Fair Values of Assets and Liabilities

6 Months Ended

Jun. 30, 2015

Fair Value Disclosures [Abstract]

Fair Values of Assets and Liabilities

Note 13:  Fair Values of Assets and Liabilities

We use fair value measurements to record fair value adjustments to certain assets and liabilities and to determine fair value disclosures. Assets and liabilities recorded at fair value on a recurring basis are presented in the recurring table in this Note. From time to time, we may be required to record at fair value other assets on a nonrecurring basis, such as certain residential and commercial MHFS, certain LHFS, loans held for investment and certain other assets. These nonrecurring fair value adjustments typically involve application of lower-of-cost-or-market accounting or write-downs of individual assets.

See Note 1 (Summary of Significant Accounting Policies) to Financial Statements in our 2014 Form 10-K for discussion of how we determine fair value. For descriptions of the valuation methodologies we use for assets and liabilities recorded at fair value on a recurring or nonrecurring basis and for estimating fair value for financial instruments that are not recorded at fair value, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2014 Form 10-K.

FAIR VALUE HIERARCHY We group our assets and liabilities measured at fair value in three levels based on the markets in which the assets and liabilities are traded and the reliability of the assumptions used to determine fair value. These levels are:

• Level 1 – Valuation is based upon quoted prices for identical instruments traded in active markets.

• Level 2 – Valuation is based upon quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques for which all significant assumptions are observable in the market.

• Level 3 – Valuation is generated from techniques that use significant assumptions not observable in the market. These unobservable assumptions reflect estimates of assumptions that market participants would use in pricing the asset or liability. Valuation techniques include use of option pricing models, discounted cash flow models and similar techniques.

Fair Value Measurements from Vendors

For certain assets and liabilities, we obtain fair value measurements from vendors, which predominantly consist of third party pricing services, and record the unadjusted fair value in our financial statements. For additional information, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2014 Form 10-K. The detail by level is shown in the table below. Fair value measurements obtained from brokers or third party pricing services that we have adjusted to determine the fair value recorded in our financial statements are not included in the following table.

	Brokers					Third party pricing services
(in millions)	Level 1		Level 2		Level 3	Level 1	Level 2		Level 3
June 30, 2015
Trading assets (excluding derivatives)	$	—	—		—	3	54		—
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	—		—		—	29,989	5,955		—
Securities of U.S. states and political subdivisions	—		31		—	—	46,333		53
Mortgage-backed securities	—		183		—	—	123,562		103
Other debt securities (1)	—		561		554	—	45,545		468
Total debt securities	—		775		554	29,989	221,395		624
Total marketable equity securities	—		—		—	—	501		—
Total available-for-sale securities	—		775		554	29,989	221,896		624
Derivatives (trading and other assets)	—		—		—	—	253		—
Derivatives (liabilities)	—		—		—	—	(249	)	—
Other liabilities	—		—		—	—	—		—
December 31, 2014
Trading assets (excluding derivatives)	$	—	—		—	2	105		—
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	—		—		—	19,899	5,905		—
Securities of U.S. states and political subdivisions	—		—		—	—	42,666		61
Mortgage-backed securities	—		152		—	—	135,997		133
Other debt securities (1)	—		1,035		601	—	41,933		541
Total debt securities	—		1,187		601	19,899	226,501		735
Total marketable equity securities	—		—		—	—	569		—
Total available-for-sale securities	—		1,187		601	19,899	227,070		735
Derivatives (trading and other assets)	—		1		—	—	290		—
Derivatives (liabilities)	—		(1	)	—	—	(292	)	—
Other liabilities	—		—		—	—	(1	)	—

(1) Includes corporate debt securities, collateralized loan and other debt obligations, asset-backed securities, and other debt securities.

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following two tables present the balances of assets and liabilities recorded at fair value on a recurring basis.

(in millions)	Level 1			Level 2		Level 3			Netting			Total
June 30, 2015
Trading assets (excluding derivatives)
Securities of U.S. Treasury and federal agencies	$	11,038		4,037		—			—			15,075
Securities of U.S. states and political subdivisions	—			2,174		8			—			2,182
Collateralized loan and other debt obligations (1)	—			370		407			—			777
Corporate debt securities	—			7,818		33			—			7,851
Mortgage-backed securities	—			20,826		—			—			20,826
Asset-backed securities	—			1,232		—			—			1,232
Equity securities	15,209			84		1			—			15,294
Total trading securities (2)	26,247			36,541		449			—			63,237
Other trading assets	—			1,799		62			—			1,861
Total trading assets (excluding derivatives)	26,247			38,340		511			—			65,098
Securities of U.S. Treasury and federal agencies	29,989			5,955		—			—			35,944
Securities of U.S. states and political subdivisions	—			46,409		1,889		(3)	—			48,298
Mortgage-backed securities:
Federal agencies	—			100,078		—			—			100,078
Residential	—			8,461		—			—			8,461
Commercial	—			15,206		103			—			15,309
Total mortgage-backed securities	—			123,745		103			—			123,848
Corporate debt securities	65			14,575		334			—			14,974
Collateralized loan and other debt obligations (4)	—			28,399		924		(3)	—			29,323
Asset-backed securities:
Auto loans and leases	—			26		260		(3)	—			286
Home equity loans	—			457		—			—			457
Other asset-backed securities	—			3,710		1,320		(3)	—			5,030
Total asset-backed securities	—			4,193		1,580			—			5,773
Other debt securities	—			20		—			—			20
Total debt securities	30,054			223,296		4,830			—			258,180
Marketable equity securities:
Perpetual preferred securities	456			502		—			—			958
Other marketable equity securities	1,506			23		—			—			1,529
Total marketable equity securities	1,962			525		—			—			2,487
Total available-for-sale securities	32,016			223,821		4,830			—			260,667
Mortgages held for sale	—			19,916		1,623			—			21,539
Loans held for sale	—			—		—			—			—
Loans	—			—		5,651			—			5,651
Mortgage servicing rights (residential)	—			—		12,661			—			12,661
Derivative assets:
Interest rate contracts	77			61,302		319			—			61,698
Commodity contracts	—			4,627		15			—			4,642
Equity contracts	4,357			3,578		1,182			—			9,117
Foreign exchange contracts	33			7,662		—			—			7,695
Credit contracts	—			375		368			—			743
Netting	—			—		—			(65,486	)	(5)	(65,486	)
Total derivative assets(6)	4,467			77,544		1,884			(65,486	)		18,409
Other assets	—			—		2,711			—			2,711
Total assets recorded at fair value	$	62,730		359,621		29,871			(65,486	)		386,736
Derivative liabilities:
Interest rate contracts	$	(32	)	(58,548	)	(67	)		—			(58,647	)
Commodity contracts	—			(5,211	)	(12	)		—			(5,223	)
Equity contracts	(1,082		)	(3,879	)	(1,367	)		—			(6,328	)
Foreign exchange contracts	(32		)	(9,939	)	—			—			(9,971	)
Credit contracts	—			(383	)	(485	)		—			(868	)
Other derivative contracts	—			—		(38	)		—			(38	)
Netting	—			—		—			66,379		(5)	66,379
Total derivative liabilities (6)	(1,146		)	(77,960	)	(1,969	)		66,379			(14,696	)
Short sale liabilities:
Securities of U.S. Treasury and federal agencies	(8,690		)	(1,168	)	—			—			(9,858	)
Securities of U.S. states and political subdivisions	—			(10	)	—			—			(10	)
Corporate debt securities	—			(4,151	)	—			—			(4,151	)
Equity securities	(1,863		)	(2	)	—			—			(1,865	)
Other securities	—			(18	)	(1	)		—			(19	)
Total short sale liabilities	(10,553		)	(5,349	)	(1	)		—			(15,903	)
Other liabilities (excluding derivatives)	—			—		(30	)		—			(30	)
Total liabilities recorded at fair value	$	(11,699	)	(83,309	)	(2,000	)		66,379			(30,629	)

(1) The entire balance is collateralized loan obligations.

(2) Net gains (losses) from trading activities recognized in the income statement for the first half of June 30, 2015 and 2014 include $(470) million and $216 million in net unrealized gains (losses) on trading securities held at June 30, 2015 and 2014, respectively. 

(3) Balances consist of securities that are mostly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity.

(4) Includes collateralized debt obligations of $407 million. 

(5) Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Note 12 (Derivatives) for additional information.

