Current report filing

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2014

Assets and Liabilities Carried at Fair Value on a Recurring Basis

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




	December 31, 2014
	Fair Value Measurements
(Dollars in millions)	Level 1		Level 2		Level 3		Netting Adjustments ⁽¹⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	62,182	$	—	$	—		$	62,182
Trading account assets:
U.S. government and agency securities ⁽²⁾	33,470		17,549		—		—			51,019
Corporate securities, trading loans and other	243		31,699		3,270		—			35,212
Equity securities	33,518		22,488		352		—			56,358
Non-U.S. sovereign debt	20,348		15,332		574		—			36,254
Mortgage trading loans and ABS	—		10,879		2,063		—			12,942
Total trading account assets	87,579		97,947		6,259		—			191,785
Derivative assets ⁽³⁾	4,957		972,977		6,851		(932,103		)	52,682
AFS debt securities:
U.S. Treasury and agency securities	67,413		2,182		—		—			69,595
Mortgage-backed securities:
Agency	—		165,039		—		—			165,039
Agency-collateralized mortgage obligations	—		14,248		—		—			14,248
Non-agency residential	—		4,175		279		—			4,454
Commercial	—		4,000		—		—			4,000
Non-U.S. securities	3,191		3,029		10		—			6,230
Corporate/Agency bonds	—		368		—		—			368
Other taxable securities	20		9,104		1,667		—			10,791
Tax-exempt securities	—		8,950		599		—			9,549
Total AFS debt securities	70,624		211,095		2,555		—			284,274
Other debt securities carried at fair value:
U.S. Treasury and agency securities	1,541		—		—		—			1,541
Mortgage-backed securities:
Agency	—		15,704		—		—			15,704
Non-agency residential	—		3,745		—		—			3,745
Non-U.S. securities	13,270		1,862		—		—			15,132
Other taxable securities	—		299		—		—			299
Total other debt securities carried at fair value	14,811		21,610		—		—			36,421
Loans and leases	—		6,698		1,983		—			8,681
Mortgage servicing rights	—		—		3,530		—			3,530
Loans held-for-sale	—		6,628		173		—			6,801
Other assets	11,581		1,381		911		—			13,873
Total assets ⁽⁴⁾	$	189,552	$	1,380,518	$	22,262	$	(932,103	)	$	660,229
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,469	$	—	$	—		$	1,469
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		35,357		—		—			35,357
Trading account liabilities:
U.S. government and agency securities	18,514		446		—		—			18,960
Equity securities	24,679		3,670		—		—			28,349
Non-U.S. sovereign debt	16,089		3,625		—		—			19,714
Corporate securities and other	189		6,944		36		—			7,169
Total trading account liabilities	59,471		14,685		36		—			74,192
Derivative liabilities ⁽³⁾	4,493		969,502		7,771		(934,857		)	46,909
Short-term borrowings	—		2,697		—		—			2,697
Accrued expenses and other liabilities	10,795		1,250		10		—			12,055
Long-term debt	—		34,042		2,362		—			36,404
Total liabilities ⁽⁴⁾	$	74,759	$	1,059,002	$	10,179	$	(934,857	)	$	209,083


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


⁽²⁾	Includes $17.2 billion of government-sponsored enterprise obligations.


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

⁽⁴⁾

During 2014, the Corporation reclassified certain assets and liabilities within its fair value hierarchy based on a review of its inputs used to measure fair value. Accordingly, approximately $4.1 billion of assets related to U.S. government and agency securities, non-U.S. government securities and equity derivatives, and $570 million of liabilities related to equity derivatives were transferred from Level 1 to Level 2.




	December 31, 2013
	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	$	—	$	68,656	$	—	$	—		$	68,656
Trading account assets:
U.S. government and agency securities ⁽²⁾	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 ⁽³⁾	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 ⁽⁴⁾	$	139,726	$	1,326,988	$	31,778	$	(872,758	)	$	625,734
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,899	$	—	$	—		$	1,899
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		26,500		—		—			26,500
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 ⁽³⁾	1,968		896,907		7,501		(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 ⁽⁴⁾	$	84,160	$	984,336	$	9,536	$	(868,969	)	$	209,063


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


⁽²⁾	Includes $15.6 billion of government-sponsored enterprise obligations.


