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, 2015

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, 2015 and December 31, 2014, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	June 30, 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	$	—	$	70,791	$	—	$	—		$	70,791
Trading account assets:
U.S. government and agency securities ⁽²⁾	34,155		16,890		—		—			51,045
Corporate securities, trading loans and other	286		28,868		3,326		—			32,480
Equity securities	40,558		21,789		386		—			62,733
Non-U.S. sovereign debt	17,647		13,302		468		—			31,417
Mortgage trading loans and ABS	—		9,272		2,159		—			11,431
Total trading account assets	92,646		90,121		6,339		—			189,106
Derivative assets ⁽³⁾	5,190		710,196		6,489		(670,898		)	50,977
AFS debt securities:
U.S. Treasury and agency securities	56,346		1,998		—		—			58,344
Mortgage-backed securities:
Agency	—		188,260		—		—			188,260
Agency-collateralized mortgage obligations	—		12,931		—		—			12,931
Non-agency residential	—		3,652		234		—			3,886
Commercial	—		5,110		—		—			5,110
Non-U.S. securities	3,211		2,925		9		—			6,145
Corporate/Agency bonds	—		257		—		—			257
Other taxable securities	20		9,706		677		—			10,403
Tax-exempt securities	—		10,217		584		—			10,801
Total AFS debt securities	59,577		235,056		1,504		—			296,137
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency	—		14,885		—		—			14,885
Agency-collateralized mortgage obligations	—		9		—		—			9
Non-agency residential	—		3,753		34		—			3,787
Non-U.S. securities	15,533		1,665		—		—			17,198
Other taxable securities	—		291		—		—			291
Total other debt securities carried at fair value	15,533		20,603		34		—			36,170
Loans and leases	—		5,659		1,970		—			7,629
Mortgage servicing rights	—		—		3,521		—			3,521
Loans held-for-sale	—		4,264		660		—			4,924
Other assets	12,943		846		756		—			14,545
Total assets ⁽⁴⁾	$	185,889	$	1,137,536	$	21,273	$	(670,898	)	$	673,800
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,215	$	—	$	—		$	1,215
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		31,649		368		—			32,017
Trading account liabilities:
U.S. government and agency securities	16,863		148		—		—			17,011
Equity securities	25,494		2,349		—		—			27,843
Non-U.S. sovereign debt	17,193		2,120		—		—			19,313
Corporate securities and other	248		8,124		57		—			8,429
Total trading account liabilities	59,798		12,741		57		—			72,596
Derivative liabilities ⁽³⁾	5,225		709,114		6,840		(677,596		)	43,583
Short-term borrowings	—		1,841		—		—			1,841
Accrued expenses and other liabilities	12,115		1,000		9		—			13,124
Long-term debt	—		30,204		2,716		—			32,920
Total liabilities	$	77,138	$	787,764	$	9,990	$	(677,596	)	$	197,296


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


⁽²⁾	Includes $16.4 billion of government-sponsored enterprise obligations.


⁽³⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.


⁽⁴⁾	During the six months ended June 30, 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



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	34		$	—		$	477	$	(438	)	$	—		$	(649	)	$	983		$	(351	)	$	3,326
Equity securities	352			14			—			16		(3		)	—			(5		)	31			(19		)	386
Non-U.S. sovereign debt	574			82			(78		)	27		—			—			(110		)	—			(27		)	468
Mortgage trading loans and ABS	2,063			161			—			809		(627		)	—			(244		)	10			(13		)	2,159
Total trading account assets	6,259			291			(78		)	1,329		(1,068		)	—			(1,008		)	1,024			(410		)	6,339
Net derivative assets ⁽³⁾	(920		)	566			—			113		(393		)	—			221			(60		)	122			(351		)
AFS debt securities:
Non-agency residential MBS	279			(12		)	7			62		—			—			(234		)	132			—			234
Non-U.S. securities	10			—			—			—		—			—			(1		)	—			—			9
Other taxable securities	1,667			—			—			6		—			—			(63		)	—			(933		)	677
Tax-exempt securities	599			—			(1		)	—		—			—			(14		)	—			—			584
Total AFS debt securities	2,555			(12		)	6			68		—			—			(312		)	132			(933		)	1,504
Other debt securities carried at fair value – Non-agency residential MBS	—			1			—			33		—			—			—			—			—			34
Loans and leases ^{(4, 5)}	1,983			5			—			—		(2		)	—			(120		)	118			(14		)	1,970
Mortgage servicing rights ⁽⁵⁾	3,530			373			—			—		(312		)	383			(453		)	—			—			3,521
Loans held-for-sale ⁽⁴⁾	173			(48		)	—			491		(95		)	33			(6		)	177			(65		)	660
Other assets ⁽⁶⁾	911			(4		)	—			9		(118		)	—			(15		)	8			(35		)	756
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—			—		—			(28		)	—			(326		)	—			(368		)
Trading account liabilities – Corporate securities and other	(36		)	3			—			33		(57		)	—			—			—			—			(57		)
Short-term borrowings ⁽⁴⁾	—			5			—			—		—			(21		)	1			(4		)	19			—
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	70			—			177		—			(139		)	160			(1,116		)	494			(2,716		)


