative Information about Level 3 Fair Value Measurements at March 31, 2018

(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	$	845		Discounted cash flow	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans, ABS and other MBS	318				Prepayment speed	0% to 20% CPR		11	%
Loans and leases	525				Default rate	0% to 2% CDR		1	%
Loans held-for-sale	2				Loss severity	0% to 52%		17	%
Instruments backed by commercial real estate assets	$	299		Discounted cash flow	Yield	0% to 25%		9	%
Trading account assets – Corporate securities, trading loans and other	265				Price	$0 to $100		$67
Trading account assets – Mortgage trading loans, ABS and other MBS	34
Commercial loans, debt securities and other	$	3,592		Discounted cash flow, Market comparables	Yield	0% to 12%		5	%
Trading account assets – Corporate securities, trading loans and other	1,444				Prepayment speed	10% to 20%		15	%
Trading account assets – Non-U.S. sovereign debt	401				Default rate	3% to 4%		4	%
Trading account assets – Mortgage trading loans, ABS and other MBS	1,020				Loss severity	35% to 40%		38	%
AFS debt securities – Other taxable securities	43				Price	$0 to $141		$66
Loans and leases	1
Loans held-for-sale	683
Other assets, primarily auction rate securities	$	999		Discounted cash flow, Market comparables	Price	$10 to $100		$96


MSRs	$	2,296		Discounted cash flow	Weighted-average life, fixed rate ⁽⁴⁾	0 to 14 years		6 years
					Weighted-average life, variable rate ⁽⁴⁾	0 to 10 years		3 years
					Option Adjusted Spread, fixed rate	9% to 14%		10	%
					Option Adjusted Spread, variable rate	9% to 15%		12	%
Structured liabilities
Long-term debt	$	(1,351	)	Discounted cash flow, Market comparables, Industry standard derivative pricing ⁽²⁾	Equity correlation	7% to 100%		68	%
					Long-dated equity volatilities	4% to 70%		23	%
					Yield	7.5	%	n/a
					Price	$0 to $100		$73
Net derivative assets
Credit derivatives	$	(298	)	Discounted cash flow, Stochastic recovery correlation model	Yield	2% to 4%		3	%
					Upfront points	0 points to 100 points		71 points
					Credit correlation	22% to 80%		38	%
					Prepayment speed	15% to 20% CPR		15	%
					Default rate	1% to 4% CDR		2	%
					Loss severity	35	%	n/a
					Price	$1 to $83		$73
Equity derivatives	$	(1,508	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	7% to 100%		68	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 70%		23	%
Commodity derivatives	$	2		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $5/MMBtu		$3/MMBtu
					Correlation	65% to 93%		79	%
					Volatilities	11% to 196%		60	%
Interest rate derivatives	$	666		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	15% to 70%		43	%
					Correlation (FX/IR)	0% to 46%		1	%
					Long-dated inflation rates	-18% to 34%		2	%
					Long-dated inflation volatilities	0% to 1%		1	%
Total net derivative assets	$	(1,138	)

⁽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 93: Trading account assets – Corporate securities, trading loans and other of $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $401 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.4 billion, Other assets of $999 million, Loans and leases of $526 milli