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


⁽⁴⁾	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.

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

The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during 2014, 2013 and 2012, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.




Level 3 – Fair Value Measurements ⁽¹⁾

	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 December 31 2014
Trading account assets:
U.S. government and agency securities	$	—		$	—		$	—		$	87	$	(87	)	$	—		$	—		$	—		$	—		$	—
Corporate securities, trading loans and other	3,559			180			—			1,675		(857		)	—			(938		)	1,275			(1,624		)	3,270
Equity securities	386			—			—			104		(86		)	—			(16		)	146			(182		)	352
Non-U.S. sovereign debt	468			30			—			120		(34		)	—			(19		)	11			(2		)	574
Mortgage trading loans and ABS	4,631			199			—			1,643		(1,259		)	—			(585		)	39			(2,605		)	2,063
Total trading account assets	9,044			409			—			3,629		(2,323		)	—			(1,558		)	1,471			(4,413		)	6,259
Net derivative assets ⁽²⁾	(224		)	463			—			823		(1,738		)	—			(432		)	28			160			(920		)
AFS debt securities:
Non-agency residential MBS	—			(2		)	—			11		—			—			—			270			—			279
Non-U.S. securities	107			(7		)	(11		)	241		—			—			(147		)	—			(173		)	10
Corporate/Agency bonds	—			—			—			—		—			—			—			93			(93		)	—
Other taxable securities	3,847			9			(8		)	154		—			—			(1,381		)	—			(954		)	1,667
Tax-exempt securities	806			8			—			—		(16		)	—			(235		)	36			—			599
Total AFS debt securities	4,760			8			(19		)	406		(16		)	—			(1,763		)	399			(1,220		)	2,555
Loans and leases ^{(3, 4)}	3,057			69			—			—		(3		)	699			(1,591		)	25			(273		)	1,983
Mortgage servicing rights ⁽⁴⁾	5,042			(1,231		)	—			—		(61		)	707			(927		)	—			—			3,530
Loans held-for-sale ⁽³⁾	929			45			—			59		(725		)	23			(216		)	83			(25		)	173
Other assets ⁽⁵⁾	1,669			(98		)	—			—		(430		)	—			(245		)	39			(24		)	911
Trading account liabilities – Corporate securities and other	(35		)	1			—			10		(13		)	—			—			(9		)	10			(36		)
Accrued expenses and other liabilities ⁽³⁾	(10		)	2			—			—		—			(3		)	—			—			1			(10		)
Long-term debt ⁽³⁾	(1,990		)	49			—			169		—			(615		)	540			(1,581		)	1,066			(2,362		)


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


⁽²⁾	Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.8 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⁾

	2012
									Gross
(Dollars in millions)	Balance January 1 2012			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases			Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2012
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	6,880		$	195		$	—	$	2,798		$	(4,556	)	$	—		$	(1,077	)	$	436		$	(950	)	$	3,726
Equity securities	544			31			—		201			(271		)	—			27			90			(77		)	545
Non-U.S. sovereign debt	342			8			—		388			(359		)	—			(5		)	—			(21		)	353
Mortgage trading loans and ABS ⁽²⁾	3,689			215			—		2,574			(1,536		)	—			(678		)	844			(173		)	4,935
Total trading account assets	11,455			449			—		5,961			(6,722		)	—			(1,733		)	1,370			(1,221		)	9,559
Net derivative assets ⁽³⁾	5,866			(221		)	—		893			(1,012		)	—			(3,328		)	(269		)	(461		)	1,468
AFS debt securities:
Mortgage-backed securities:
Agency	37			—			—		—			—			—			(4		)	—			(33		)	—
Non-agency residential	860			(69		)	19		—			(306		)	—			(2		)	—			(502		)	—
Non-agency commercial	40			—			—		—			(24		)	—			(6		)	—			—			10
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			(39		)	—			(27		)	92
Other taxable securities	4,265			23			26		3,196			(28		)	—			(3,345		)	—			(209		)	3,928
Tax-exempt securities	2,648			61			20		—			(133		)	—			(1,535		)	—			—			1,061
Total AFS debt securities	8,012			13			65		3,194			(491		)	—			(4,931		)	—			(771		)	5,091
Loans and leases ^{(4, 5)}	2,744			334			—		564			(1,520		)	—			(274		)	450			(11		)	2,287
Mortgage servicing rights ⁽⁵⁾	7,378			(430		)	—		—			(122		)	374			(1,484		)	—			—			5,716
Loans held-for-sale ⁽⁴⁾	3,387			352			—		794			(834		)	—			(414		)	80			(632		)	2,733
Other assets ⁽⁶⁾	4,235			(54		)	—		109			(1,039		)	270			(381		)	—			(11		)	3,129
Trading account liabilities – Corporate securities and other	(114		)	4			—		116			(136		)	—			80			(68		)	54			(64		)
Short-term borrowings ⁽⁴⁾	—			—			—		—			—			(232		)	232			—			—			—
Accrued expenses and other liabilities ⁽⁴⁾	(14		)	(4		)	—		8			—			(9		)	—			—			4			(15		)
Long-term debt ⁽⁴⁾	(2,943		)	(307		)	—		290			(33		)	(259		)	1,239			(2,040		)	1,752			(2,301		)


