NOTE 12—FAIR VALUE MEASUREMENT

Fair value is defined as the price that would be received for an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date (also referred to as an exit price). The fair value accounting guidance provides a three-level fair value hierarchy for classifying financial instruments. This hierarchy is based on the markets in which the assets or liabilities trade and whether the inputs to the valuation techniques used to measure fair value are observable or unobservable. The fair value measurement of a financial asset or liability is assigned a level based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are described below:



Level 1:		Valuation is based on quoted prices (unadjusted) in active markets for identical assets or liabilities.
Level 2:		Valuation is based on observable market-based inputs, other than quoted prices in active markets for identical assets or liabilities, quoted prices in markets that are not active, or models using inputs that are observable or can be corroborated by observable market data of substantially the full term of the assets or liabilities.
Level 3:		Valuation is generated from techniques that use significant assumptions not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques.

The accounting guidance for fair value measurements requires that we maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. The accounting guidance provides for the irrevocable option to elect, on a contract-by-contract basis, to measure certain financial assets and liabilities at fair value at inception of the contract and record any subsequent changes in fair value in earnings. We have not made any material fair value option elections as of or for the periods disclosed herein.

For additional information on the valuation techniques used in estimating the fair value of our financial assets and liabilities on a recurring or nonrecurring basis and for estimating the fair value for financial instruments that are not recorded at fair value, see “Note 18—Fair Value Measurement” in our 2014 Form 10-K.

Fair Value Governance and Control

We have a governance framework and a number of key controls that are intended to ensure that our fair value measurements are appropriate and reliable. Our governance framework provides for independent oversight and segregation of duties. Our control processes include review and approval of new transaction types, price verification and review of valuation judgments, methods, models, process controls and results. Groups independent of our trading and investing functions, including our Corporate Valuations Group (“CVG”), Fair Value Committee (“FVC”) and Model Validation Group (“MVG”), participate in the review and validation process. The fair valuation governance process is set up in a manner that allows the Chairperson of the FVC to escalate valuation disputes that cannot be resolved by the FVC to a more senior committee called the Valuations Advisory Committee (“VAC”) for resolution. The VAC is chaired by the Chief Financial Officer and includes other members of senior management. The VAC is only required to convene to review escalated valuation disputes and may meet for a general update on the valuation process.

The CVG performs periodic verification of fair value measurements to determine if assigned fair values are reasonable. For example, in cases where we rely on third-party pricing services to obtain fair value measures, we analyze pricing variances among different pricing sources and validate the final price used by comparing the information to additional sources, including dealer pricing indications in transaction results and other internal sources, where necessary. Additional validation procedures performed by the CVG include reviewing (either directly or indirectly through the reasonableness of assigned fair values) valuation inputs and assumptions and monitoring acceptable variances between recommended prices and validation prices. The CVG and the Trade Analytics and Valuation (“TAV”) team perform due diligence reviews of the third-party pricing services by comparing their prices to those from other sources and periodically reviewing research publications. Additionally, when necessary, the CVG and TAV challenge prices from third-party vendors to ensure reasonableness of prices through a pricing challenge process. This may include a request for transparency of the assumptions used by the third party.

The FVC, which includes representation from our Risk Management and Finance functions, is a forum for discussing fair market valuations, related inputs, assumptions, methodologies, as well as variance thresholds, valuation control environments and material risks or concerns related to fair market valuations. Additionally, the FVC is empowered to resolve valuation disputes between the primary valuation providers and the CVG, and provides guidance and oversight to ensure an appropriate valuation control environment. The FVC regularly reviews and approves our valuation methodologies to ensure that our methodologies and practices are consistent with industry standards and adhere to regulatory and accounting guidance. The Chief Financial Officer determines when material issues or concerns regarding valuations shall be raised to the Audit Committee or another delegated committee of the Board of Directors.

