Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.1.9
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2015
Fair Value Disclosures [Abstract]  
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, 2015 and December 31, 2014, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.

 
March 31, 2015
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting
Adjustments (1)
 
Assets/Liabilities
at Fair Value
Assets
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell
$

 
$
60,451

 
$

 
$

 
$
60,451

Trading account assets:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities (2)
34,138

 
16,729

 

 

 
50,867

Corporate securities, trading loans and other
494

 
31,267

 
2,760

 

 
34,521

Equity securities
34,110

 
23,208

 
340

 

 
57,658

Non-U.S. sovereign debt
17,860

 
14,358

 
508

 

 
32,726

Mortgage trading loans and ABS

 
8,982

 
2,106

 

 
11,088

Total trading account assets
86,602

 
94,544

 
5,714

 

 
186,860

Derivative assets (3)
4,764

 
953,847

 
7,450

 
(904,730
)
 
61,331

AFS debt securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
57,422

 
2,094

 

 

 
59,516

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
181,838

 

 

 
181,838

Agency-collateralized mortgage obligations

 
13,961

 

 

 
13,961

Non-agency residential

 
3,624

 
402

 

 
4,026

Commercial

 
3,989

 

 

 
3,989

Non-U.S. securities
2,969

 
2,974

 
9

 

 
5,952

Corporate/Agency bonds

 
365

 

 

 
365

Other taxable securities
20

 
8,868

 
690

 

 
9,578

Tax-exempt securities

 
9,134

 
583

 

 
9,717

Total AFS debt securities
60,411

 
226,847

 
1,684

 

 
288,942

Other debt securities carried at fair value:
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
1,272

 

 

 

 
1,272

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
15,670

 

 

 
15,670

Non-agency residential

 
3,869

 

 

 
3,869

Non-U.S. securities
12,527

 
1,597

 

 

 
14,124

Other taxable securities

 
297

 

 

 
297

Total other debt securities carried at fair value
13,799

 
21,433

 

 

 
35,232

Loans and leases

 
6,512

 
1,954

 

 
8,466

Mortgage servicing rights

 

 
3,394

 

 
3,394

Loans held-for-sale

 
7,147

 
543

 

 
7,690

Other assets
12,296

 
971

 
847

 

 
14,114

Total assets (4)
$
177,872

 
$
1,371,752

 
$
21,586

 
$
(904,730
)
 
$
666,480

Liabilities
 
 
 
 
 
 
 
 
 
Interest-bearing deposits in U.S. offices
$

 
$
1,275

 
$

 
$

 
$
1,275

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
27,129

 

 

 
27,129

Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
19,941

 
141

 

 

 
20,082

Equity securities
25,127

 
3,898

 

 

 
29,025

Non-U.S. sovereign debt
15,504

 
2,259

 

 

 
17,763

Corporate securities and other
212

 
7,668

 
41

 

 
7,921

Total trading account liabilities
60,784

 
13,966

 
41

 

 
74,791

Derivative liabilities (3)
5,121

 
946,351

 
8,531

 
(907,769
)
 
52,234

Short-term borrowings

 
2,878

 
15

 

 
2,893

Accrued expenses and other liabilities
11,602

 
1,052

 
10

 

 
12,664

Long-term debt

 
30,069

 
2,806

 

 
32,875

Total liabilities
$
77,507

 
$
1,022,720

 
$
11,403

 
$
(907,769
)
 
$
203,861


(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $16.5 billion of government-sponsored enterprise obligations.
(3) 
For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
(4) 
During the three months ended March 31, 2015, approximately $327 million of assets were transferred from Level 2 to Level 1 due to a restriction that was lifted for an equity investment.
 
December 31, 2014
 
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
$

 
$
62,182

 
$

 
$

 
$
62,182

Trading account assets:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities (2)
33,470

 
17,549

 

 

 
51,019

Corporate securities, trading loans and other
243

 
31,699

 
3,270

 

 
35,212

Equity securities
33,518

 
22,488

 
352

 

 
56,358

Non-U.S. sovereign debt
20,348

 
15,332

 
574

 

 
36,254

Mortgage trading loans and ABS

 
10,879

 
2,063

 

 
12,942

Total trading account assets
87,579

 
97,947

 
6,259

 

 
191,785

Derivative assets (3)
4,957

 
972,977

 
6,851

 
(932,103
)
 
52,682

AFS debt securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
67,413

 
2,182

 

 

 
69,595

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
165,039

 

 

 
165,039

Agency-collateralized mortgage obligations

 
14,248

 