⁽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 $6.5 billion and derivative liabilities of $6.8 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2014
										Gross
(Dollars in millions)	Balance April 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 June 30 2014
Trading account assets:
Corporate securities, trading loans and other	$	2,617		$	41		$	—		$	392	$	(87	)	$	—		$	(271	)	$	249		$	(169	)	$	2,772
Equity securities	343			(7		)	—			16		(4		)	—			—			9			(1		)	356
Non-U.S. sovereign debt	533			32			—			76		—			—			—			—			(1		)	640
Mortgage trading loans and ABS	4,287			123			—			453		(262		)	—			(237		)	—			(53		)	4,311
Total trading account assets	7,780			189			—			937		(353		)	—			(508		)	258			(224		)	8,079
Net derivative assets ⁽²⁾	(839		)	(177		)	—			189		(366		)	—			(145		)	29			274			(1,035		)
AFS debt securities:
Other taxable securities	3,437			—			(3		)	86		—			—			(254		)	—			—			3,266
Tax-exempt securities	783			2			3			—		—			—			(54		)	1			—			735
Total AFS debt securities	4,220			2			—			86		—			—			(308		)	1			—			4,001
Loans and leases ^{(3, 4)}	3,053			27			—			—		—			—			(58		)	7			(11		)	3,018
Mortgage servicing rights ⁽⁴⁾	4,765			(249		)	—			—		(26		)	113			(235		)	—			—			4,368
Loans held-for-sale ⁽³⁾	736			59			—			24		(711		)	—			(11		)	14			(1		)	110
Other assets ⁽⁵⁾	1,132			(26		)	—			—		(112		)	—			(22		)	—			—			972
Trading account liabilities – Corporate securities and other	(36		)	—			—			9		—			—			—			—			—			(27		)
Accrued expenses and other liabilities	(8		)	—			—			—		—			—			—			—			—			(8		)
Long-term debt ⁽³⁾	(1,841		)	(52		)	—			57		—			(42		)	117			(676		)	21			(2,416		)


⁽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 $7.1 billion and derivative liabilities of $8.2 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.

