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)

6 Months Ended

Jun. 30, 2018

Assets and Liabilities Carried at Fair Value on a Recurring Basis

Assets and liabilities carried at fair value on a recurring basis at June 30, 2018 and December 31, 2017, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	June 30, 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	$	—	$	59,763	$	—	$	—		$	59,763
Trading account assets:
U.S. Treasury and agency securities ⁽²⁾	32,923		747		—		—			33,670
Corporate securities, trading loans and other	—		29,280		1,638		—			30,918
Equity securities ⁽³⁾	55,128		25,075		228		—			80,431
Non-U.S. sovereign debt	9,646		19,434		368		—			29,448
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed ⁽²⁾	—		19,341		—		—			19,341
Mortgage trading loans, ABS and other MBS	—		8,089		1,523		—			9,612
Total trading account assets ⁽⁴⁾	97,697		101,966		3,757		—			203,420
Derivative assets ⁽³⁾	8,951		347,112		4,511		(315,364		)	45,210
AFS debt securities:
U.S. Treasury and agency securities	51,173		1,561		—		—			52,734
Mortgage-backed securities:
Agency	—		157,000		—		—			157,000
Agency-collateralized mortgage obligations	—		6,035		—		—			6,035
Non-agency residential	—		2,081		453		—			2,534
Commercial	—		13,600		—		—			13,600
Non-U.S. securities	747		5,915		3		—			6,665
Other taxable securities	—		4,387		99		—			4,486
Tax-exempt securities	—		19,064		1		—			19,065
Total AFS debt securities	51,920		209,643		556		—			262,119
Other debt securities carried at fair value:
Mortgage-backed securities:
Non-agency residential	—		2,248		287		—			2,535
Non-U.S. securities	9,097		1,303		—		—			10,400
Other taxable securities	—		202		—		—			202
Total other debt securities carried at fair value	9,097		3,753		287		—			13,137
Loans and leases	—		5,734		493		—			6,227
Loans held-for-sale	—		2,268		577		—			2,845
Other assets ⁽⁵⁾	16,861		1,838		3,184		—			21,883
Total assets	$	184,526	$	732,077	$	13,365	$	(315,364	)	$	614,604
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	513	$	—	$	—		$	513
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		32,724		—		—			32,724
Trading account liabilities:
U.S. Treasury and agency securities	13,783		508		—		—			14,291
Equity securities ⁽³⁾	37,221		3,966		—		—			41,187
Non-U.S. sovereign debt	12,943		10,754		—		—			23,697
Corporate securities and other	—		7,818		35		—			7,853
Total trading account liabilities	63,947		23,046		35		—			87,028
Derivative liabilities ⁽³⁾	8,058		329,685		6,099		(310,237		)	33,605
Short-term borrowings	—		3,396		—		—			3,396
Accrued expenses and other liabilities	19,159		2,019		—		—			21,178
Long-term debt	—		27,152		1,225		—			28,377
Total liabilities	$	91,164	$	418,535	$	7,359	$	(310,237	)	$	206,821


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


⁽²⁾	Includes $20.0 billion of GSE obligations.

⁽³⁾

During the six months ended June 30, 2018, for trading account assets and liabilities, $6.2 billion of equity securities assets and $2.7 billion of equity securities liabilities were transferred from Level 1 to Level 2 and $5.3 billion of equity securities assets and $2.4 billion of equity securities liabilities were transferred from Level 2 to Level 1 based on the liquidity of the positions. In addition, $967 million of derivative assets and $413 million of derivative liabilities were transferred from Level 1 to Level 2 and $1.5 billion of derivative assets and $1.0 billion 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 $13.1 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.


⁽⁵⁾	Includes MSRs of $2.2 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

m debt.




Level 3 – Fair Value Measurements for the Six Months Ended June 30, 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 June 30 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		$	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
Loans held-for-sale ⁽⁵⁾	656			71			(3		)	2		(155		)	—			(188		)	415			(32		)	766			71
Other assets ^{(6, 7)}	2,986			(31		)	12			2		6			138			(382		)	64			—			2,795			(194		)
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⁾

Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - 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 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 derivative assets 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 primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage

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, 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 June 30, 2018 ⁽¹⁾

	Balance April 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 June 30 2018			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	$	1,716		$	(37	)	$	(1	)	$	81	$	(75	)	$	—		$	(74	)	$	145		$	(117	)	$	1,638		$	(67	)
Equity securities	212			1			—			2		(4		)	—			(4		)	29			(8		)	228			(3		)
Non-U.S. sovereign debt	401			13			(44		)	7		—			—			—			8			(17		)	368			13
Mortgage trading loans, ABS and other MBS	1,372			42			—			192		(256		)	—			(38		)	256			(45		)	1,523			32
Total trading account assets	3,701			19			(45		)	282		(335		)	—			(116		)	438			(187		)	3,757			(25		)
Net derivative assets ⁽⁴⁾	(1,138		)	(239		)	—			195		(591		)	—			175			(4		)	14			(1,588		)	(251		)
AFS debt securities:
Non-agency residential MBS	—			8			(14		)	—		—			—			—			459			—			453			—
Non-U.S. securities	23			—			(1		)	—		(10		)	—			(12		)	3			—			3			—
Other taxable securities	43			1			(2		)	—		—			—			(3		)	60			—			99			—
Tax-exempt securities	—			—			—			—		—			—			—			1			—			1			—
Total AFS debt securities	66			9			(17		)	—		(10		)	—			(15		)	523			—			556			—
Other debt securities carried at fair value – Non-agency residential MBS	—			(4		)	—			—		(7		)	—			—			298			—			287			5
Loans and leases ^{(5, 6)}	526			(4		)	—			—		(5		)	—			(24		)	—			—			493			(4		)
Loans held-for-sale ⁽⁵⁾	685			(12		)	(27		)	—		—			—			(37		)	—			(32		)	577			(16		)
Other assets ^{(6, 7)}	3,295			76			—			2		(8		)	23			(169		)	—			(35		)	3,184			8
Trading account liabilities – Corporate securities and other	(26		)	1			—			—		(9		)	(1		)	—			—			—			(35		)	1
Accrued expenses and other liabilities ⁽⁵⁾	(8		)	—			—			—		—			—			8			—			—			—			—
Long-term debt ⁽⁵⁾	(1,351		)	63			2			4		—			(53		)	151			(114		)	73			(1,225		)	66


