Fair Values of Assets and Liabilities

6 Months Ended

Jun. 30, 2017

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 Table 13.2 in this Note. From time to time, we may be required to record fair value adjustments on a nonrecurring basis. These nonrecurring fair value adjustments typically involve application of LOCOM accounting or write-downs of individual assets. Assets recorded on a nonrecurring basis are presented in Table 13.14 in this Note.

See Note 1 (Summary of Significant Accounting Policies) to Financial Statements in our 2016 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 2016 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 that are 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.

In accordance with new accounting guidance that we adopted effective January 1, 2016, we do not classify an investment in the fair value hierarchy if we use the non-published net asset value (NAV) per share (or its equivalent) that has been communicated to us as an investor as a practical expedient to measure fair value. We generally use NAV per share as the fair value measurement for certain nonmarketable equity fund investments. This guidance was required to be applied retrospectively. Accordingly, certain prior period fair value disclosures have been revised to conform with current period presentation. Marketable equity investments with published NAVs continue to be classified in the fair value hierarchy.

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 2016 Form 10-K. Table 13.1. presents unadjusted fair value measurements provided by brokers or third-party pricing services by fair value hierarchy level. 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 excluded from Table 13.1.

Table 13.1:Fair Value Measurements by Brokers or Third-Party Pricing Services

	Brokers				Third-party pricing services
(in millions)	Level 1		Level 2	Level 3	Level 1		Level 2		Level 3
June 30, 2017
Trading assets	$	—	—	—	832		344		—
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	—		—	—	14,940		2,956		—
Securities of U.S. states and political subdivisions	—		—	—	—		50,456		208
Mortgage-backed securities	—		41	—	—		148,097		76
Other debt securities (1)	—		491	1,129	—		45,523		26
Total debt securities	—		532	1,129	14,940		247,032		310
Total marketable equity securities	—		—	—	—		287		—
Total available-for-sale securities	—		532	1,129	14,940		247,319		310
Derivatives assets	—		—	—	21		3		—
Derivatives liabilities	—		—	—	(18	)	(7	)	—
Other liabilities (2)	—		—	—	—		—		—
December 31, 2016
Trading assets	$	—	—	—	899		60		—
Available-for-sale securities:
Securities of U.S. Treasury and federal agencies	—		—	—	22,870		2,949		—
Securities of U.S. states and political subdivisions	—		—	—	—		49,837		208
Mortgage-backed securities	—		171	—	—		176,923		92
Other debt securities (1)	—		450	968	—		49,162		54
Total debt securities	—		621	968	22,870		278,871		354
Total marketable equity securities	—		—	—	—		358		—
Total available-for-sale securities	—		621	968	22,870		279,229		354
Derivatives assets	—		—	—	22		—		—
Derivatives liabilities	—		—	—	(109	)	(1	)	—
Other liabilities (2)	—		—	—	—		—		—

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

(2) Includes short sale liabilities and other liabilities.

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

Table 13.2 presents the balances of assets and liabilities recorded at fair value on a recurring basis.

Table 13.2:Fair Value on a Recurring Basis

(in millions)	Level 1			Level 2		Level 3			Netting			Total
June 30, 2017
Trading assets
Securities of U.S. Treasury and federal agencies	$	13,484		3,061		—			—			16,545
Securities of U.S. states and political subdivisions	—			3,070		9			—			3,079
Collateralized loan obligations	—			386		403			—			789
Corporate debt securities	—			10,229		26			—			10,255
Mortgage-backed securities	—			22,480		—			—			22,480
Asset-backed securities	—			1,160		—			—			1,160
Equity securities	27,286			240		—			—			27,526
Total trading securities (1)	40,770			40,626		438			—			81,834
Other trading assets	—			1,734		39			—			1,773
Total trading assets	40,770			42,360		477			—			83,607
Securities of U.S. Treasury and federal agencies	14,940			2,956		—			—			17,896
Securities of U.S. states and political subdivisions	—			50,456		1,557		(2)	—			52,013
Mortgage-backed securities:
Federal agencies	—			135,938		—			—			135,938
Residential	—			7,358		1			—			7,359
Commercial	—			5,338		75			—			5,413
Total mortgage-backed securities	—			148,634		76			—			148,710
Corporate debt securities	54			9,172		376			—			9,602
Collateralized loan and other debt obligations (3)	—			32,453		1,002		(2)	—			33,455
Asset-backed securities:
Automobile loans and leases	—			530		—			—			530
Home equity loans	—			319		—			—			319
Other asset-backed securities	—			4,777		872		(2)	—			5,649
Total asset-backed securities	—			5,626		872			—			6,498
Other debt securities	—			—		—			—			—
Total debt securities	14,994			249,297		3,883			—			268,174
Marketable equity securities:
Perpetual preferred securities	178			287		—			—			465
Other marketable equity securities	563			—		—			—			563
Total marketable equity securities	741			287		—			—			1,028
Total available-for-sale securities	15,735			249,584		3,883			—			269,202
Mortgages held for sale	—			18,548		995			—			19,543
Loans	—			—		443			—			443
Mortgage servicing rights (residential)	—			—		12,789			—			12,789
Derivative assets:
Interest rate contracts	28			18,998		192			—			19,218
Commodity contracts	—			1,504		30			—			1,534
Equity contracts	1,545			3,618		1,180			—			6,343
Foreign exchange contracts	21			8,247		18			—			8,286
Credit contracts	—			320		184			—			504
Netting	—			—		—			(22,612	)	(4)	(22,612		)
Total derivative assets	1,594			32,687		1,604			(22,612	)		13,273
Other assets – excluding nonmarketable equity investments at NAV	—			26		3,960			—			3,986
Total assets included in the fair value hierarchy	$	58,099		343,205		24,151			(22,612	)		402,843
Other assets – nonmarketable equity investments at NAV (5)												—
Total assets recorded at fair value												$	402,843
Derivative liabilities:
Interest rate contracts	$	(30	)	(16,146	)	(77	)		—			(16,253		)
Commodity contracts	—			(1,653	)	(13	)		—			(1,666		)
Equity contracts	(1,089		)	(4,280	)	(1,651	)		—			(7,020		)
Foreign exchange contracts	(18		)	(9,223	)	(14	)		—			(9,255		)
Credit contracts	—			(389	)	(112	)		—			(501		)
Other derivative contracts	—			—		(34	)		—			(34		)
Netting	—			—		—			23,093		(4)	23,093
Total derivative liabilities	(1,137		)	(31,691	)	(1,901	)		23,093			(11,636		)
Short sale liabilities:
Securities of U.S. Treasury and federal agencies	(8,906		)	(622	)	—			—			(9,528		)
Corporate debt securities	—			(5,180	)	—			—			(5,180		)
Equity securities	(2,073		)	(18	)	—			—			(2,091		)
Other securities	—			(45	)	—			—			(45		)
Total short sale liabilities	(10,979		)	(5,865	)	—			—			(16,844		)
Other liabilities	—			—		(3	)		—			(3		)
Total liabilities recorded at fair value	$	(12,116	)	(37,556	)	(1,904	)		23,093			(28,483		)

(1) Net gains (losses) from trading activities recognized in the income statement for the first half of June 30,2017 and 2016 include $1.1 billion and $1.1 billion in net unrealized gains (losses) on trading securities held at June 30, 2017 and 2016, respectively.

