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, 2016

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, 2016 and December 31, 2015, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	June 30, 2016
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments ⁽¹⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	53,008	$	—	$	—		$	53,008
Trading account assets:
U.S. government and agency securities ⁽²⁾	36,534		18,477		—		—			55,011
Corporate securities, trading loans and other	260		24,353		2,654		—			27,267
Equity securities	29,210		20,162		455		—			49,827
Non-U.S. sovereign debt	16,883		15,975		630		—			33,488
Mortgage trading loans and ABS	—		8,486		1,286		—			9,772
Total trading account assets ⁽³⁾	82,887		87,453		5,025		—			175,365
Derivative assets ⁽⁴⁾	7,781		888,247		5,169		(845,933		)	55,264
AFS debt securities:
U.S. Treasury and agency securities	24,636		1,507		—		—			26,143
Mortgage-backed securities:
Agency	—		208,688		—		—			208,688
Agency-collateralized mortgage obligations	—		9,760		—		—			9,760
Non-agency residential	—		1,969		134		—			2,103
Commercial	—		11,397		—		—			11,397
Non-U.S. securities	2,665		3,393		—		—			6,058
Other taxable securities	—		9,057		717		—			9,774
Tax-exempt securities	—		14,803		559		—			15,362
Total AFS debt securities	27,301		260,574		1,410		—			289,285
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		7		—		—			7
Non-agency residential	—		3,216		28		—			3,244
Non-U.S. securities	15,629		1,256		—		—			16,885
Other taxable securities	—		249		—		—			249
Total other debt securities carried at fair value	15,629		4,728		28		—			20,385
Loans and leases ⁽⁵⁾	—		7,201		1,459		—			8,660
Mortgage servicing rights	—		—		2,269		—			2,269
Loans held-for-sale	—		4,422		690		—			5,112
Other assets	11,676		1,861		348		—			13,885
Total assets	$	145,274	$	1,307,494	$	16,398	$	(845,933	)	$	623,233
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,019	$	—	$	—		$	1,019
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		24,229		313		—			24,542
Trading account liabilities:
U.S. government and agency securities	15,304		136		—		—			15,440
Equity securities	31,603		3,346		—		—			34,949
Non-U.S. sovereign debt	14,485		1,992		—		—			16,477
Corporate securities and other	262		7,128		26		—			7,416
Total trading account liabilities	61,654		12,602		26		—			74,282
Derivative liabilities ⁽⁴⁾	7,776		874,863		5,817		(840,895		)	47,561
Short-term borrowings	—		1,860		—		—			1,860
Accrued expenses and other liabilities	11,299		2,004		9		—			13,312
Long-term debt	—		29,293		2,156		—			31,449
Total liabilities	$	80,729	$	945,870	$	8,321	$	(840,895	)	$	194,025


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


⁽²⁾	Includes $18.3 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $15.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

⁽⁴⁾

During the six months ended June 30, 2016, $974 million of derivative assets and $1.1 billion of derivative liabilities were transferred from Level 1 to Level 2 and $808 million of derivative assets and $819 million of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.


⁽⁵⁾	Includes $691 million from CFEs that were measured using the fair value of the financial liabilities of those entities as the measurement basis.



