Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 2015

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments at December 31, 2015 and 2014:



December 31, 2015	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	8,494	$	8,494	$	968	$	7,478	$	48
Federal funds sold and securities purchased under resale agreements	19,847		19,847		—		19,847		—
Non-derivative trading assets	11,935		11,935		3,088		5,756		3,091
Derivatives	5,614		5,614		5		5,579		30
Securities	49,797		49,938		21,924		28,014		—
Commercial loans, net of allowance for credit losses	61,674		62,417		—		—		62,417
Commercial loans designated under fair value option and held for sale	151		151		—		151		—
Commercial loans held for sale	1,944		1,958		—		55		1,903
Consumer loans, net of allowance for credit losses	20,331		19,185		—		—		19,185
Consumer loans held for sale:
Residential mortgages	11		11		—		7		4
Other consumer	79		79		—		—		79
Financial liabilities:
Short-term financial liabilities	$	3,082	$	3,124	$	—	$	3,076	$	48
Deposits:
Without fixed maturities	101,146		101,146		—		101,146		—
Fixed maturities	10,514		10,508		—		10,508		—
Deposits designated under fair value option	6,919		6,919		—		5,052		1,867
Non-derivative trading liabilities	1,049		1,049		363		686		—
Derivatives	6,993		6,993		9		6,957		27
Short-term borrowings designated under fair value option	1,976		1,976		—		1,976		—
Long-term debt	24,338		24,874		—		24,874		—
Long-term debt designated under fair value option	9,171		9,171		—		8,425		746



December 31, 2014	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	31,746	$	31,746	$	891	$	30,807	$	48
Federal funds sold and securities purchased under resale agreements	1,413		1,413		—		1,413		—
Non-derivative trading assets	15,490		15,490		2,675		9,722		3,093
Derivatives	7,258		7,258		10		7,200		48
Securities	43,609		43,835		22,048		21,787		—
Commercial loans, net of allowance for credit losses	57,595		58,891		—		—		58,891
Commercial loans designated under fair value option and held for sale	384		384		—		384		—
Commercial loans held for sale	144		144		—		144		—
Consumer loans, net of allowance for credit losses	19,466		17,896		—		—		17,896
Consumer loans held for sale:
Residential mortgages	18		19		—		14		5
Other consumer	66		66		—		—		66
Financial liabilities:
Short-term financial liabilities	$	12,861	$	12,861	$	—	$	12,813	$	48
Deposits:
Without fixed maturities	105,962		105,962		—		105,962		—
Fixed maturities	2,810		2,813		—		2,813		—
Deposits designated under fair value option	7,346		7,346		—		5,378		1,968
Non-derivative trading liabilities	705		705		653		52		—
Derivatives	8,413		8,413		8		8,376		29
Long-term debt	18,733		19,524		—		19,524		—
Long-term debt designated under fair value option	8,791		8,791		—		8,144		647

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis as of December 31, 2015 and 2014, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value:



	Fair Value Measurements on a Recurring Basis
December 31, 2015	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	3,088	$	167	$	—	$	3,255	$	—		$	3,255
Obligations of U.S. States and political subdivisions	—		559		—		559		—			559
Collateralized debt obligations	—		—		221		221		—			221
Asset-backed securities:
Residential mortgages	—		114		—		114		—			114
Student Loans	—		89		—		89		—			89
Corporate and other domestic debt securities	—		—		2,870		2,870		—			2,870
Debt Securities issued by foreign entities:
Corporate	—		55		—		55		—			55
Government-backed	—		3,974		—		3,974		—			3,974
Equity securities	—		18		—		18		—			18
Precious metals trading	—		780		—		780		—			780
Derivatives⁽²⁾:
Interest rate contracts	26		35,241		2		35,269		—			35,269
Foreign exchange contracts	—		24,161		16		24,177		—			24,177
Equity contracts	—		1,687		119		1,806		—			1,806
Precious metals contracts	38		891		—		929		—			929
Credit contracts	—		3,676		209		3,885		—			3,885
Derivatives netting	—		—		—		—		(60,452		)	(60,452		)
Total derivatives	64		65,656		346		66,066		(60,452		)	5,614
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	21,924		12,621		—		34,545		—			34,545
Obligations of U.S. states and political subdivisions	—		348		—		348		—			348
Asset-backed securities:
Commercial mortgages	—		9		—		9		—			9
Home equity	—		75		—		75		—			75
Other	—		89		—		89		—			89
Debt Securities issued by foreign entities:
Corporate	—		191		—		191		—			191
Government-backed	—		355		—		355		—			355
Equity securities	—		161		—		161		—			161
Loans⁽³⁾	—		151		—		151		—			151
Mortgage servicing rights⁽⁴⁾	—		—		140		140		—			140
Total assets	$	25,076	$	85,412	$	3,577	$	114,065	$	(60,452	)	$	53,613
Liabilities:
Domestic deposits⁽⁵⁾	$	—	$	5,052	$	1,867	$	6,919	$	—		$	6,919
Trading liabilities, excluding derivatives	363		686		—		1,049		—			1,049
Derivatives⁽²⁾:
Interest rate contracts	28		35,432		1		35,461		—			35,461
Foreign exchange contracts	15		22,405		16		22,436		—			22,436
Equity contracts	—		1,560		202		1,762		—			1,762
Precious metals contracts	39		552		—		591		—			591
Credit contracts	—		3,753		30		3,783		—			3,783
Derivatives netting	—		—		—		—		(57,040		)	(57,040		)
Total derivatives	82		63,702		249		64,033		(57,040		)	6,993
Short-term borrowings⁽⁵⁾	—		1,976		—		1,976		—			1,976
Long-term debt⁽⁵⁾	—		8,425		746		9,171		—			9,171
Total liabilities	$	445	$	79,841	$	2,862	$	83,148	$	(57,040	)	$	26,108



	Fair Value Measurements on a Recurring Basis
December 31, 2014	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,675	$	48	$	—	$	2,723	$	—		$	2,723
Obligations of U. S. States and political subdivisions	—		591		—		591		—			591
Collateralized debt obligations	—		—		253		253		—			253
Asset-backed securities:
Residential mortgages	—		142		—		142		—			142
Student loans	—		86		—		86		—			86
Corporate and other domestic debt securities	—		1		2,840		2,841		—			2,841
Debt Securities issued by foreign entities:
Corporate	—		184		—		184		—			184
Government-backed	—		6,656		—		6,656		—			6,656
Equity securities	—		22		—		22		—			22
Precious metals trading	—		1,992		—		1,992		—			1,992
Derivatives⁽²⁾:
Interest rate contracts	46		46,012		1		46,059		—			46,059
Foreign exchange contracts	—		22,241		23		22,264		—			22,264
Equity contracts	—		2,212		180		2,392		—			2,392
Precious metals contracts	59		1,013		—		1,072		—			1,072
Credit contracts	—		3,899		296		4,195		—			4,195
Derivatives netting	—		—		—		—		(68,724		)	(68,724		)
Total derivatives	105		75,377		500		75,982		(68,724		)	7,258
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,048		3,117		—		25,165		—			25,165
Obligations of U.S. states and political subdivisions	—		667		—		667		—			667
Asset-backed securities:
Commercial mortgages	—		43		—		43		—			43
Home equity	—		89		—		89		—			89
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		517		—		517		—			517
Government-backed	—		3,398		—		3,398		—			3,398
Equity securities	—		167		—		167		—			167
Loans⁽³⁾	—		384		—		384		—			384
Mortgage servicing rights⁽⁴⁾	—		—		159		159		—			159
Total assets	$	24,828	$	93,575	$	3,752	$	122,155	$	(68,724	)	$	53,431
Liabilities:
Domestic deposits⁽⁵⁾	$	—	$	5,378	$	1,968	$	7,346	$	—		$	7,346
Trading liabilities, excluding derivatives	653		52		—		705		—			705
Derivatives⁽²⁾:
Interest rate contracts	43		46,683		1		46,727		—			46,727
Foreign exchange contracts	13		20,847		23		20,883		—			20,883
Equity contracts	—		1,661		138		1,799		—			1,799
Precious metals contracts	18		596		—		614		—			614
Credit contracts	—		3,941		86		4,027		—			4,027
Derivatives netting	—		—		—		—		(65,637		)	(65,637		)
Total derivatives	74		73,728		248		74,050		(65,637		)	8,413
Long-term debt⁽⁵⁾	—		8,144		647		8,791		—			8,791
Total liabilities	$	727	$	87,302	$	2,863	$	90,892	$	(65,637	)	$	25,255


⁽¹⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.