(2) 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.

(3) Includes collateralized debt obligations of $998 million.

(4) Represents balance sheet netting of derivative asset and liability balances and related cash collateral. See Note 12 (Derivatives) for additional information.

(5) Consists of certain nonmarketable equity investments that are measured at fair value using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.

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(in millions)	Level 1			Level 2		Level 3			Netting			Total
December 31, 2016
Trading assets
Securities of U.S. Treasury and federal agencies	$	14,950		2,710		—			—			17,660
Securities of U.S. states and political subdivisions	—			2,910		3			—			2,913
Collateralized loan obligations	—			501		309			—			810
Corporate debt securities	—			9,481		34			—			9,515
Mortgage-backed securities	—			20,254		—			—			20,254
Asset-backed securities	—			1,128		—			—			1,128
Equity securities	20,462			290		—			—			20,752
Total trading securities (1)	35,412			37,274		346			—			73,032
Other trading assets	—			1,337		28			—			1,365
Total trading assets	35,412			38,611		374			—			74,397
Securities of U.S. Treasury and federal agencies	22,870			2,949		—			—			25,819
Securities of U.S. states and political subdivisions	—			49,961		1,140		(2)	—			51,101
Mortgage-backed securities:
Federal agencies	—			161,230		—			—			161,230
Residential	—			7,815		1			—			7,816
Commercial	—			8,411		91			—			8,502
Total mortgage-backed securities	—			177,456		92			—			177,548
Corporate debt securities	58			10,967		432			—			11,457
Collateralized loan and other debt obligations (3)	—			34,141		879		(2)	—			35,020
Asset-backed securities:
Automobile loans and leases	—			9		—			—			9
Home equity loans	—			327		—			—			327
Other asset-backed securities	—			4,909		962		(2)	—			5,871
Total asset-backed securities	—			5,245		962			—			6,207
Other debt securities	—			1		—			—			1
Total debt securities	22,928			280,720		3,505			—			307,153
Marketable equity securities:
Perpetual preferred securities	112			357		—			—			469
Other marketable equity securities	741			1		—			—			742
Total marketable equity securities	853			358		—			—			1,211
Total available-for-sale securities	23,781			281,078		3,505			—			308,364
Mortgages held for sale	—			21,057		985			—			22,042
Loans	—			—		758			—			758
Mortgage servicing rights (residential)	—			—		12,959			—			12,959
Derivative assets:
Interest rate contracts	44			64,986		238			—			65,268
Commodity contracts	—			3,020		37			—			3,057
Equity contracts	1,314			2,997		1,047			—			5,358
Foreign exchange contracts	22			10,843		29			—			10,894
Credit contracts	—			280		272			—			552
Netting	—			—		—			(70,631	)	(4)	(70,631		)
Total derivative assets	1,380			82,126		1,623			(70,631	)		14,498
Other assets – excluding nonmarketable equity investments at NAV	—			16		3,259			—			3,275
Total assets included in the fair value hierarchy	$	60,573		422,888		23,463			(70,631	)		436,293
Other assets – nonmarketable equity investments at NAV (5)												—
Total assets recorded at fair value												$	436,293
Derivative liabilities:
Interest rate contracts	$	(45	)	(65,047	)	(117	)		—			(65,209		)
Commodity contracts	—			(2,537	)	(14	)		—			(2,551		)
Equity contracts	(919		)	(3,879	)	(1,314	)		—			(6,112		)
Foreign exchange contracts	(109		)	(12,616	)	(17	)		—			(12,742		)
Credit contracts	—			(332	)	(195	)		—			(527		)
Other derivative contracts	—			—		(47	)		—			(47		)
Netting	—			—		—			72,696		(4)	72,696
Total derivative liabilities	(1,073		)	(84,411	)	(1,704	)		72,696			(14,492		)
Short sale liabilities:
Securities of U.S. Treasury and federal agencies	(9,722		)	(701	)	—			—			(10,423		)
Corporate debt securities	—			(4,063	)	—			—			(4,063		)
Equity securities	(1,795		)	—		—			—			(1,795		)
Other securities	—			(98	)	—			—			(98		)
Total short sale liabilities	(11,517		)	(4,862	)	—			—			(16,379		)
Other liabilities	—			—		(4	)		—			(4		)
Total liabilities recorded at fair value	$	(12,590	)	(89,273	)	(1,708	)		72,696			(30,875		)

(1) Net gains (losses) from trading activities recognized in the income statement for the year ended December 31, 2016, include $820 million in net unrealized gains (losses) on trading securities held at December 31, 2016.

(2) 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.

(3) Includes collateralized debt obligations of $847 million. 

(4) Represents balance sheet netting of derivative asset and liability balances and related cash collateral. See Note 12 (Derivatives) for additional information.

(5) Consists of certain nonmarketable equity investments that are measured at fair value using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.

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 3 are provided within Table 13.3 for the periods presented. The amounts reported as transfers represent the fair value as of the beginning of the quarter in which the transfer occurred.

