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Fair Value
 9 Months Ended
Sep. 30, 2017
Fair Value [Abstract]  
Fair Value
FAIR VALUE

Fair Value Measurement

We measure certain financial assets and liabilities at fair value. Fair value is defined as the price that would be received to sell an asset or the price that would be paid to transfer a liability on the measurement date, determined using an exit price in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. The fair value hierarchy established by GAAP requires us to maximize the use of observable inputs when measuring fair value. For more information regarding the fair value hierarchy see Note 6 Fair Value in our 2016 Form 10-K.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

For more information on the valuation methodologies used to measure assets and liabilities at fair value on a recurring basis, see Note 6 Fair Value in our 2016 Form 10-K. The following table summarizes our assets and liabilities measured at fair value on a recurring basis, including instruments for which we have elected the fair value option.
Table 47: Fair Value Measurements – Recurring Basis Summary
 
September 30, 2017
 
 
December 31, 2016
 
In millions
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
 
Level 1

 
Level 2

 
Level 3

 
Total
Fair Value

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
 
 
$
840

 
$
2

 
$
842

 
 
 
 
$
1,008

 
$
2

 
$
1,010

 
Commercial mortgage loans held for sale
 
 
 
 
758

 
758

 
 
 
 
 
 
1,400

 
1,400

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
U.S. Treasury and government agencies
$
12,788

 
596

 
 
 
13,384

 
 
$
12,572

 
602

 
 
 
13,174

 
Residential mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
25,750

 
 
 
25,750

 
 
 
 
26,128

 
 
 
26,128

 
Non-agency
 
 
101

 
2,845

 
2,946

 
 
 
 
112

 
3,254

 
3,366

 
Commercial mortgage-backed
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Agency
 
 
1,977

 
 
 
1,977

 
 
 
 
2,119

 
 
 
2,119

 
Non-agency
 
 
2,751

 
 
 
2,751

 
 
 
 
4,025

 
 
 
4,025

 
Asset-backed
 
 
5,004

 
348

 
5,352

 
 
 
 
5,565

 
403

 
5,968

 
Other debt
 
 
4,477

 
83

 
4,560

 
 
 
 
4,657

 
66

 
4,723

 
Total debt securities
12,788

 
40,656

 
3,276

 
56,720

 
 
12,572

 
43,208

 
3,723

 
59,503

 
Corporate stocks and other
473

 
61

 
 
 
534

 
 
541

 
60

 
 
 
601

 
Total securities available for sale
13,261

 
40,717

 
3,276

 
57,254

 
 
13,113

 
43,268

 
3,723

 
60,104

 
Loans
 
 
516

 
291

 
807

 
 
 
 
558

 
335

 
893

 
Equity investments (a)
 
 
 
 
1,061

 
1,312

 
 
 
 
 
 
1,331

 
1,381

 
Residential mortgage servicing rights
 
 
 
 
1,226

 
1,226

 
 
 
 
 
 
1,182

 
1,182

 
Commercial mortgage servicing rights
 
 
 
 
628

 
628

 
 
 
 
 
 
576

 
576

 
Trading securities (b)
1,080

 
1,588

 
2

 
2,670

 
 
1,458

 
1,169

 
2

 
2,629

 
Financial derivatives (b) (c)
3

 
3,068

 
22

 
3,093

 
 
10

 
4,566

 
40

 
4,616

 
Other assets
265

 
266

 
94

 
625

 
 
266

 
312

 
239

 
817

 
Total assets
$
14,609

 
$
46,995

 
$
7,360

 
$
69,215

 
 
$
14,847

 
$
50,881

 
$
8,830

 
$
74,608

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
1,311

 
$
240

 
$
9

 
$
1,560

 
 
$
799

 
$
161

 
$
10

 
$
970

 
Financial derivatives (c) (d)


 
2,360

 
248

 
2,608

 
 
1

 
3,424

 
414

 
3,839

 
Other liabilities
 
 
 
 
34

 
34

 
 
 
 
 
 
9

 
9

 
Total liabilities
$
1,311

 
$
2,600

 
$
291

 
$
4,202

 
 
$
800

 
$
3,585

 
$
433

 
$
4,818

 
(a)
Certain investments that are measured at fair value using the net asset value (NAV) per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented on the Consolidated Balance Sheet.
(b)
Included in Other assets on the Consolidated Balance Sheet.
(c)
Amounts at September 30, 2017 and December 31, 2016, are presented gross 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 Note 9 Financial Derivatives for additional information related to derivative offsetting.
(d)
Included in Other liabilities on the Consolidated Balance Sheet.