	December 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	$	—	$	55,143	$	—	$	—		$	55,143
Trading account assets:
U.S. government and agency securities ⁽²⁾	33,034		15,501		—		—			48,535
Corporate securities, trading loans and other	325		22,738		2,838		—			25,901
Equity securities	41,735		20,887		407		—			63,029
Non-U.S. sovereign debt	15,651		12,915		521		—			29,087
Mortgage trading loans and ABS	—		8,107		1,868		—			9,975
Total trading account assets ⁽³⁾	90,745		80,148		5,634		—			176,527
Derivative assets ⁽⁴⁾	5,149		678,355		5,134		(638,648		)	49,990
AFS debt securities:
U.S. Treasury and agency securities	23,374		1,903		—		—			25,277
Mortgage-backed securities:
Agency	—		228,947		—		—			228,947
Agency-collateralized mortgage obligations	—		10,985		—		—			10,985
Non-agency residential	—		3,073		106		—			3,179
Commercial	—		7,165		—		—			7,165
Non-U.S. securities	2,768		2,999		—		—			5,767
Other taxable securities	—		9,688		757		—			10,445
Tax-exempt securities	—		13,439		569		—			14,008
Total AFS debt securities	26,142		278,199		1,432		—			305,773
Other debt securities carried at fair value:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	—		7		—		—			7
Non-agency residential	—		3,460		30		—			3,490
Non-U.S. securities	11,691		1,152		—		—			12,843
Other taxable securities	—		267		—		—			267
Total other debt securities carried at fair value	11,691		4,886		30		—			16,607
Loans and leases	—		5,318		1,620		—			6,938
Mortgage servicing rights	—		—		3,087		—			3,087
Loans held-for-sale	—		4,031		787		—			4,818
Other assets ⁽⁵⁾	11,923		2,023		374		—			14,320
Total assets	$	145,650	$	1,108,103	$	18,098	$	(638,648	)	$	633,203
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,116	$	—	$	—		$	1,116
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		24,239		335		—			24,574
Trading account liabilities:
U.S. government and agency securities	14,803		169		—		—			14,972
Equity securities	27,898		2,392		—		—			30,290
Non-U.S. sovereign debt	13,589		1,951		—		—			15,540
Corporate securities and other	193		5,947		21		—			6,161
Total trading account liabilities	56,483		10,459		21		—			66,963
Derivative liabilities ⁽⁴⁾	4,941		670,600		5,575		(642,666		)	38,450
Short-term borrowings	—		1,295		30		—			1,325
Accrued expenses and other liabilities	11,656		2,234		9		—			13,899
Long-term debt	—		28,584		1,513		—			30,097
Total liabilities	$	73,080	$	738,527	$	7,483	$	(642,666	)	$	176,424


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


⁽²⁾	Includes $14.8 billion of GSE obligations.


⁽³⁾	Includes securities with a fair value of $16.4 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.

⁽⁴⁾

During 2015, $6.6 billion of derivative assets and $6.7 billion of derivative liabilities were transferred from Level 1 to Level 2 based on inputs used to measure fair value. Additionally, $6.4 billion of derivative assets and $6.2 billion of derivative liabilities were transferred from Level 2 to Level 1 due to additional information related to certain options. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.


⁽⁵⁾	During 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.

Fair Value, Assets 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	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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽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 MSRs retained following securitizations or whole-loan sales.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance January 1 2016			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 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,838		$	61		$	2		$	699	$	(393	)	$	—		$	(345	)	$	230		$	(438	)	$	2,654
Equity securities	407			82			—			43		(37		)	—			(72		)	33			(1		)	455
Non-U.S. sovereign debt	521			92			98			3		(1		)	—			(83		)	—			—			630
Mortgage trading loans and ABS	1,868			95			(2		)	350		(823		)	—			(167		)	76			(111		)	1,286
Total trading account assets	5,634			330			98			1,095		(1,254		)	—			(667		)	339			(550		)	5,025
Net derivative assets ⁽³⁾	(441		)	487			—			199		(619		)	—			(111		)	(124		)	(39		)	(648		)
AFS debt securities:
Non-agency residential MBS	106			—			3			196		(92		)	—			(79		)	—			—			134
Other taxable securities	757			2			(6		)	—		—			—			(36		)	—			—			717
Tax-exempt securities	569			—			(10		)	1		—			—			(1		)	—			—			559
Total AFS debt securities	1,432			2			(13		)	197		(92		)	—			(116		)	—			—			1,410
Other debt securities carried at fair value – Non-agency residential MBS	30			(2		)	—			—		—			—			—			—			—			28
Loans and leases ^{(4, 5)}	1,620			(4		)	—			69		—			50			(89		)	6			(193		)	1,459
Mortgage servicing rights ⁽⁵⁾	3,087			(608		)	—			—		(2		)	208			(416		)	—			—			2,269
Loans held-for-sale ⁽⁴⁾	787			84			55			20		(180		)	—			(52		)	39			(63		)	690
Other assets	374			(38		)	—			34		—			—			(24		)	2			—			348
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(335		)	29			—			—		—			(14		)	7			—			—			(313		)
Trading account liabilities – Corporate securities and other	(21		)	2			—			1		(8		)	—			—			—			—			(26		)
Short-term borrowings ⁽⁴⁾	(30		)	1			—			—		—			—			29			—			—			—
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,513		)	(170		)	(18		)	29		—			(323		)	133			(545		)	251			(2,156		)