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

⁽²⁾

During 2012, approximately $900 million was reclassified from Trading account assets – Corporate securities, trading loans and other to Trading account assets – Mortgage trading loans and ABS. In the table above, this reclassification is presented as a sale of Trading account assets – Corporate securities, trading loans and other and as a purchase of Trading account assets – Mortgage trading loans and ABS.


⁽³⁾	Net derivatives include derivative assets of $8.1 billion and derivative liabilities of $6.6 billion.


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


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


⁽⁶⁾	Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.




Level 3 – Fair Value Measurements ⁽¹⁾

	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 December 31 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	242		$	—	$	3,848	$	(3,110	)	$	59		$	(651	)	$	890		$	(1,445	)	$	3,559
Equity securities	545			74			—		96		(175		)	—			(100		)	70			(124		)	386
Non-U.S. sovereign debt	353			50			—		122		(18		)	—			(36		)	2			(5		)	468
Mortgage trading loans and ABS	4,935			53			—		2,514		(1,993		)	—			(868		)	20			(30		)	4,631
Total trading account assets	9,559			419			—		6,580		(5,296		)	59			(1,655		)	982			(1,604		)	9,044
Net derivative assets ⁽²⁾	1,468			(304		)	—		824		(1,467		)	—			(1,362		)	(10		)	627			(224		)
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			5			2		1		(1		)	—			—			100			—			107
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(96		)	—
Other taxable securities	3,928			9			15		1,055		—			—			(1,155		)	—			(5		)	3,847
Tax-exempt securities	1,061			3			19		—		—			—			(109		)	—			(168		)	806
Total AFS debt securities	5,091			17			40		1,056		(1		)	—			(1,274		)	100			(269		)	4,760
Loans and leases ^{(3, 4)}	2,287			98			—		310		(128		)	1,252			(757		)	19			(24		)	3,057
Mortgage servicing rights ⁽⁴⁾	5,716			1,941			—		—		(2,044		)	472			(1,043		)	—			—			5,042
Loans held-for-sale ⁽³⁾	2,733			62			—		8		(402		)	4			(1,507		)	34			(3		)	929
Other assets ⁽⁵⁾	3,129			(288		)	—		46		(383		)	—			(1,019		)	239			(55		)	1,669
Trading account liabilities – Corporate securities and other	(64		)	10			—		43		(54		)	(5		)	—			(9		)	44			(35		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	30			—		—		—			(751		)	724			(1		)	3			(10		)
Long-term debt ⁽³⁾	(2,301		)	13			—		358		(4		)	(172		)	258			(1,331		)	1,189			(1,990		)


⁽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 $7.3 billion and derivative liabilities of $7.5 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 private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.