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, 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 June 30, 2015
									Gross
(Dollars in millions)	Balance April 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 June 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	2,760		$	55		$	—	$	338	$	(343	)	$	—		$	(214	)	$	812		$	(82	)	$	3,326
Equity securities	340			11			—		16		(2		)	—			—			22			(1		)	386
Non-U.S. sovereign debt	508			16			12		25		—			—			(66		)	—			(27		)	468
Mortgage trading loans and ABS	2,106			101			—		490		(378		)	—			(161		)	1			—			2,159
Total trading account assets	5,714			183			12		869		(723		)	—			(441		)	835			(110		)	6,339
Net derivative assets ⁽³⁾	(1,081		)	610			—		57		(217		)	—			196			(14		)	98			(351		)
AFS debt securities:
Non-agency residential MBS	402			7			9		41		—			—			(225		)	—			—			234
Non-U.S. securities	9			—			—		—		—			—			—			—			—			9
Other taxable securities	690			—			2		6		—			—			(21		)	—			—			677
Tax-exempt securities	583			—			2		—		—			—			(1		)	—			—			584
Total AFS debt securities	1,684			7			13		47		—			—			(247		)	—			—			1,504
Other debt securities carried at fair value – Non-agency residential MBS	—			1			—		33		—			—			—			—			—			34
Loans and leases ^{(4, 5)}	1,954			(10		)	—		—		(1		)	—			(77		)	112			(8		)	1,970
Mortgage servicing rights ⁽⁵⁾	3,394			458			—		—		(312		)	204			(223		)	—			—			3,521
Loans held-for-sale ⁽⁴⁾	543			22			—		85		(13		)	12			—			39			(28		)	660
Other assets ⁽⁶⁾	847			(14		)	—		9		(87		)	—			(6		)	8			(1		)	756
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—		—		—			(28		)	—			(326		)	—			(368		)
Trading account liabilities – Corporate securities and other	(41		)	2			—		31		(49		)	—			—			—			—			(57		)
Short-term borrowings ⁽⁴⁾	(15		)	—			—		—		—			—			—			—			15			—
Accrued expenses and other liabilities	(10		)	1			—		—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,806		)	66			—		45		—			(49		)	63			(403		)	368			(2,716		)


⁽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 $6.5 billion and derivative liabilities of $6.8 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2014
Trading account assets:
Corporate securities, trading loans and other	$	3,559		$	163		$	—		$	678	$	(441	)	$	—		$	(509	)	$	397		$	(1,075	)	$	2,772
Equity securities	386			12			—			46		(33		)	—			—			16			(71		)	356
Non-U.S. sovereign debt	468			87			—			99		(6		)	—			(6		)	—			(2		)	640
Mortgage trading loans and ABS	4,631			201			—			819		(814		)	—			(461		)	—			(65		)	4,311
Total trading account assets	9,044			463			—			1,642		(1,294		)	—			(976		)	413			(1,213		)	8,079
Net derivative assets ⁽²⁾	(224		)	(163		)	—			314		(1,057		)	—			(246		)	41			300			(1,035		)
AFS debt securities:
Non-U.S. securities	107			—			—			—		—			—			(107		)	—			—			—
Other taxable securities	3,847			8			(5		)	133		—			—			(717		)	—			—			3,266
Tax-exempt securities	806			3			4			—		—			—			(79		)	1			—			735
Total AFS debt securities	4,760			11			(1		)	133		—			—			(903		)	1			—			4,001
Loans and leases ^{(3, 4)}	3,057			59			—			—		(3		)	689			(781		)	13			(16		)	3,018
Mortgage servicing rights ⁽⁴⁾	5,042			(539		)	—			—		(46		)	378			(467		)	—			—			4,368
Loans held-for-sale ⁽³⁾	929			71			—			24		(714		)	—			(212		)	14			(2		)	110
Other assets ⁽⁵⁾	1,669			(86		)	—			—		(381		)	—			(230		)	—			—			972
Trading account liabilities – Corporate securities and other	(35		)	1			—			12		(7		)	—			—			—			2			(27		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			1			(8		)
Long-term debt ⁽³⁾	(1,990		)	(119		)	—			103		—			(51		)	236			(820		)	225			(2,416		)


⁽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 $7.1 billion and derivative liabilities of $8.2 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.