⁽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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.



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	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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽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 MSRs retained following securitizations or whole-loan sales.

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, 2016 and 2015, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance April 1 2016			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 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,954		$	11		$	1		$	472	$	(246	)	$	—		$	(197	)	$	72		$	(413	)	$	2,654
Equity securities	417			22			—			33		(35		)	—			(10		)	29			(1		)	455
Non-U.S. sovereign debt	572			50			49			—		—			—			(41		)	—			—			630
Mortgage trading loans and ABS	1,614			67			—			156		(419		)	—			(94		)	45			(83		)	1,286
Total trading account assets	5,557			150			50			661		(700		)	—			(342		)	146			(497		)	5,025
Net derivative assets ⁽³⁾	(315		)	84			—			110		(444		)	—			(123		)	(8		)	48			(648		)
AFS debt securities:
Non-agency residential MBS	150			—			(2		)	61		—			—			(75		)	—			—			134
Other taxable securities	739			1			(3		)	—		—			—			(20		)	—			—			717
Tax-exempt securities	562			—			(3		)	—		—			—			—			—			—			559
Total AFS debt securities	1,451			1			(8		)	61		—			—			(95		)	—			—			1,410
Other debt securities carried at fair value – Non-agency residential MBS	29			(1		)	—			—		—			—			—			—			—			28
Loans and leases ^{(4, 5)}	1,697			(47		)	—			—		—			25			(54		)	1			(163		)	1,459
Mortgage servicing rights ⁽⁵⁾	2,631			(228		)	—			—		(1		)	72			(205		)	—			—			2,269
Loans held-for-sale ⁽⁴⁾	660			11			28			—		(17		)	—			(18		)	26			—			690
Other assets	375			(13		)	—			—		—			—			(14		)	—			—			348
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(345		)	32			—			—		—			—			—			—			—			(313		)
Trading account liabilities – Corporate securities and other	(28		)	1			—			1		—			—			—			—			—			(26		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,814		)	(79		)	(11		)	20		—			(154		)	77			(359		)	164			(2,156		)


⁽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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.

Fair Value, Liabilities 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	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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽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 MSRs retained following securitizations or whole-loan sales.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance January 1 2016			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 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,838		$	61		$	2		$	699	$	(393	)	$	—		$	(345	)	$	230		$	(438	)	$	2,654
Equity securities	407			82			—			43		(37		)	—			(72		)	33			(1		)	455
Non-U.S. sovereign debt	521			92			98			3		(1		)	—			(83		)	—			—			630
Mortgage trading loans and ABS	1,868			95			(2		)	350		(823		)	—			(167		)	76			(111		)	1,286
Total trading account assets	5,634			330			98			1,095		(1,254		)	—			(667		)	339			(550		)	5,025
Net derivative assets ⁽³⁾	(441		)	487			—			199		(619		)	—			(111		)	(124		)	(39		)	(648		)
AFS debt securities:
Non-agency residential MBS	106			—			3			196		(92		)	—			(79		)	—			—			134
Other taxable securities	757			2			(6		)	—		—			—			(36		)	—			—			717
Tax-exempt securities	569			—			(10		)	1		—			—			(1		)	—			—			559
Total AFS debt securities	1,432			2			(13		)	197		(92		)	—			(116		)	—			—			1,410
Other debt securities carried at fair value – Non-agency residential MBS	30			(2		)	—			—		—			—			—			—			—			28
Loans and leases ^{(4, 5)}	1,620			(4		)	—			69		—			50			(89		)	6			(193		)	1,459
Mortgage servicing rights ⁽⁵⁾	3,087			(608		)	—			—		(2		)	208			(416		)	—			—			2,269
Loans held-for-sale ⁽⁴⁾	787			84			55			20		(180		)	—			(52		)	39			(63		)	690
Other assets	374			(38		)	—			34		—			—			(24		)	2			—			348
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(335		)	29			—			—		—			(14		)	7			—			—			(313		)
Trading account liabilities – Corporate securities and other	(21		)	2			—			1		(8		)	—			—			—			—			(26		)
Short-term borrowings ⁽⁴⁾	(30		)	1			—			—		—			—			29			—			—			—
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,513		)	(170		)	(18		)	29		—			(323		)	133			(545		)	251			(2,156		)