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




Level 3 – Fair Value Measurements ⁽¹⁾

	2012
									Gross
(Dollars in millions)	Balance January 1 2012			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases			Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2012
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	6,880		$	195		$	—	$	2,798		$	(4,556	)	$	—		$	(1,077	)	$	436		$	(950	)	$	3,726
Equity securities	544			31			—		201			(271		)	—			27			90			(77		)	545
Non-U.S. sovereign debt	342			8			—		388			(359		)	—			(5		)	—			(21		)	353
Mortgage trading loans and ABS ⁽²⁾	3,689			215			—		2,574			(1,536		)	—			(678		)	844			(173		)	4,935
Total trading account assets	11,455			449			—		5,961			(6,722		)	—			(1,733		)	1,370			(1,221		)	9,559
Net derivative assets ⁽³⁾	5,866			(221		)	—		893			(1,012		)	—			(3,328		)	(269		)	(461		)	1,468
AFS debt securities:
Mortgage-backed securities:
Agency	37			—			—		—			—			—			(4		)	—			(33		)	—
Non-agency residential	860			(69		)	19		—			(306		)	—			(2		)	—			(502		)	—
Non-agency commercial	40			—			—		—			(24		)	—			(6		)	—			—			10
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			(39		)	—			(27		)	92
Other taxable securities	4,265			23			26		3,196			(28		)	—			(3,345		)	—			(209		)	3,928
Tax-exempt securities	2,648			61			20		—			(133		)	—			(1,535		)	—			—			1,061
Total AFS debt securities	8,012			13			65		3,194			(491		)	—			(4,931		)	—			(771		)	5,091
Loans and leases ^{(4, 5)}	2,744			334			—		564			(1,520		)	—			(274		)	450			(11		)	2,287
Mortgage servicing rights ⁽⁵⁾	7,378			(430		)	—		—			(122		)	374			(1,484		)	—			—			5,716
Loans held-for-sale ⁽⁴⁾	3,387			352			—		794			(834		)	—			(414		)	80			(632		)	2,733
Other assets ⁽⁶⁾	4,235			(54		)	—		109			(1,039		)	270			(381		)	—			(11		)	3,129
Trading account liabilities – Corporate securities and other	(114		)	4			—		116			(136		)	—			80			(68		)	54			(64		)
Short-term borrowings ⁽⁴⁾	—			—			—		—			—			(232		)	232			—			—			—
Accrued expenses and other liabilities ⁽⁴⁾	(14		)	(4		)	—		8			—			(9		)	—			—			4			(15		)
Long-term debt ⁽⁴⁾	(2,943		)	(307		)	—		290			(33		)	(259		)	1,239			(2,040		)	1,752			(2,301		)


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

⁽²⁾


⁽³⁾	Net derivatives include derivative assets of $8.1 billion and derivative liabilities of $6.6 billion.


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


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


⁽⁶⁾	Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.




Level 3 – Fair Value Measurements ⁽¹⁾

	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 December 31 2014
Trading account assets:
U.S. government and agency securities	$	—		$	—		$	—		$	87	$	(87	)	$	—		$	—		$	—		$	—		$	—
Corporate securities, trading loans and other	3,559			180			—			1,675		(857		)	—			(938		)	1,275			(1,624		)	3,270
Equity securities	386			—			—			104		(86		)	—			(16		)	146			(182		)	352
Non-U.S. sovereign debt	468			30			—			120		(34		)	—			(19		)	11			(2		)	574
Mortgage trading loans and ABS	4,631			199			—			1,643		(1,259		)	—			(585		)	39			(2,605		)	2,063
Total trading account assets	9,044			409			—			3,629		(2,323		)	—			(1,558		)	1,471			(4,413		)	6,259
Net derivative assets ⁽²⁾	(224		)	463			—			823		(1,738		)	—			(432		)	28			160			(920		)
AFS debt securities:
Non-agency residential MBS	—			(2		)	—			11		—			—			—			270			—			279
Non-U.S. securities	107			(7		)	(11		)	241		—			—			(147		)	—			(173		)	10
Corporate/Agency bonds	—			—			—			—		—			—			—			93			(93		)	—
Other taxable securities	3,847			9			(8		)	154		—			—			(1,381		)	—			(954		)	1,667
Tax-exempt securities	806			8			—			—		(16		)	—			(235		)	36			—			599
Total AFS debt securities	4,760			8			(19		)	406		(16		)	—			(1,763		)	399			(1,220		)	2,555
Loans and leases ^{(3, 4)}	3,057			69			—			—		(3		)	699			(1,591		)	25			(273		)	1,983
Mortgage servicing rights ⁽⁴⁾	5,042			(1,231		)	—			—		(61		)	707			(927		)	—			—			3,530
Loans held-for-sale ⁽³⁾	929			45			—			59		(725		)	23			(216		)	83			(25		)	173
Other assets ⁽⁵⁾	1,669			(98		)	—			—		(430		)	—			(245		)	39			(24		)	911
Trading account liabilities – Corporate securities and other	(35		)	1			—			10		(13		)	—			—			(9		)	10			(36		)
Accrued expenses and other liabilities ⁽³⁾	(10		)	2			—			—		—			(3		)	—			—			1			(10		)
Long-term debt ⁽³⁾	(1,990		)	49			—			169		—			(615		)	540			(1,581		)	1,066			(2,362		)


