Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair value Assets and liabilities measured on Recurring basis

Assets and liabilities carried at fair value on a recurring basis at June 30, 2014 and December 31, 2013, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	June 30, 2014
	Fair Value Measurements
(Dollars in millions)	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Netting Adjustments ⁽²⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	67,317	$	—	$	—		$	67,317
Trading account assets:
U.S. government and agency securities ⁽³⁾	30,412		19,150		—		—			49,562
Corporate securities, trading loans and other	1,161		34,753		2,772		—			38,686
Equity securities	30,843		23,437		356		—			54,636
Non-U.S. sovereign debt	26,660		13,442		640		—			40,742
Mortgage trading loans and ABS	—		9,015		4,311		—			13,326
Total trading account assets	89,076		99,797		8,079		—			196,952
Derivative assets ⁽⁴⁾	2,225		796,924		7,136		(758,393		)	47,892
AFS debt securities:
U.S. Treasury and agency securities	36,485		2,218		—		—			38,703
Mortgage-backed securities:
Agency	—		161,543		—		—			161,543
Agency-collateralized mortgage obligations	—		12,441		—		—			12,441
Non-agency residential	—		5,006		—		—			5,006
Commercial	—		2,278		—		—			2,278
Non-U.S. securities	3,791		3,278		—		—			7,069
Corporate/Agency bonds	—		828		—		—			828
Other taxable securities	20		10,329		3,266		—			13,615
Tax-exempt securities	—		8,054		735		—			8,789
Total AFS debt securities	40,296		205,975		4,001		—			250,272
Other debt securities carried at fair value:
U.S. Treasury and agency securities	4,242		—		—		—			4,242
Mortgage-backed securities:
Agency	—		16,448		—		—			16,448
Non-agency residential	—		3,401		—		—			3,401
Commercial	—		793		—		—			793
Non-U.S. securities	15,913		1,482		—		—			17,395
Other taxable securities	—		310		—		—			310
Total other debt securities carried at fair value	20,155		22,434		—		—			42,589
Loans and leases	—		7,883		3,018		—			10,901
Mortgage servicing rights	—		—		4,368		—			4,368
Loans held-for-sale	—		5,152		110		—			5,262
Other assets	15,332		1,642		972		—			17,946
Total assets	$	167,084	$	1,207,124	$	27,684	$	(758,393	)	$	643,499
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,559	$	—	$	—		$	1,559
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		35,965		—		—			35,965
Trading account liabilities:
U.S. government and agency securities	20,699		380		—		—			21,079
Equity securities	31,112		2,754		—		—			33,866
Non-U.S. sovereign debt	20,841		3,081		—		—			23,922
Corporate securities and other	901		8,537		27		—			9,465
Mortgage trading loans and ABS	—		10		—		—			10
Total trading account liabilities	73,553		14,762		27		—			88,342
Derivative liabilities ⁽⁴⁾	1,719		783,721		7,932		(754,725		)	38,647
Short-term borrowings	—		2,350		—		—			2,350
Accrued expenses and other liabilities	10,605		1,072		8		—			11,685
Long-term debt	—		40,127		2,416		—			42,543
Total liabilities	$	85,877	$	879,556	$	10,383	$	(754,725	)	$	221,091


⁽¹⁾	During the six months ended June 30, 2014, approximately $2.0 billion of assets were transferred from Level 1 to Level 2 as a result of additional information related to non-U.S. government securities.


⁽²⁾	Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.


⁽³⁾	Includes $20.5 billion of government-sponsored enterprise obligations.


⁽⁴⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.