⁽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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2016
										Gross
(Dollars in millions)	Balance April 1 2016			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 2016
Trading account assets:
Corporate securities, trading loans and other	$	2,954		$	11		$	1		$	472	$	(246	)	$	—		$	(197	)	$	72		$	(413	)	$	2,654
Equity securities	417			22			—			33		(35		)	—			(10		)	29			(1		)	455
Non-U.S. sovereign debt	572			50			49			—		—			—			(41		)	—			—			630
Mortgage trading loans and ABS	1,614			67			—			156		(419		)	—			(94		)	45			(83		)	1,286
Total trading account assets	5,557			150			50			661		(700		)	—			(342		)	146			(497		)	5,025
Net derivative assets ⁽³⁾	(315		)	84			—			110		(444		)	—			(123		)	(8		)	48			(648		)
AFS debt securities:
Non-agency residential MBS	150			—			(2		)	61		—			—			(75		)	—			—			134
Other taxable securities	739			1			(3		)	—		—			—			(20		)	—			—			717
Tax-exempt securities	562			—			(3		)	—		—			—			—			—			—			559
Total AFS debt securities	1,451			1			(8		)	61		—			—			(95		)	—			—			1,410
Other debt securities carried at fair value – Non-agency residential MBS	29			(1		)	—			—		—			—			—			—			—			28
Loans and leases ^{(4, 5)}	1,697			(47		)	—			—		—			25			(54		)	1			(163		)	1,459
Mortgage servicing rights ⁽⁵⁾	2,631			(228		)	—			—		(1		)	72			(205		)	—			—			2,269
Loans held-for-sale ⁽⁴⁾	660			11			28			—		(17		)	—			(18		)	26			—			690
Other assets	375			(13		)	—			—		—			—			(14		)	—			—			348
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽⁴⁾	(345		)	32			—			—		—			—			—			—			—			(313		)
Trading account liabilities – Corporate securities and other	(28		)	1			—			1		—			—			—			—			—			(26		)
Accrued expenses and other liabilities	(9		)	—			—			—		—			—			—			—			—			(9		)
Long-term debt ⁽⁴⁾	(1,814		)	(79		)	(11		)	20		—			(154		)	77			(359		)	164			(2,156		)


⁽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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽³⁾	Net derivatives include derivative assets of $5.2 billion and derivative liabilities of $5.8 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and MSRs retained following securitizations or whole-loan sales.



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	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, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.


⁽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 MSRs retained following securitizations or whole-loan sales.