Table 13.3:Transfers Between Fair Value Levels

	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, 2017
Trading assets	$	—		—		—		(16	)	16		—		—
Available-for-sale securities	—			—		424		—		—		(424	)	—
Mortgages held for sale	—			—		5		(19	)	19		(5	)	—
Other assets	—			—		—		(1	)	1		—		—
Net derivative assets and liabilities (2)	—			—		80		—		—		(80	)	—
Short sale liabilities	—			—		—		—		—		—		—
Total transfers	$	—		—		509		(36	)	36		(509	)	—
Quarter ended June 30, 2016
Trading assets	$	—		(4	)	4		—		—		—		—
Available-for-sale securities	—			—		16		—		—		(16	)	—
Mortgages held for sale	—			—		7		(25	)	25		(7	)	—
Other assets	—			—		—		—		—		—		—
Net derivative assets and liabilities (2)	—			—		(12	)	(3	)	3		12		—
Short sale liabilities	—			—		—		—		—		—		—
Total transfers	$	—		(4	)	15		(28	)	28		(11	)	—
Six months ended June 30, 2017
Trading assets	$	—		—		1		(19	)	19		(1	)	—
Available-for-sale securities	—			—		496		(5	)	5		(496	)	—
Mortgages held for sale	—			—		6		(61	)	61		(6	)	—
Other assets	—			—		—		(1	)	1		—		—
Net derivative assets and liabilities (2)	—			—		83		22		(22	)	(83	)	—
Short sale liabilities	—			—		—		—		—		—		—
Total transfers	$	—		—		586		(64	)	64		(586	)	—
Six months ended June 30, 2016
Trading assets	$	4		(4	)	15		(4	)	—		(11	)	—
Available-for-sale securities	—			—		16		(80	)	80		(16	)	—
Mortgages held for sale	—			—		9		(54	)	54		(9	)	—
Other assets	—			—		—		—		—		—		—
Net derivative assets and liabilities (2)	—			—		50		(28	)	28		(50	)	—
Short sale liabilities	(1		)	—		—		1		—		—		—
Total transfers	$	3		(4	)	90		(165	)	162		(86	)	—

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

(2) Includes transfers of net derivative assets and net derivative liabilities between levels due to changes 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, 2017, are presented in Table 13.4.

Table 13.4:Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Quarter ended June 30, 2017

				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, 2017
Trading assets:
Securities of U.S. states and political subdivisions	$	3		—		—		6		—	—		9		—
Collateralized loan obligations	398			(7	)	—		12		—	—		403		7
Corporate debt securities	37			1		—		(12	)	—	—		26		(1	)
Mortgage-backed securities	—			—		—		—		—	—		—		—
Asset-backed securities	—			—		—		—		—	—		—		—
Equity securities	—			—		—		—		—	—		—		—
Total trading securities	438			(6	)	—		6		—	—		438		6
Other trading assets	26			(1	)	—		(2	)	16	—		39		(1	)
Total trading assets	464			(7	)	—		4		16	—		477		5		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	1,360			1		2		618		—	(424	)	1,557		—
Mortgage-backed securities:
Residential	1			—		—		—		—	—		1		—
Commercial	89			(3	)	(5	)	(6	)	—	—		75		(7	)
Total mortgage-backed securities	90			(3	)	(5	)	(6	)	—	—		76		(7	)
Corporate debt securities	391			—		2		(17	)	—	—		376		—
Collateralized loan and other debt obligations	964			5		4		29		—	—		1,002		—
Asset-backed securities:
Automobile loans and leases	—			—		—		—		—	—		—		—
Other asset-backed securities	845			—		1		26		—	—		872		—
Total asset-backed securities	845			—		1		26		—	—		872		—
Total debt securities	3,650			3		4		650		—	(424	)	3,883		(7	)	(4)
Marketable equity securities:
Perpetual preferred securities	—			—		—		—		—	—		—		—
Other marketable equity securities	—			—		—		—		—	—		—		—
Total marketable equity securities	—			—		—		—		—	—		—		—		(5)
Total available-for-sale securities	3,650			3		4		650		—	(424	)	3,883		(7	)
Mortgages held for sale	957			(1	)	—		25		19	(5	)	995		—		(6)
Loans	505			—		—		(62	)	—	—		443		(4	)	(6)
Mortgage servicing rights (residential) (7)	13,208			(847	)	—		428		—	—		12,789		(360	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	218			258		—		(361	)	—	—		115		12
Commodity contracts	19			—		—		—		—	(2	)	17		2
Equity contracts	(299		)	(14	)	—		(80	)	—	(78	)	(471	)	(109	)
Foreign exchange contracts	3			1		—		—		—	—		4		1
Credit contracts	87			28		—		(43	)	—	—		72		(17	)
Other derivative contracts	(36		)	3		—		(1	)	—	—		(34	)	2
Total derivative contracts	(8		)	276		—		(485	)	—	(80	)	(297	)	(109	)	(8)
Other assets	3,740			220		—		(1	)	1	—		3,960		226		(5)
Short sale liabilities	—			—		—		—		—	—		—		—		(3)
Other liabilities	(4		)	1		—		—		—	—		(3	)	—		(6)

(1) See Table 13.5 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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Table 13.5 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, 2017.

Table 13.5:Gross Purchases, Sales, Issuances and Settlements – Level 3 – Quarter ended June 30, 2017

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Quarter ended June 30, 2017
Trading assets:
Securities of U.S. states and political subdivisions	$	6	—		—	—		6
Collateralized loan obligations	87		(53	)	—	(22	)	12
Corporate debt securities	3		(15	)	—	—		(12	)
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		—		—	—		—
Equity securities	—		—		—	—		—
Total trading securities	96		(68	)	—	(22	)	6
Other trading assets	—		—		—	(2	)	(2	)
Total trading assets	96		(68	)	—	(24	)	4
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		—		655	(37	)	618
Mortgage-backed securities:
Residential	—		—		—	—		—
Commercial	—		—		—	(6	)	(6	)
Total mortgage-backed securities	—		—		—	(6	)	(6	)
Corporate debt securities	—		—		—	(17	)	(17	)
Collateralized loan and other debt obligations	57		—		—	(28	)	29
Asset-backed securities:
Automobile loans and leases	—		—		—	—		—
Other asset-backed securities	—		—		161	(135	)	26
Total asset-backed securities	—		—		161	(135	)	26
Total debt securities	57		—		816	(223	)	650
Marketable equity securities:
Perpetual preferred securities	—		—		—	—		—
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	—		—
Total available-for-sale securities	57		—		816	(223	)	650
Mortgages held for sale	18		(88	)	133	(38	)	25
Loans	2		—		3	(67	)	(62	)
Mortgage servicing rights (residential) (1)	—		(8	)	436	—		428
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(361	)	(361	)
Commodity contracts	—		—		—	—		—
Equity contracts	—		(69	)	—	(11	)	(80	)
Foreign exchange contracts	—		—		—	—		—
Credit contracts	2		(1	)	—	(44	)	(43	)
Other derivative contracts	—		—		—	(1	)	(1	)
Total derivative contracts	2		(70	)	—	(417	)	(485	)
Other assets	—		(1	)	—	—		(1	)
Short sale liabilities	—		—		—	—		—
Other liabilities	—		—		—	—		—

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

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2016, are presented in Table 13.6.