 

 
14,248

Non-agency residential

 
4,175

 
279

 

 
4,454

Commercial

 
4,000

 

 

 
4,000

Non-U.S. securities
3,191

 
3,029

 
10

 

 
6,230

Corporate/Agency bonds

 
368

 

 

 
368

Other taxable securities
20

 
9,104

 
1,667

 

 
10,791

Tax-exempt securities

 
8,950

 
599

 

 
9,549

Total AFS debt securities
70,624

 
211,095

 
2,555

 

 
284,274

Other debt securities carried at fair value:
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
1,541

 

 

 

 
1,541

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
15,704

 

 

 
15,704

Non-agency residential

 
3,745

 

 

 
3,745

Non-U.S. securities
13,270

 
1,862

 

 

 
15,132

Other taxable securities

 
299

 

 

 
299

Total other debt securities carried at fair value
14,811

 
21,610

 

 

 
36,421

Loans and leases

 
6,698

 
1,983

 

 
8,681

Mortgage servicing rights

 

 
3,530

 

 
3,530

Loans held-for-sale

 
6,628

 
173

 

 
6,801

Other assets
11,581

 
1,381

 
911

 

 
13,873

Total assets (4)
$
189,552

 
$
1,380,518

 
$
22,262

 
$
(932,103
)
 
$
660,229

Liabilities
 
 
 
 
 
 
 
 
 
Interest-bearing deposits in U.S. offices
$

 
$
1,469

 
$

 
$

 
$
1,469

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
35,357

 

 

 
35,357

Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
18,514

 
446

 

 

 
18,960

Equity securities
24,679

 
3,670

 

 

 
28,349

Non-U.S. sovereign debt
16,089

 
3,625

 

 

 
19,714

Corporate securities and other
189

 
6,944

 
36

 

 
7,169

Total trading account liabilities
59,471

 
14,685

 
36

 

 
74,192

Derivative liabilities (3)
4,493

 
969,502

 
7,771

 
(934,857
)
 
46,909

Short-term borrowings

 
2,697

 

 

 
2,697

Accrued expenses and other liabilities
10,795

 
1,250

 
10

 

 
12,055

Long-term debt

 
34,042

 
2,362

 

 
36,404

Total liabilities (4)
$
74,759

 
$
1,059,002

 
$
10,179

 
$
(934,857
)
 
$
209,083


(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $17.2 billion of government-sponsored enterprise obligations.
(3) 
For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
(4) 
During 2014, the Corporation reclassified certain assets and liabilities within its fair value hierarchy based on a review of its inputs used to measure fair value. Accordingly, approximately $4.1 billion of assets related to U.S. government and agency securities, non-U.S. government securities and equity derivatives, and $570 million of liabilities related to equity derivatives were transferred from Level 1 to Level 2.
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, 2015 and 2014, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.

Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2015
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2015
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI (2)
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance March 31
2015
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
3,270

$
(21
)
$

$
139

$
(95
)
$

$
(435
)
$
171

$
(269
)
$
2,760

Equity securities
352

3



(1
)

(5
)
9

(18
)
340

Non-U.S. sovereign debt
574

85

(109
)
2



(44
)


508

Mortgage trading loans and ABS
2,063

60


319

(249
)

(83
)
9

(13
)
2,106

Total trading account assets
6,259

127

(109
)
460

(345
)

(567
)
189

(300
)
5,714

Net derivative assets (3)
(920
)
(44
)

56

(176
)

25

(46
)
24

(1,081
)
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Non-agency residential MBS
279

(19
)
(2
)
21



(9
)
132


402

Non-U.S. securities
10






(1
)


9

Other taxable securities
1,667


(2
)



(42
)

(933
)
690

Tax-exempt securities
599


(3
)



(13
)


583

Total AFS debt securities
2,555

(19
)
(7
)
21



(65
)
132

(933
)
1,684

Loans and leases (4, 5)
1,983

15



(1
)

(43
)
6

(6
)
1,954

Mortgage servicing rights (5)
3,530

(85
)



179

(230
)


3,394

Loans held-for-sale (4)
173

(70
)

406

(82
)
21

(6
)
138

(37
)
543

Other assets (6)
911

10



(31
)

(9
)

(34
)
847

Trading account liabilities – Corporate securities and other
(36
)
1


2

(8
)




(41
)
Short-term borrowings (4)

5




(21
)
1

(4
)
4

(15
)
Accrued expenses and other liabilities
(10
)








(10
)
Long-term debt (4)
(2,362
)
4


132


(90
)
97

(713
)
126

(2,806
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes unrealized gains (losses) on AFS debt securities and foreign currency translation adjustments.
(3) 
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $8.5 billion.
(4) 
Amounts represent instruments that are accounted for under the fair value option.
(5) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.
(6) 
Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.

Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2014
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2014
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance March 31
2014
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
3,559

$
122

$

$
286

$
(354
)
$

$
(238
)
$
148

$
(906
)
$
2,617

Equity securities
386

19


30

(29
)


7

(70
)
343

Non-U.S. sovereign debt
468

55


23

(6
)

(6
)

(1
)
533

Mortgage trading loans and ABS
4,631

78


366

(552
)

(224
)

(12
)
4,287

Total trading account assets
9,044

274


705

(941
)

(468
)
155

(989
)
7,780

Net derivative assets (2)
(224
)
14


125

(691
)

(101
)
12

26

(839
)
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Non-U.S securities
107






(107
)



Other taxable securities
3,847

8

(2
)
47



(463
)


3,437

Tax-exempt securities
806

1

1




(25
)


783

Total AFS debt securities
4,760

9

(1
)
47



(595
)


4,220

Loans and leases (3, 4)
3,057

32



(3
)
689

(723
)
6

(5
)
3,053

Mortgage servicing rights (4)
5,042

(290
)


(20
)
265

(232
)


4,765

Loans held-for-sale (3)
929

12



(3
)

(201
)

(1
)
736

Other assets (5)
1,669

(60
)


(269
)

(208
)


1,132

Trading account liabilities – Corporate securities and other
(35
)
1


3

(7
)



2

(36
)
Accrued expenses and other liabilities
(10
)
1







1

(8
)
Long-term debt (3)
(1,990
)
(67
)

46


(9
)
119

(144
)
204

(1,841
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.7 billion.
(3) 
Amounts represent instruments that are accounted for under the fair value option.
(4) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.
(5) 
Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.

Fair Value, Liabilities 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, 2015 and 2014, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.

Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2015
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2015
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI (2)
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance March 31
2015
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
3,270

$
(21
)
$

$
139

$
(95
)
$

$
(435
)
$
171

$
(269
)
$
2,760

Equity securities
352

3



(1
)

(5
)
9

(18
)
340

Non-U.S. sovereign debt
574

85

(109
)
2



(44
)


508

Mortgage trading loans and ABS
2,063

60


319

(249
)

(83
)
9

(13
)
2,106

Total trading account assets
6,259

127

(109
)
460

(345
)

(567
)
189

(300
)
5,714

Net derivative assets (3)
(920
)
(44
)

56

(176
)

25

(46
)
24

(1,081
)
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Non-agency residential MBS
279

(19
)
(2
)
21



(9
)
132


402

Non-U.S. securities
10






(1
)


9

Other taxable securities
1,667


(2
)



(42
)

(933
)
690

Tax-exempt securities
599


(3
)



(13
)


583

Total AFS debt securities
2,555

(19
)
(7
)
21



(65
)
132

(933
)
1,684

Loans and leases (4, 5)
1,983

15



(1
)

(43
)
6

(6
)
1,954

Mortgage servicing rights (5)
3,530

(85
)



179

(230
)


3,394

Loans held-for-sale (4)
173

(70
)

406

(82
)
21

(6
)
138

(37
)
543

Other assets (6)
911

10



(31
)

(9
)

(34
)
847

Trading account liabilities – Corporate securities and other
(36
)
1


2

(8
)




(41
)
Short-term borrowings (4)

5




(21
)
1

(4
)
4

(15
)
Accrued expenses and other liabilities
(10
)








(10
)
Long-term debt (4)
(2,362
)
4


132


(90
)
97

(713
)
126

(2,806
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes unrealized gains (losses) on AFS debt securities and foreign currency translation adjustments.
(3) 
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $8.5 billion.
(4) 
Amounts represent instruments that are accounted for under the fair value option.
(5) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.
(6) 
Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.
Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2014
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2014
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance March 31
2014
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
3,559

$
122

$

$
286

$
(354
)
$

$
(238
)
$
148

$
(906
)
$
2,617

Equity securities
386

19


30

(29
)


7

(70
)
343

Non-U.S. sovereign debt
468

55


23

(6
)

(6
)

(1
)
533

Mortgage trading loans and ABS
4,631

78


366

(552
)

(224
)

(12
)
4,287

Total trading account assets
9,044

274


705

(941
)

(468
)
155

(989
)
7,780

Net derivative assets (2)
(224
)
14


125

(691
)