(6) Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively.

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(in millions)	Level 1			Level 2		Level 3			Netting			Total
December 31, 2014
Trading assets (excluding derivatives)
Securities of U.S. Treasury and federal agencies	$	10,506		3,886		—			—			14,392
Securities of U.S. states and political subdivisions	—			1,537		7			—			1,544
Collateralized loan and other debt obligations (1)	—			274		445			—			719
Corporate debt securities	—			7,517		54			—			7,571
Mortgage-backed securities	—			16,273		—			—			16,273
Asset-backed securities	—			776		79			—			855
Equity securities	18,512			38		10			—			18,560
Total trading securities (2)	29,018			30,301		595			—			59,914
Other trading assets	—			1,398		55			—			1,453
Total trading assets (excluding derivatives)	29,018			31,699		650			—			61,367
Securities of U.S. Treasury and federal agencies	19,899			5,905		—			—			25,804
Securities of U.S. states and political subdivisions	—			42,667		2,277		(3)	—			44,944
Mortgage-backed securities:
Federal agencies	—			110,089		—			—			110,089
Residential	—			9,245		24			—			9,269
Commercial	—			16,885		109			—			16,994
Total mortgage-backed securities	—			136,219		133			—			136,352
Corporate debt securities	83			14,451		252			—			14,786
Collateralized loan and other debt obligations (4)	—			24,274		1,087		(3)	—			25,361
Asset-backed securities:
Auto loans and leases	—			31		245		(3)	—			276
Home equity loans	—			662		—			—			662
Other asset-backed securities	—			4,189		1,372		(3)	—			5,561
Total asset-backed securities	—			4,882		1,617			—			6,499
Other debt securities	—			20		—			—			20
Total debt securities	19,982			228,418		5,366			—			253,766
Marketable equity securities:
Perpetual preferred securities (5)	468			569		663		(3)	—			1,700
Other marketable equity securities	1,952			24		—			—			1,976
Total marketable equity securities	2,420			593		663			—			3,676
Total available-for-sale securities	22,402			229,011		6,029			—			257,442
Mortgages held for sale	—			13,252		2,313			—			15,565
Loans held for sale	—			1		—			—			1
Loans	—			—		5,788			—			5,788
Mortgage servicing rights (residential)	—			—		12,738			—			12,738
Derivative assets:
Interest rate contracts	27			63,306		365			—			63,698
Commodity contracts	—			7,438		23			—			7,461
Equity contracts	4,102			3,544		1,359			—			9,005
Foreign exchange contracts	65			7,339		—			—			7,404
Credit contracts	—			440		466			—			906
Netting	—			—		—			(65,869	)	(6)	(65,869	)
Total derivative assets (7)	4,194			82,067		2,213			(65,869	)		22,605
Other assets	—			—		2,593			—			2,593
Total assets recorded at fair value	$	55,614		356,030		32,324			(65,869	)		378,099
Derivative liabilities:
Interest rate contracts	$	(29	)	(59,958	)	(72	)		—			(60,059	)
Commodity contracts	—			(7,680	)	(22	)		—			(7,702	)
Equity contracts	(1,290		)	(4,305	)	(1,443	)		—			(7,038	)
Foreign exchange contracts	(60		)	(7,767	)	—			—			(7,827	)
Credit contracts	—			(456	)	(655	)		—			(1,111	)
Other derivative contracts	—			—		(44	)		—			(44	)
Netting	—			—		—			65,043		(6)	65,043
Total derivative liabilities (7)	(1,379		)	(80,166	)	(2,236	)		65,043			(18,738	)
Short sale liabilities:
Securities of U.S. Treasury and federal agencies	(7,043		)	(1,636	)	—			—			(8,679	)
Securities of U.S. states and political subdivisions	—			(26	)	—			—			(26	)
Corporate debt securities	—			(5,055	)	—			—			(5,055	)
Equity securities	(2,259		)	(2	)	—			—			(2,261	)
Other securities	—			(73	)	(6	)		—			(79	)
Total short sale liabilities	(9,302		)	(6,792	)	(6	)		—			(16,100	)
Other liabilities (excluding derivatives)	—			—		(28	)		—			(28	)
Total liabilities recorded at fair value	$	(10,681	)	(86,958	)	(2,270	)		65,043			(34,866	)

(1) The entire balance is collateralized loan obligations.

(2) Net gains from trading activities recognized in the income statement for the year ended December 31, 2014, include $211 million in net unrealized losses on trading securities held at December 31, 2014.

(3) Balances consist of securities that are mostly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity.

(4) Includes collateralized debt obligations of $500 million. 

(5) Perpetual preferred securities include ARS and corporate preferred securities. See Note 7 (Securitizations and Variable Interest Entities) for additional information.

(6) Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Note 12 (Derivatives) for additional information.

(7) Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively.

Changes in Fair Value Levels

We monitor the availability of observable market data to assess the appropriate classification of financial instruments within the fair value hierarchy and transfer between Level 1, Level 2, and Level 3 accordingly. Observable market data includes but is not limited to quoted prices and market transactions. Changes in economic conditions or market liquidity generally will drive changes in availability of observable market data. Changes in availability of observable market data, which also may result in changing the valuation technique used, are generally the cause of transfers between Level 1, Level 2,and Level 3.

Transfers into and out of Level 1, Level 2, and Level 3for the periods presented are provided within thefollowing table.The amounts reported as transfers represent the fair value as of the beginning of the quarter in which the transfer occurred.

	Transfers Between Fair Value Levels
	Level 1					Level 2				Level 3 (1)
(in millions)	In			Out		In		Out		In		Out		Total
Quarter ended June 30, 2015
Trading assets (excluding derivatives)	$	—		—		83		—		—		(83	)	—
Available-for-sale securities (2)	—			—		24		—		—		(24	)	—
Mortgages held for sale	—			—		386		(53	)	53		(386	)	—
Loans	—			—		—		—		—		—		—
Net derivative assets and liabilities (3)	—			—		18		—		—		(18	)	—
Short sale liabilities	—			—		—		—		—		—		—
Total transfers	$	—		—		511		(53	)	53		(511	)	—
Quarter ended June 30, 2014
Trading assets (excluding derivatives)	$	—		—		38		—		—		(38	)	—
Available-for-sale securities	—			—		97		(53	)	53		(97	)	—
Mortgages held for sale	—			—		98		(139	)	139		(98	)	—
Loans	—			—		—		(270	)	270		—		—
Net derivative assets and liabilities (3)	—			—		(132	)	3		(3	)	132		—
Total transfers	$	—		—		101		(459	)	459		(101	)	—
Six months ended June 30, 2015
Trading assets (excluding derivatives)	$	16		(3	)	93		(16	)	1		(91	)	—
Available-for-sale securities (2)	—			—		76		—		—		(76	)	—
Mortgages held for sale	—			—		453		(95	)	95		(453	)	—
Loans	—			—		—		—		—		—		—
Net derivative assets and liabilities (3)	—			—		52		12		(12	)	(52	)	—
Short sale liabilities	(1		)	—		—		1		—		—		—
Total transfers	$	15		(3	)	674		(98	)	84		(672	)	—
Six months ended June 30, 2014
Trading assets (excluding derivatives)	$	—		—		40		(28	)	28		(40	)	—
Available-for-sale securities	—			(8	)	105		(148	)	148		(97	)	—
Mortgages held for sale	—			—		122		(196	)	196		(122	)	—
Loans	—			—		49		(270	)	270		(49	)	—
Net derivative assets and liabilities (3)	—			—		(87	)	—		—		87		—
Total transfers	$	—		(8	)	229		(642	)	642		(221	)	—

(1) All transfers in and out of Level 3 are disclosed within the recurring Level 3 rollforward table in this Note.

(2) Transfers out of Level 3 exclude $640 million in auction rate perpetual preferred equity securities that were transferred in second quarter 2015 from available-for-sale securities to nonmarketable equity investments in other assets. See Note 6 (Other Assets) for additional information.

(3) Includes net derivative assets that were transferred from Level 3 to Level 2 due to increased observable market data. Also includes net derivative liabilities that were transferred from Level 2 to Level 3 due to a decrease in observable market data.