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


⁽²⁾	Net derivatives include derivative assets of $6.9 billion and derivative liabilities of $7.8 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⁾

	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 December 31 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	242		$	—	$	3,848	$	(3,110	)	$	59		$	(651	)	$	890		$	(1,445	)	$	3,559
Equity securities	545			74			—		96		(175		)	—			(100		)	70			(124		)	386
Non-U.S. sovereign debt	353			50			—		122		(18		)	—			(36		)	2			(5		)	468
Mortgage trading loans and ABS	4,935			53			—		2,514		(1,993		)	—			(868		)	20			(30		)	4,631
Total trading account assets	9,559			419			—		6,580		(5,296		)	59			(1,655		)	982			(1,604		)	9,044
Net derivative assets ⁽²⁾	1,468			(304		)	—		824		(1,467		)	—			(1,362		)	(10		)	627			(224		)
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			5			2		1		(1		)	—			—			100			—			107
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(96		)	—
Other taxable securities	3,928			9			15		1,055		—			—			(1,155		)	—			(5		)	3,847
Tax-exempt securities	1,061			3			19		—		—			—			(109		)	—			(168		)	806
Total AFS debt securities	5,091			17			40		1,056		(1		)	—			(1,274		)	100			(269		)	4,760
Loans and leases ^{(3, 4)}	2,287			98			—		310		(128		)	1,252			(757		)	19			(24		)	3,057
Mortgage servicing rights ⁽⁴⁾	5,716			1,941			—		—		(2,044		)	472			(1,043		)	—			—			5,042
Loans held-for-sale ⁽³⁾	2,733			62			—		8		(402		)	4			(1,507		)	34			(3		)	929
Other assets ⁽⁵⁾	3,129			(288		)	—		46		(383		)	—			(1,019		)	239			(55		)	1,669
Trading account liabilities – Corporate securities and other	(64		)	10			—		43		(54		)	(5		)	—			(9		)	44			(35		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	30			—		—		—			(751		)	724			(1		)	3			(10		)
Long-term debt ⁽³⁾	(2,301		)	13			—		358		(4		)	(172		)	258			(1,331		)	1,189			(1,990		)


⁽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 $7.3 billion and derivative liabilities of $7.5 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 private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.

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

The 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 2014, 2013 and 2012. 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

	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	$	180		$	—		$	—		$	180
Non-U.S. sovereign debt	30			—			—			30
Mortgage trading loans and ABS	199			—			—			199
Total trading account assets	409			—			—			409
Net derivative assets	(475		)	834			104			463
AFS debt securities:
Non-agency residential MBS	—			—			(2		)	(2		)
Non-U.S. securities	—			—			(7		)	(7		)
Other taxable securities	—			—			9			9
Tax-exempt securities	—			—			8			8
Total AFS debt securities	—			—			8			8
Loans and leases ⁽³⁾	—			—			69			69
Mortgage servicing rights	(6		)	(1,225		)	—			(1,231		)
Loans held-for-sale ⁽³⁾	(14		)	—			59			45
Other assets	—			(79		)	(19		)	(98		)
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities ⁽³⁾	—			—			2			2
Long-term debt ⁽³⁾	78			—			(29		)	49
Total	$	(7	)	$	(470	)	$	194		$	(283	)