We have a model policy, established by an independent Model Risk Office, which governs the validation of models and related supporting documentation to ensure the appropriate use of models for pricing. The MVG is part of the Model Risk Office and validates all models and provides ongoing monitoring of their performance, including the validation and monitoring of the performance of all valuation models.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following table displays our assets and liabilities measured on our consolidated balance sheets at fair value on a recurring basis as of September 30, 2015 and December 31, 2014:

Table 12.1: Assets and Liabilities Measured at Fair Value on a Recurring Basis



	September 30, 2015
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	4,445	$	0	$	0	$	4,445
Corporate debt securities guaranteed by U.S. government agencies	0		312		43		355
RMBS	0		27,246		519		27,765
CMBS	0		5,115		105		5,220
Other ABS	0		1,483		0		1,483
Other securities	118		33		12		163
Total securities available for sale	4,563		34,189		679		39,431
Other assets:
Consumer MSRs	0		0		63		63
Derivative assets⁽¹⁾⁽²⁾	2		1,844		65		1,911
Retained interests in securitizations	0		0		214		214
Total assets	$	4,565	$	36,033	$	1,021	$	41,619
Liabilities:
Other liabilities:
Derivative liabilities⁽¹⁾⁽²⁾	$	4	$	433	$	35	$	472
Total liabilities	$	4	$	433	$	35	$	472



	December 31, 2014
	Fair Value Measurements Using
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Assets:
Securities available for sale:
U.S. Treasury securities	$	4,117	$	1	$	0	$	4,118
Corporate debt securities guaranteed by U.S. government agencies	0		467		333		800
RMBS	0		24,820		561		25,381
CMBS	0		5,291		228		5,519
Other ABS	0		2,597		65		2,662
Other securities	111		899		18		1,028
Total securities available for sale	4,228		34,075		1,205		39,508
Other assets:
Consumer MSRs	0		0		53		53
Derivative assets⁽¹⁾⁽²⁾	4		1,382		66		1,452
Retained interests in securitizations	0		0		221		221
Total assets	$	4,232	$	35,457	$	1,545	$	41,234
Liabilities:
Other liabilities:
Derivative liabilities⁽¹⁾⁽²⁾	$	3	$	293	$	43	$	339
Total liabilities	$	3	$	293	$	43	$	339

__________

⁽¹⁾

As of January 1, 2015, we changed our accounting principle to move from a gross basis of presentation to a net basis, for presenting qualifying derivative assets and liabilities, as well as the related right to reclaim cash collateral or obligation to return cash collateral. See “Note 1—Summary of Significant Accounting Policies” for additional information. Prior period results have been recast to conform to this presentation.

The balances represent gross derivative amounts and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. The net derivative assets were $1.4 billion and $828 million, and the net derivative liabilities were $291 million and $175 million as of September 30, 2015 and December 31, 2014, respectively. See “Note 9—Derivative Instruments and Hedging Activities” for further information.


⁽²⁾	Does not reflect $4 million recognized as a net valuation allowance on derivative assets and liabilities for non-performance risk as of both September 30, 2015 and December 31, 2014. Non-performance risk is reflected in other assets and liabilities on the consolidated balance sheets and offset through non-interest income in the consolidated statements of income.

The determination of the classification of financial instruments in the fair value hierarchy is performed at the end of each reporting period. We consider all available information, including observable market data, indications of market liquidity and orderliness, and our understanding of the valuation techniques and significant inputs. Based upon the specific facts and circumstances of each instrument or instrument category, judgments are made regarding the significance of the unobservable inputs to the instruments’ fair value measurement in its entirety. If unobservable inputs are considered significant, the instrument is classified as Level 3. The process for determining fair value using unobservable inputs is generally more subjective and involves a high degree of management judgment and assumptions. During the three and nine months ended September 30, 2015 we had minimal movements between Levels 1 and 2.

Level 3 Recurring Fair Value Rollforward

The table below presents a reconciliation for all assets and liabilities measured and recognized at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2015 and 2014. When assets and liabilities are transferred between levels, we recognize the transfer as of the end of the period.