Table 13.6:Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Quarter ended June 30, 2016

	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, 2016
Trading assets:
Securities of U.S. states and political subdivisions	$	8		—		—		(1	)	—	—		7		—
Collateralized loan obligations	268			1		—		(20	)	—	—		249		(4	)
Corporate debt securities	33			(3	)	—		6		—	—		36		(2	)
Mortgage-backed securities	—			—		—		—		—	—		—		—
Asset-backed securities	—			—		—		—		—	—		—		—
Equity securities	—			—		—		—		—	—		—		—
Total trading securities	309			(2	)	—		(15	)	—	—		292		(6	)
Other trading assets	32			1		—		—		—	—		33		3
Total trading assets	341			(1	)	—		(15	)	—	—		325		(3	)	(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	1,457			3		1		348		—	(16	)	1,793		—
Mortgage-backed securities:
Residential	1			—		—		—		—	—		1		—
Commercial	73			—		—		21		—	—		94		—
Total mortgage-backed securities	74			—		—		21		—	—		95		—
Corporate debt securities	453			3		9		6		—	—		471		—
Collateralized loan and other debt obligations	813			8		4		126		—	—		951		—
Asset-backed securities:
Automobile loans and leases	—			—		—		—		—	—		—		—
Other asset-backed securities	1,240			2		(7	)	(118	)	—	—		1,117		(4	)
Total asset-backed securities	1,240			2		(7	)	(118	)	—	—		1,117		(4	)
Total debt securities	4,037			16		7		383		—	(16	)	4,427		(4	)	(4)
Marketable equity securities:
Perpetual preferred securities	—			—		—		—		—	—		—		—
Other marketable equity securities	—			—		—		—		—	—		—		—
Total marketable equity securities	—			—		—		—		—	—		—		—		(5)
Total available-for-sale securities	4,037			16		7		383		—	(16	)	4,427		(4	)
Mortgages held for sale	1,071			6		—		(11	)	25	(7	)	1,084		6		(6)
Loans	5,221			(3	)	—		(186	)	—	—		5,032		(4	)	(6)
Mortgage servicing rights (residential) (7)	11,333			(1,392	)	—		455		—	—		10,396		(824	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	501			660		—		(471	)	—	—		690		357
Commodity contracts	11			6		—		1		3	—		21		9
Equity contracts	(283		)	9		—		10		—	12		(252	)	(7	)
Foreign exchange contracts	—			—		—		—		—	—		—		—
Credit contracts	—			(1	)	—		62		—	—		61		(4	)
Other derivative contracts	(77		)	(9	)	—		(2	)	—	—		(88	)	(10	)
Total derivative contracts	152			665		—		(400	)	3	12		432		345		(8)
Other assets	3,097			(181	)	—		122		—	—		3,038		(181	)	(5)
Short sale liabilities	—			—		—		—		—	—		—		—		(3)
Other liabilities	(5		)	—		—		—		—	—		(5	)	—		(6)

(1) See Table 13.7 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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Table 13.7 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, 2016.

Table 13.7:Gross Purchases, Sales, Issuances and Settlements – Level 3 – Quarter ended June 30, 2016

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Quarter ended June 30, 2016
Trading assets:
Securities of U.S. states and political subdivisions	$	2	(2	)	—	(1	)	(1	)
Collateralized loan obligations	134		(154	)	—	—		(20	)
Corporate debt securities	10		(4	)	—	—		6
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		—		—	—		—
Equity securities	—		—		—	—		—
Total trading securities	146		(160	)	—	(1	)	(15	)
Other trading assets	—		—		—	—		—
Total trading assets	146		(160	)	—	(1	)	(15	)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		(7	)	459	(104	)	348
Mortgage-backed securities:
Residential	—		—		—	—		—
Commercial	22		—		—	(1	)	21
Total mortgage-backed securities	22		—		—	(1	)	21
Corporate debt securities	6		—		—	—		6
Collateralized loan and other debt obligations	188		(4	)	—	(58	)	126
Asset-backed securities:
Automobile loans and leases	—		—		—	—		—
Other asset-backed securities	—		(28	)	38	(128	)	(118	)
Total asset-backed securities	—		(28	)	38	(128	)	(118	)
Total debt securities	216		(39	)	497	(291	)	383
Marketable equity securities:
Perpetual preferred securities	—		—		—	—		—
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	—		—
Total available-for-sale securities	216		(39	)	497	(291	)	383
Mortgages held for sale	22		(152	)	164	(45	)	(11	)
Loans	8		—		84	(278	)	(186	)
Mortgage servicing rights (residential) (1)	—		(22	)	477	—		455
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(471	)	(471	)
Commodity contracts	—		—		—	1		1
Equity contracts	16		1		—	(7	)	10
Foreign exchange contracts	—		—		—	—		—
Credit contracts	—		(1	)	—	63		62
Other derivative contracts	—		—		—	(2	)	(2	)
Total derivative contracts	16		—		—	(416	)	(400	)
Other assets	122		—		—	—		122
Short sale liabilities	—		—		—	—		—
Other liabilities	—		—		—	—		—

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

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2017, are presented in Table 13.8.

Table 13.8:Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Six months ended June 30, 2017

				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, 2017
Trading assets:
Securities of U.S. states and political subdivisions	$	3		—		—		6		—		—		9		—
Collateralized loan obligations	309			(3	)	—		97		—		—		403		7
Corporate debt securities	34			1		—		(11	)	3		(1	)	26		—
Mortgage-backed securities	—			—		—		—		—		—		—		—
Asset-backed securities	—			—		—		—		—		—		—		—
Equity securities	—			—		—		—		—		—		—		—
Total trading securities	346			(2	)	—		92		3		(1	)	438		7
Other trading assets	28			(3	)	—		(2	)	16		—		39		(1	)
Total trading assets	374			(5	)	—		90		19		(1	)	477		6		(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	1,140			1		4		903		5		(496	)	1,557		—
Mortgage-backed securities:
Residential	1			—		—		—		—		—		1		—
Commercial	91			(6	)	(1	)	(9	)	—		—		75		(11	)
Total mortgage-backed securities	92			(6	)	(1	)	(9	)	—		—		76		(11	)
Corporate debt securities	432			(14	)	10		(52	)	—		—		376		—
Collateralized loan and other debt obligations	879			10		45		68		—		—		1,002		—
Asset-backed securities:
Automobile loans and leases	—			—		—		—		—		—		—		—
Other asset-backed securities	962			—		3		(93	)	—		—		872		—
Total asset-backed securities	962			—		3		(93	)	—		—		872		—
Total debt securities	3,505			(9	)	61		817		5		(496	)	3,883		(11	)	(4)
Marketable equity securities:
Perpetual preferred securities	—			—		—		—		—		—		—		—
Other marketable equity securities	—			—		—		—		—		—		—		—
Total marketable equity securities	—			—		—		—		—		—		—		—		(5)
Total available-for-sale securities	3,505			(9	)	61		817		5		(496	)	3,883		(11	)
Mortgages held for sale	985			(10	)	—		(35	)	61		(6	)	995		(10	)	(6)
Loans	758			(6	)	—		(309	)	—		—		443		(8	)	(6)
Mortgage servicing rights (residential) (7)	12,959			(1,134	)	—		964		—		—		12,789		(186	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	121			467		—		(473	)	—		—		115		(7	)
Commodity contracts	23			2		—		(6	)	—		(2	)	17		14
Equity contracts	(267		)	(58	)	—		(43	)	(22	)	(81	)	(471	)	(189	)
Foreign exchange contracts	12			(8	)	—		—		—		—		4		(5	)
Credit contracts	77			35		—		(40	)	—		—		72		(32	)
Other derivative contracts	(47		)	14		—		(1	)	—		—		(34	)	14
Total derivative contracts	(81		)	452		—		(563	)	(22	)	(83	)	(297	)	(205	)	(8)
Other assets	3,259			701		—		(1	)	1		—		3,960		711		(5)
Short sale liabilities	—			—		—		—		—		—		—		—		(3)
Other liabilities	(4		)	1		—		—		—		—		(3	)	—		(6)