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



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2015
									Gross
(Dollars in millions)	Balance April 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 June 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	2,760		$	55		$	—	$	338	$	(343	)	$	—		$	(214	)	$	812		$	(82	)	$	3,326
Equity securities	340			11			—		16		(2		)	—			—			22			(1		)	386
Non-U.S. sovereign debt	508			16			12		25		—			—			(66		)	—			(27		)	468
Mortgage trading loans and ABS	2,106			101			—		490		(378		)	—			(161		)	1			—			2,159
Total trading account assets	5,714			183			12		869		(723		)	—			(441		)	835			(110		)	6,339
Net derivative assets ⁽³⁾	(1,081		)	610			—		57		(217		)	—			196			(14		)	98			(351		)
AFS debt securities:
Non-agency residential MBS	402			7			9		41		—			—			(225		)	—			—			234
Non-U.S. securities	9			—			—		—		—			—			—			—			—			9
Other taxable securities	690			—			2		6		—			—			(21		)	—			—			677
Tax-exempt securities	583			—			2		—		—			—			(1		)	—			—			584
Total AFS debt securities	1,684			7			13		47		—			—			(247		)	—			—			1,504
Other debt securities carried at fair value – Non-agency residential MBS	—			1			—		33		—			—			—			—			—			34
Loans and leases ^{(4, 5)}	1,954			(10		)	—		—		(1		)	—			(77		)	112			(8		)	1,970
Mortgage servicing rights ⁽⁵⁾	3,394			458			—		—		(312		)	204			(223		)	—			—			3,521
Loans held-for-sale ⁽⁴⁾	543			22			—		85		(13		)	12			—			39			(28		)	660
Other assets ⁽⁶⁾	847			(14		)	—		9		(87		)	—			(6		)	8			(1		)	756
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—		—		—			(28		)	—			(326		)	—			(368		)
Trading account liabilities – Corporate securities and other	(41		)	2			—		31		(49		)	—			—			—			—			(57		)
Short-term borrowings ⁽⁴⁾	(15		)	—			—		—		—			—			—			—			15			—
Accrued expenses and other liabilities	(10		)	1			—		—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,806		)	66			—		45		—			(49		)	63			(403		)	368			(2,716		)


⁽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 $6.5 billion and derivative liabilities of $6.8 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2014
										Gross
(Dollars in millions)	Balance April 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 June 30 2014
Trading account assets:
Corporate securities, trading loans and other	$	2,617		$	41		$	—		$	392	$	(87	)	$	—		$	(271	)	$	249		$	(169	)	$	2,772
Equity securities	343			(7		)	—			16		(4		)	—			—			9			(1		)	356
Non-U.S. sovereign debt	533			32			—			76		—			—			—			—			(1		)	640
Mortgage trading loans and ABS	4,287			123			—			453		(262		)	—			(237		)	—			(53		)	4,311
Total trading account assets	7,780			189			—			937		(353		)	—			(508		)	258			(224		)	8,079
Net derivative assets ⁽²⁾	(839		)	(177		)	—			189		(366		)	—			(145		)	29			274			(1,035		)
AFS debt securities:
Other taxable securities	3,437			—			(3		)	86		—			—			(254		)	—			—			3,266
Tax-exempt securities	783			2			3			—		—			—			(54		)	1			—			735
Total AFS debt securities	4,220			2			—			86		—			—			(308		)	1			—			4,001
Loans and leases ^{(3, 4)}	3,053			27			—			—		—			—			(58		)	7			(11		)	3,018
Mortgage servicing rights ⁽⁴⁾	4,765			(249		)	—			—		(26		)	113			(235		)	—			—			4,368
Loans held-for-sale ⁽³⁾	736			59			—			24		(711		)	—			(11		)	14			(1		)	110
Other assets ⁽⁵⁾	1,132			(26		)	—			—		(112		)	—			(22		)	—			—			972
Trading account liabilities – Corporate securities and other	(36		)	—			—			9		—			—			—			—			—			(27		)
Accrued expenses and other liabilities	(8		)	—			—			—		—			—			—			—			—			(8		)
Long-term debt ⁽³⁾	(1,841		)	(52		)	—			57		—			(42		)	117			(676		)	21			(2,416		)