Table 12.2: Level 3 Recurring Fair Value Rollforward



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended September 30, 2015
				Total Gains (Losses) (Realized/Unrealized)																									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2015⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, July 1, 2015			Included in Net Income⁽¹⁾			Included in OCI			Purchases		Sales			Issuances			Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, September 30, 2015
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	91		$	1		$	1		$	0	$	(36	)	$	0		$	(2	)	$	0	$	(12	)	$	43		$	0
RMBS	459			9			(1		)	0		0			0			(19		)	93		(22		)	519			10
CMBS	170			0			(1		)	28		0			0			(10		)	0		(82		)	105			0
Other ABS	7			0			0			0		0			0			0			0		(7		)	0			0
Other securities	18			0			0			0		0			0			(6		)	0		0			12			0
Total securities available for sale	745			10			(1		)	28		(36		)	0			(37		)	93		(123		)	679			10
Other assets:
Consumer MSRs	65			(7		)	0			0		0			7			(2		)	0		0			63			(7		)
Derivative assets⁽⁴⁾	61			16			0			0		0			13			(18		)	0		(7		)	65			16
Retained interest in securitizations	220			(6		)	0			0		0			0			0			0		0			214			(6		)
Liabilities:
Other liabilities:
Derivative liabilities⁽⁴⁾	$	(27	)	$	(11	)	$	0		$	0	$	0		$	(9	)	$	7		$	0	$	5		$	(35	)	$	(11	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Three Months Ended September 30, 2014
																													Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2014⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, July 1, 2014			Included in Net Income⁽¹⁾			Included in OCI			Purchases		Sales			Issuances			Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, September 30, 2014
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	739		$	(5	)	$	3		$	0	$	(91	)	$	0		$	(16	)	$	0	$	(246	)	$	384		$	(1	)
RMBS	836			16			3			42		0			0			(24		)	79		(295		)	657			16
CMBS	449			0			(2		)	158		0			0			(34		)	0		(268		)	303			0
Other ABS	175			1			3			0		0			0			0			9		(78		)	110			1
Other securities	20			(1		)	0			0		0			0			(7		)	0		0			12			(1		)
Total securities available for sale	2,219			11			7			200		(91		)	0			(81		)	88		(887		)	1,466			15
Other assets:
Consumer MSRs	57			(2		)	0			0		0			4			(1		)	0		0			58			(2		)
Derivative assets	50			2			0			0		0			6			(8		)	0		1			51			2
Retained interest in securitizations	195			8			0			0		0			0			0			0		0			203			8
Liabilities:
Other liabilities:
Derivative liabilities	(37		)	(4		)	0			0		0			(4		)	6			0		0			(39		)	(4		)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Nine Months Ended September 30, 2015
				Total Gains (Losses) (Realized/Unrealized)																									Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2015⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2015			Included in Net Income⁽¹⁾			Included in OCI			Purchases		Sales			Issuances			Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, September 30, 2015
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	333		$	0		$	6		$	0	$	(184	)	$	0		$	(12	)	$	0	$	(100	)	$	43		$	0
RMBS	561			28			(2		)	0		0			0			(46		)	285		(307		)	519			29
CMBS	228			0			0			114		0			0			(47		)	0		(190		)	105			0
Other ABS	65			1			(2		)	0		(20		)	0			0			0		(44		)	0			0
Other securities	18			0			0			0		0			0			(6		)	0		0			12			0
Total securities available for sale	1,205			29			2			114		(204		)	0			(111		)	285		(641		)	679			29
Other assets:
Consumer MSRs	53			(2		)	0			0		0			17			(5		)	0		0			63			(2		)
Derivative assets⁽⁴⁾	66			17			0			0		0			40			(46		)	0		(12		)	65			17
Retained interest in securitizations	221			(7		)	0			0		0			0			0			0		0			214			(7		)
Liabilities:
Other liabilities:
Derivative liabilities⁽⁴⁾	$	(43	)	$	(12	)	$	0		$	0	$	0		$	(19	)	$	30		$	0	$	9		$	(35	)	$	(12	)



	Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
	Nine Months Ended September 30, 2014
				Total Gains (Losses) (Realized/Unrealized)																								Net Unrealized Gains (Losses) Included in Net Income Related to Assets and Liabilities Still Held as of September 30, 2014⁽³⁾
				Total Gains (Losses) (Realized/Unrealized)
(Dollars in millions)	Balance, January 1, 2014			Included in Net Income⁽¹⁾			Included in OCI		Purchases		Sales			Issuances			Settlements			Transfers Into Level 3⁽²⁾		Transfers Out of Level 3⁽²⁾			Balance, September 30, 2014
Assets:
Securities available for sale:
Corporate debt securities guaranteed by U.S. government agencies	$	927		$	(5	)	$	18	$	0	$	(203	)	$	0		$	(55	)	$	64	$	(362	)	$	384		$	(1	)
RMBS	1,304			53			39		1,022		0			0			(156		)	199		(1,804		)	657			53
CMBS	739			0			3		192		0			0			(64		)	66		(633		)	303			0
Other ABS	343			4			13		0		0			0			(2		)	52		(300		)	110			4
Other securities	17			(1		)	0		0		0			0			(7		)	3		0			12			(1		)
Total securities available for sale	3,330			51			73		1,214		(203		)	0			(284		)	384		(3,099		)	1,466			55
Other assets:
Consumer MSRs	69			(19		)	0		0		0			11			(3		)	0		0			58			(19		)
Derivative assets⁽⁴⁾	50			5			0		0		0			13			(14		)	0		(3		)	51			5
Retained interest in securitization	199			4			0		0		0			0			0			0		0			203			4
Liabilities:
Other liabilities:
Derivative liabilities⁽⁴⁾	$	(38	)	$	(8	)	$	0	$	0	$	0		$	(8	)	$	14		$	0	$	1		$	(39	)	$	(8	)

__________


⁽¹⁾	Gains (losses) related to Level 3 Consumer MSRs, derivative assets and derivative liabilities, and retained interests in securitizations are reported in other non-interest income, which is a component of non-interest income, in our consolidated statements of income.


⁽²⁾	During the three and nine months ended September 30, 2015 and 2014, the transfers into Level 3 were primarily driven by less consistency among vendor pricing on individual securities, while the transfers out of Level 3 were primarily driven by greater consistency among multiple pricing sources.

⁽³⁾

The amount presented for unrealized gains (losses) for assets still held as of the reporting date primarily represents impairments of securities available for sale, accretion on certain fixed maturity securities, changes in fair value of derivative instruments and mortgage servicing rights transactions. Impairment is reported in total other-than-temporary impairment, which is a component of non-interest income, in our consolidated statements of income.


⁽⁴⁾	All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.

Significant Level 3 Fair Value Asset and Liability Input Sensitivity

Changes in unobservable inputs may have a significant impact on fair value. Certain of these unobservable inputs will, in isolation, have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. In general, an increase in the discount rate, default rates, loss severity and credit spreads, in isolation, would result in a decrease in the fair value measurement. In addition, an increase in default rates would generally be accompanied by a decrease in recovery rates, slower prepayment rates and an increase in liquidity spreads.

Techniques and Inputs for Level 3 Fair Value Measurements

The following table presents the significant unobservable inputs relied upon to determine the fair values of our Level 3 financial instruments on a recurring basis. We utilize multiple third-party pricing services to obtain fair value measures for our securities. Several of our third-party pricing services are only able to provide unobservable input information for a limited number of securities due to software licensing restrictions. Other third-party pricing services are able to provide unobservable input information for all securities for which they provide a valuation. As a result, the unobservable input information for the securities available for sale presented below represents a composite summary of all information we are able to obtain for a majority of our securities. The unobservable input information for all other Level 3 financial instruments is based on the assumptions used in our internal valuation models.

Table 12.3: Quantitative Information about Level 3 Fair Value Measurements

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at September 30,
2015

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

519

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

1-19%
0-21%
0-19%
0-85%

6%
4%
5%
56%

CMBS

105

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

2-3%
0-15%

2%
6%

U.S. government guaranteed debt and other securities

Discounted cash flows (3rd party pricing)

Yield

2-3%

Other assets:

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)

11-19%
12%
435-1500 bps
$93-213

16%
12%
479 bps
$100

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

Retained interests in securitization⁽²⁾

214

Discounted cash flows

Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity

18-69
2-15%
4-8%
2-7%
19-99%

N/A

Liabilities:

Derivative liabilities⁽¹⁾

Discounted cash flows

Swap rates

Quantitative Information about Level 3 Fair Value Measurements

(Dollars in millions)

Fair Value at

December 31,

2014

Significant

Valuation

Techniques

Significant

Unobservable

Inputs

Range

Weighted

Average

Assets:

Securities available for sale:

RMBS

561

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

0-18%
0-23%
0-15%
0-85%

6%
4%
5%
55%

CMBS

228

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate

1-4%
0-100%

1%
5%

Other ABS

Discounted cash flows (3rd party pricing)

Yield
Constant prepayment rate
Default rate
Loss severity

2-7%
0-3%
1-10%
30-88%

5%
2%
7%
71%

U.S. government guaranteed debt and other securities

351

Discounted cash flows (3rd party pricing)

Yield

1-4%

Other assets:

Consumer MSRs

Discounted cash flows

Total prepayment rate
Discount rate
Option-adjusted spread rate
Servicing cost ($ per loan)

12-27%
12%
435-1,500 bps
$93-$209

18%
12%
478 bps
$101

Derivative assets⁽¹⁾

Discounted cash flows

Swap rates

2-3%

Retained interests in securitization⁽²⁾

221

Discounted cash flows

Life of receivables (months) Constant prepayment rate
Discount rate
Default rate
Loss severity

25-72
2-13%
4-9%
2-8%
19-95%

N/A

Liabilities:

Derivative liabilities⁽¹⁾

Discounted cash flows

Swap rates

2-3%

__________


⁽¹⁾	All Level 3 derivative assets and liabilities are presented on a gross basis and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty.


⁽²⁾	Due to the nature of the various mortgage securitization structures in which we have retained interests, it is not meaningful to present a consolidated weighted average for the significant unobservable inputs.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

We are required to measure and recognize certain other assets at fair value on a nonrecurring basis on the consolidated balance sheets. These assets are not measured at fair value on an ongoing basis but are subject to fair value adjustments in certain circumstances (for example, from the application of lower of cost or market accounting or when we evaluate for impairment). The following table presents the carrying amount of the assets measured at fair value on a nonrecurring basis and still held as of September 30, 2015 and December 31, 2014, and for which a nonrecurring fair value measurement was recorded during the nine and twelve months then ended:

Table 12.4: Nonrecurring Fair Value Measurements Related to Assets Still Held at Period End



	September 30, 2015
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Loans held for investment	$	0	$	0	$	260	$	260
Loans held for sale	0		26		0		26
Other assets⁽¹⁾	0		0		65		65
Total	$	0	$	26	$	325	$	351



	December 31, 2014
	Estimated Fair Value Hierarchy						Total
(Dollars in millions)	Level 1		Level 2		Level 3		Total
Loans held for investment	$	0	$	0	$	121	$	121
Loans held for sale	0		34		0		34
Other assets⁽¹⁾	0		0		65		65
Total	$	0	$	34	$	186	$	220

__________


⁽¹⁾	Includes foreclosed property and repossessed assets of $33 million and long-lived assets held for sale of $32 million as of September 30, 2015, compared to foreclosed property and repossessed assets of $60 million and long-lived assets held for sale of $5 million as of December 31, 2014.

In the above table, loans held for investment primarily include nonperforming loans for which specific reserves or charge-offs have been recognized. These loans are classified as Level 3 as they are valued based in part on the estimated fair value of the underlying collateral and the non-recoverable rate, which is considered to be a significant unobservable input. Collateral fair value sources include the appraisal value obtained from independent appraisers, broker pricing opinions, or other available market information. The non-recoverable rate ranged from 0% to 73%, with a weighted average of 20%, and from 0% to 74%, with a weighted average of 30%, as of September 30, 2015 and December 31, 2014, respectively. The fair value of the other assets classified as Level 3 is determined based on appraisal value or listing price which involves significant judgment; the significant unobservable inputs and related quantitative information are not meaningful to disclose as they vary significantly across properties and collateral.