(1) See Table 13.9 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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Table 13.9 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 2017.

Table 13.9:Gross Purchases, Sales, Issuances and Settlements – Level 3 – Six months ended June 30, 2017

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Six months ended June 30, 2017
Trading assets:
Securities of U.S. states and political subdivisions	$	7	(1	)	—	—		6
Collateralized loan obligations	286		(129	)	—	(60	)	97
Corporate debt securities	9		(20	)	—	—		(11	)
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		—		—	—		—
Equity securities	—		—		—	—		—
Total trading securities	302		(150	)	—	(60	)	92
Other trading assets	—		—		—	(2	)	(2	)
Total trading assets	302		(150	)	—	(62	)	90
Available-for-sale securities:
Securities of U.S. states and political subdivisions	—		—		1,001	(98	)	903
Mortgage-backed securities:
Residential	—		—		—	—		—
Commercial	—		—		—	(9	)	(9	)
Total mortgage-backed securities	—		—		—	(9	)	(9	)
Corporate debt securities	4		—		—	(56	)	(52	)
Collateralized loan and other debt obligations	129		—		—	(61	)	68
Asset-backed securities:
Automobile loans and leases	—		—		—	—		—
Other asset-backed securities	—		—		182	(275	)	(93	)
Total asset-backed securities	—		—		182	(275	)	(93	)
Total debt securities	133		—		1,183	(499	)	817
Marketable equity securities:
Perpetual preferred securities	—		—		—	—		—
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	—		—
Total available-for-sale securities	133		—		1,183	(499	)	817
Mortgages held for sale	40		(244	)	239	(70	)	(35	)
Loans	3		(129	)	9	(192	)	(309	)
Mortgage servicing rights (residential) (1)	—		(55	)	1,019	—		964
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(473	)	(473	)
Commodity contracts	—		—		—	(6	)	(6	)
Equity contracts	—		(69	)	—	26		(43	)
Foreign exchange contracts	—		—		—	—		—
Credit contracts	4		(2	)	—	(42	)	(40	)
Other derivative contracts	—		—		—	(1	)	(1	)
Total derivative contracts	4		(71	)	—	(496	)	(563	)
Other assets	—		(1	)	—	—		(1	)
Short sale liabilities	—		—		—	—		—
Other liabilities	—		—		—	—		—

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

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2016, are presented in Table 13.10.

Table 13.10:Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Six months ended June 30, 2016

	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, 2016
Trading assets:
Securities of U.S. states and political subdivisions	$	8		—		—		(1	)	—	—		7		—
Collateralized loan obligations	343			(24	)	—		(59	)	—	(11	)	249		(25	)
Corporate debt securities	56			(8	)	—		(12	)	—	—		36		(6	)
Mortgage-backed securities	—			—		—		—		—	—		—		—
Asset-backed securities	—			—		—		—		—	—		—		—
Equity securities	—			—		—		—		—	—		—		—
Total trading securities	407			(32	)	—		(72	)	—	(11	)	292		(31	)
Other trading assets	34			(1	)	—		—		—	—		33		3
Total trading assets	441			(33	)	—		(72	)	—	(11	)	325		(28	)	(3)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	1,500			4		4		221		80	(16	)	1,793		—
Mortgage-backed securities:
Residential	1			—		—		—		—	—		1		—
Commercial	73			—		—		21		—	—		94		—
Total mortgage-backed securities	74			—		—		21		—	—		95		—
Corporate debt securities	405			5		28		33		—	—		471		—
Collateralized loan and other debt obligations	565			23		(20	)	383		—	—		951		—
Asset-backed securities:
Automobile loans and leases	—			—		—		—		—	—		—		—
Other asset-backed securities	1,182			2		(7	)	(60	)	—	—		1,117		(4	)
Total asset-backed securities	1,182			2		(7	)	(60	)	—	—		1,117		(4	)
Total debt securities	3,726			34		5		598		80	(16	)	4,427		(4	)	(4)
Marketable equity securities:
Perpetual preferred securities	—			—		—		—		—	—		—		—
Other marketable equity securities	—			—		—		—		—	—		—		—
Total marketable equity securities	—			—		—		—		—	—		—		—		(5)
Total available-for-sale securities	3,726			34		5		598		80	(16	)	4,427		(4	)
Mortgages held for sale	1,082			30		—		(73	)	54	(9	)	1,084		27		(6)
Loans	5,316			(4	)	—		(280	)	—	—		5,032		(6	)	(6)
Mortgage servicing rights (residential) (7)	12,415			(2,840	)	—		821		—	—		10,396		(1,781	)	(6)
Net derivative assets and liabilities:
Interest rate contracts	288			1,259		—		(850	)	—	(7	)	690		458
Commodity contracts	12			8		—		(2	)	3	—		21		13
Equity contracts	(111		)	7		—		(130	)	25	(43	)	(252	)	(160	)
Foreign exchange contracts	—			—		—		—		—	—		—		—
Credit contracts	(3		)	8		—		56		—	—		61		4
Other derivative contracts	(58		)	(30	)	—		—		—	—		(88	)	(30	)
Total derivative contracts	128			1,252		—		(926	)	28	(50	)	432		285		(8)
Other assets	3,065			(238	)	—		211		—	—		3,038		(239	)	(5)
Short sale liabilities	—			—		—		—		—	—		—		—		(3)
Other liabilities	(30		)	—		—		25		—	—		(5	)	—		(6)

(1) See Table 13.11 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)

Table 13.11 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 2016.