	December 31, 2013
	Fair Value Measurements
(Dollars in millions)	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Netting Adjustments ⁽²⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	75,614	$	—	$	—		$	75,614
Trading account assets:
U.S. government and agency securities ⁽³⁾	34,222		14,625		—		—			48,847
Corporate securities, trading loans and other	1,147		27,746		3,559		—			32,452
Equity securities	41,324		22,741		386		—			64,451
Non-U.S. sovereign debt	24,357		12,399		468		—			37,224
Mortgage trading loans and ABS	—		13,388		4,631		—			18,019
Total trading account assets	101,050		90,899		9,044		—			200,993
Derivative assets ⁽⁴⁾	2,374		910,602		7,277		(872,758		)	47,495
AFS debt securities:
U.S. Treasury and agency securities	6,591		2,363		—		—			8,954
Mortgage-backed securities:
Agency	—		164,935		—		—			164,935
Agency-collateralized mortgage obligations	—		22,492		—		—			22,492
Non-agency residential	—		6,239		—		—			6,239
Commercial	—		2,480		—		—			2,480
Non-U.S. securities	3,698		3,415		107		—			7,220
Corporate/Agency bonds	—		873		—		—			873
Other taxable securities	20		12,963		3,847		—			16,830
Tax-exempt securities	—		5,122		806		—			5,928
Total AFS debt securities	10,309		220,882		4,760		—			235,951
Other debt securities carried at fair value:
U.S. Treasury and agency securities	4,062		—		—		—			4,062
Mortgage-backed securities:
Agency	—		16,500		—		—			16,500
Agency-collateralized mortgage obligations	—		218		—		—			218
Commercial	—		749		—		—			749
Non-U.S. securities	7,457		3,858		—		—			11,315
Total other debt securities carried at fair value	11,519		21,325		—		—			32,844
Loans and leases	—		6,985		3,057		—			10,042
Mortgage servicing rights	—		—		5,042		—			5,042
Loans held-for-sale	—		5,727		929		—			6,656
Other assets	14,474		1,912		1,669		—			18,055
Total assets	$	139,726	$	1,333,946	$	31,778	$	(872,758	)	$	632,692
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,899	$	—	$	—		$	1,899
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		33,684		—		—			33,684
Trading account liabilities:
U.S. government and agency securities	26,915		348		—		—			27,263
Equity securities	23,874		3,711		—		—			27,585
Non-U.S. sovereign debt	20,755		1,387		—		—			22,142
Corporate securities and other	518		5,926		35		—			6,479
Total trading account liabilities	72,062		11,372		35		—			83,469
Derivative liabilities ⁽⁴⁾	1,968		897,107		7,301		(868,969		)	37,407
Short-term borrowings	—		1,520		—		—			1,520
Accrued expenses and other liabilities	10,130		1,093		10		—			11,233
Long-term debt	—		45,045		1,990		—			47,035
Total liabilities	$	84,160	$	991,720	$	9,336	$	(868,969	)	$	216,247


⁽¹⁾	During 2013, $500 million of other assets were transferred from Level 1 to Level 2 primarily due to a restriction that became effective for a private equity investment that was subsequently sold once the restriction was lifted.


⁽²⁾	Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.


⁽³⁾	Includes $15.6 billion of government-sponsored enterprise obligations.


⁽⁴⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.

Fair Value Measurement With Unobservable Inputs Reconciliation Recurring Basis Assets And Liabilities [Table Text Block]

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, 2014 and 2013, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.



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⁾	(575		)	(202		)	—			189		(366		)	—			(145		)	29			274			(796		)
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 ⁽³⁾	(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 $7.9 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 2013
									Gross
(Dollars in millions)	Balance January 1 2013			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 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	123		$	—	$	1,517	$	(1,925	)	$	—		$	(239	)	$	442		$	(881	)	$	2,763
Equity securities	545			50			—		57		(144		)	—			—			37			(81		)	464
Non-U.S. sovereign debt	353			45			—		26		(1		)	—			(22		)	1			(1		)	401
Mortgage trading loans and ABS	4,935			172			—		1,631		(1,334		)	—			(701		)	5			(23		)	4,685
Total trading account assets	9,559			390			—		3,231		(3,404		)	—			(962		)	485			(986		)	8,313
Net derivative assets ⁽²⁾	1,468			685			—		383		(660		)	—			(1,043		)	(162		)	502			1,173
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			—			—		1		(1		)	—			—			—			—			—
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(88		)	8
Other taxable securities	3,928			3			12		610		—			—			(391		)	—			(5		)	4,157
Tax-exempt securities	1,061			1			14		—		—			—			(31		)	—			(168		)	877
Total AFS debt securities	5,091			4			30		611		(1		)	—			(432		)	—			(261		)	5,042
Loans and leases ^{(3, 4)}	2,287			100			—		71		—			5			(546		)	—			(16		)	1,901
Mortgage servicing rights ⁽⁴⁾	5,716			1,460			—		—		(1,045		)	270			(574		)	—			—			5,827
Loans held-for-sale ⁽³⁾	2,733			(20		)	—		8		(390		)	—			(209		)	34			(3		)	2,153
Other assets ⁽⁵⁾	3,129			(327		)	—		42		(183		)	—			(906		)	—			(55		)	1,700
Trading account liabilities – Corporate securities and other	(64		)	6			—		18		(31		)	(5		)	—			(9		)	30			(55		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	22			—		—		—			(751		)	514			(1		)	1			(230		)
Long-term debt ⁽³⁾	(2,301		)	103			—		259		(4		)	(102		)	126			(532		)	561			(1,890		)