	2013
Trading account assets:
Corporate securities, trading loans and other	$	242		$	—		$	—		$	242
Equity securities	74			—			—			74
Non-U.S. sovereign debt	50			—			—			50
Mortgage trading loans and ABS	53			—			—			53
Total trading account assets	419			—			—			419
Net derivative assets	(1,224		)	927			(7		)	(304		)
AFS debt securities:
Non-U.S. securities	—			—			5			5
Other taxable securities	—			—			9			9
Tax-exempt securities	—			—			3			3
Total AFS debt securities	—			—			17			17
Loans and leases ⁽³⁾	—			(38		)	136			98
Mortgage servicing rights	—			1,941			—			1,941
Loans held-for-sale ⁽³⁾	—			2			60			62
Other assets	—			122			(410		)	(288		)
Trading account liabilities – Corporate securities and other	10			—			—			10
Accrued expenses and other liabilities ⁽³⁾	—			30			—			30
Long-term debt⁽³⁾	45			—			(32		)	13
Total	$	(750	)	$	2,984		$	(236	)	$	1,998


⁽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 $86 million and $77 million recorded on net derivative assets and other assets were also included for 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 (continued)

	2012
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
Trading account assets:
Corporate securities, trading loans and other	$	195		$	—		$	—		$	195
Equity securities	31			—			—			31
Non-U.S. sovereign debt	8			—			—			8
Mortgage trading loans and ABS	215			—			—			215
Total trading account assets	449			—			—			449
Net derivative assets	(3,208		)	2,987			—			(221		)
AFS debt securities:
Non-agency residential MBS	—			—			(69		)	(69		)
Corporate/Agency bonds	—			—			(2		)	(2		)
Other taxable securities	2			—			21			23
Tax-exempt securities	—			—			61			61
Total AFS debt securities	2			—			11			13
Loans and leases ⁽³⁾	—			—			334			334
Mortgage servicing rights	—			(430		)	—			(430		)
Loans held-for-sale ⁽³⁾	—			148			204			352
Other assets	—			(74		)	20			(54		)
Trading account liabilities – Corporate securities and other	4			—			—			4
Accrued expenses and other liabilities ⁽³⁾	—			—			(4		)	(4		)
Long-term debt⁽³⁾	(133		)	—			(174		)	(307		)
Total	$	(2,886	)	$	2,631		$	391		$	136


⁽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 $97 million recorded on other assets were also included for 2012.


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

Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

The table below summarizes changes in unrealized gains (losses) recorded in earnings during 2014, 2013 and 2012 for Level 3 assets and liabilities that were still held at December 31, 2014, 2013 and 2012. 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

	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	$	69		$	—		$	—		$	69
Equity securities	(8		)	—			—			(8		)
Non-U.S. sovereign debt	31			—			—			31
Mortgage trading loans and ABS	79			—			—			79
Total trading account assets	171			—			—			171
Net derivative assets	(276		)	85			104			(87		)
Loans and leases ⁽³⁾	—			—			76			76
Mortgage servicing rights	(6		)	(1,747		)	—			(1,753		)
Loans held-for-sale ⁽³⁾	(14		)	—			10			(4		)
Other assets	—			(50		)	102			52
Trading account liabilities – Corporate securities and other	1			—			—			1
Accrued expenses and other liabilities ⁽³⁾	—			—			1			1
Long-term debt ⁽³⁾	29			—			(37		)	(8		)
Total	$	(95	)	$	(1,712	)	$	256		$	(1,551	)

	2013
Trading account assets:
Corporate securities, trading loans and other	$	(130	)	$	—		$	—		$	(130	)
Equity securities	40			—			—			40
Non-U.S. sovereign debt	80			—			—			80
Mortgage trading loans and ABS	(174		)	—			—			(174		)
Total trading account assets	(184		)	—			—			(184		)
Net derivative assets	(1,375		)	42			(7		)	(1,340		)
Loans and leases ⁽³⁾	—			(34		)	152			118
Mortgage servicing rights	—			1,541			—			1,541
Loans held-for-sale ⁽³⁾	—			6			57			63
Other assets	—			166			14			180
Long-term debt ⁽³⁾	(4		)	—			(32		)	(36		)
Total	$	(1,563	)	$	1,721		$	184		$	342