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, 2016 and 2015. These amounts include gains (losses) on financial instruments 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, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	11		$	—		$	—		$	11
Equity securities	22			—			—			22
Non-U.S. sovereign debt	50			—			—			50
Mortgage trading loans and ABS	67			—			—			67
Total trading account assets	150			—			—			150
Net derivative assets	(54		)	177			(39		)	84
AFS debt securities – Other taxable securities	—			—			1			1
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(1		)	(1		)
Loans and leases ⁽²⁾	—			—			(47		)	(47		)
Mortgage servicing rights	(5		)	(223		)	—			(228		)
Loans held-for-sale ⁽²⁾	1			—			10			11
Other assets	—			(14		)	1			(13		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	32			—			—			32
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	(79		)	—			—			(79		)
Total	$	46		$	(60	)	$	(75	)	$	(89	)

	Three Months Ended June 30, 2015
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


⁽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, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	61		$	—		$	—		$	61
Equity securities	82			—			—			82
Non-U.S. sovereign debt	92			—			—			92
Mortgage trading loans and ABS	95			—			—			95
Total trading account assets	330			—			—			330
Net derivative assets	183			328			(24		)	487
AFS debt securities – Other taxable securities	—			—			2			2
Other debt securities carried at fair value – Non-agency residential MBS	—			—			(2		)	(2		)
Loans and leases ⁽²⁾	8			—			(12		)	(4		)
Mortgage servicing rights	29			(637		)	—			(608		)
Loans held-for-sale ⁽²⁾	11			—			73			84
Other assets	—			(37		)	(1		)	(38		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	29			—			—			29
Trading account liabilities – Corporate securities and other	2			—			—			2
Short-term borrowings ⁽²⁾	1			—			—			1
Long-term debt ⁽²⁾	(171		)	—			1			(170		)
Total	$	422		$	(346	)	$	37		$	113

	Six Months Ended June 30, 2015
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


⁽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, 2016 and 2015 for Level 3 assets and liabilities that were still held at June 30, 2016 and 2015. These amounts include changes in fair value on financial 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
	Three Months Ended June 30, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(52	)	$	—		$	—		$	(52	)
Equity securities	20			—			—			20
Non-U.S. sovereign debt	50			—			—			50
Mortgage trading loans and ABS	41			—			—			41
Total trading account assets	59			—			—			59
Net derivative assets	(75		)	65			(39		)	(49		)
Loans and leases ⁽²⁾	—			—			(44		)	(44		)
Mortgage servicing rights	(5		)	(277		)	—			(282		)
Loans held-for-sale ⁽²⁾	—			—			8			8
Other assets	—			(9		)	(2		)	(11		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	31			—			—			31
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	(79		)	—			—			(79		)
Total	$	(68	)	$	(221	)	$	(77	)	$	(366	)

	Three Months Ended June 30, 2015
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


⁽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, 2016
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other			Total
Trading account assets:
Corporate securities, trading loans and other	$	(29	)	$	—		$	—		$	(29	)
Equity securities	21			—			—			21
Non-U.S. sovereign debt	91			—			—			91
Mortgage trading loans and ABS	48			—			—			48
Total trading account assets	131			—			—			131
Net derivative assets	267			65			(24		)	308
Loans and leases ⁽²⁾	—			—			5			5
Mortgage servicing rights	29			(748		)	—			(719		)
Loans held-for-sale ⁽²⁾	—			—			88			88
Other assets	—			(27		)	(6		)	(33		)
Federal funds purchased and securities loaned or sold under agreements to repurchase ⁽²⁾	29			—			—			29
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽²⁾	(152		)	—			—			(152		)
Total	$	305		$	(710	)	$	63		$	(342	)

	Six Months Ended June 30, 2015
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


⁽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, 2016 and December 31, 2015.