⁽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 $7.7 billion and derivative liabilities of $6.5 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 net monoline exposure to a single counterparty and private equity investments.



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⁾	(24		)	(197		)	—			314		(984		)	—			(246		)	41			300			(796		)
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 ⁽³⁾	(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 $7.9 billion.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁴⁾	Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.


⁽⁵⁾	Other assets is primarily comprised of private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2013
									Gross
(Dollars in millions)	Balance April 1 2013			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 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,607		$	35		$	—	$	712	$	(959	)	$	—		$	(99	)	$	224		$	(757	)	$	2,763
Equity securities	497			8			—		28		(35		)	—			—			29			(63		)	464
Non-U.S. sovereign debt	417			(6		)	—		11		—			—			(22		)	1			—			401
Mortgage trading loans and ABS	4,480			10			—		978		(691		)	—			(70		)	—			(22		)	4,685
Total trading account assets	9,001			47			—		1,729		(1,685		)	—			(191		)	254			(842		)	8,313
Net derivative assets ⁽²⁾	1,063			392			—		204		(194		)	—			(383		)	(214		)	305			1,173
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S securities	1			—			—		—		(1		)	—			—			—			—			—
Corporate/Agency bonds	96			—			—		—		—			—			—			—			(88		)	8
Other taxable securities	4,045			3			10		367		—			—			(263		)	—			(5		)	4,157
Tax-exempt securities	1,041			—			11		—		—			—			(7		)	—			(168		)	877
Total AFS debt securities	5,193			3			21		367		(1		)	—			(280		)	—			(261		)	5,042
Loans and leases ^{(3, 4)}	2,363			49			—		—		—			—			(505		)	—			(6		)	1,901
Mortgage servicing rights ⁽⁴⁾	5,776			1,026			—		—		(862		)	147			(260		)	—			—			5,827
Loans held-for-sale ⁽³⁾	2,405			19			—		8		(180		)	—			(108		)	12			(3		)	2,153
Other assets ⁽⁵⁾	2,629			121			—		25		(156		)	—			(864		)	—			(55		)	1,700
Trading account liabilities – Corporate securities and other	(58		)	6			—		11		(17		)	(5		)	—			(1		)	9			(55		)
Accrued expenses and other liabilities ⁽³⁾	(455		)	(7		)	—		—		—			(165		)	398			(1		)	—			(230		)
Long-term debt ⁽³⁾	(2,355		)	92			—		170		—			(66		)	66			(151		)	354			(1,890		)


⁽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 $7.7 billion and derivative liabilities of $6.5 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 net monoline exposure to a single counterparty and private equity investments.

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, 2014 and 2013 for Level 3 assets and liabilities that were still held at June 30, 2014 and 2013. 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, 2014
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
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			—			(446		)
Loans and leases ⁽³⁾	—			—			37			37
Mortgage servicing rights	17			(408		)	—			(391		)
Loans held-for-sale ⁽³⁾	—			—			9			9
Other assets	—			(23		)	4			(19		)
Long-term debt ⁽³⁾	(11		)	—			(41		)	(52		)
Total	$	(418	)	$	(357	)	$	9		$	(766	)

	Three Months Ended June 30, 2013
Trading account assets:
Corporate securities, trading loans and other	$	2		$	—		$	—		$	2
Equity securities	4			—			—			4
Non-U.S. sovereign debt	(18		)	—			—			(18		)
Mortgage trading loans and ABS	(10		)	—			—			(10		)
Total trading account assets	(22		)	—			—			(22		)
Net derivative assets	217			(16		)	—			201
Loans and leases ⁽³⁾	—			—			58			58
Mortgage servicing rights	—			954			—			954
Loans held-for-sale ⁽³⁾	—			1			14			15
Other assets	—			127			(58		)	69
Trading account liabilities – Corporate securities and other	2			—			—			2
Accrued expenses and other liabilities ⁽³⁾	—			(16		)	—			(16		)
Long-term debt ⁽³⁾	58			—			34			92
Total	$	255		$	1,050		$	48		$	1,353


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


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $3 million and losses of $18 million recorded on other assets were also included for the three months ended June 30, 2014 and 2013.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.



Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
	Six Months Ended June 30, 2014
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
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			—			(434		)
Loans and leases ⁽³⁾	—			—			64			64
Mortgage servicing rights	12			(876		)	—			(864		)
Loans held-for-sale ⁽³⁾	—			—			14			14
Other assets	—			(51		)	30			(21		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Long-term debt ⁽³⁾	(50		)	—			(63		)	(113		)
Total	$	(311	)	$	(852	)	$	45		$	(1,118	)

	Six Months Ended June 30, 2013
Trading account assets:
Corporate securities, trading loans and other	$	53		$	—		$	—		$	53
Equity securities	(8		)	—			—			(8		)
Non-U.S. sovereign debt	63			—			—			63
Mortgage trading loans and ABS	58			—			—			58
Total trading account assets	166			—			—			166
Net derivative assets	13			(8		)	—			5
Loans and leases ⁽³⁾	—			—			103			103
Mortgage servicing rights	—			1,290			—			1,290
Loans held-for-sale ⁽³⁾	—			11			(30		)	(19		)
Other assets	—			139			(55		)	84
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities ⁽³⁾	—			(15		)	—			(15		)
Long-term debt ⁽³⁾	55			—			23			78
Total	$	235		$	1,417		$	41		$	1,693


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


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $30 million and losses of $18 million recorded on other assets were also included for the six months ended June 30, 2014 and 2013.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at June 30, 2014 and December 31, 2013.



Quantitative Information about Level 3 Fair Value Measurements at June 30, 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	$	2,501		Discounted cash flow, Market comparables	Yield	1% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	305				Prepayment speed	0% to 33% CPR		11	%
Loans and leases	2,086				Default rate	5% to 15% CDR		8	%
Loans held-for-sale	110				Loss severity	20% to 80%		31	%
Commercial loans, debt securities and other	$	10,786		Discounted cash flow, Market comparables	Yield	0% to 39%		6	%
Trading account assets – Corporate securities, trading loans and other	2,644				Enterprise value/EBITDA multiple	2x to 14x		6x
Trading account assets – Non-U.S. sovereign debt	640				Prepayment speed	5% to 40%		19	%
Trading account assets – Mortgage trading loans and ABS	4,006				Default rate	1% to 5%		4	%
AFS debt securities – Other taxable securities	2,564				Loss severity	25% to 40%		36	%
Loans and leases	932				Duration	0 years to 5 years		3 years
					Price	$0 to $117		$67
Auction rate securities	$	1,565		Discounted cash flow, Market comparables	Projected tender price/Refinancing level	60% to 100%		96	%
Trading account assets – Corporate securities, trading loans and other	128				Projected tender price/Refinancing level
AFS debt securities – Other taxable securities	702
AFS debt securities – Tax-exempt securities	735
Structured liabilities
Long-term debt	$	(2,416	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	13% to 98%		65	%
					Long-dated equity volatilities	6% to 57%		25	%
					Long-dated volatilities (IR)	0% to 2%		1	%
Net derivatives assets
Credit derivatives	$	520		Discounted cash flow, Stochastic recovery correlation model	Yield	1% to 25%		15	%
					Upfront points	1 point to 100 points		66 points
					Spread to index	25 bps to 475 bps		98 bps
					Credit correlation	20% to 99%		49	%
					Prepayment speed	3% to 40% CPR		14	%
					Default rate	4% CDR		n/a
					Loss severity	35	%	n/a
Equity derivatives	$	(1,961	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	13% to 98%		65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	6% to 57%		25	%
Commodity derivatives	$	11		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$3/MMBtu to $8/MMBtu		$6/MMBtu
					Correlation	47% to 89%		82	%
					Volatilities	11% to 120%		28	%
Interest rate derivatives	$	634		Industry standard derivative pricing⁽³⁾	Correlation (IR/IR)	14% to 99%		58	%
					Correlation (FX/IR)	-30% to 40%		-8	%
					Long-dated inflation rates	0% to 3%		2	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(796	)