Table 13.11:Gross Purchases, Sales, Issuances and Settlements – Level 3 – Six months ended June 30, 2016

(in millions)	Purchases		Sales		Issuances	Settlements		Net
Six months ended June 30, 2016
Trading assets:
Securities of U.S. states and political subdivisions	$	2	(2	)	—	(1	)	(1	)
Collateralized loan obligations	190		(249	)	—	—		(59	)
Corporate debt securities	13		(25	)	—	—		(12	)
Mortgage-backed securities	—		—		—	—		—
Asset-backed securities	—		—		—	—		—
Equity securities	—		—		—	—		—
Total trading securities	205		(276	)	—	(1	)	(72	)
Other trading assets	—		—		—	—		—
Total trading assets	205		(276	)	—	(1	)	(72	)
Available-for-sale securities:
Securities of U.S. states and political subdivisions	28		(7	)	475	(275	)	221
Mortgage-backed securities:
Residential	—		—		—	—		—
Commercial	22		—		—	(1	)	21
Total mortgage-backed securities	22		—		—	(1	)	21
Corporate debt securities	34		—		—	(1	)	33
Collateralized loan and other debt obligations	489		(4	)	—	(102	)	383
Asset-backed securities:
Automobile loans and leases	—		—		—	—		—
Other asset-backed securities	—		(28	)	198	(230	)	(60	)
Total asset-backed securities	—		(28	)	198	(230	)	(60	)
Total debt securities	573		(39	)	673	(609	)	598
Marketable equity securities:
Perpetual preferred securities	—		—		—	—		—
Other marketable equity securities	—		—		—	—		—
Total marketable equity securities	—		—		—	—		—
Total available-for-sale securities	573		(39	)	673	(609	)	598
Mortgages held for sale	44		(311	)	282	(88	)	(73	)
Loans	12		—		172	(464	)	(280	)
Mortgage servicing rights (residential) (1)	—		(22	)	843	—		821
Net derivative assets and liabilities:
Interest rate contracts	—		—		—	(850	)	(850	)
Commodity contracts	—		—		—	(2	)	(2	)
Equity contracts	29		(146	)	—	(13	)	(130	)
Foreign exchange contracts	—		—		—	—		—
Credit contracts	3		(1	)	—	54		56
Other derivative contracts	—		—		—	—		—
Total derivative contracts	32		(147	)	—	(811	)	(926	)
Other assets	211		—		—	—		211
Short sale liabilities	—		—		—	—		—
Other liabilities	—		—		—	25		25

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

Table 13.12 and Table 13.13 provide 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 2016 Form 10-K. 

Table 13.12:Valuation Techniques – Recurring Basis – June 30, 2017

($ 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, 2017
Trading and available-for-sale securities:
Securities of U.S. states and political subdivisions:
Government, healthcare and other revenue bonds	$	1,324			Discounted cash flow	Discount rate	1.2			-	5.0		%	2.1
Auction rate securities and other municipal bonds	34				Discounted cash flow	Discount rate	4.2			-	4.4			4.3
	208				Vendor priced
Collateralized loan and other debt obligations (2)	403				Market comparable pricing	Comparability adjustment	(19.5		)	-	20.8			2.8
	1,002				Vendor priced
Asset-backed securities:
Diversified payment rights (3)	358				Discounted cash flow	Discount rate	1.7			-	4.0			2.9
Other commercial and consumer	488			(4)	Discounted cash flow	Discount rate	3.3			-	4.7			4.0
						Weighted average life	0.3			-	3.7		yrs	2.2
	26				Vendor priced
Mortgages held for sale (residential)	969				Discounted cash flow	Default rate	0.5			-	7.0		%	1.7
						Discount rate	1.1			-	6.9			5.2
						Loss severity	0.0			-	45.2			27.1
						Prepayment rate	7.1			-	18.3			10.2
	26				Market comparable pricing	Comparability adjustment	(53.3		)	-	0.0			(38.5	)
Loans	443			(5)	Discounted cash flow	Discount rate	0.0			-	7.1			0.3
						Prepayment rate	9.1			-	100.0			94.4
Mortgage servicing rights (residential)	12,789				Discounted cash flow	Cost to service per loan (6)	$	79		-	566			149
						Discount rate	6.5			-	15.2		%	6.8
						Prepayment rate (7)	9.6			-	21.7			10.5
Net derivative assets and (liabilities):
Interest rate contracts	103				Discounted cash flow	Default rate	0.0			-	6.8			1.7
						Loss severity	50.0			-	50.0			50.0
						Prepayment rate	2.8			-	12.5			10.0
Interest rate contracts: derivative loan commitments	12				Discounted cash flow	Fall-out factor	1.0			-	99.0			17.2
						Initial-value servicing	(41.8		)	-	111.8		bps	30.8
Equity contracts	95				Discounted cash flow	Conversion factor	(10.1		)	-	0.0		%	(7.9	)
						Weighted average life	0.5			-	2.5		yrs	1.6
	(566		)		Option model	Correlation factor	(77.0		)	-	98.5		%	37.2
						Volatility factor	5.0			-	118.2			20.0
Credit contracts	(4		)		Market comparable pricing	Comparability adjustment	(21.1		)	-	36.0			(1.5	)
	76				Option model	Credit spread	0.0			-	10.1			1.0
						Loss severity	12.0			-	60.0			48.6
Other assets: nonmarketable equity investments	10				Discounted cash flow	Discount rate	5.0			-	10.3			9.4
						Volatility Factor	1.2			-	1.3			1.3
	3,950				Market comparable pricing	Comparability adjustment	(20.1		)	-	(4.0	)		(15.1	)
Insignificant Level 3 assets, net of liabilities	501			(8)
Total level 3 assets, net of liabilities	$	22,247		(9)

(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 $998 million of collateralized debt obligations.

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

(4) A significant portion of the balance consists of investments in asset-backed securities that are revolving in nature, for which the timing of advances and repayments of principal are uncertain.

(5) Consists of reverse mortgage loans.

(6) The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $79 - $288.

(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) 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, other trading assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts, and other derivative contracts.

(9) Consists of total Level 3 assets of $24.2 billion and total Level 3 liabilities of $1.9 billion, before netting of derivative balances.