⁽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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - 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⁾


⁽⁴⁾	Net derivative assets include derivative assets of $4.5 billion and derivative liabilities of $6.1 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 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.

Transfers into Level 3, primarily due to decreased price observability, during the three months ended June 30, 2018 included $438 million of trading account assets, $523 million of AFS debt securities, $298 million of other debt securities carried at fair value and $114 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.

Transfers out of Level 3, primarily due to increased price observability, during the three months ended June 30, 2018 included $187 million of trading account assets.




Level 3 – Fair Value Measurements for the Three Months Ended June 30, 2017 ⁽¹⁾

	Balance April 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 June 30 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	$	2,029		$	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
Loans held-for-sale ⁽⁵⁾	792			42			(9		)	2		(19		)	—			(128		)	100			(14		)	766			26
Other assets ^{(6, 7)}	2,841			2			12			2		1			63			(190		)	64			—			2,795			(71		)
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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - 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⁾


⁽⁴⁾	Net derivative assets 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 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.

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.

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 for the Six Months Ended June 30, 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 June 30 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		$	(28	)	$	(1	)	$	274	$	(211	)	$	—		$	(213	)	$	248		$	(295	)	$	1,638		$	(76	)
Equity securities	235			9			—			8		(11		)	—			(4		)	30			(39		)	228			9
Non-U.S. sovereign debt	556			29			(42		)	7		(50		)	—			(8		)	8			(132		)	368			28
Mortgage trading loans, ABS and other MBS	1,498			141			3			317		(576		)	—			(107		)	350			(103		)	1,523			81
Total trading account assets	4,153			151			(40		)	606		(848		)	—			(332		)	636			(569		)	3,757			42
Net derivative assets ⁽⁴⁾	(1,714		)	256			—			348		(853		)	—			377			67			(69		)	(1,588		)	325
AFS debt securities:
Non-agency residential MBS	—			8			(14		)	—		—			—			—			459			—			453			—
Non-U.S. securities	25			—			(1		)	—		(10		)	—			(14		)	3			—			3			—
Other taxable securities	509			2			(2		)	—		—			—			(10		)	60			(460		)	99			—
Tax-exempt securities	469			—			—			—		—			—			—			1			(469		)	1			—
Total AFS debt securities ⁽⁵⁾	1,003			10			(17		)	—		(10		)	—			(24		)	523			(929		)	556			—
Other debt securities carried at fair value – Non-agency residential MBS	—			(4		)	—			—		(7		)	—			—			298			—			287			5
Loans and leases ^{(6, 7)}	571			(20		)	—			—		(9		)	—			(49		)	—			—			493			(19		)
Loans held-for-sale ⁽⁶⁾	690			12			(27		)	12		—			—			(78		)	—			(32		)	577			5
Other assets ^{(5, 7, 8)}	2,425			268			—			2		(46		)	52			(411		)	929			(35		)	3,184			145
Trading account liabilities – Corporate securities and other	(24		)	2			—			—		(11		)	(2		)	—			—			—			(35		)	1
Accrued expenses and other liabilities ⁽⁶⁾	(8		)	—			—			—		—			—			8			—			—			—			—
Long-term debt ⁽⁶⁾	(1,863		)	86			3			9		—			(120		)	323			(147		)	484			(1,225		)	51


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

⁽²⁾

⁽³⁾


⁽⁴⁾	Net derivative assets include derivative assets of $4.5 billion and derivative liabilities of $6.1 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

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




Level 3 – Fair Value Measurements for the Three Months Ended June 30, 2018 ⁽¹⁾

	Balance April 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 June 30 2018			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	$	1,716		$	(37	)	$	(1	)	$	81	$	(75	)	$	—	$	(74	)	$	145		$	(117	)	$	1,638		$	(67	)
Equity securities	212			1			—			2		(4		)	—		(4		)	29			(8		)	228			(3		)
Non-U.S. sovereign debt	401			13			(44		)	7		—			—		—			8			(17		)	368			13
Mortgage trading loans, ABS and other MBS	1,372			42			—			192		(256		)	—		(38		)	256			(45		)	1,523			32
Total trading account assets	3,701			19			(45		)	282		(335		)	—		(116		)	438			(187		)	3,757			(25		)
Net derivative assets ⁽⁴⁾	(1,138		)	(239		)	—			195		(591		)	—		175			(4		)	14			(1,588		)	(251		)
AFS debt securities:
Non-agency residential MBS	—			8			(14		)	—		—			—		—			459			—			453			—
Non-U.S. securities	23			—			(1		)	—		(10		)	—		(12		)	3			—			3			—
Other taxable securities	43			1			(2		)	—		—			—		(3		)	60			—			99			—
Tax-exempt securities	—			—			—			—		—			—		—