	2012
Trading account assets:
Corporate securities, trading loans and other	$	(19	)	$	—		$	—		$	(19	)
Equity securities	17			—			—			17
Non-U.S. sovereign debt	20			—			—			20
Mortgage trading loans and ABS	36			—			—			36
Total trading account assets	54			—			—			54
Net derivative assets	(2,782		)	456			—			(2,326		)
AFS debt securities – Other taxable securities	2			—			—			2
Loans and leases ⁽³⁾	—			—			214			214
Mortgage servicing rights	—			(1,100		)	—			(1,100		)
Loans held-for-sale ⁽³⁾	—			112			168			280
Other assets	—			(71		)	50			(21		)
Trading account liabilities – Corporate securities and other	4			—			—			4
Accrued expenses and other liabilities ⁽³⁾	—			—			(2		)	(2		)
Long-term debt ⁽³⁾	(136		)	—			(173		)	(309		)
Total	$	(2,858	)	$	(603	)	$	257		$	(3,204	)


⁽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 $170 million and $53 million recorded on net derivative assets and other assets were included for 2014 and 2013, and gains of $141 million recorded on other assets were included for 2012.


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

Fair Value Inputs, Assets, Quantitative Information

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




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,030		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	483				Prepayment speed	0% to 35% CPR		14	%
Loans and leases	1,374				Default rate	2% to 15% CDR		7	%
Loans held-for-sale	173				Loss severity	26% to 100%		34	%
Commercial loans, debt securities and other	$	7,203		Discounted cash flow, Market comparables	Yield	0% to 40%		9	%
Trading account assets – Corporate securities, trading loans and other	3,224				Enterprise value/EBITDA multiple	0x to 30x		6x
Trading account assets – Non-U.S. sovereign debt	574				Prepayment speed	1% to 30%		12	%
Trading account assets – Mortgage trading loans and ABS	1,580				Default rate	1% to 5%		4	%
AFS debt securities – Other taxable securities	1,216				Loss severity	25% to 40%		38	%
Loans and leases	609				Duration	0 years to 5 years		3 years
					Price	$0 to $107		$76
Auction rate securities	$	1,096		Discounted cash flow, Market comparables	Price	$60 to $100		$95
Trading account assets – Corporate securities, trading loans and other	46
AFS debt securities – Other taxable securities	451
AFS debt securities – Tax-exempt securities	599
Structured liabilities
Long-term debt	$	(2,362	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%		65	%
					Long-dated equity volatilities	6% to 69%		24	%
					Long-dated volatilities (IR)	0% to 2%		1	%
Net derivative assets
Credit derivatives	$	22		Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 25%		14	%
					Upfront points	0 points to 100 points		65 points
					Spread to index	25 bps to 450 bps		119 bps
					Credit correlation	24% to 99%		51	%
					Prepayment speed	3% to 20% CPR		11	%
					Default rate	4% CDR		n/a
					Loss severity	35	%	n/a
Equity derivatives	$	(1,560	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%		65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	6% to 69%		24	%
Commodity derivatives	$	141		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$5/MMBtu
					Correlation	82% to 93%		90	%
					Volatilities	16% to 98%		35	%
Interest rate derivatives	$	477		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	11% to 99%		55	%
					Correlation (FX/IR)	-48% to 40%		-5	%
					Long-dated inflation rates	0% to 3%		1	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(920	)

⁽¹⁾

The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 107: Trading account assets – Corporate securities, trading loans and other of $3.3 billion, Trading account assets – Non-U.S. sovereign debt of $574 million, Trading account assets – Mortgage trading loans and ABS of $2.1 billion, AFS debt securities – Other taxable securities of $1.7 billion, AFS debt securities – Tax-exempt securities of $599 million, Loans and leases of $2.0 billion and LHFS of $173 million.