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2015, are summarized as follows:

				Total net gains (losses) included in				Purchases, sales, issuances and settlements, net (1)							Net unrealized gains (losses) included in income related to assets and liabilities held at period end
(in millions)	Balance, beginning of period			Net income		Other compre- hensive income				Transfers into Level 3	Transfers out of Level 3		Balance, end of period				(2)
Quarter ended June 30, 2015
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	6		—		—		2		—	—		8		—
Collateralized loan and other debt obligations	381			21		—		5		—	—		407		13
Corporate debt securities	31			—		—		4		—	(2	)	33		—
Mortgage-backed securities	—			—		—		—		—	—		—		—
Asset-backed securities	81			—		—		—		—	(81	)	—		—
Equity securities	10			1		—		(10	)	—	—		1		—
Total trading securities	509			22		—		1		—	(83	)	449		13
Other trading assets	64			(1	)	—		(1	)	—			62		1
Total trading assets (excluding derivatives)	573			21		—		—		—	(83	)	511		14		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	1,980			4		(12	)	(59	)	—	(24	)	1,889		—
Mortgage-backed securities:
Residential	—			—		—		—		—	—		—		—
Commercial	104			—		(1	)	—		—	—		103		—
Total mortgage-backed securities	104			—		(1	)	—		—	—		103		—
Corporate debt securities	312			3		(3	)	22		—	—		334		2
Collateralized loan and other debt obligations	1,053			32		5		(166	)	—	—		924		—
Asset-backed securities:
Auto loans and leases	249			—		11		—		—	—		260		—
Other asset-backed securities	1,206			1		2		111		—	—		1,320		—
Total asset-backed securities	1,455			1		13		111		—	—		1,580		—
Total debt securities	4,904			40		2		(92	)	—	(24	)	4,830		2		(4)
Marketable equity securities:
Perpetual preferred securities	640			—		—		—		—	(640	)	—		—
Other marketable equity securities	—			—		—		—		—	—		—		—
Total marketable equity securities	640			—		—		—		—	(640	)	—		—		(5)
Total available-for-sale securities	5,544			40		2		(92	)	—	(664	)	4,830		2
Mortgages held for sale	2,098			(1	)	—		(141	)	53	(386	)	1,623		(8	)	(6)
Loans	5,730			(41	)	—		(38	)	—	—		5,651		(37	)	(6)
Mortgage servicing rights (residential) (7)	11,739			499		—		423		—	—		12,661		1,053		(6)
Net derivative assets and liabilities:
Interest rate contracts	438			(57	)	—		(129	)	—	—		252		8
Commodity contracts	(2		)	3		—		2		—	—		3		3
Equity contracts	(186		)	57		—		(38	)	—	(18	)	(185	)	43
Foreign exchange contracts	—			—		—		—		—	—		—		—
Credit contracts	(154		)	3		—		34		—			(117	)	(9	)
Other derivative contracts	(52		)	14		—		—		—	—		(38	)	14
Total derivative contracts	44			20		—		(131	)	—	(18	)	(85	)	59		(8)
Other assets	2,628			(7	)	—		90		—	—		2,711		(8	)	(3)
Short sale liabilities	(15		)	—		—		14		—	—		(1	)	—		(3)
Other liabilities (excluding derivatives)	(27		)	(3	)	—		—		—	—		(30	)	—		(6)

(1) See next page for detail.

(2) Represents only net gains (losses) that are due to changes in economic conditions and management’s estimates of fair value and excludes changes due to the collection/realization of cash flows over time.

(3) Included in net gains (losses) from trading activities and other noninterest income in the income statement.

(4) Included in net gains (losses) from debt securities in the income statement.

(5) Included in net gains (losses) from equity investments in the income statement.

(6) Included in mortgage banking and other noninterest income in the income statement.

(7) For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities).

(8) Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.

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The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2015.

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Quarter ended June 30, 2015
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	3	(1	)	—	—		2
Collateralized loan and other debt obligations	508		(503	)	—	—		5
Corporate debt securities	12		(8	)	—	—		4
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		—		—	—		—
Equity securities	—		—		—	(10	)	(10	)
Total trading securities	523		(512	)	—	(10	)	1
Other trading assets	—		(1	)	—	—		(1	)
Total trading assets (excluding derivatives)	523		(513	)	—	(10	)	—
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		(21	)	239	(277	)	(59	)
Mortgage-backed securities:
Residential	—		—		—	—		—
Commercial	—		—		—	—		—
Total mortgage-backed securities	—		—		—	—		—
Corporate debt securities	36		(8	)	—	(6	)	22
Collateralized loan and other debt obligations	15		(99	)	—	(82	)	(166	)
Asset-backed securities:
Auto loans and leases	—		—		—	—		—
Other asset-backed securities	—		—		179	(68	)	111
Total asset-backed securities	—		—		179	(68	)	111
Total debt securities	51		(128	)	418	(433	)	(92	)
Marketable equity securities:
Perpetual preferred securities	—		—		—	—		—
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	—		—
Total available-for-sale securities	51		(128	)	418	(433	)	(92	)
Mortgages held for sale	67		(332	)	226	(102	)	(141	)
Loans	1		—		99	(138	)	(38	)
Mortgage servicing rights (residential)	—		—		428	(5	)	423
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(129	)	(129	)
Commodity contracts	—		—		—	2		2
Equity contracts	15		(39	)	—	(14	)	(38	)
Foreign exchange contracts	—		—		—	—		—
Credit contracts	4		(2	)	—	32		34
Other derivative contracts	—		—		—	—		—
Total derivative contracts	19		(41	)	—	(109	)	(131	)
Other assets	96		(1	)	—	(5	)	90
Short sale liabilities	14		—		—	—		14
Other liabilities (excluding derivatives)	—		—		—	—		—

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2014, are summarized as follows:

	Balance, beginning of period			Total net gains (losses) included in				Purchases, sales, issuances and settlements, net (1)								Net unrealized gains (losses) included in income related to assets and liabilities held at period end
(in millions)				Net income		Other compre- hensive income				Transfers into Level 3		Transfers out of Level 3		Balance, end of period				(2)
Quarter ended June 30, 2014
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	40		—		—		(1	)	—		(31	)	8		—
Collateralized loan and other debt obligations	608			3		—		(26	)	—		(4	)	581		(10	)
Corporate debt securities	86			(4	)	—		(20	)	—		—		62		1
Mortgage-backed securities	1			—		—		—		—		—		1		—
Asset-backed securities	97			12		—		(15	)	—		(3	)	91		12
Equity securities	13			—		—		—		—		—		13		—
Total trading securities	845			11		—		(62	)	—		(38	)	756		3
Other trading assets	52			(3	)	—		—		—		—		49		(1	)
Total trading assets (excluding derivatives)	897			8		—		(62	)	—		(38	)	805		2		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	3,099			—		7		107		53		(97	)	3,169		(2	)
Mortgage-backed securities:
Residential	41			—		1		(1	)	—		—		41		—
Commercial	141			(2	)	(3	)	—		—		—		136		(1	)
Total mortgage-backed securities	182			(2	)	(2	)	(1	)	—		—		177		(1	)
Corporate debt securities	297			9		(12	)	(10	)	—		—		284		—
Collateralized loan and other debt obligations	1,420			27		(8	)	(113	)	—		—		1,326		(2	)
Asset-backed securities:
Auto loans and leases	274			—		(2	)	—		—		—		272		—
Other asset-backed securities	1,280			—		1		14		—		—		1,295		—
Total asset-backed securities	1,554			—		(1	)	14		—		—		1,567		—
Total debt securities	6,552			34		(16	)	(3	)	53		(97	)	6,523		(5	)	(4)
Marketable equity securities:
Perpetual preferred securities	708			1		(6	)	(3	)	—		—		700		—
Other marketable equity securities	—			4		—		(4	)	—		—		—		—
Total marketable equity securities	708			5		(6	)	(7	)	—		—		700		—		(5)
Total available-for-sale securities	7,260			39		(22	)	(10	)	53		(97	)	7,223		(5	)
Mortgages held for sale	2,363			21		—		(29	)	139		(98	)	2,396		24		(6)
Loans	5,689			3		—		(36	)	270		—		5,926		7		(6)
Mortgage servicing rights (residential) (7)	14,953			(1,324	)	—		271		—		—		13,900		(835	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	58			551		—		(426	)	—		—		183		199
Commodity contracts	(43		)	10		—		(2	)	—		37		2		—
Equity contracts	(24		)	(3	)	—		(115	)	(3	)	95		(50	)	(50	)
Foreign exchange contracts	6			3		—		(7	)	—		—		2		(3	)
Credit contracts	(268		)	2		—		—		—		—		(266	)	(14	)
Other derivative contracts	(11		)	(2	)	—		—		—		—		(13	)	—
Total derivative contracts	(282		)	561		—		(550	)	(3	)	132		(142	)	132		(8)
Other assets	2,040			(30	)	—		(5	)	—		—		2,005		(2	)	(3)
Short sale liabilities	(5		)	(1	)	—		6		—		—		—		—		(3)
Other liabilities (excluding derivatives)	(37		)	(7	)	—		(1	)	—		—		(45	)	—		(6)

(1) See next page for detail.