(101
)
12

26

(839
)
AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Non-U.S securities
107






(107
)



Other taxable securities
3,847

8

(2
)
47



(463
)


3,437

Tax-exempt securities
806

1

1




(25
)


783

Total AFS debt securities
4,760

9

(1
)
47



(595
)


4,220

Loans and leases (3, 4)
3,057

32



(3
)
689

(723
)
6

(5
)
3,053

Mortgage servicing rights (4)
5,042

(290
)


(20
)
265

(232
)


4,765

Loans held-for-sale (3)
929

12



(3
)

(201
)

(1
)
736

Other assets (5)
1,669

(60
)


(269
)

(208
)


1,132

Trading account liabilities – Corporate securities and other
(35
)
1


3

(7
)



2

(36
)
Accrued expenses and other liabilities
(10
)
1







1

(8
)
Long-term debt (3)
(1,990
)
(67
)

46


(9
)
119

(144
)
204

(1,841
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.7 billion.
(3) 
Amounts represent instruments that are accounted for under the fair value option.
(4) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.
(5) 
Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.

Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings
The table below summarizes gains (losses) due to changes in fair value, including both realized and unrealized gains (losses), recorded in earnings for Level 3 assets and liabilities during the three months ended March 31, 2015 and 2014. These amounts include gains (losses) on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.

Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
 
Three Months Ended March 31, 2015
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss) (1)
 
Other (2)
 
Total
Trading account assets:
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
(21
)
 
$

 
$

 
$
(21
)
Equity securities
3

 

 

 
3

Non-U.S. sovereign debt
85

 

 

 
85

Mortgage trading loans and ABS
60

 

 

 
60

Total trading account assets
127

 

 

 
127

Net derivative assets
(351
)
 
282

 
25

 
(44
)
AFS debt securities – Non-agency residential MBS

 

 
(19
)
 
(19
)
Loans and leases (3)
3

 

 
12

 
15

Mortgage servicing rights
(15
)
 
(70
)
 

 
(85
)
Loans held-for-sale (3)
(69
)
 

 
(1
)
 
(70
)
Other assets

 
(21
)
 
31

 
10

Trading account liabilities – Corporate securities and other
1

 

 

 
1

Short-term borrowings (3)
5

 

 

 
5

Long-term debt (3)
58

 

 
(54
)
 
4

Total
$
(241
)
 
$
191

 
$
(6
)
 
$
(56
)
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2014
Trading account assets:
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
122

 
$

 
$

 
$
122

Equity securities
19

 

 

 
19

Non-U.S. sovereign debt
55

 

 

 
55

Mortgage trading loans and ABS
78

 

 

 
78

Total trading account assets
274

 

 

 
274

Net derivative assets
(168
)
 
173

 
9

 
14

AFS debt securities:
 
 
 
 
 
 
 
Other taxable securities

 

 
8

 
8

Tax-exempt securities

 

 
1

 
1

Total AFS debt securities

 

 
9

 
9

Loans and leases (3)

 

 
32

 
32

Mortgage servicing rights
(5
)
 
(285
)
 

 
(290
)
Loans held-for-sale (3)

 

 
12

 
12

Other assets

 
(36
)
 
(24
)
 
(60
)
Trading account liabilities – Corporate securities and other
1

 

 

 
1

Accrued expenses and other liabilities

 

 
1

 
1

Long-term debt (3)
(53
)
 

 
(14
)
 
(67
)
Total
$
49

 
$
(148
)
 
$
25

 
$
(74
)
(1) 
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
(2) 
Amounts included are primarily recorded in other income (loss). Equity investment gains of $20 million and losses of $14 million recorded on net derivative assets and other assets were also included for the three months ended March 31, 2015 and 2014.
(3) 
Amounts represent instruments that are accounted for under the fair value option.
 
 
 
 
 
 
 
 
Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
The table below summarizes changes in unrealized gains (losses) recorded in earnings during the three months ended March 31, 2015 and 2014 for Level 3 assets and liabilities that were still held at March 31, 2015 and 2014. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.

Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
 
Three Months Ended March 31, 2015
(Dollars in millions)
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss) (1)
 
Other (2)
 
Total
Trading account assets:
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
(58
)
 
$

 
$

 
$
(58
)
Equity securities
(2
)
 

 

 
(2
)
Non-U.S. sovereign debt
63

 

 

 
63

Mortgage trading loans and ABS
(9
)
 

 

 
(9
)
Total trading account assets
(6
)
 

 

 
(6
)
Net derivative assets
(363
)
 
101

 
25

 
(237
)
Loans and leases (3)
3

 

 
26

 
29

Mortgage servicing rights
(15
)
 
(173
)
 

 
(188
)
Loans held-for-sale (3)
(64
)
 

 
(1
)
 
(65
)
Other assets

 
(16
)
 
54

 
38

Trading account liabilities – Corporate securities and other
1

 

 

 
1

Short-term borrowings (3)
5

 

 

 
5

Long-term debt (3)
50

 

 
(54
)
 
(4
)
Total
$
(389
)
 
$
(88
)
 
$
50

 
$
(427
)
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2014
Trading account assets:
 
 
 
 
 
 
 
Corporate securities, trading loans and other
$
111

 
$

 
$

 
$
111

Equity securities
17

 

 

 
17

Non-U.S. sovereign debt
55

 

 

 
55

Mortgage trading loans and ABS
16

 

 

 
16

Total trading account assets
199

 

 

 
199

Net derivative assets
(212
)
 
44

 
9

 
(159
)
Loans and leases (3)

 

 
28

 
28

Mortgage servicing rights
(5
)
 
(468
)
 

 
(473
)
Loans held-for-sale (3)

 

 
4

 
4

Other assets

 
(28
)
 
6

 
(22
)
Trading account liabilities – Corporate securities and other
1

 

 

 
1

Accrued expenses and other liabilities

 

 
1

 
1

Long-term debt (3)
(53
)
 

 
(14
)
 
(67
)
Total
$
(70
)
 
$
(452
)
 
$
34

 
$
(488
)
(1) 
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
(2) 
Amounts included are primarily recorded in other income (loss). Equity investment gains of $22 million and $18 million recorded on net derivative assets and other assets were also included for the three months ended March 31, 2015 and 2014.
(3) 
Amounts represent instruments that are accounted for under the fair value option.
 
 
 
 
 
 
 
 
Fair Value Inputs, Assets, Quantitative Information
The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at March 31, 2015 and December 31, 2014.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2015
 
(Dollars in millions)
 
 
Inputs
Financial Instrument
Fair Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average
Loans and Securities (1)
 
 
 
 
 
Instruments backed by residential real estate assets
$
2,386

Discounted cash flow, Market comparables
Yield
0% to 25%
6
 %
Trading account assets – Mortgage trading loans and ABS
402

Prepayment speed
0% to 39% CPR
16
 %
Loans and leases
1,441

Default rate
0% to 14% CDR
6
 %
Loans held-for-sale
543

Loss severity
24% to 100%
34
 %
Commercial loans, debt securities and other
$
5,902

Discounted cash flow, Market comparables
Yield
0% to 40%
10
 %
Trading account assets – Corporate securities, trading loans and other
2,691

Prepayment speed
0% to 30%
15
 %
Trading account assets – Non-U.S. sovereign debt
508

Default rate
0% to 5%
4
 %
Trading account assets – Mortgage trading loans and ABS
1,704

Loss severity
25% to 50%
38
 %
AFS debt securities – Other taxable securities
486

Duration
0 years to 5 years
4 years

Loans and leases
513

Price
$0 to $135
$69
Auction rate securities
$
856

Discounted cash flow, Market comparables
Price
$54 to $100
$94
Trading account assets – Corporate securities, trading loans and other
69

 
 
 
AFS debt securities – Other taxable securities
204

 
 
 
AFS debt securities – Tax-exempt securities
583

 
 
 
Structured liabilities
 
 
 
 
 
Long-term debt
$
(2,806
)
Industry standard derivative pricing (2, 3)
Equity correlation
20% to 98%
66
 %
 
 
Long-dated equity volatilities
4% to 85%
25
 %
 
 
Long-dated volatilities (IR)
0% to 2%
1
 %
Net derivative assets
 
 
 
 
 
Credit derivatives
$
(85
)
Discounted cash flow, Stochastic recovery correlation model
Yield
0% to 25%
14
 %
 
 
Upfront points
0 points to 100 points
66 points

 
 
Spread to index
25 bps to 450 bps
118 bps

 
 
Credit correlation
24% to 99%
49
 %
 
 
Prepayment speed
3% to 20% CPR
11
 %
 
 
Default rate
4% CDR
n/a

 
 
Loss severity
20% to 35%
35
 %
Equity derivatives
$
(1,773
)
Industry standard derivative pricing (2)
Equity correlation
20% to 98%
66
%
 