⁽²⁾	Includes trading derivative assets of $5,150 million and $5,602 million and trading derivative liabilities of $6,406 million and $7,459 million as of December 31, 2015 and 2014, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽³⁾	Includes certain commercial loans held for sale which we have elected to apply the fair value option. See Note 7, "Loans Held for Sale," for further information.


⁽⁴⁾	See Note 9, "Intangible Assets," for additional information.


⁽⁵⁾	See Note 15, "Fair Value Option," for additional information.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during 2015 and 2014. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Jan. 1, 2015			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31, 2015			Current Period Unrealized Gains (Losses)
	Jan. 1, 2015			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Dec. 31, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	253		$	15		$	—		$	—	$	—		$	(47	)	$	—		$	—	$	221		$	4
Corporate and other domestic debt securities	2,840			—			—			30		—			—			—			—		2,870			—
Derivatives, net⁽²⁾:
Interest rate contracts	—			—			1			—		—			—			—			—		1			1
Foreign exchange contracts	—			—			—			—		—			—			—			—		—			—
Equity contracts	42			(55		)	—			—		—			(69		)	(2		)	1		(83		)	(82		)
Credit contracts	210			(19		)	—			—		—			(12		)	—			—		179			(53		)
Mortgage servicing rights⁽³⁾	159			—			1			—		—			(20		)	—			—		140			1
Total assets	$	3,504		$	(59	)	$	2		$	30	$	—		$	(148	)	$	(2	)	$	1	$	3,328		$	(129	)
Liabilities:
Domestic deposits⁽⁴⁾	$	(1,968	)	$	—		$	(10	)	$	—	$	(353	)	$	360		$	(162	)	$	266	$	(1,867	)	$	10
Long-term debt⁽⁴⁾	(647		)	—			62			—		(522		)	233			(3		)	131		(746		)	60
Total liabilities	$	(2,615	)	$	—		$	52		$	—	$	(875	)	$	593		$	(165	)	$	397	$	(2,613	)	$	70



	Jan. 1, 2014			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Dec. 31, 2014			Current Period Unrealized Gains (Losses)
	Jan. 1, 2014			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Dec. 31, 2014			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	254		$	29		$	—		$	—	$	—		$	(30	)	$	—		$	—		$	253		$	24
Corporate and other domestic debt securities	2,260			(5		)	—			585		—			—			—			—			2,840			(4		)
Government debt securities issued by foreign entities	121			5			—			—		—			(7		)	—			(119		)	—			—
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			(1		)	—		—			—			—			—			—			—
Foreign exchange contracts	95			9			—			—		—			(11		)	—			(93		)	—			—
Equity contracts	3			102			—			—		—			(74		)	12			(1		)	42			31
Precious metals contracts	(2		)	2			—			—		—			—			—			—			—			—
Credit contracts	191			(94		)	—			—		—			(1		)	—			114			210			(146		)
Mortgage servicing rights⁽³⁾	227			—			(38		)	—		—			(30		)	—			—			159			(38		)
Total assets	$	3,150		$	48		$	(39	)	$	585	$	—		$	(153	)	$	12		$	(99	)	$	3,504		$	(133	)
Liabilities:
Domestic deposits⁽⁴⁾	$	(2,334	)	$	—		$	(249	)	$	—	$	(346	)	$	484		$	(201	)	$	678		$	(1,968	)	$	(22	)
Long-term debt⁽⁴⁾	(900		)	—			120			—		(321		)	259			(7		)	202			(647		)	(26		)
Total liabilities	$	(3,234	)	$	—		$	(129	)	$	—	$	(667	)	$	743		$	(208	)	$	880		$	(2,615	)	$	(48	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $346 million and derivative liabilities of $249 million as of December 31, 2015 and derivative assets of $500 million and derivative liabilities of $248 million as of December 31, 2014.


⁽³⁾	See Note 9, "Intangible Assets," for additional information.


⁽⁴⁾	See Note 15, "Fair Value Option," for additional information.