Table 13.13:Valuation Techniques – Recurring Basis – December 31, 2016

($ 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, 2016
Trading and available-for-sale securities:
Securities of U.S. states and political subdivisions:
Government, healthcare and other revenue bonds	$	906			Discounted cash flow	Discount rate	1.1			-	5.6		%	2.0
Auction rate securities and other municipal bonds	29				Discounted cash flow	Discount rate	3.7			-	4.9			4.5
						Weighted average life	3.6			-	3.6		yrs	3.6
	208				Vendor priced
Collateralized loan and other debt obligations (2)	309				Market comparable pricing	Comparability adjustment	(15.5		)	-	20.3		%	2.9
	879				Vendor priced
Asset-backed securities:
Diversified payment rights (3)	443				Discounted cash flow	Discount rate	1.9			-	4.8			3.3
Other commercial and consumer	492			(4)	Discounted cash flow	Discount rate	3.0			-	4.6			3.9
						Weighted average life	0.8			-	4.2		yrs	2.9
	27				Vendor priced
Mortgages held for sale (residential)	955				Discounted cash flow	Default rate	0.5			-	7.9		%	1.9
						Discount rate	1.1			-	6.9			5.1
						Loss severity	0.1			-	42.5			26.9
						Prepayment rate	6.3			-	17.1			10.0
	30				Market comparable pricing	Comparability adjustment	(53.3		)	-	0.0			(37.8	)
Loans	758			(5)	Discounted cash flow	Discount rate	0.0			-	3.9			0.6
						Prepayment rate	0.4			-	100.0			83.7
						Utilization rate	0.0			-	0.8			0.1
Mortgage servicing rights (residential)	12,959				Discounted cash flow	Cost to service per loan (6)	$	79		-	598			155
						Discount rate	6.5			-	18.4		%	6.8
						Prepayment rate (7)	9.4			-	20.6			10.3
Net derivative assets and (liabilities):
Interest rate contracts	127				Discounted cash flow	Default rate	0.1			-	6.8			2.1
						Loss severity	50.0			-	50.0			50.0
						Prepayment rate	2.8			-	12.5			9.6
Interest rate contracts: derivative loan commitments	(6		)		Discounted cash flow	Fall-out factor	1.0			-	99.0			15.0
						Initial-value servicing	(23.0		)	-	131.2		bps	56.8
Equity contracts	79				Discounted cash flow	Conversion factor	(10.6		)	-	0.0		%	(7.9	)
						Weighted average life	1.0			-	3.0		yrs	2.0
	(346		)		Option model	Correlation factor	(65.0		)	-	98.5		%	39.9
						Volatility factor	6.5			-	100.0			20.7
Credit contracts	(28		)		Market comparable pricing	Comparability adjustment	(27.7		)	-	21.3			0.02
	105				Option model	Credit spread	0.0			-	11.6			1.2
						Loss severity	12.0			-	60.0			50.4
Other assets: nonmarketable equity investments	21				Discounted cash flow	Discount rate	5.0			-	10.3			8.7
						Volatility Factor	0.3			-	2.4			1.1
	3,238				Market comparable pricing	Comparability adjustment	(22.1		)	-	(5.5	)		(16.4	)
Insignificant Level 3 assets, net of liabilities	570			(8)
Total level 3 assets, net of liabilities	$	21,755		(9)

(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 $847 million of collateralized debt obligations.

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

(4) A significant portion of the balance consists of investments in asset-backed securities that are revolving in nature, for which the timing of advances and repayments of principal are uncertain.

(5) Consists of reverse mortgage loans.

(6) The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $79 - $293.

(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) 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, other trading assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts, and other derivative contracts.

(9) Consists of total Level 3 assets of $23.5 billion and total Level 3 liabilities of $1.7 billion, before netting of derivative balances.

The valuation techniques used 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 for 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. We also consider 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 Overnight Index Swap (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 calculate the present value of 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 estimated 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. Table 13.14 provides the fair value hierarchy and carrying amount of all assets that were still held as of June 30, 2017, and December 31, 2016,and for which a nonrecurring fair value adjustment was recorded during the periods presented.

Table 13.14:Fair Value on a Nonrecurring Basis

	June 30, 2017						December 31, 2016
(in millions)	Level 1		Level 2	Level 3	Total		Level 1	Level 2	Level 3	Total
Mortgages held for sale (LOCOM) (1)	$	—	2,108	1,324	3,432		—	2,312	1,350	3,662
Loans held for sale	—		10	—	10		—	8	—	8
Loans:
Commercial	—		442	—	442		—	464	—	464
Consumer	—		349	5	354		—	822	7	829
Total loans (2)	—		791	5	796		—	1,286	7	1,293
Other assets - excluding nonmarketable equity investments at NAV (3)	—		188	178	366		—	233	412	645
Total included in the fair value hierarchy	$	—	3,097	1,507	4,604		—	3,839	1,769	5,608
Other assets - nonmarketable equity investments at NAV (4)					4					13
Total assets at fair value on a nonrecurring basis					$	4,608				5,621

(1) Consists of commercial mortgages and residential real estate 1-4 family first mortgage loans.

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

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

(4) Consists of certain nonmarketable equity investments that are measured at fair value on a nonrecurring basis using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.

Table 13.15 presents the increase (decrease) in value of certain assets held at the end of the respective reporting periods presented for which a nonrecurring fair value adjustment was recognized during the periods presented.

Table 13.15:Change in Value of Assets with Nonrecurring Fair Value Adjustment

	Six months ended June 30,
(in millions)	2017			2016
Mortgages held for sale (LOCOM)	$	14		30
Loans held for sale	(1		)	—
Loans:
Commercial	(186		)	(560	)
Consumer	(261		)	(431	)
Total loans (1)	(447		)	(991	)
Other assets (2)	(66		)	(259	)
Total	$	(500	)	(1,220	)

(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. 

Table 13.16 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets 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 valuation techniques and significant unobservable inputs for certain classes of Level 3

assets 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 that 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.

Table 13.16:Valuation Techniques – Nonrecurring Basis

($ in millions)	Fair Value Level 3			Valuation Technique(s)(1)	Significant Unobservable Inputs (1)		Range of inputs				Weighted Average(2)
June 30, 2017
Residential mortgages held for sale (LOCOM)	$	1,324	(3)	Discounted cash flow	Default rate	(4)	0.1	—	8.5	%	1.7	%
					Discount rate		1.5	—	8.5		3.8
					Loss severity		0.7	—	48.8		2.5
					Prepayment rate	(5)	3.6	—	100.0		48.8
Other assets: nonmarketable equity investments	41			Discounted cash flow	Discount rate		5.0	—	15.0		10.0
Insignificant level 3 assets	142
Total	$	1,507
December 31, 2016
Residential mortgages held for sale (LOCOM)	$	1,350	(3)	Discounted cash flow	Default rate	(4)	0.2	—	4.3	%	1.9	%
					Discount rate		1.5	—	8.5		3.8
					Loss severity		0.7	—	50.1		2.4
					Prepayment rate	(5)	3.0	—	100.0		50.7
Other assets: nonmarketable equity investments	220			Discounted cash flow	Discount rate		4.7	—	9.3		7.3
Insignificant level 3 assets	199
Total	$	1,769

(1) Refer to the narrative following Table 13.13 for a definition of the valuation technique(s) and significant unobservable inputs.