 
Long-dated equity volatilities
4% to 85%
25
%
Commodity derivatives
$
136

Discounted cash flow, Industry standard derivative pricing (2)
Natural gas forward price
$2/MMBtu to $7/MMBtu
$5/MMBtu

 
 
Correlation
66% to 93%
87
 %
 
 
Volatilities
17% to 131%
38
 %
Interest rate derivatives
$
641

Industry standard derivative pricing (3)
Correlation (IR/IR)
21% to 99%
50
 %
 
 
Correlation (FX/IR)
-30% to 40%
-4
 %
 
 
Long-dated inflation rates
0% to 3%
2
 %
 
 
Long-dated inflation volatilities
0% to 2%
1
 %
Total net derivative assets
$
(1,081
)
 
 
 
 

(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 194: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $508 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $690 million, AFS debt securities – Tax-exempt securities of $583 million, Loans and leases of $2.0 billion and LHFS of $543 million.
(2) 
Includes models such as Monte Carlo simulation and Black-Scholes.
(3) 
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014
 
(Dollars in millions)
 
 
Inputs
Financial Instrument
Fair Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average
Loans and Securities (1)
 
 
 
 
 
Instruments backed by residential real estate assets
$
2,030

Discounted cash flow, Market comparables
Yield
0% to 25%

6
 %
Trading account assets – Mortgage trading loans and ABS
483

Prepayment speed
0% to 35% CPR

14
 %
Loans and leases
1,374

Default rate
2% to 15% CDR

7
 %
Loans held-for-sale
173

Loss severity
26% to 100%

34
 %
Commercial loans, debt securities and other
$
7,203

Discounted cash flow, Market comparables
Yield
0% to 40%

9
 %
Trading account assets – Corporate securities, trading loans and other
3,224

Enterprise value/EBITDA multiple
0x to 30x

6x

Trading account assets – Non-U.S. sovereign debt
574

Prepayment speed
1% to 30%

12
 %
Trading account assets – Mortgage trading loans and ABS
1,580

Default rate
1% to 5%

4
 %
AFS debt securities – Other taxable securities
1,216

Loss severity
25% to 40%

38
 %
Loans and leases
609

Duration
0 years to 5 years

3 years

 
 
Price
$0 to $107

$76
Auction rate securities
$
1,096

Discounted cash flow, Market comparables
Price
$60 to $100

$95
Trading account assets – Corporate securities, trading loans and other
46

 
 
 
AFS debt securities – Other taxable securities
451

 
 
 
AFS debt securities – Tax-exempt securities
599

 
 
 
Structured liabilities
 
 
 
 
 
Long-term debt 
$
(2,362
)
Industry standard derivative pricing (2, 3)
Equity correlation
20% to 98%

65
 %
 
 
Long-dated equity volatilities
6% to 69%

24
 %
 
 
Long-dated volatilities (IR)
0% to 2%

1
 %
Net derivative assets
 
 
 
 
 
Credit derivatives
$
22

Discounted cash flow, Stochastic recovery correlation model
Yield
0% to 25%

14
 %
 
 
Upfront points
0 points to 100 points

65 points

 
 
Spread to index
25 bps to 450 bps

119 bps

 
 
Credit correlation
24% to 99%

51
 %
 
 
Prepayment speed
3% to 20% CPR

11
 %
 
 
Default rate
4% CDR

n/a

 
 
Loss severity
35
%
n/a

Equity derivatives
$
(1,560
)
Industry standard derivative pricing (2)
Equity correlation
20% to 98%

65
 %
 
 
Long-dated equity volatilities
6% to 69%

24
 %
Commodity derivatives
$
141

Discounted cash flow, Industry standard derivative pricing (2)
Natural gas forward price
$2/MMBtu to $7/MMBtu

$5/MMBtu

 
 
Correlation
82% to 93%

90
 %
 
 
Volatilities
16% to 98%

35
 %
Interest rate derivatives
$
477

Industry standard derivative pricing (3)
Correlation (IR/IR)
11% to 99%

55
 %
 
 
Correlation (FX/IR)
-48% to 40%

-5
 %
 
 
Long-dated inflation rates
0% to 3%

1
 %
 
 
Long-dated inflation volatilities
0% to 2%

1
 %
Total net derivative assets
$
(920
)
 
 
 
 

(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 195: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $574 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $1.7 billion, AFS debt securities – Tax-exempt securities of $599 million, Loans and leases of $2.0 billion and LHFS of $173 million.
(2) 
Includes models such as Monte Carlo simulation and Black-Scholes.
(3) 
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
EBITDA = Earnings before interest, taxes, depreciation and amortization
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable


Fair Value Inputs, Liabilities, 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, 2015 and December 31, 2014.