The following table presents total nonrecurring fair value measurements for the period, included in earnings, attributable to the change in fair value relating to assets that are still held at September 30, 2015 and 2014:

Table 12.5: Nonrecurring Fair Value Measurements Included in Earnings Related to Assets Still Held at Period End



	Total Losses
	Nine Months Ended September 30,
(Dollars in millions)	2015			2014
Loans held for investment	$	(70	)	$	(19	)
Loans held for sale	0			0
Other assets⁽¹⁾	(35		)	(6		)
Total	$	(105	)	$	(25	)

__________


⁽¹⁾	Includes losses related to foreclosed property, repossessed assets and long-lived assets.

Fair Value of Financial Instruments

The following table presents the fair value of financial instruments, whether recognized or not on the consolidated balance sheets, as of September 30, 2015 and December 31, 2014:

Table 12.6: Fair Value of Financial Instruments



	September 30, 2015
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	6,837	$	6,837	$	6,837	$	0	$	0
Restricted cash for securitization investors	586		586		586		0		0
Securities available for sale	39,431		39,431		4,563		34,189		679
Securities held to maturity	23,711		24,913		200		24,662		51
Net loans held for investment	208,482		209,460		0		0		209,460
Loans held for sale	566		591		0		591		0
Interest receivable⁽¹⁾	1,101		1,101		0		1,101		0
Derivative assets⁽¹⁾⁽²⁾	1,911		1,911		2		1,844		65
Retained interests in securitizations	214		214		0		0		214
Financial liabilities:
Non-interest bearing deposits	$	25,055	$	25,055	$	25,055	$	0	$	0
Interest-bearing deposits	187,848		182,583		0		14,605		167,978
Securitized debt obligations	15,656		15,731		0		15,731		0
Senior and subordinated notes	21,773		21,728		0		21,728		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	1,021		1,021		1,021		0		0
Other borrowings	4,328		4,316		0		4,316		0
Interest payable⁽¹⁾	198		198		0		198		0
Derivative liabilities⁽¹⁾⁽²⁾	472		472		4		433		35



	December 31, 2014
	Carrying Amount		Estimated Fair Value		Estimated Fair Value Hierarchy
(Dollars in millions)	Carrying Amount		Estimated Fair Value		Level 1		Level 2		Level 3
Financial assets:
Cash and cash equivalents	$	7,242	$	7,242	$	7,242	$	0	$	0
Restricted cash for securitization investors	234		234		234		0		0
Securities available for sale	39,508		39,508		4,228		34,075		1,205
Securities held to maturity	22,500		23,634		0		23,503		131
Net loans held for investment	203,933		207,104		0		0		207,104
Loans held for sale	626		650		0		650		0
Interest receivable⁽¹⁾	1,079		1,079		0		1,079		0
Derivatives assets⁽¹⁾⁽²⁾	1,452		1,452		4		1,382		66
Retained interests in securitizations	221		221		0		0		221
Financial liabilities:
Non-interest bearing deposits	$	25,081	$	25,081	$	25,081	$	0	$	0
Interest-bearing deposits	180,467		174,074		0		11,668		162,406
Securitized debt obligations	11,624		11,745		0		11,745		0
Senior and subordinated notes	18,684		19,083		0		19,083		0
Federal funds purchased and securities loaned or sold under agreements to repurchase	880		880		880		0		0
Other borrowings	17,269		17,275		0		17,275		0
Interest payable⁽¹⁾	254		254		0		254		0
Derivatives liabilities⁽¹⁾⁽²⁾	339		339		3		293		43

__________

⁽¹⁾

As of January 1, 2015, we changed our accounting principle to move from a gross basis of presentation to a net basis, for presenting qualifying derivative assets and liabilities, as well as the related right to reclaim cash collateral or obligation to return cash collateral. Prior period results have been recast to conform to this presentation. See additional information in “Note 1—Summary of Significant Accounting Policies.”


⁽²⁾	The balances represent gross derivative amounts and are not reduced by the impact of legally enforceable master netting agreements that allow us to net positive and negative positions and cash collateral held or placed with the same counterparty. See additional information in “Note 9—Derivative Instruments and Hedging Activities.”