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

(3) Consists of approximately $1.3 billion of government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitizations at both June 30, 2017, and December 31, 2016, and $31 million and $33 million of other mortgage loans that are not government insured/guaranteed at June 30, 2017 and December 31, 2016, respectively.

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

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

Alternative Investments

We hold certain nonmarketable equity investments for which we use NAV per share (or its equivalent) as a practical expedient for fair value measurements, including estimated fair values for investments accounted for under the cost method. The investments consist of private equity funds that invest in equity and debt securities issued by private and publicly-held companies. The fair values of these investments and related unfunded commitments totaled $22 million and $30 million, respectively, at June 30, 2017, and $48 million and $37 million, respectively, at December 31, 2016. The investments do not allow redemptions. We receive distributions as the underlying assets of the funds liquidate, which we expect to occur through 2025.

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 2016 Form 10-K.

Table 13.17 reflects differences between the fair value carrying amount of the assets for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity.

Table 13.17:Fair Value Option

	June 30, 2017					December 31, 2016
(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	$	1,742	1,804	(62	)	1,332	1,418	(86	)
Nonaccrual loans	65		73	(8	)	100	115	(15	)
Mortgages held for sale:
Total loans	19,543		19,034	509		22,042	21,961	81
Nonaccrual loans	127		168	(41	)	136	182	(46	)
Loans 90 days or more past due and still accruing	11		15	(4	)	12	16	(4	)
Loans held for sale:
Total loans	—		6	(6	)	—	6	(6	)
Nonaccrual loans	—		6	(6	)	—	6	(6	)
Loans:
Total loans	443		469	(26	)	758	775	(17	)
Nonaccrual loans	272		296	(24	)	297	318	(21	)
Other assets (1)	3,986		N/A	N/A		3,275	N/A	N/A

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

The assets 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 measured at fair value are shown in Table 13.18 by income statement line item.

Table 13.18:Fair Value Option – Changes in Fair Value Included in Earnings

	2017					2016
(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	$	—	11		1	—	16		1
Mortgages held for sale	288		—		—	611	—		—
Loans	—		—		—	—	—		(3	)
Other assets	—		—		221	—	—		(176	)
Other interests held (1)	—		(2	)	—	—	1		—
Six months ended June 30,
Trading assets – loans	$	—	36		1	—	26		1
Mortgages held for sale	567		—		—	1,176	—		—
Loans	—		—		—	—	—		(4	)
Other assets	—		—		711	—	—		(234	)
Other interests held (1)	—		(4	)	—	—	(1	)	—

(1) Includes retained interests in securitizations.

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. Table 13.19 shows the estimated gains and losses from earnings attributable to instrument-specific credit risk related to assets accounted for under the fair value option.

Table 13.19:Fair Value Option – Gains/Losses Attributable to Instrument-Specific Credit Risk

	Quarter ended June 30,					Six months ended June 30,
(in millions)	2017			2016		2017		2016
Gains (losses) attributable to instrument-specific credit risk:
Trading assets – loans	$	11		16		36		26
Mortgages held for sale	(4		)	(1	)	(5	)	(5	)
Total	$	7		15		31		21

Disclosures about Fair Value of Financial Instruments

Table 13.20 is a summary of fair value estimates for financial instruments, excluding financial instruments recorded at fair value on a recurring basis, as they are included within Table 13.2 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.

Table 13.20:Fair Value Estimates for Financial Instruments

			Estimated fair value
(in millions)	Carrying amount		Level 1	Level 2	Level 3	Total
June 30, 2017
Financial assets
Cash and due from banks (1)	$	20,248	20,248	—	—	20,248
Federal funds sold, securities purchased under resale agreements and other short-term investments (1)	264,706		14,247	250,382	77	264,706
Held-to-maturity securities	140,392		45,335	94,033	1,022	140,390
Mortgages held for sale (2)	5,264		—	3,949	1,324	5,273
Loans held for sale	156		—	157	—	157
Loans, net (3)	926,970		—	56,351	882,300	938,651
Nonmarketable equity investments (cost method)
Excluding investments at NAV	7,587		—	20	8,104	8,124
Total financial assets included in the fair value hierarchy	1,365,323		79,830	404,892	892,827	1,377,549
Investments at NAV (4)	20					22
Total financial assets	$	1,365,343				1,377,571
Financial liabilities
Deposits	$	1,305,830	—	1,283,587	22,266	1,305,853
Short-term borrowings (1)	95,356		—	95,356	—	95,356
Long-term debt (5)	238,862		—	235,085	6,992	242,077
Total financial liabilities	$	1,640,048	—	1,614,028	29,258	1,643,286
December 31, 2016
Financial assets
Cash and due from banks (1)	$	20,729	20,729	—	—	20,729
Federal funds sold, securities purchased under resale agreements and other short-term investments (1)	266,038		18,670	247,286	82	266,038
Held-to-maturity securities	99,583		45,079	51,706	2,370	99,155
Mortgages held for sale (2)	4,267		—	2,927	1,350	4,277
Loans held for sale	80		—	81	—	81
Loans, net (3)	936,358		—	60,245	887,589	947,834
Nonmarketable equity investments (cost method)
Excluding investments at NAV	8,362		—	18	8,924	8,942
Total financial assets included in the fair value hierarchy	1,335,417		84,478	362,263	900,315	1,347,056
Investments at NAV (4)	35					48
Total financial assets	$	1,335,452				1,347,104
Financial liabilities
Deposits	$	1,306,079	—	1,282,158	23,995	1,306,153
Short-term borrowings (1)	96,781		—	96,781	—	96,781
Long-term debt (5)	255,070		—	245,704	10,075	255,779
Total financial liabilities	$	1,657,930	—	1,624,643	34,070	1,658,713

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

(2) Excludes MHFS for which we elected the fair value option.

(3) Excludes loans for which the fair value option was elected and also exclude lease financing with a carrying amount of $19.2 billion and $19.3 billion at June 30, 2017, and December 31, 2016, respectively.

(4) Consists of certain nonmarketable equity investments for which estimated fair values are determined using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.

(5) Excludes capital lease obligations under capital leases of $7 million at both June 30, 2017, and December 31, 2016.

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 allowance for unfunded credit commitments, which totaled $1.2 billion at both June 30, 2017, and December 31, 2016, respectively.