Quantitative Information about Level 3 Fair Value Measurements at March 31, 2015
 
(Dollars in millions)
 
 
Inputs
Financial Instrument
Fair Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average
Loans and Securities (1)
 
 
 
 
 
Instruments backed by residential real estate assets
$
2,386

Discounted cash flow, Market comparables
Yield
0% to 25%
6
 %
Trading account assets – Mortgage trading loans and ABS
402

Prepayment speed
0% to 39% CPR
16
 %
Loans and leases
1,441

Default rate
0% to 14% CDR
6
 %
Loans held-for-sale
543

Loss severity
24% to 100%
34
 %
Commercial loans, debt securities and other
$
5,902

Discounted cash flow, Market comparables
Yield
0% to 40%
10
 %
Trading account assets – Corporate securities, trading loans and other
2,691

Prepayment speed
0% to 30%
15
 %
Trading account assets – Non-U.S. sovereign debt
508

Default rate
0% to 5%
4
 %
Trading account assets – Mortgage trading loans and ABS
1,704

Loss severity
25% to 50%
38
 %
AFS debt securities – Other taxable securities
486

Duration
0 years to 5 years
4 years

Loans and leases
513

Price
$0 to $135
$69
Auction rate securities
$
856

Discounted cash flow, Market comparables
Price
$54 to $100
$94
Trading account assets – Corporate securities, trading loans and other
69

 
 
 
AFS debt securities – Other taxable securities
204

 
 
 
AFS debt securities – Tax-exempt securities
583

 
 
 
Structured liabilities
 
 
 
 
 
Long-term debt
$
(2,806
)
Industry standard derivative pricing (2, 3)
Equity correlation
20% to 98%
66
 %
 
 
Long-dated equity volatilities
4% to 85%
25
 %
 
 
Long-dated volatilities (IR)
0% to 2%
1
 %
Net derivative assets
 
 
 
 
 
Credit derivatives
$
(85
)
Discounted cash flow, Stochastic recovery correlation model
Yield
0% to 25%
14
 %
 
 
Upfront points
0 points to 100 points
66 points

 
 
Spread to index
25 bps to 450 bps
118 bps

 
 
Credit correlation
24% to 99%
49
 %
 
 
Prepayment speed
3% to 20% CPR
11
 %
 
 
Default rate
4% CDR
n/a

 
 
Loss severity
20% to 35%
35
 %
Equity derivatives
$
(1,773
)
Industry standard derivative pricing (2)
Equity correlation
20% to 98%
66
%
 
 
Long-dated equity volatilities
4% to 85%
25
%
Commodity derivatives
$
136

Discounted cash flow, Industry standard derivative pricing (2)
Natural gas forward price
$2/MMBtu to $7/MMBtu
$5/MMBtu

 
 
Correlation
66% to 93%
87
 %
 
 
Volatilities
17% to 131%
38
 %
Interest rate derivatives
$
641

Industry standard derivative pricing (3)
Correlation (IR/IR)
21% to 99%
50
 %
 
 
Correlation (FX/IR)
-30% to 40%
-4
 %
 
 
Long-dated inflation rates
0% to 3%
2
 %
 
 
Long-dated inflation volatilities
0% to 2%
1
 %
Total net derivative assets
$
(1,081
)
 
 
 
 

(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 194: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $508 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $690 million, AFS debt securities – Tax-exempt securities of $583 million, Loans and leases of $2.0 billion and LHFS of $543 million.
(2) 
Includes models such as Monte Carlo simulation and Black-Scholes.
(3) 
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable

Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014
 
(Dollars in millions)
 
 
Inputs
Financial Instrument
Fair Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average
Loans and Securities (1)
 
 
 
 
 
Instruments backed by residential real estate assets
$
2,030

Discounted cash flow, Market comparables
Yield
0% to 25%

6
 %
Trading account assets – Mortgage trading loans and ABS
483

Prepayment speed
0% to 35% CPR

14
 %
Loans and leases
1,374

Default rate
2% to 15% CDR

7
 %
Loans held-for-sale
173

Loss severity
26% to 100%

34
 %
Commercial loans, debt securities and other
$
7,203

Discounted cash flow, Market comparables
Yield
0% to 40%

9
 %
Trading account assets – Corporate securities, trading loans and other
3,224