Quantitative Information about Level 3 Fair Value Measurements at June 30, 2016
(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	$	1,877		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	368				Prepayment speed	0% to 38% CPR	14	%
Loans and leases	1,457				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	52				Loss severity	0% to 100%	45	%
Instruments backed by commercial real estate assets	$	789		Discounted cash flow, Market comparables	Yield	0% to 25%	12	%
Trading account assets – Corporate securities, trading loans and other	400				Price	$0 to $106	$73
Trading account assets – Mortgage trading loans and ABS	59
Loans held-for-sale	330
Commercial loans, debt securities and other	$	4,143		Discounted cash flow, Market comparables	Yield	0% to 42%	16	%
Trading account assets – Corporate securities, trading loans and other	2,220				Prepayment speed	5% to 20%	14	%
Trading account assets – Non-U.S. sovereign debt	630				Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans and ABS	859				Loss severity	35% to 50%	38	%
AFS debt securities – Other taxable securities	124				Duration	0 to 5 years	3 years
Loans and leases	2				Price	$0 to $227	$68
Loans held-for-sale	308
Auction rate securities	$	1,186		Discounted cash flow, Market comparables	Price	$10 to $100	$93
Trading account assets – Corporate securities, trading loans and other	34
AFS debt securities – Other taxable securities	593
AFS debt securities – Tax-exempt securities	559
Structured liabilities
Long-term debt	$	(2,156	)	Discounted cash flow, Market comparables, Industry standard derivative pricing ⁽²⁾	Equity correlation	27% to 98%	70	%
					Long-dated equity volatilities	5% to 101%	28	%
					Yield	10% to 42%	17	%
					Duration	0 to 5 years	2 years
					Price	$0 to $100	$78
Net derivative assets
Credit derivatives	$	(96	)	Discounted cash flow, Stochastic recovery correlation model	Yield	1% to 25%	18	%
					Upfront points	1 point to 100 points	72 points
					Credit spreads	17 bps to 993 bps	263 bps
					Credit correlation	25% to 95%	33	%
					Prepayment speed	7% to 20% CPR	18	%
					Default rate	0% to 4% CDR	3	%
					Loss severity	35%	n/a
Equity derivatives	$	(958	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	27% to 98%	70	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	5% to 101%	28	%
Commodity derivatives	$	8		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $7/MMBtu	$4/MMBtu
					Correlation	66% to 93%	84	%
					Volatilities	22% to 146%	40	%
Interest rate derivatives	$	398		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	15% to 99%	55	%
					Correlation (FX/IR)	-15% to 40%	-7	%
					Illiquid IR and long-dated inflation rates	-21% to 48%	9	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(648	)

⁽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 187: Trading account assets – Corporate securities, trading loans and other of $2.7 billion, Trading account assets – Non-U.S. sovereign debt of $630 million, Trading account assets – Mortgage trading loans and ABS of $1.3 billion, AFS debt securities – Other taxable securities of $717 million, AFS debt securities – Tax-exempt securities of $559 million, Loans and leases of $1.5 billion and LHFS of $690 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, 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	$	2,017		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	400				Prepayment speed	0% to 27% CPR	11	%
Loans and leases	1,520				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	97				Loss severity	0% to 90%	40	%
Instruments backed by commercial real estate assets	$	852		Discounted cash flow, Market comparables	Yield	0% to 25%	8	%
Trading account assets – Mortgage trading loans and ABS	162				Price	$0 to $100	$73
Loans held-for-sale	690
Commercial loans, debt securities and other	$	4,558		Discounted cash flow, Market comparables	Yield	0% to 37%	13	%
Trading account assets – Corporate securities, trading loans and other	2,503				Prepayment speed	5% to 20%	16	%
Trading account assets – Non-U.S. sovereign debt	521				Default rate	2% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	1,306				Loss severity	25% to 50%	37	%
AFS debt securities – Other taxable securities	128				Duration	0 to 5 years	3 years
Loans and leases	100				Price	$0 to $258	$64
Auction rate securities	$	1,533		Discounted cash flow, Market comparables	Price	$10 to $100	$94
Trading account assets – Corporate securities, trading loans and other	335
AFS debt securities – Other taxable securities	629
AFS debt securities – Tax-exempt securities	569
Structured liabilities
Long-term debt	$	(1,513	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ^{(2, 3)}	Long-dated equity volatilities	4% to 101%	28	%
Net derivative assets
Credit derivatives	$	(75	)	Discounted cash flow, Stochastic recovery correlation model	Yield	6% to 25%	16	%
					Upfront points	0 to 100 points	60 points
					Credit spreads	0 bps to 447 bps	111 bps
					Credit correlation	31% to 99%	38	%
					Prepayment speed	10% to 20% CPR	19	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	35% to 40%	35	%
Equity derivatives	$	(1,037	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%	28	%
Commodity derivatives	$	169		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $6/MMBtu	$4/MMBtu
					Propane forward price	$0/Gallon to $1/Gallon	$1/Gallon
					Correlation	66% to 93%	84	%
					Volatilities	18% to 125%	39	%
Interest rate derivatives	$	502		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	17% to 99%	48	%
					Correlation (FX/IR)	-15% to 40%	-9	%
					Long-dated inflation rates	0% to 7%	3	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(441	)