(2) Represents only net gains (losses) that are due to changes in economic conditions and management’s estimates of fair value and excludes changes due to the collection/realization of cash flows over time.

(3) Included in net gains (losses) from trading activities and other noninterest income in the income statement.

(4) Included in net gains (losses) from debt securities in the income statement.

(5) Included in net gains (losses) from equity investments in the income statement.

(6) Included in mortgage banking and other noninterest income in the income statement.

(7) For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities).

(8) Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.

(continued on following page)

(continued from previous page)

The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2014.

(in millions)	Purchases		Sales		Issuances		Settlements		Net
Quarter ended June 30, 2014
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	1	(1	)	—		(1	)	(1	)
Collateralized loan and other debt obligations	127		(151	)	—		(2	)	(26	)
Corporate debt securities	8		(34	)	—		6		(20	)
Mortgage-backed securities	—		—		—		—		—
Asset-backed securities	1		(6	)	—		(10	)	(15	)
Equity securities	—		—		—		—		—
Total trading securities	137		(192	)	—		(7	)	(62	)
Other trading assets	1		(1	)	—		—		—
Total trading assets (excluding derivatives)	138		(193	)	—		(7	)	(62	)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		—		257		(150	)	107
Mortgage-backed securities:
Residential	—		(1	)	—		—		(1	)
Commercial	—		—		—		—		—
Total mortgage-backed securities	—		(1	)	—		—		(1	)
Corporate debt securities	7		(8	)	(1	)	(8	)	(10	)
Collateralized loan and other debt obligations	9		—		—		(122	)	(113	)
Asset-backed securities:
Auto loans and leases	—		—		—		—		—
Other asset-backed securities	75		—		50		(111	)	14
Total asset-backed securities	75		—		50		(111	)	14
Total debt securities	91		(9	)	306		(391	)	(3	)
Marketable equity securities:
Perpetual preferred securities	—		—		—		(3	)	(3	)
Other marketable equity securities	—		(4	)	—		—		(4	)
Total marketable equity securities	—		(4	)	—		(3	)	(7	)
Total available-for-sale securities	91		(13	)	306		(394	)	(10	)
Mortgages held for sale	59		—		—		(88	)	(29	)
Loans	1		—		104		(141	)	(36	)
Mortgage servicing rights (residential)	—		—		271		—		271
Net derivative assets and liabilities:
Interest rate contracts	—		—		—		(426	)	(426	)
Commodity contracts	—		—		—		(2	)	(2	)
Equity contracts	—		(57	)	—		(58	)	(115	)
Foreign exchange contracts	—		—		—		(7	)	(7	)
Credit contracts	2		72		—		(74	)	—
Other derivative contracts	—		—		—		—		—
Total derivative contracts	2		15		—		(567	)	(550	)
Other assets	1		(1	)	—		(5	)	(5	)
Short sale liabilities	11		(5	)	—		—		6
Other liabilities (excluding derivatives)	—		—		—		(1	)	(1	)

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2015 are summarized as follows:

				Total net gains (losses) included in				Purchases, sales, issuances and settlements, net (1)								Net unrealized gains (losses) included in income related to assets and liabilities held at period end
(in millions)	Balance, beginning of period			Net income		Other compre- hensive income				Transfers into Level 3		Transfers out of Level 3		Balance, end of period				(2)
Six months ended June 30, 2015
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	7		—		—		1		—		—		8		—
Collateralized loan and other debt obligations	445			42		—		(80	)	—		—		407		7
Corporate debt securities	54			2		—		(14	)	—		(9	)	33		(1	)
Mortgage-backed securities	—			—		—		—		—		—		—		—
Asset-backed securities	79			16		—		(14	)	—		(81	)	—		—
Equity securities	10			1		—		(10	)	—		—		1		—
Total trading securities	595			61		—		(117	)	—		(90	)	449		6
Other trading assets	55			5		—		2		1		(1	)	62		9
Total trading assets (excluding derivatives)	650			66		—		(115	)	1		(91	)	511		15		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	2,277			3		(15	)	(300	)	—		(76	)	1,889		(5	)
Mortgage-backed securities:
Residential	24			4		(6	)	(22	)	—		—		—		—
Commercial	109			1		(2	)	(5	)	—		—		103		—
Total mortgage-backed securities	133			5		(8	)	(27	)	—		—		103		—
Corporate debt securities	252			3		(3	)	82		—		—		334		2
Collateralized loan and other debt obligations	1,087			61		(11	)	(213	)	—		—		924		—
Asset-backed securities:
Auto loans and leases	245			—		15		—		—		—		260		—
Other asset-backed securities	1,372			2		(9	)	(45	)	—		—		1,320		—
Total asset-backed securities	1,617			2		6		(45	)	—		—		1,580		—
Total debt securities	5,366			74		(31	)	(503	)	—		(76	)	4,830		(3	)	(4)
Marketable equity securities:
Perpetual preferred securities	663			3		(2	)	(24	)	—		(640	)	—		—
Other marketable equity securities	—			—		—		—		—		—		—		—
Total marketable equity securities	663			3		(2	)	(24	)	—		(640	)	—		—		(5)
Total available-for-sale securities	6,029			77		(33	)	(527	)	—		(716	)	4,830		(3	)
Mortgages held for sale	2,313			37		—		(369	)	95		(453	)	1,623		6		(6)
Loans	5,788			(47	)	—		(90	)	—		—		5,651		(37	)	(6)
Mortgage servicing rights (residential) (7)	12,738			(807	)	—		730		—		—		12,661		280		(6)
Net derivative assets and liabilities:
Interest rate contracts	293			425		—		(466	)	—		—		252		57
Commodity contracts	1			2		—		2		(2	)	—		3		1
Equity contracts	(84		)	50		—		(89	)	(10	)	(52	)	(185	)	(14	)
Foreign exchange contracts	—			—		—		—		—		—		—		—
Credit contracts	(189		)	1		—		71		—		—		(117	)	(5	)
Other derivative contracts	(44		)	6		—		—		—		—		(38	)	6
Total derivative contracts	(23		)	484		—		(482	)	(12	)	(52	)	(85	)	45		(8)
Other assets	2,593			31		—		87		—		—		2,711		29		(3)
Short sale liabilities	(6		)	—		—		5		—		—		(1	)	—		(3)
Other liabilities (excluding derivatives)	(28		)	(2	)	—		—		—		—		(30	)	—		(6)

(1) See next page for detail.

(2) Represents only net gains (losses) that are due to changes in economic conditions and management’s estimates of fair value and excludes changes due to the collection/realization of cash flows over time.

(3) Included in net gains (losses) from trading activities and other noninterest income in the income statement.

(4) Included in net gains (losses) from debt securities in the income statement.

(5) Included in net gains (losses) from equity investments in the income statement.

(6) Included in mortgage banking and other noninterest income in the income statement.

(7) For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities).

(8) Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.

(continued on following page)

(continued from previous page)

The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2015.