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽³⁾	Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

EBITDA = Earnings before interest, taxes, depreciation and amortization

MMBtu = Million British thermal units

IR = Interest Rate

FX = Foreign Exchange

n/a = not applicable




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	Projected tender price/Refinancing level	60% to 100%	96	%
Trading account assets – Corporate securities, trading loans and other	97				Projected 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 derivative assets
Credit derivatives	$	808		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	$	(224	)

⁽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 108: 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

Fair Value Inputs, Liabilities, Quantitative Information




Quantitative Information about Level 3 Fair Value Measurements at December 31, 2014

(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs		Weighted Average
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	2,030		Discounted cash flow, Market comparables	Yield	0% to 25%		6	%
Trading account assets – Mortgage trading loans and ABS	483				Prepayment speed	0% to 35% CPR		14	%
Loans and leases	1,374				Default rate	2% to 15% CDR		7	%
Loans held-for-sale	173				Loss severity	26% to 100%		34	%
Commercial loans, debt securities and other	$	7,203		Discounted cash flow, Market comparables	Yield	0% to 40%		9	%
Trading account assets – Corporate securities, trading loans and other	3,224				Enterprise value/EBITDA multiple	0x to 30x		6x
Trading account assets – Non-U.S. sovereign debt	574				Prepayment speed	1% to 30%		12	%
Trading account assets – Mortgage trading loans and ABS	1,580				Default rate	1% to 5%		4	%
AFS debt securities – Other taxable securities	1,216				Loss severity	25% to 40%		38	%
Loans and leases	609				Duration	0 years to 5 years		3 years
					Price	$0 to $107		$76
Auction rate securities	$	1,096		Discounted cash flow, Market comparables	Price	$60 to $100		$95
Trading account assets – Corporate securities, trading loans and other	46
AFS debt securities – Other taxable securities	451
AFS debt securities – Tax-exempt securities	599
Structured liabilities
Long-term debt	$	(2,362	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	20% to 98%		65	%
					Long-dated equity volatilities	6% to 69%		24	%
					Long-dated volatilities (IR)	0% to 2%		1	%
Net derivative assets
Credit derivatives	$	22		Discounted cash flow, Stochastic recovery correlation model	Yield	0% to 25%		14	%
					Upfront points	0 points to 100 points		65 points
					Spread to index	25 bps to 450 bps		119 bps
					Credit correlation	24% to 99%		51	%
					Prepayment speed	3% to 20% CPR		11	%
					Default rate	4% CDR		n/a
					Loss severity	35	%	n/a
Equity derivatives	$	(1,560	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	20% to 98%		65	%
				Industry standard derivative pricing ⁽²⁾	Long-dated equity volatilities	6% to 69%		24	%
Commodity derivatives	$	141		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$2/MMBtu to $7/MMBtu		$5/MMBtu
					Correlation	82% to 93%		90	%
					Volatilities	16% to 98%		35	%
Interest rate derivatives	$	477		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	11% to 99%		55	%
					Correlation (FX/IR)	-48% to 40%		-5	%
					Long-dated inflation rates	0% to 3%		1	%
					Long-dated inflation volatilities	0% to 2%		1	%
Total net derivative assets	$	(920	)

⁽¹⁾


⁽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	Projected tender price/Refinancing level	60% to 100%	96	%
Trading account assets – Corporate securities, trading loans and other	97				Projected 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 derivative assets
Credit derivatives	$	808		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	$	(224	)

⁽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 108: 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

The amounts below represent only balances measured at fair value during 2014, 2013 and 2012, and still held as of the reporting date.




Assets Measured at Fair Value on a Nonrecurring Basis

	December 31
	2014					2013
(Dollars in millions)	Level 2		Level 3			Level 2			Level 3
Assets
Loans held-for-sale	$	156	$	30		$	2,138		$	115
Loans and leases	5		4,636			18			5,240
Foreclosed properties ⁽¹⁾	—		1,197			12			1,258
Other assets	13		—			88			—

			Gains (Losses)
			2014			2013			2012
Assets
Loans held-for-sale			$	(19	)	$	(71	)	$	(24	)
Loans and leases			(1,132		)	(1,104		)	(3,116		)
Foreclosed properties ⁽¹⁾			(40		)	(39		)	(47		)
Other assets			(6		)	(20		)	(16		)


⁽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, 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 December 31, 2014 and 2013.




Quantitative Information about Nonrecurring Level 3 Fair Value Measurements

	December 31, 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	$	4,636	Market comparables	OREO discount	0% to 28%	8	%
Loans and leases	4,636		Market comparables	Cost to sell	7% to 14%	8	%



	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