⁽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 188: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $521 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $757 million, AFS debt securities – Tax-exempt securities of $569 million, Loans and leases of $1.6 billion and LHFS of $787 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

Fair Value Inputs, Liabilities, Quantitative Information



Quantitative Information about Level 3 Fair Value Measurements at June 30, 2016
(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	$	1,877		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	368				Prepayment speed	0% to 38% CPR	14	%
Loans and leases	1,457				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	52				Loss severity	0% to 100%	45	%
Instruments backed by commercial real estate assets	$	789		Discounted cash flow, Market comparables	Yield	0% to 25%	12	%
Trading account assets – Corporate securities, trading loans and other	400				Price	$0 to $106	$73
Trading account assets – Mortgage trading loans and ABS	59
Loans held-for-sale	330
Commercial loans, debt securities and other	$	4,143		Discounted cash flow, Market comparables	Yield	0% to 42%	16	%
Trading account assets – Corporate securities, trading loans and other	2,220				Prepayment speed	5% to 20%	14	%
Trading account assets – Non-U.S. sovereign debt	630				Default rate	3% to 4%	4	%
Trading account assets – Mortgage trading loans and ABS	859				Loss severity	35% to 50%	38	%
AFS debt securities – Other taxable securities	124				Duration	0 to 5 years	3 years
Loans and leases	2				Price	$0 to $227	$68
Loans held-for-sale	308
Auction rate securities	$	1,186		Discounted cash flow, Market comparables	Price	$10 to $100	$93
Trading account assets – Corporate securities, trading loans and other	34
AFS debt securities – Other taxable securities	593
AFS debt securities – Tax-exempt securities	559
Structured liabilities
Long-term debt	$	(2,156	)	Discounted cash flow, Market comparables, Industry standard derivative pricing ⁽²⁾	Equity correlation	27% to 98%	70	%
					Long-dated equity volatilities	5% to 101%	28	%
					Yield	10% to 42%	17	%
					Duration	0 to 5 years	2 years
					Price	$0 to $100	$78
Net derivative assets
Credit derivatives	$	(96	)	Discounted cash flow, Stochastic recovery correlation model	Yield	1% to 25%	18	%
					Upfront points	1 point to 100 points	72 points
					Credit spreads	17 bps to 993 bps	263 bps
					Credit correlation	25% to 95%	33	%
					Prepayment speed	7% to 20% CPR	18	%
					Default rate	0% to 4% CDR	3	%
					Loss severity	35%	n/a
Equity derivatives	$	(958	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	27% to 98%	70	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	5% to 101%	28	%
Commodity derivatives	$	8		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $7/MMBtu	$4/MMBtu
					Correlation	66% to 93%	84	%
					Volatilities	22% to 146%	40	%
Interest rate derivatives	$	398		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	15% to 99%	55	%
					Correlation (FX/IR)	-15% to 40%	-7	%
					Illiquid IR and long-dated inflation rates	-21% to 48%	9	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(648	)