⁽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 223: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $640 million, Trading account assets – Mortgage trading loans and ABS of $4.3 billion, AFS debt securities – Other taxable securities of $3.3 billion, AFS debt securities – Tax-exempt securities of $735 million, Loans and leases of $3.0 billion and LHFS of $110 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



Quantitative Information about Level 3 Fair Value Measurements at December 31, 2013
(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	$	3,443		Discounted cash flow, Market comparables	Yield	2% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	363				Prepayment speed	0% to 35% CPR	9	%
Loans and leases	2,151				Default rate	1% to 20% CDR	6	%
Loans held-for-sale	929				Loss severity	21% to 80%	35	%
Commercial loans, debt securities and other	$	12,135		Discounted cash flow, Market comparables	Yield	0% to 45%	5	%
Trading account assets – Corporate securities, trading loans and other	3,462				Enterprise value/EBITDA multiple	0x to 24x	7x
Trading account assets – Non-U.S. sovereign debt	468				Prepayment speed	5% to 40%	19	%
Trading account assets – Mortgage trading loans and ABS	4,268				Default rate	1% to 5%	4	%
AFS debt securities – Other taxable securities	3,031				Loss severity	25% to 42%	36	%
Loans and leases	906				Duration	1 year to 5 years	4 years
Auction rate securities	$	1,719		Discounted cash flow, Market comparables	Project tender price/Refinancing level	60% to 100%	96	%
Trading account assets – Corporate securities, trading loans and other	97				Project tender price/Refinancing level
AFS debt securities – Other taxable securities	816
AFS debt securities – Tax-exempt securities	806
Structured liabilities
Long-term debt	$	(1,990	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	18% to 98%	70	%
					Long-dated equity volatilities	4% to 63%	27	%
					Long-dated volatilities (IR)	0% to 2%	1	%
Net derivatives assets
Credit derivatives	$	1,008		Discounted cash flow, Stochastic recovery correlation model	Yield	3% to 25%	14	%
					Upfront points	0 points to 100 points	63 points
					Spread to index	-1,407 bps to 1,741 bps	91 bps
					Credit correlation	14% to 99%	47	%
					Prepayment speed	3% to 40% CPR	13	%
					Default rate	1% to 5% CDR	3	%
					Loss severity	20% to 42%	35	%
Equity derivatives	$	(1,596	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	18% to 98%	70	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	4% to 63%	27	%
Commodity derivatives	$	6		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$3/MMBtu to $11/MMBtu	$6/MMBtu
					Correlation	47% to 89%	81	%
					Volatilities	9% to 109%	30	%
Interest rate derivatives	$	558		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	24% to 99%	60	%
					Correlation (FX/IR)	-30% to 40%	-4	%
					Long-dated inflation rates	0% to 3%	2	%
					Long-dated inflation volatilities	0% to 2%	1	%
Total net derivative assets	$	(24	)

⁽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 224: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $4.6 billion, AFS debt securities – Other taxable securities of $3.8 billion, AFS debt securities – Tax-exempt securities of $806 million, Loans and leases of $3.1 billion and LHFS of $929 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

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

Nonrecurring Fair Value

The Corporation holds certain assets that are measured at fair value, but only in certain situations (e.g., impairment) and these measurements are referred to herein as nonrecurring. These assets primarily include LHFS, certain loans and leases, and foreclosed properties. The amounts below represent only balances measured at fair value during the three and six months ended June 30, 2014 and 2013, and still held as of the reporting date.



Assets Measured at Fair Value on a Nonrecurring Basis
	June 30, 2014				Three Months Ended June 30, 2014			Six Months Ended June 30, 2014
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	1,057	$	127	$	5		$	4
Loans and leases	5		3,244		(318		)	(564		)
Foreclosed properties ⁽¹⁾	6		1,156		(21		)	(28		)
Other assets	90		2		(16		)	(16		)

	June 30, 2013				Three Months Ended June 30, 2013			Six Months Ended June 30, 2013
Assets
Loans held-for-sale	$	2,195	$	660	$	(61	)	$	(69	)
Loans and leases	14		4,489		(525		)	(1,004		)
Foreclosed properties ⁽¹⁾	12		1,435		(12		)	(18		)
Other assets	99		12		(5		)	(11		)


⁽¹⁾	Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value of, and related losses on, foreclosed properties that were written down subsequent to their initial classification as foreclosed properties.