⁽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 $7.1 billion and derivative liabilities of $8.2 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2015
Trading account assets:
Corporate securities, trading loans and other	$	3,270		$	34		$	—		$	477	$	(438	)	$	—		$	(649	)	$	983		$	(351	)	$	3,326
Equity securities	352			14			—			16		(3		)	—			(5		)	31			(19		)	386
Non-U.S. sovereign debt	574			82			(78		)	27		—			—			(110		)	—			(27		)	468
Mortgage trading loans and ABS	2,063			161			—			809		(627		)	—			(244		)	10			(13		)	2,159
Total trading account assets	6,259			291			(78		)	1,329		(1,068		)	—			(1,008		)	1,024			(410		)	6,339
Net derivative assets ⁽³⁾	(920		)	566			—			113		(393		)	—			221			(60		)	122			(351		)
AFS debt securities:
Non-agency residential MBS	279			(12		)	7			62		—			—			(234		)	132			—			234
Non-U.S. securities	10			—			—			—		—			—			(1		)	—			—			9
Other taxable securities	1,667			—			—			6		—			—			(63		)	—			(933		)	677
Tax-exempt securities	599			—			(1		)	—		—			—			(14		)	—			—			584
Total AFS debt securities	2,555			(12		)	6			68		—			—			(312		)	132			(933		)	1,504
Other debt securities carried at fair value – Non-agency residential MBS	—			1			—			33		—			—			—			—			—			34
Loans and leases ^{(4, 5)}	1,983			5			—			—		(2		)	—			(120		)	118			(14		)	1,970
Mortgage servicing rights ⁽⁵⁾	3,530			373			—			—		(312		)	383			(453		)	—			—			3,521
Loans held-for-sale ⁽⁴⁾	173			(48		)	—			491		(95		)	33			(6		)	177			(65		)	660
Other assets ⁽⁶⁾	911			(4		)	—			9		(118		)	—			(15		)	8			(35		)	756
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	—			(14		)	—			—		—			(28		)	—			(326		)	—			(368		)
Trading account liabilities – Corporate securities and other	(36		)	3			—			33		(57		)	—			—			—			—			(57		)
Short-term borrowings ⁽⁴⁾	—			5			—			—		—			(21		)	1			(4		)	19			—
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(2,362		)	70			—			177		—			(139		)	160			(1,116		)	494			(2,716		)


⁽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 $6.5 billion and derivative liabilities of $6.8 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2014
Trading account assets:
Corporate securities, trading loans and other	$	3,559		$	163		$	—		$	678	$	(441	)	$	—		$	(509	)	$	397		$	(1,075	)	$	2,772
Equity securities	386			12			—			46		(33		)	—			—			16			(71		)	356
Non-U.S. sovereign debt	468			87			—			99		(6		)	—			(6		)	—			(2		)	640
Mortgage trading loans and ABS	4,631			201			—			819		(814		)	—			(461		)	—			(65		)	4,311
Total trading account assets	9,044			463			—			1,642		(1,294		)	—			(976		)	413			(1,213		)	8,079
Net derivative assets ⁽²⁾	(224		)	(163		)	—			314		(1,057		)	—			(246		)	41			300			(1,035		)
AFS debt securities:
Non-U.S. securities	107			—			—			—		—			—			(107		)	—			—			—
Other taxable securities	3,847			8			(5		)	133		—			—			(717		)	—			—			3,266
Tax-exempt securities	806			3			4			—		—			—			(79		)	1			—			735
Total AFS debt securities	4,760			11			(1		)	133		—			—			(903		)	1			—			4,001
Loans and leases ^{(3, 4)}	3,057			59			—			—		(3		)	689			(781		)	13			(16		)	3,018
Mortgage servicing rights ⁽⁴⁾	5,042			(539		)	—			—		(46		)	378			(467		)	—			—			4,368
Loans held-for-sale ⁽³⁾	929			71			—			24		(714		)	—			(212		)	14			(2		)	110
Other assets ⁽⁵⁾	1,669			(86		)	—			—		(381		)	—			(230		)	—			—			972
Trading account liabilities – Corporate securities and other	(35		)	1			—			12		(7		)	—			—			—			2			(27		)
Accrued expenses and other liabilities	(10		)	1			—			—		—			—			—			—			1			(8		)
Long-term debt ⁽³⁾	(1,990		)	(119		)	—			103		—			(51		)	236			(820		)	225			(2,416		)


⁽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 $7.1 billion and derivative liabilities of $8.2 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 certain long-term fixed-rate margin loans and private equity investments that are accounted for under the fair value option.

Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings

The following tables summarize 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 and six months ended June 30, 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 June 30, 2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	55		$	—		$	—		$	55
Equity securities	11			—			—			11
Non-U.S. sovereign debt	16			—			—			16
Mortgage trading loans and ABS	101			—			—			101
Total trading account assets	183			—			—			183
Net derivative assets	416			196			(2		)	610
AFS debt securities – Non-agency residential MBS	—			—			7			7
Other debt securities carried at fair value – Non-agency residential MBS	—			—			1			1
Loans and leases ⁽²⁾	(9		)	—			(1		)	(10		)
Mortgage servicing rights	4			454			—			458
Loans held-for-sale ⁽²⁾	15			—			7			22
Other assets	—			(3		)	(11		)	(14		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(14		)	—			—			(14		)
Trading account liabilities – Corporate securities and other	2			—			—			2
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	41			—			25			66
Total	$	638		$	647		$	27		$	1,312

	Three Months Ended June 30, 2014
Trading account assets:
Corporate securities, trading loans and other	$	41		$	—		$	—		$	41
Equity securities	(7		)	—			—			(7		)
Non-U.S. sovereign debt	32			—			—			32
Mortgage trading loans and ABS	123			—			—			123
Total trading account assets	189			—			—			189
Net derivative assets	(427		)	225			25			(177		)
AFS debt securities – Tax-exempt securities	—			—			2			2
Loans and leases ⁽²⁾	—			—			27			27
Mortgage servicing rights	17			(266		)	—			(249		)
Loans held-for-sale ⁽²⁾	—			—			59			59
Other assets	—			(29		)	3			(26		)
Long-term debt ⁽²⁾	(11		)	—			(41		)	(52		)
Total	$	(232	)	$	(70	)	$	75		$	(227	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts represent instruments that are accounted for under the fair value option.



Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
	Six Months Ended June 30, 2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	34		$	—		$	—		$	34
Equity securities	14			—			—			14
Non-U.S. sovereign debt	82			—			—			82
Mortgage trading loans and ABS	161			—			—			161
Total trading account assets	291			—			—			291
Net derivative assets	65			478			23			566
AFS debt securities – Non-agency residential MBS	—			—			(12		)	(12		)
Other debt securities carried at fair value – Non-agency residential MBS	—			—			1			1
Loans and leases ⁽²⁾	(6		)	—			11			5
Mortgage servicing rights	(11		)	384			—			373
Loans held-for-sale ⁽²⁾	(54		)	—			6			(48		)
Other assets	—			(24		)	20			(4		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(14		)	—			—			(14		)
Trading account liabilities – Corporate securities and other	3			—			—			3
Short-term borrowings ⁽²⁾	5			—			—			5
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	99			—			(29		)	70
Total	$	378		$	838		$	21		$	1,237

	Six Months Ended June 30, 2014
Trading account assets:
Corporate securities, trading loans and other	$	163		$	—		$	—		$	163
Equity securities	12			—			—			12
Non-U.S. sovereign debt	87			—			—			87
Mortgage trading loans and ABS	201			—			—			201
Total trading account assets	463			—			—			463
Net derivative assets	(595		)	398			34			(163		)
AFS debt securities:
Other taxable securities	—			—			8			8
Tax-exempt securities	—			—			3			3
Total AFS debt securities	—			—			11			11
Loans and leases ⁽²⁾	—			—			59			59
Mortgage servicing rights	12			(551		)	—			(539		)
Loans held-for-sale ⁽²⁾	—			—			71			71
Other assets	—			(65		)	(21		)	(86		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities	—			—			1			1
Long-term debt ⁽²⁾	(64		)	—			(55		)	(119		)
Total	$	(183	)	$	(218	)	$	100		$	(301	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	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 following tables summarize changes in unrealized gains (losses) recorded in earnings during the three and six months ended June 30, 2015 and 2014 for Level 3 assets and liabilities that were still held at June 30, 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 June 30, 2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(7	)	$	—		$	—		$	(7	)
Equity securities	7			—			—			7
Non-U.S. sovereign debt	16			—			—			16
Mortgage trading loans and ABS	4			—			—			4
Total trading account assets	20			—			—			20
Net derivative assets	317			52			(2		)	367
Loans and leases ⁽²⁾	(9		)	—			(2		)	(11		)
Mortgage servicing rights	4			373			—			377
Loans held-for-sale ⁽²⁾	15			—			6			21
Other assets	—			4			23			27
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(14		)	—			—			(14		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	15			—			25			40
Total	$	349		$	429		$	50		$	828