⁽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, 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	$	2,017		Discounted cash flow, Market comparables	Yield	0% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	400				Prepayment speed	0% to 27% CPR	11	%
Loans and leases	1,520				Default rate	0% to 10% CDR	4	%
Loans held-for-sale	97				Loss severity	0% to 90%	40	%
Instruments backed by commercial real estate assets	$	852		Discounted cash flow, Market comparables	Yield	0% to 25%	8	%
Trading account assets – Mortgage trading loans and ABS	162				Price	$0 to $100	$73
Loans held-for-sale	690
Commercial loans, debt securities and other	$	4,558		Discounted cash flow, Market comparables	Yield	0% to 37%	13	%
Trading account assets – Corporate securities, trading loans and other	2,503				Prepayment speed	5% to 20%	16	%
Trading account assets – Non-U.S. sovereign debt	521				Default rate	2% to 5%	4	%
Trading account assets – Mortgage trading loans and ABS	1,306				Loss severity	25% to 50%	37	%
AFS debt securities – Other taxable securities	128				Duration	0 to 5 years	3 years
Loans and leases	100				Price	$0 to $258	$64
Auction rate securities	$	1,533		Discounted cash flow, Market comparables	Price	$10 to $100	$94
Trading account assets – Corporate securities, trading loans and other	335
AFS debt securities – Other taxable securities	629
AFS debt securities – Tax-exempt securities	569
Structured liabilities
Long-term debt	$	(1,513	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ^{(2, 3)}	Long-dated equity volatilities	4% to 101%	28	%
Net derivative assets
Credit derivatives	$	(75	)	Discounted cash flow, Stochastic recovery correlation model	Yield	6% to 25%	16	%
					Upfront points	0 to 100 points	60 points
					Credit spreads	0 bps to 447 bps	111 bps
					Credit correlation	31% to 99%	38	%
					Prepayment speed	10% to 20% CPR	19	%
					Default rate	1% to 4% CDR	3	%
					Loss severity	35% to 40%	35	%
Equity derivatives	$	(1,037	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	25% to 100%	67	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 101%	28	%
Commodity derivatives	$	169		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$1/MMBtu to $6/MMBtu	$4/MMBtu
					Propane forward price	$0/Gallon to $1/Gallon	$1/Gallon
					Correlation	66% to 93%	84	%
					Volatilities	18% to 125%	39	%
Interest rate derivatives	$	502		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	17% to 99%	48	%
					Correlation (FX/IR)	-15% to 40%	-9	%
					Long-dated inflation rates	0% to 7%	3	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(441	)

⁽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 188: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $521 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $757 million, AFS debt securities – Tax-exempt securities of $569 million, Loans and leases of $1.6 billion and LHFS of $787 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

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, 2016 and 2015.



Assets Measured at Fair Value on a Nonrecurring Basis
	June 30, 2016				Three Months Ended June 30, 2016			Six Months Ended June 30, 2016
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	588	$	49	$	(7	)	$	(12	)
Loans and leases ⁽¹⁾	—		1,128		(183		)	(322		)
Foreclosed properties ^{(2, 3)}	2		119		(28		)	(37		)
Other assets	142		—		(34		)	(47		)

	June 30, 2015				Three Months Ended June 30, 2015			Six Months Ended June 30, 2015
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	70		—		(17		)	(17		)


⁽¹⁾	Includes $56 million and $86 million of losses on loans that were written down to a collateral value of zero during the three and six months ended June 30, 2016 compared to losses of $106 million and $151 million for the same periods in 2015.


⁽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 of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of June 30, 2016 and 2015.

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, 2016 and December 31, 2015. Instruments backed by residential real estate assets represent residential mortgages where the loan has been written down to the fair value of the underlying collateral.



Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
	June 30, 2016
(Dollars in millions)				Inputs
Financial Instrument	Fair Value		Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average
Loans and leases backed by residential real estate assets	$	1,128	Market comparables	OREO discount	8% to 56%	21	%
			Market comparables	Cost to sell	8% to 45%	10	%



	December 31, 2015
Loans and leases backed by residential real estate assets	$	2,739	Market comparables	OREO discount	7% to 55%	20	%
			Market comparables	Cost to sell	8% to 45%	10	%