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Six months ended June 30, 2015
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	3	(2	)	—	—		1
Collateralized loan and other debt obligations	908		(988	)	—	—		(80	)
Corporate debt securities	27		(41	)	—	—		(14	)
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		(5	)	—	(9	)	(14	)
Equity securities	—		—		—	(10	)	(10	)
Total trading securities	938		(1,036	)	—	(19	)	(117	)
Other trading assets	3		(1	)	—	—		2
Total trading assets (excluding derivatives)	941		(1,037	)	—	(19	)	(115	)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		(41	)	294	(553	)	(300	)
Mortgage-backed securities:
Residential	—		(22	)	—	—		(22	)
Commercial	—		(5	)	—	—		(5	)
Total mortgage-backed securities	—		(27	)	—	—		(27	)
Corporate debt securities	96		(8	)	—	(6	)	82
Collateralized loan and other debt obligations	59		(102	)	—	(170	)	(213	)
Asset-backed securities:
Auto loans and leases	—		—		—	—		—
Other asset-backed securities	—		(1	)	238	(282	)	(45	)
Total asset-backed securities	—		(1	)	238	(282	)	(45	)
Total debt securities	155		(179	)	532	(1,011	)	(503	)
Marketable equity securities:
Perpetual preferred securities	—		—		—	(24	)	(24	)
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	(24	)	(24	)
Total available-for-sale securities	155		(179	)	532	(1,035	)	(527	)
Mortgages held for sale	120		(623	)	346	(212	)	(369	)
Loans	67		—		194	(351	)	(90	)
Mortgage servicing rights (residential)	—		(1	)	736	(5	)	730
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(466	)	(466	)
Commodity contracts	—		—		—	2		2
Equity contracts	15		(71	)	—	(33	)	(89	)
Foreign exchange contracts	—		—		—	—		—
Credit contracts	6		(2	)	—	67		71
Other derivative contracts	—		—		—	—		—
Total derivative contracts	21		(73	)	—	(430	)	(482	)
Other assets	96		(1	)	—	(8	)	87
Short sale liabilities	20		(15	)	—	—		5
Other liabilities (excluding derivatives)	—		—		—	—		—

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2014 are summarized as follows:

	Balance, beginning of period			Total net gains (losses) included in				Purchases, sales, issuances and settlements, net (1)								Net unrealized gains (losses) included in income related to assets and liabilities held at period end
(in millions)				Net income		Other compre- hensive income				Transfers into Level 3		Transfers out of Level 3		Balance, end of period				(2)
Six months ended June 30, 2014
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	39		—		—		—		—		(31	)	8		—
Collateralized loan and other debt obligations	541			14		—		26		4		(4	)	581		(23	)
Corporate debt securities	53			(3	)	—		(11	)	24		(1	)	62		1
Mortgage-backed securities	1			—		—		—		—		—		1		—
Asset-backed securities	122			26		—		(53	)	—		(4	)	91		26
Equity securities	13			—		—		—		—		—		13		—
Total trading securities	769			37		—		(38	)	28		(40	)	756		4
Other trading assets	54			(5	)	—		—		—		—		49		—
Total trading assets (excluding derivatives)	823			32		—		(38	)	28		(40	)	805		4		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	3,214			9		9		(25	)	59		(97	)	3,169		(2	)
Mortgage-backed securities:
Residential	64			10		(2	)	(31	)	—		—		41		—
Commercial	138			(1	)	8		(9	)	—		—		136		(1	)
Total mortgage-backed securities	202			9		6		(40	)	—		—		177		(1	)
Corporate debt securities	281			13		(5	)	(5	)	—		—		284		—
Collateralized loan and other debt obligations	1,420			70		(21	)	(143	)	—		—		1,326		(2	)
Asset-backed securities:
Auto loans and leases	492			—		(5	)	(215	)	—		—		272		—
Other asset-backed securities	1,657			1		(3	)	(449	)	89		—		1,295		—
Total asset-backed securities	2,149			1		(8	)	(664	)	89		—		1,567		—
Total debt securities	7,266			102		(19	)	(877	)	148		(97	)	6,523		(5	)	(4)
Marketable equity securities:
Perpetual preferred securities	729			4		(10	)	(23	)	—		—		700		—
Other marketable equity securities	—			4		—		(4	)	—		—		—		—
Total marketable equity securities	729			8		(10	)	(27	)	—		—		700		—		(5)
Total available-for-sale securities	7,995			110		(29	)	(904	)	148		(97	)	7,223		(5	)
Mortgages held for sale	2,374			23		—		(75	)	196		(122	)	2,396		22		(6)
Loans	5,723			5		—		(23	)	270		(49	)	5,926		12		(6)
Mortgage servicing rights (residential) (7)	15,580			(2,240	)	—		560		—		—		13,900		(1,276	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	(40		)	913		—		(690	)	—		—		183		236
Commodity contracts	(10		)	(21	)	—		(1	)	(3	)	37		2		—
Equity contracts	(46		)	19		—		(76	)	3		50		(50	)	64
Foreign exchange contracts	9			5		—		(12	)	—		—		2		(5	)
Credit contracts	(375		)	13		—		96		—		—		(266	)	(14	)
Other derivative contracts	(3		)	(10	)	—		—		—		—		(13	)	—
Total derivative contracts	(465		)	919		—		(683	)	—		87		(142	)	281		(8)
Other assets	1,503			(93	)	—		595		—		—		2,005		(7	)	(3)
Short sale liabilities	—			(1	)	—		1		—		—		—		—		(3)
Other liabilities (excluding derivatives)	(39		)	(7	)	—		1		—		—		(45	)	(1	)	(6)

(1) See next page for detail.

(2) Represents only net gains (losses) that are due to changes in economic conditions and management’s estimates of fair value and excludes changes due to the collection/realization of cash flows over time.

(3) Included in net gains (losses) from trading activities and other noninterest income in the income statement.

(4) Included in net gains (losses) from debt securities in the income statement.

(5) Included in net gains (losses) from equity investments in the income statement.

(6) Included in mortgage banking and other noninterest income in the income statement.

(7) For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities).

(8) Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.

(continued on following page)

(continued from previous page)

The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2014.

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Six months ended June 30, 2014
Trading assets (excluding derivatives):
Securities of U.S. states and political subdivisions	$	6	(5	)	—	(1	)	—
Collateralized loan and other debt obligations	451		(421	)	—	(4	)	26
Corporate debt securities	23		(40	)	—	6		(11	)
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	11		(44	)	—	(20	)	(53	)
Equity securities	—		—		—	—		—
Total trading securities	491		(510	)	—	(19	)	(38	)
Other trading assets	1		(1	)	—	—		—
Total trading assets (excluding derivatives)	492		(511	)	—	(19	)	(38	)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	73		(55	)	268	(311	)	(25	)
Mortgage-backed securities:
Residential	—		(29	)	—	(2	)	(31	)
Commercial	—		(8	)	—	(1	)	(9	)
Total mortgage-backed securities	—		(37	)	—	(3	)	(40	)
Corporate debt securities	7		(9	)	10	(13	)	(5	)
Collateralized loan and other debt obligations	133		(32	)	—	(244	)	(143	)
Asset-backed securities:
Auto loans and leases	—		—		—	(215	)	(215	)
Other asset-backed securities	87		(12	)	114	(638	)	(449	)
Total asset-backed securities	87		(12	)	114	(853	)	(664	)
Total debt securities	300		(145	)	392	(1,424	)	(877	)
Marketable equity securities:
Perpetual preferred securities	—		—		—	(23	)	(23	)
Other marketable equity securities	—		(4	)	—	—		(4	)
Total marketable equity securities	—		(4	)	—	(23	)	(27	)
Total available-for-sale securities	300		(149	)	392	(1,447	)	(904	)
Mortgages held for sale	106		(21	)	—	(160	)	(75	)
Loans	2		—		206	(231	)	(23	)
Mortgage servicing rights (residential)	—		—		560	—		560
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(690	)	(690	)
Commodity contracts	—		—		—	(1	)	(1	)
Equity contracts	—		(115	)	—	39		(76	)
Foreign exchange contracts	—		—		—	(12	)	(12	)
Credit contracts	2		72		—	22		96
Other derivative contracts	—		—		—	—		—
Total derivative contracts	2		(43	)	—	(642	)	(683	)
Other assets	609		(1	)	—	(13	)	595
Short sale liabilities	6		(5	)	—	—		1
Other liabilities (excluding derivatives)	—		—		—	1		1

The following table provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities measured at fair value on a recurring basis for which we use an internal model.

The significant unobservable inputs for Level 3 assets and liabilities that are valued using fair values obtained from third party vendors are not included in the table,as the specific inputs applied are not provided by the vendor.In addition, the table excludes the valuation techniques and significant unobservable inputs for certain classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 assets and liabilities.We made this determination based upon an evaluation of each class, which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs. For information on how changes in significant unobservable inputs affect the fair values of Level 3 assets and liabilities, see Note 17 (Fair Values of Assets and Liabilities)to Financial Statements in our 2014 Form 10-K.