Enterprise value/EBITDA multiple
0x to 30x

6x

Trading account assets – Non-U.S. sovereign debt
574

Prepayment speed
1% to 30%

12
 %
Trading account assets – Mortgage trading loans and ABS
1,580

Default rate
1% to 5%

4
 %
AFS debt securities – Other taxable securities
1,216

Loss severity
25% to 40%

38
 %
Loans and leases
609

Duration
0 years to 5 years

3 years

 
 
Price
$0 to $107

$76
Auction rate securities
$
1,096

Discounted cash flow, Market comparables
Price
$60 to $100

$95
Trading account assets – Corporate securities, trading loans and other
46

 
 
 
AFS debt securities – Other taxable securities
451

 
 
 
AFS debt securities – Tax-exempt securities
599

 
 
 
Structured liabilities
 
 
 
 
 
Long-term debt 
$
(2,362
)
Industry standard derivative pricing (2, 3)
Equity correlation
20% to 98%

65
 %
 
 
Long-dated equity volatilities
6% to 69%

24
 %
 
 
Long-dated volatilities (IR)
0% to 2%

1
 %
Net derivative assets
 
 
 
 
 
Credit derivatives
$
22

Discounted cash flow, Stochastic recovery correlation model
Yield
0% to 25%

14
 %
 
 
Upfront points
0 points to 100 points

65 points

 
 
Spread to index
25 bps to 450 bps

119 bps

 
 
Credit correlation
24% to 99%

51
 %
 
 
Prepayment speed
3% to 20% CPR

11
 %
 
 
Default rate
4% CDR

n/a

 
 
Loss severity
35
%
n/a

Equity derivatives
$
(1,560
)
Industry standard derivative pricing (2)
Equity correlation
20% to 98%

65
 %
 
 
Long-dated equity volatilities
6% to 69%

24
 %
Commodity derivatives
$
141

Discounted cash flow, Industry standard derivative pricing (2)
Natural gas forward price
$2/MMBtu to $7/MMBtu

$5/MMBtu

 
 
Correlation
82% to 93%

90
 %
 
 
Volatilities
16% to 98%

35
 %
Interest rate derivatives
$
477

Industry standard derivative pricing (3)
Correlation (IR/IR)
11% to 99%

55
 %
 
 
Correlation (FX/IR)
-48% to 40%

-5
 %
 
 
Long-dated inflation rates
0% to 3%

1
 %
 
 
Long-dated inflation volatilities
0% to 2%

1
 %
Total net derivative assets
$
(920
)
 
 
 
 

(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 195: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $574 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $1.7 billion, AFS debt securities – Tax-exempt securities of $599 million, Loans and leases of $2.0 billion and LHFS of $173 million.
(2) 
Includes models such as Monte Carlo simulation and Black-Scholes.
(3) 
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
EBITDA = Earnings before interest, taxes, depreciation and amortization
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Assets and Liabilities Measured at Fair Value on Nonrecurring Basis
The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2015 and 2014.

Assets Measured at Fair Value on a Nonrecurring Basis
 
March 31, 2015
 
Three Months Ended March 31, 2015
(Dollars in millions)
Level 2
 
Level 3
 
Gains (Losses)
Assets
 
 
 
 
 
Loans held-for-sale
$
565

 
$
22

 
$
(33
)
Loans and leases
5

 
1,167

 
(231
)
Foreclosed properties (1, 2)

 
400

 
(15
)
Other assets
200

 

 
(1
)
 
 
 
 
 
 
 
March 31, 2014
 
Three Months Ended March 31, 2014
Assets
 
 
 
 
 
Loans held-for-sale
$
4,325

 
$
104

 
$
(3
)
Loans and leases
17

 
1,733

 
(330
)
Foreclosed properties (1, 2)
4

 
268

 
(14
)
Other assets
77

 

 


(1) 
Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties.
(2) 
Excludes $1.2 billion and $1.1 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of March 31, 2015 and 2014.

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques
The table below presents information about significant unobservable inputs related to the Corporation's nonrecurring Level 3 financial assets and liabilities at March 31, 2015 and December 31, 2014.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
 
 
March 31, 2015
(Dollars in millions)
 
 
Inputs
Financial Instrument
Fair Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average
Instruments backed by residential real estate assets
$
1,167

Market comparables
OREO discount
0% to 26%
10
%
Loans and leases
1,167

Cost to sell
7% to 16%
7
%
 
December 31, 2014
Instruments backed by residential real estate assets
$
4,636

Market comparables
OREO discount
0% to 28%
8
%
Loans and leases
4,636

Cost to sell
7% to 14%
8
%