Fair Value Inputs, Assets, Quantitative Information

The table below presents information about significant unobservable inputs related to the Corporation's nonrecurring Level 3 financial assets and liabilities at June 30, 2014 and December 31, 2013.



Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
	June 30, 2014
(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	$	3,244	Market comparables	OREO discount	0% to 28%	10	%
Loans and leases	3,244		Market comparables	Cost to sell	8%	n/a



	December 31, 2013
Instruments backed by residential real estate assets	$	5,240	Market comparables	OREO discount	0% to 19%	8	%
Loans and leases	5,240		Market comparables	Cost to sell	8%	n/a

n/a = not applicable

Level 3 [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings [Table Text Block]

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, 2014 and 2013. 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, 2014
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
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			—			(202		)
AFS debt securities – Tax-exempt securities	—			—			2			2
Loans and leases ⁽³⁾	—			—			27			27
Mortgage servicing rights	17			(266		)	—			(249		)
Loans held-for-sale ⁽³⁾	—			—			59			59
Other assets	—			(29		)	3			(26		)
Long-term debt ⁽³⁾	(11		)	—			(41		)	(52		)
Total	$	(232	)	$	(70	)	$	50		$	(252	)

	Three Months Ended June 30, 2013
Trading account assets:
Corporate securities, trading loans and other	$	35		$	—		$	—		$	35
Equity securities	8			—			—			8
Non-U.S. sovereign debt	(6		)	—			—			(6		)
Mortgage trading loans and ABS	10			—			—			10
Total trading account assets	47			—			—			47
Net derivative assets	260			132			—			392
AFS debt securities – Other taxable securities	—			—			3			3
Loans and leases ⁽³⁾	—			—			49			49
Mortgage servicing rights	—			1,026			—			1,026
Loans held-for-sale ⁽³⁾	—			(2		)	21			19
Other assets	—			127			(6		)	121
Trading account liabilities – Corporate securities and other	6			—			—			6
Accrued expenses and other liabilities ⁽³⁾	—			(7		)	—			(7		)
Long-term debt ⁽³⁾	58			—			34			92
Total	$	371		$	1,276		$	101		$	1,748


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


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $2 million and $34 million recorded on other assets were also included for the three months ended June 30, 2014 and 2013.


⁽³⁾	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, 2014
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
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			—			(197		)
AFS debt securities:
Other taxable securities	—			—			8			8
Tax-exempt securities	—			—			3			3
Total AFS debt securities	—			—			11			11
Loans and leases ⁽³⁾	—			—			59			59
Mortgage servicing rights	12			(551		)	—			(539		)
Loans held-for-sale ⁽³⁾	—			—			71			71
Other assets	—			(65		)	(21		)	(86		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities ⁽³⁾	—			—			1			1
Long-term debt ⁽³⁾	(64		)	—			(55		)	(119		)
Total	$	(183	)	$	(218	)	$	66		$	(335	)

	Six Months Ended June 30, 2013
Trading account assets:
Corporate securities, trading loans and other	$	123		$	—		$	—		$	123
Equity securities	50			—			—			50
Non-U.S. sovereign debt	45			—			—			45
Mortgage trading loans and ABS	172			—			—			172
Total trading account assets	390			—			—			390
Net derivative assets	146			539			—			685
AFS debt securities:
Other taxable securities	—			—			3			3
Tax-exempt securities	—			—			1			1
Total AFS debt securities	—			—			4			4
Loans and leases ⁽³⁾	—			—			100			100
Mortgage servicing rights	—			1,460			—			1,460
Loans held-for-sale ⁽³⁾	—			2			(22		)	(20		)
Other assets	—			124			(451		)	(327		)
Trading account liabilities – Corporate securities and other	6			—			—			6
Accrued expenses and other liabilities ⁽³⁾	—			22			—			22
Long-term debt ⁽³⁾	80			—			23			103
Total	$	622		$	2,147		$	(346	)	$	2,423


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


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment losses of $21 million and gains of $36 million recorded on other assets were also included for the six months ended June 30, 2014 and 2013.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.