($ in millions, except cost to service amounts)	Fair Value Level 3				Valuation Technique(s)	Significant Unobservable Input	Range of Inputs						Weighted Average (1)
June 30, 2015
Trading and available-for-sale securities:
Securities of U.S. states and political subdivisions:
Government, healthcare and other revenue bonds	$	1,587			Discounted cash flow	Discount rate	0.5			-	6.2		%	1.6
	53				Vendor priced
Auction rate securities and other municipal bonds	257				Discounted cash flow	Discount rate	2.1			-	6.0			4.0
						Weighted average life	1.7			-	10.2		yrs	4.5
Collateralized loan and other debt obligations (2)	480				Market comparable pricing	Comparability adjustment	(18.1		)	-	20.5		%	2.8
	851				Vendor priced
Asset-backed securities:
Auto loans and leases	260				Discounted cash flow	Discount rate	(0.5		)	-	(0.5	)		(0.5	)
Other asset-backed securities:
Diversified payment rights (3)	579				Discounted cash flow	Discount rate	0.9			-	5.6			2.6
Other commercial and consumer	704			(4)	Discounted cash flow	Discount rate	2.6			-	5.9			3.9
						Weighted average life	1.3			-	8.0		yrs	3.9
	37				Vendor priced
Mortgages held for sale (residential)	1,550				Discounted cash flow	Default rate	0.6			-	14.0		%	2.8
						Discount rate	1.1			-	6.3			4.6
						Loss severity	0.0			-	24.4			14.4
						Prepayment rate	2.0			-	18.5			8.4
	73				Market comparable pricing	Comparability adjustment	(65.8		)	-	2.7			(27.2	)
Loans	5,651			(5)	Discounted cash flow	Discount rate	0.0			-	3.8			3.0
						Prepayment rate	0.5			-	100.0			13.8
						Utilization rate	0.0			-	1.0			0.4
Mortgage servicing rights (residential)	12,661				Discounted cash flow	Cost to service per loan (6)	$	68		-	649			169
						Discount rate	6.3			-	12.1		%	7.4
						Prepayment rate (7)	8.1			-	23.2			11.6
Net derivative assets and (liabilities):
Interest rate contracts	211				Discounted cash flow	Default rate	0.00			-	0.07			0.03
						Loss severity	50.0			-	50.0			50.0
Interest rate contracts: derivative loan commitments	41			(8)	Discounted cash flow	Fall-out factor	1.0			-	99.0			21.4
						Initial-value servicing	(31.5		)	-	125.0		bps	48.5
Equity contracts	99				Discounted cash flow	Conversion factor	(11.1		)	-	0.0		%	(8.2	)
						Weighted average life	1.0			-	2.5		yrs	1.7
	(284		)		Option model	Correlation factor	(50.0		)	-	96.3		%	55.9
						Volatility factor	8.3			-	69.4			22.5
Credit contracts	(122		)		Market comparable pricing	Comparability adjustment	(29.6		)	-	32.0			1.8
	5				Option model	Credit spread	0.0			-	16.5			1.1
						Loss severity	11.5			-	72.0			51.9
Other assets: nonmarketable equity investments	2,636				Market comparable pricing	Comparability adjustment	(21.1		)	-	(4.0	)		(15.7	)
Insignificant Level 3 assets, net of liabilities	542			(9)
Total level 3 assets, net of liabilities	$	27,871		(10)

(1) Weighted averages are calculated using outstanding unpaid principal balance for cash instruments, such as loans and securities, and notional amounts for derivative instruments.

(2) Includes $407 million of collateralized debt obligations.

(3) Securities backed by specified sources of current and future receivables generated from foreign originators.

(4) Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain.

(5) Consists predominantly of reverse mortgage loans securitized with GNMA that were accounted for as secured borrowing transactions.

(6) The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $68 - $369.

(7) Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.

(8) Total derivative loan commitments were a net asset of $36 million, of which a $5 million derivative liability was classified as level 2 at June 30, 2015.

(9) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, certain other assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts and other derivative contracts.

(10) Consists of total Level 3 assets of $29.9 billion and total Level 3 liabilities of $2.0 billion, before netting of derivative balances.

($ in millions, except cost to service amounts)	Fair Value Level 3				Valuation Technique(s)	Significant Unobservable Input	Range of Inputs						Weighted    Average (1)
December 31, 2014
Trading and available-for-sale securities:
Securities of U.S. states and political subdivisions:
Government, healthcare and other revenue bonds	$	1,900			Discounted cash flow	Discount rate	0.4			-	5.6		%	1.5
	61				Vendor priced
Auction rate securities and other municipal bonds	323				Discounted cash flow	Discount rate	1.5			-	7.6			3.9
						Weighted average life	1.3			-	19.4		yrs	6.4
Collateralized loan and other debt obligations (2)	565				Market comparable pricing	Comparability adjustment	(53.9		)	-	25.0		%	0.9
	967				Vendor priced
Asset-backed securities:
Auto loans and leases	245				Discounted cash flow	Discount rate	0.4			-	0.4			0.4
Other asset-backed securities:
Diversified payment rights (3)	661				Discounted cash flow	Discount rate	0.9			-	7.1			2.9
Other commercial and consumer	750			(4)	Discounted cash flow	Discount rate	1.9			-	21.5			5.0
						Weighted average life	1.6			-	10.7		yrs	4.0
	40				Vendor priced
Marketable equity securities: perpetual preferred	663			(5)	Discounted cash flow	Discount rate	4.1			-	9.3		%	6.6
						Weighted average life	1.0			-	11.8		yrs	9.7
Mortgages held for sale (residential)	2,235				Discounted cash flow	Default rate	0.4			-	15.0		%	2.6
						Discount rate	1.1			-	7.7			5.2
						Loss severity	0.1			-	26.4			18.3
						Prepayment rate	2.0			-	15.5			8.1
	78				Market comparable pricing	Comparability adjustment	(93.0		)	-	10.0			(30.0	)
Loans	5,788			(6)	Discounted cash flow	Discount rate	0.0			-	3.8			3.1
						Prepayment rate	0.6			-	100.0			11.2
						Utilization rate	0.0			-	1.0			0.4
Mortgage servicing rights (residential)	12,738				Discounted cash flow	Cost to service per loan (7)	$	86		-	683			179
						Discount rate	5.9			-	16.9		%	7.6
						Prepayment rate (8)	8.0			-	22.0			12.5
Net derivative assets and (liabilities):
Interest rate contracts	196				Discounted cash flow	Default rate	0.00			-	0.02			0.01
						Loss severity	50.0			-	50.0			50.0
Interest rate contracts: derivative loan commitments	97				Discounted cash flow	Fall-out factor	1.0			-	99.0			24.5
						Initial-value servicing	(31.1		)	-	113.3		bps	46.5
Equity contracts	162				Discounted cash flow	Conversion factor	(11.2		)	-	0.0		%	(8.4	)
						Weighted average life	1.0			-	2.0		yrs	1.3
	(246		)		Option model	Correlation factor	(56.0		)	-	96.3		%	42.1
						Volatility factor	8.3			-	80.9			28.3
Credit contracts	(192		)		Market comparable pricing	Comparability adjustment	(28.6		)	-	26.3			1.8
	3				Option model	Credit spread	0.0			-	17.0			0.9
						Loss severity	11.5			-	72.5			48.7
Other assets: nonmarketable equity investments	2,512				Market comparable pricing	Comparability adjustment	(19.7		)	-	(4.0	)		(14.7	)
Insignificant Level 3 assets, net of liabilities	507			(9)
Total level 3 assets, net of liabilities	$	30,054		(10)

(1) Weighted averages are calculated using outstanding unpaid principal balance for cash instruments, such as loans and securities, and notional amounts for derivative instruments.

(2) Includes $500 million of collateralized debt obligations.

(3) Securities backed by specified sources of current and future receivables generated from foreign originators.

(4) Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain.

(5) Consists of auction rate preferred equity securities with no maturity date that are callable by the issuer.

(6) Consists predominantly of reverse mortgage loans securitized with GNMA that were accounted for as secured borrowing transactions.

(7) The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $86 - $270.

(8) Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.

(9) Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, certain other assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts and other derivative contracts. 

(10) Consists of total Level 3 assets of $32.3 billion and total Level 3 liabilities of $2.3 billion, before netting of derivative balances.

The valuation techniquesused for our Level 3 assets and liabilities, as presented in the previous tables, are described as follows: 

• Discounted cash flow- Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in the fair value amount.