	Three Months Ended June 30, 2014
Trading account assets:
Corporate securities, trading loans and other	$	(20	)	$	—		$	—		$	(20	)
Equity securities	(8		)	—			—			(8		)
Non-U.S. sovereign debt	32			—			—			32
Mortgage trading loans and ABS	92			—			—			92
Total trading account assets	96			—			—			96
Net derivative assets	(520		)	74			25			(421		)
Loans and leases ⁽²⁾	—			—			37			37
Mortgage servicing rights	17			(408		)	—			(391		)
Loans held-for-sale ⁽²⁾	—			—			9			9
Other assets	—			(23		)	4			(19		)
Long-term debt ⁽²⁾	(11		)	—			(41		)	(52		)
Total	$	(418	)	$	(357	)	$	34		$	(741	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	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
	Six Months Ended June 30, 2015
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(101	)	$	—		$	—		$	(101	)
Equity securities	9			—			—			9
Non-U.S. sovereign debt	69			—			—			69
Mortgage trading loans and ABS	(26		)	—			—			(26		)
Total trading account assets	(49		)	—			—			(49		)
Net derivative assets	19			54			23			96
Loans and leases ⁽²⁾	(1		)	—			23			22
Mortgage servicing rights	(11		)	200			—			189
Loans held-for-sale ⁽²⁾	(38		)	—			(1		)	(39		)
Other assets	—			(12		)	77			65
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	(14		)	—			—			(14		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	52			—			(29		)	23
Total	$	(41	)	$	242		$	93		$	294

	Six Months Ended June 30, 2014
Trading account assets:
Corporate securities, trading loans and other	$	105		$	—		$	—		$	105
Equity securities	2			—			—			2
Non-U.S. sovereign debt	51			—			—			51
Mortgage trading loans and ABS	77			—			—			77
Total trading account assets	235			—			—			235
Net derivative assets	(509		)	75			34			(400		)
Loans and leases ⁽²⁾	—			—			64			64
Mortgage servicing rights	12			(876		)	—			(864		)
Loans held-for-sale ⁽²⁾	—			—			14			14
Other assets	—			(51		)	30			(21		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	(50		)	—			(63		)	(113		)
Total	$	(311	)	$	(852	)	$	79		$	(1,084	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	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 June 30, 2015 and December 31, 2014.



Quantitative Information about Level 3 Fair Value Measurements at June 30, 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	$	2,180		Discounted cash flow, Market comparables	Yield	0% to 25%	5	%
Trading account assets – Mortgage trading loans and ABS	35				Prepayment speed	0% to 33% CPR	12	%
Loans and leases	1,485				Default rate	0% to 14% CDR	6	%
Loans held-for-sale	660				Loss severity	0% to 80%	40	%
Commercial loans, debt securities and other	$	6,205		Discounted cash flow, Market comparables	Yield	0% to 29%	10	%
Trading account assets – Corporate securities, trading loans and other	2,959				Prepayment speed	5% to 30%	15	%
Trading account assets – Non-U.S. sovereign debt	468				Default rate	1% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	2,124				Loss severity	25% to 50%	38	%
AFS debt securities – Other taxable securities	169				Duration	0 to 4 years	3 years
Loans and leases	485				Price	$0 to $138	$66
Auction rate securities	$	1,459		Discounted cash flow, Market comparables	Price	$44 to $105	$98
Trading account assets – Corporate securities, trading loans and other	367
AFS debt securities – Other taxable securities	508
AFS debt securities – Tax-exempt securities	584
Structured liabilities
Long-term debt	$	(2,716	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%	65	%
					Long-dated equity volatilities	4% to 91%	23	%
					Long-dated volatilities (IR)	1%	n/a
Net derivative assets
Credit derivatives	$	(265	)	Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 26%	15	%
					Upfront points	0 to 100 points	75 points
					Credit correlation	26% to 99%	51	%
					Prepayment speed	3% to 20% CPR	17	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	20% to 40%	35	%
Equity derivatives	$	(1,209	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%	65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 91%	23	%
Commodity derivatives	$	151		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu	$5/MMBtu
					Correlation	66% to 93%	84	%
					Volatilities	17% to 131%	40	%
Interest rate derivatives	$	972		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	21% to 99%	46	%
					Correlation (FX/IR)	-25% to 40%	-8	%
					Long-dated inflation rates	0% to 4%	2	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(351	)

