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Fair Values of Assets and Liabilities (Tables)
 6 Months Ended
Jun. 30, 2015
Fair Value Disclosures [Abstract]  
Fair Value, Measurements from Brokers or Third Party Pricing Services
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.
 
(continued on following page)
(continued from previous page)
(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.
Fair Value, Transfers Between Fair Value Levels
Transfers into and out of Level 1, Level 2, and Level 3 for the periods presented are provided within the following 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.
Fair Value, Assets and Liabilities Measured on Recurring Basis, Level 3 Reconciliation
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.
 
(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, 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
Fair Value, Assets and Liabilities Measured on Recurring Basis, Quantative Information about Valuation Techniques and Unobservable Inputs
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.
Fair Value, Assets Recorded at Fair Value on a Nonrecurring Basis
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.
Changes in Fair Value of Assets Recorded at Fair Value on Nonrecurring Basis
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. 
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Quantative Information about Valuation Techniques and Unobservable Inputs
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.
Fair Value Investments in Entities that Calculate Net Asset Value Per Share
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.
Fair Value Option, Carrying Amount
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.
Fair Value Option, Gains and Losses
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.
Fair Value Option, 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
Fair Value, Estimated for Financial Instruments Not Carried at Fair Value
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.