• Market comparable pricing- Market comparable pricing valuation techniques are used to determine the fair value of certain instruments by incorporating known inputs, such as recent transaction prices, pending transactions, or prices of other similar investments that require significant adjustment to reflect differences in instrument characteristics.

• Option model- Option model valuation techniques are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return.

• Vendor-priced – Prices obtained from third party pricing vendors or brokers that are used to record the fair value of the asset or liability, of which the related valuation technique and significant unobservable inputs are not provided.

Significant unobservable inputs presented in the previous tables are those we consider significant to the fair value of the Level 3 asset or liability. We consider unobservable inputs to be significant if by their exclusion the fair value of the Level 3 asset or liability would be impacted by a predetermined percentage change, or based on qualitative factors, such as nature of the instrument, type of valuation technique used, and the significance of the unobservable inputs relative to other inputs used within the valuation. Following is a description of the significant unobservable inputs provided in the table.

• Comparability adjustment– is an adjustment made to observed market data, such as a transaction price in order to reflect dissimilarities in underlying collateral, issuer, rating, or other factors used within a market valuation approach, expressed as a percentage of an observed price.

• Conversion Factor– is the risk-adjusted rate in which a particular instrument may be exchanged for another instrument upon settlement, expressed as a percentage change from a specified rate.

• Correlation factor- is the likelihood of one instrument changing in price relative to another based on an established relationship expressed as a percentage of relative change in price over a period over time.

• Cost to service- is the expected cost per loan of servicing a portfolio of loans, which includes estimates for unreimbursed expenses (including delinquency and foreclosure costs) that may occur as a result of servicing such loan portfolios.

• Credit spread– is the portion of the interest rate in excess of a benchmark interest rate, such as OIS, LIBOR or U.S. Treasury rates, that when applied to an investment captures changes in the obligor’s creditworthiness.

• Default rate– is an estimate of the likelihood of not collecting contractual amounts owed expressed as a constant default rate (CDR).

• Discount rate– is a rate of return used to present value the future expected cash flow to arrive at the fair value of an instrument. The discount rate consists of a benchmark rate component and a risk premium component. The benchmark rate component, for example, OIS, LIBOR or U.S. Treasury rates, is generally observable within the market and is necessary to appropriately reflect the time value of money. The risk premium component reflects the amount of compensation market participants require due to the uncertainty inherent in the instruments’ cash flows resulting from risks such as credit and liquidity.

• Fall-out factor- is the expected percentage of loans associated with our interest rate lock commitment portfolio that are likely of not funding.

• Initial-value servicing- is the estimated value of the underlying loan, including the value attributable to the embedded servicing right, expressed in basis points of outstanding unpaid principal balance.

• Loss severity– is the percentage of contractual cash flows lost in the event of a default.

• Prepayment rate– is the estimated rate at which forecasted prepayments of principal of the related loan or debt instrument are expected to occur, expressed as a constant prepayment rate (CPR).

• Utilization rate– is the estimated rate in which incremental portions of existing reverse mortgage credit lines are expected to be drawn by borrowers, expressed as an annualized rate.

• Volatility factor– is the extent of change in price an item is estimated to fluctuate over a specified period of time expressed as a percentage of relative change in price over a period over time.

• Weighted average life– is the weighted average number of years an investment is expected to remain outstanding based on its expected cash flows reflecting the estimated date the issuer will call or extend the maturity of the instrument or otherwise reflecting an estimate of the timing of an instrument’s cash flows whose timing is not contractually fixed.

Assets and Liabilities Recorded at Fair Value on a Nonrecurring Basis

We may be required, from time to time, to measure certain assets at fair value on a nonrecurring basis in accordance with GAAP. These adjustments to fair value usually result from application of LOCOM accounting or write-downs of individual assets. The following table provides the fair value hierarchy and carrying amount of all assets that were still held as of June 30, 2015, and December 31, 2014,and for which a nonrecurring fair value adjustment was recorded during the periods presented.

	June 30, 2015					December 31, 2014
(in millions)	Level 1		Level 2	Level 3	Total	Level 1	Level 2	Level 3	Total
Mortgages held for sale (LOCOM) (1)	$	—	2,145	955	3,100	—	2,197	1,098	3,295
Loans held for sale	—		15	—	15	—	—	—	—
Loans:
Commercial	—		102	—	102	—	243	—	243
Consumer	—		920	7	927	—	2,018	5	2,023
Total loans (2)	—		1,022	7	1,029	—	2,261	5	2,266
Other assets (3)	—		271	405	676	—	417	460	877

(1) Predominantly real estate 1-4 family first mortgage loans.

(2) Represents carrying value of loans for which adjustments are based on the appraised value of the collateral.

(3) Includes the fair value of foreclosed real estate, other collateral owned and nonmarketable equity investments.

The following table presents the increase (decrease) in value of certain assets for which a nonrecurring fair value adjustment has been recognized during the periods presented.

	Six months ended June 30,
(in millions)	2015			2014
Mortgages held for sale (LOCOM)	$	18		57
Loans held for sale	(1		)	—
Loans:
Commercial	(74		)	(72	)
Consumer	(601		)	(781	)
Total loans (1)	(675		)	(853	)
Other assets (2)	(152		)	(205	)
Total	$	(810	)	(1,001	)

(1) Represents write-downs of loans based on the appraised value of the collateral.

(2) Includes the losses on foreclosed real estate and other collateral owned that were measured at fair value subsequent to their initial classification as foreclosed assets. Also includes impairment losses on nonmarketable equity investments. 

The table below provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities that are measured at fair value on a nonrecurring basis using an internal model. The table is limited to financial instruments that had nonrecurring fair value adjustments during the periods presented.

We have excluded from the table classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 nonrecurring measurements. We made this determination based upon an evaluation of each class which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs.

($ in millions)	Fair Value Level 3			Valuation Technique(s) (1)	Significant Unobservable Inputs (1)		Range of inputs				Weighted Average (2)
June 30, 2015
Residential mortgages held for sale (LOCOM)	$	955	(3)	Discounted cash flow	Default rate	(5)	0.3	—	7.0	%	3.3	%
					Discount rate		1.5	—	8.5		3.5
					Loss severity		0.9	—	32.7		3.4
					Prepayment rate	(6)	1.3	—	100.0		58.8
Other assets:
Private equity fund investments (4)	—			Market comparable pricing	Comparability adjustment		—	—	—		—
Other nonmarketable equity investments	221			Market comparable pricing	Comparability adjustment		4.8	—	8.0		6.6
Insignificant level 3 assets	191
Total	$	1,367
December 31, 2014
Residential mortgages held for sale (LOCOM)	$	1,098	(3)	Discounted cash flow	Default rate	(5)	0.9	—	3.8	%	2.1	%
					Discount rate		1.5	—	8.5		3.6
					Loss severity		0.0	—	29.8		3.8
					Prepayment rate	(6)	2.0	—	100.0		65.5
Other assets: private equity fund investments (4)	171			Market comparable pricing	Comparability adjustment		6.0	—	6.0		6.0
Insignificant level 3 assets	294
Total	$	1,563

(1) Refer to the narrative following the recurring quantitative Level 3 table of this Note for a definition of the valuation technique(s) and significant unobservable inputs.

(2) For residential MHFS, weighted averages are calculated using outstanding unpaid principal balance of the loans.

(3) Consists of approximately $904 million and $1.0 billion government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitizations at June 30, 2015 and December 31, 2014, respectively, and $51 million and $78 million of other mortgage loans which are not government insured/guaranteed at June 30, 2015 and December 31, 2014, respectively.

(4) Represents a single investment. For additional information, see the “Alternative Investments” section in this Note.

(5) Applies only to non-government insured/guaranteed loans.

(6) Includes the impact on prepayment rate of expected defaults for the government insured/guaranteed loans, which affects the frequency and timing of early resolution of loans.

Alternative Investments

The following table summarizes our investments in various types of funds for which we use net asset values (NAVs) per share as a practical expedient to measure fair value on recurring and nonrecurring bases. The investments are included in trading assets, available-for-sale securities, and other assets. The table excludes those investments that are probable of being sold at an amount different from the funds’ NAVs.