⁽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 211: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $2.2 billion, AFS debt securities – Other taxable securities of $677 million, AFS debt securities – Tax-exempt securities of $584 million, Loans and leases of $2.0 billion and LHFS of $660 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 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 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	%
				Industry standard derivative pricing ⁽²⁾	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 212: 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



Quantitative Information about Level 3 Fair Value Measurements at June 30, 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	$	2,180		Discounted cash flow, Market comparables	Yield	0% to 25%	5	%
Trading account assets – Mortgage trading loans and ABS	35				Prepayment speed	0% to 33% CPR	12	%
Loans and leases	1,485				Default rate	0% to 14% CDR	6	%
Loans held-for-sale	660				Loss severity	0% to 80%	40	%
Commercial loans, debt securities and other	$	6,205		Discounted cash flow, Market comparables	Yield	0% to 29%	10	%
Trading account assets – Corporate securities, trading loans and other	2,959				Prepayment speed	5% to 30%	15	%
Trading account assets – Non-U.S. sovereign debt	468				Default rate	1% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	2,124				Loss severity	25% to 50%	38	%
AFS debt securities – Other taxable securities	169				Duration	0 to 4 years	3 years
Loans and leases	485				Price	$0 to $138	$66
Auction rate securities	$	1,459		Discounted cash flow, Market comparables	Price	$44 to $105	$98
Trading account assets – Corporate securities, trading loans and other	367
AFS debt securities – Other taxable securities	508
AFS debt securities – Tax-exempt securities	584
Structured liabilities
Long-term debt	$	(2,716	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%	65	%
					Long-dated equity volatilities	4% to 91%	23	%
					Long-dated volatilities (IR)	1%	n/a
Net derivative assets
Credit derivatives	$	(265	)	Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 26%	15	%
					Upfront points	0 to 100 points	75 points
					Credit correlation	26% to 99%	51	%
					Prepayment speed	3% to 20% CPR	17	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	20% to 40%	35	%
Equity derivatives	$	(1,209	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%	65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 91%	23	%
Commodity derivatives	$	151		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu	$5/MMBtu
					Correlation	66% to 93%	84	%
					Volatilities	17% to 131%	40	%
Interest rate derivatives	$	972		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	21% to 99%	46	%
					Correlation (FX/IR)	-25% to 40%	-8	%
					Long-dated inflation rates	0% to 4%	2	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(351	)

⁽¹⁾


⁽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 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 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	%
				Industry standard derivative pricing ⁽²⁾	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 212: 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 and six months ended June 30, 2015 and 2014.



Assets Measured at Fair Value on a Nonrecurring Basis
	June 30, 2015				Three Months Ended June 30, 2015			Six Months Ended June 30, 2015
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	19	$	26	$	(4	)	$	(4	)
Loans and leases ⁽¹⁾	21		2,076		(371		)	(702		)
Foreclosed properties ^{(2, 3)}	—		188		(38		)	(50		)
Other assets	27		—		(4		)	(4		)

	June 30, 2014				Three Months Ended June 30, 2014			Six Months Ended June 30, 2014
Assets
Loans held-for-sale	$	1,057	$	127	$	5		$	4
Loans and leases ⁽¹⁾	5		3,244		(318		)	(564		)
Foreclosed properties ^{(2, 3)}	6		187		(21		)	(28		)
Other assets	90		2		(16		)	(16		)


⁽¹⁾	Includes $106 million and $151 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2015 compared to losses of $113 million and $203 million for the same periods in 2014.


⁽²⁾	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. Losses on foreclosed properties include losses taken during the first 90 days after transfer of a loan to foreclosed properties.


⁽³⁾	Excludes $1.3 billion and $1.1 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of June 30, 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 June 30, 2015 and December 31, 2014.



Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
	June 30, 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	$	2,076	Market comparables	OREO discount	14% to 26%	18	%
Loans and leases	2,076		Market comparables	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		Market comparables	Cost to sell	7% to 14%	8	%