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements as of December 31, 2015 and 2014:



December 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	221		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	3% - 7%
				Loss severity rates	90% - 99%
Corporate and other domestic debt securities	2,870		Discounted cash flows	Spread volatility on collateral assets	2% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	1		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	18% - 100%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	18% - 22%
Equity derivative contracts⁽¹⁾	(83	)	Option pricing model	Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%
				Equity dividend yields	0% - 18%
Credit derivative contracts	179		Option pricing model	Correlation of defaults of a portfolio of reference credit names	44% - 47%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	140		Option adjusted discounted cash flows	Constant prepayment rates	11% - 50%
				Option adjusted spread	8% - 14%
				Estimated annualized costs to service	$87 - $329 per account
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	(1,867	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	18% - 22%
				Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(746	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	18% - 22%
				Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%



December 31, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	253		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 91%
Corporate and other domestic debt securities	2,840		Discounted cash flows	Spread volatility on collateral assets	2% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	—		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	6% - 98%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	10% - 17%
Equity derivative contracts⁽¹⁾	42		Option pricing model	Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%
Credit derivative contracts	210		Option pricing model	Correlation of defaults of a portfolio of reference credit names	52% - 57%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	159		Option adjusted discounted cash flows	Constant prepayment rates	10% - 49%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $333 per account
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	(1,968	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%
				Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(647	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%
				Equity / Equity Index volatility	11% - 60%
				Equity / Equity and Equity / Index correlation	47% - 73%


⁽¹⁾	We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.


⁽²⁾	Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs.

Fair Value Hierarchy Level within Which Fair Value of Financial and Non-Financial Assets has been Recorded

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded as of December 31, 2015 and 2014. The gains (losses) during 2015 and 2014 are also included.



	Non-Recurring Fair Value Measurements as of December 31, 2015								Total Gains (Losses) For the Year Ended December 31, 2015
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) For the Year Ended December 31, 2015
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	2	$	3	$	5	$	—
Consumer loans⁽²⁾	—		133		—		133		(34		)
Commercial loans held for sale⁽³⁾	—		55		—		55		(16		)
Impaired commercial loans⁽⁴⁾	—		—		116		116		(79		)
Real estate owned⁽⁵⁾	—		22		—		22		5
Total assets at fair value on a non-recurring basis	$	—	$	212	$	119	$	331	$	(124	)



	Non-Recurring Fair Value Measurements as of December 31, 2014								Total Gains (Losses) For the Year Ended December 31, 2014
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) For the Year Ended December 31, 2014
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	—	$	5	$	5	$	3
Consumer loans⁽²⁾	—		164		—		164		(39		)
Commercial loans held for sale⁽³⁾	—		77		—		77		(13		)
Impaired commercial loans⁽⁴⁾	—		—		53		53		(14		)
Real estate owned⁽⁵⁾	—		19		—		19		5
Total assets at fair value on a non-recurring basis	$	—	$	260	$	58	$	318	$	(58	)

⁽¹⁾

As of December 31, 2015 and 2014, the fair value of the loans held for sale was below cost. Certain residential mortgage loans held for sale have been classified as a Level 3 fair value measurement within the fair value hierarchy as the underlying real estate properties which determine fair value are illiquid assets as a result of market conditions and significant inputs in estimating fair value were unobservable. Additionally, the fair value of these properties is affected by, among other things, the location, the payment history and the completeness of the loan documentation.


⁽²⁾	Represents residential mortgage loans held for investment whose carrying amount was reduced during the periods presented based on the fair value of the underlying collateral.


⁽³⁾	As of December 31, 2015 and 2014, the fair value of the loans held for sale was below cost.

⁽⁴⁾

Certain commercial loans have undergone troubled debt restructurings and are considered impaired. As a matter of practical expedient, we measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽⁵⁾	Real estate owned is required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value unadjusted for transaction costs.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of December 31, 2015 and 2014:



As of December 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	3	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	116		Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 70%



As of December 31, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	5	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	53		Valuation of third party appraisal on underlying collateral	Loss severity rates	8% - 47%

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

The following tables provide additional information relating to asset-backed securities as well as certain collateralized debt obligations held as of December 31, 2015:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages - Alt A	$	61	$	—	$	61
	Residential mortgages - Subprime	47		—		47
	Student loans	89		—		89
	Total AAA -A	197		—		197
BBB -B	Collateralized debt obligations	—		221		221
CCC-Unrated	Residential mortgages - Subprime	6		—		6
		$	203	$	221	$	424

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	9	$	—	$	9
	Home equity - Alt A	75		—		75
	Other	89		—		89
	Total AAA -A	$	173	$	—	$	173


⁽¹⁾	We utilize S&P as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Ratings for collateralized debt obligations represent the ratings associated with the underlying collateral.