(in millions)	Fair value		Unfunded commitments	Redemption frequency	Redemption notice period
June 30, 2015
Offshore funds	$	55	—	Daily - Quarterly	1 - 60 days
Hedge funds	1		—	Daily - Quarterly	1-90 days
Private equity funds (1)(2)	987		202	N/A	N/A
Venture capital funds (2)	84		9	N/A	N/A
Total (3)	$	1,127	211
December 31, 2014
Offshore funds	$	125	—	Daily - Quarterly	1 - 60 days
Hedge funds	1		—	Daily - Quarterly	1-90 days
Private equity funds (1)(2)	1,313		243	N/A	N/A
Venture capital funds (2)	68		9	N/A	N/A
Total (3)	$	1,507	252

N/A - Not applicable

(1) Excludes a private equity fund investment of $0 million and $171 million at June 30, 2015, and December 31, 2014, respectively. This investment was sold in second quarter 2015 for an amount different from the fund’s NAV.

(2) Includes certain investments subject to the Volcker Rule that we may have to divest.

(3) June 30, 2015, and December 31, 2014, include $1.0 billion and $1.3 billion, respectively, of fair value for nonmarketable equity investments carried at cost for which we use NAVs as a practical expedient to determine nonrecurring fair value adjustments. The fair values of investments that had nonrecurring fair value adjustments were $125 million and $108 million at June 30, 2015, and December 31, 2014, respectively.

Offshore funds primarily invest in foreign mutual funds. Redemption restrictions are in place for these investments with a fair value of $24 million at both June 30, 2015, and December 31, 2014, due to lock-up provisions that will remain in effect until February 2016.

Private equity funds invest in equity and debt securities issued by private and publicly-held companies in connection with leveraged buyouts, recapitalizations and expansion opportunities. These investments do not allow redemptions. Alternatively, we receive distributions as the underlying assets of the funds liquidate, which we expect to occur over the next 6 years.

Venture capital funds invest in domestic and foreign companies in a variety of industries, including information technology, financial services and healthcare. These investments can never be redeemed with the funds. Instead, we receive distributions as the underlying assets of the fund liquidate, which we expect to occur over the next 4 years.

Fair Value Option

The fair value option is an irrevocable election, generally only permitted upon initial recognition of financial assets or liabilities, to measure eligible financial instruments at fair value with changes in fair value reflected in earnings. We may elect the fair value option to align the measurement model with how the financial assets or liabilities are managed or to reduce complexity or accounting asymmetry. For more information, including the basis for our fair value option elections, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2014 Form 10-K.

The following table reflects differences between the fair value carrying amount of certain assets and liabilities for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity.

	June 30, 2015					December 31, 2014
(in millions)	Fair value carrying amount		Aggregate unpaid principal	Fair value carrying amount less aggregate unpaid principal		Fair value carrying amount	Aggregate unpaid principal	Fair value carrying amount less aggregate unpaid principal
Trading assets - loans:
Total loans	$	1,804	1,827	(23	)	1,387	1,410	(23	)
Nonaccrual loans	5		6	(1	)	—	1	(1	)
Mortgages held for sale:
Total loans	21,539		21,227	312		15,565	15,246	319
Nonaccrual loans	128		207	(79	)	160	252	(92	)
Loans 90 days or more past due and still accruing	26		30	(4	)	27	30	(3	)
Loans held for sale:
Total loans	—		10	(10	)	1	10	(9	)
Nonaccrual loans	—		10	(10	)	1	10	(9	)
Loans:
Total loans	5,651		5,438	213		5,788	5,527	261
Nonaccrual loans	494		508	(14	)	367	376	(9	)
Other assets (1)	2,636		n/a	n/a		2,512	n/a	n/a

(1) Consists of nonmarketable equity investments carried at fair value. See Note 6 (Other Assets) for more information.

The assets and liabilities accounted for under the fair value option are initially measured at fair value. Gains and losses from initial measurement and subsequent changes in fair value are recognized in earnings. The changes in fair value related to initial measurement and subsequent changes in fair value included in earnings for these assets and liabilities measured at fair value are shown below by income statement line item.

	2015						2014
(in millions)	Mortgage banking noninterest income		Net gains (losses) from trading activities		Other noninterest income		Mortgage banking noninterest income	Net gains (losses) from trading activities		Other noninterest income
Quarter ended June 30,
Trading assets - loans	$	—	4		1		—	6		2
Mortgages held for sale	316		—		—		694	—		—
Loans	—		—		(39	)	—	—		1
Other assets	—		—		(10	)	—	—		(31	)
Other interests held (1)	—		(2	)	—		—	(4	)	1
Six months ended June 30,
Trading assets - loans	$	—	19		2		—	18		2
Mortgages held for sale	897		—		—		1,200	—		—
Loans	—		—		(43	)	—	—		1
Other assets	—		—		28		—	—		(92	)
Other interests held (1)	—		(2	)	—		—	(5	)	—

(1) Consists of retained interests in securitizations and changes in fair value of letters of credit.

For performing loans, instrument-specific credit risk gains or losses were derived principally by determining the change in fair value of the loans due to changes in the observable or implied credit spread. Credit spread is the market yield on the loans less the relevant risk-free benchmark interest rate. For nonperforming loans, we attribute all changes in fair value to instrument-specific credit risk. The following table shows the estimated gains and losses from earnings attributable to instrument-specific credit risk related to assets accounted for under the fair value option.

	Quarter ended June 30,			Six months ended June 30,
(in millions)	2015		2014	2015	2014
Gains (losses) attributable to instrument-specific credit risk:
Trading assets - loans	$	4	6	19	18
Mortgages held for sale	31		45	48	55
Total	$	35	51	67	73

Disclosures about Fair Value of Financial Instruments

The table below is a summary of fair value estimates for financial instruments, excluding financial instruments recorded at fair value on a recurring basis, which are included within the Assets and Liabilities Recorded at Fair Value on a Recurring Basis table included earlier in this Note. The carrying amounts in the following table are recorded on the balance sheet under the indicated captions, except for nonmarketable equity investments, which are included in Other Assets.

We have not included assets and liabilities that are not financial instruments in our disclosure, such as the value of the long-term relationships with our deposit, credit card and trust customers, amortized MSRs, premises and equipment, goodwill and other intangibles, deferred taxes and other liabilities. The total of the fair value calculations presented does not represent, and should not be construed to represent, the underlying value of the Company.

			Estimated fair value
(in millions)	Carrying amount		Level 1	Level 2	Level 3	Total
June 30, 2015
Financial assets
Cash and due from banks (1)	$	19,687	19,687	—	—	19,687
Federal funds sold, securities purchased under resale agreements and other short-term investments (1)	232,247		7,991	223,913	343	232,247
Held-to-maturity securities	80,102		45,092	30,895	4,328	80,315
Mortgages held for sale (2)	3,908		—	2,955	955	3,910
Loans held for sale (2)	621		—	635	—	635
Loans, net (3)	859,330		—	60,303	807,430	867,733
Nonmarketable equity investments (cost method)	6,861		—	36	8,172	8,208
Financial liabilities
Deposits	1,185,828		—	1,154,586	31,578	1,186,164
Short-term borrowings (1)	82,963		—	82,963	—	82,963
Long-term debt (4)	179,743		—	170,029	10,456	180,485
December 31, 2014
Financial assets
Cash and due from banks (1)	$	19,571	19,571	—	—	19,571
Federal funds sold, securities purchased under resale agreements and other short-term investments (1)	258,429		8,991	249,438	—	258,429
Held-to-maturity securities	55,483		41,548	9,021	5,790	56,359
Mortgages held for sale (2)	3,971		—	2,875	1,098	3,973
Loans held for sale (2)	721		—	739	—	739
Loans, net (3)	832,671		—	60,052	784,786	844,838
Nonmarketable equity investments (cost method)	7,033		—	—	8,377	8,377
Financial liabilities
Deposits	1,168,310		—	1,132,845	35,566	1,168,411
Short-term borrowings (1)	63,518		—	63,518	—	63,518
Long-term debt (4)	183,934		—	174,996	10,479	185,475

(1) Amounts consist of financial instruments in which carrying value approximates fair value.

(2) Balance reflects MHFS and LHFS, as applicable, other than those MHFS and LHFS for which we elected the fair value option.

(3) Loans exclude balances for which the fair value option was elected and also exclude lease financing with a carrying amount of $12.2 billion and $12.3 billion at June 30, 2015 and December 31, 2014, respectively.

(4) The carrying amount and fair value exclude obligations under capital leases of $8 million at June 30, 2015 and $9 million at December 31, 2014.

Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in the table above.A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the related allowance, which totaled $949 million and $945 million at June 30, 2015 andDecember 31, 2014, respectively.