Reconciliations of assets and liabilities measured at fair value on a recurring basis using Level 3 inputs for the three and nine months ended September 30, 2017 and 2016 follow:
Table 48: Reconciliation of Level 3 Assets and Liabilities
Three Months Ended September 30, 2017
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
 
  
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
Sept. 30, 2017
(a) (b)
Level 3 Instruments Only
In millions
Fair 
Value
June
30,
2017

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

 
Transfers
out of
Level 3

Fair
Value
Sept.
30,
2017

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
5

 
 
 
$
2



 
 
$
1

 
$
(6
)
$
2

 
 
Commercial mortgage
loans held for sale
982

$
14

 
 
 
$
(1,280
)
$
1,066

$
(24
)
 
 
 
758

$
(2
)
 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
2,964

19

 
$
61

 
 
 
(199
)
 
 
 
2,845

 
 
Asset-backed
361

3

 
4

 
(1
)
 
(19
)
 
 
 
348

 
 
Other debt
78

 
 
3

9

(7
)
 


 
 
 
83

 
 
Total securities
available for sale
3,403

22

 
68

9

(8
)
 
(218
)
 
 
 
3,276



 
Loans
290

2

 
 
20

(3
)
 
(14
)
5

 
(9
)
291



 
Equity investments
987

54

 
 
103

(83
)
 
 
 
 
 
1,061

38

 
Residential mortgage
servicing rights
1,249

(10
)
 
 
18

 
14

(45
)
 
 
 
1,226

(9
)
 
Commercial mortgage
servicing rights
618

6

 
 
14

 
19

(29
)
 
 
 
628

6

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
22

16

 
 
1

 
 
(17
)
 
 
 
22

22

 
Other assets
89

5

 
 
 
 
 
 
 
 
 
94

5

 
Total assets
$
7,647

$
109

 
$
68

$
167

$
(1,374
)
$
1,099

$
(347
)
$
6

 
$
(15
)
$
7,360

$
60

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
8

 
 
 
 
 
$
16

$
(15
)
 
 
 
$
9

 
 
Financial derivatives
248

$
16

 
 
 
$
1

 
(17
)
 
 
 
248

$
13

 
Other liabilities
33

3

 
 
 
 
16

(18
)
 
 
 
34

4

 
Total liabilities
$
289

$
19

 
 
 
$
1

$
32

$
(50
)
 
 
 
$
291

$
17

 
Net gains (losses)
 
$
90

(c) 
 
 
 
 
 
 
 
 
 
$
43

(d) 
 
Three Months Ended September 30, 2016
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
 
  
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
Sept. 30, 2016
(a) (b)
Level 3 Instruments Only
In millions
Fair 
Value
June
30,
2016

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

 
Transfers
out of
Level 3

Fair
Value
Sept.
30,
2016

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
6

 
 
 
$
3

$
(1
)
 
 
$
3

 
$
(8
)
$
3

 
 
Commercial mortgage
loans held for sale
981

$
18

 
 
 
(1,343
)
$
1,205

$
(1
)
 
 
 
860

$
6

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
3,557

25

 
$
32

 

 
(201
)
 
 
 
3,413

 
 
Asset-backed
436

4

 
8

 
 
 
(23
)
 
 
 
425

 
 
Other debt
48

1

 

1

(14
)
 
(1
)
 
 
 
35

 
 
Total securities
available for sale
4,041

30

 
40

1

(14
)
 
(225
)
 
 
 
3,873

 
 
Loans
317

3

 
 
27

(4
)
 
(15
)
 
 
(4
)
324

1

 
Equity investments
1,353

35

 
 
17

(112
)
 
 
2


 
1,295

30

 
Residential mortgage
servicing rights
774

23

 
 
49

 
16

(42
)
 
 
 
820

23

 
Commercial mortgage
servicing rights
448

8

 
 
16

 
22

(21
)
 
 
 
473

8

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
51

37

 
 

 
 
(36
)
 
 
 
52

34

 
Other assets
215

12

 
 
 
 
 
 
 
 
 
227

12

 
Total assets
$
8,188

$
166

 
$
40

$
113

$
(1,474
)
$
1,243

$
(340
)
$
5

 
$
(12
)
$
7,929

$
114

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
8

 
 
 
 
 
$
24

$
(22
)
 
 
 
$
10

 
 
Financial derivatives
385

$
21

 
 
 
$
1

 
(13
)
 
 
 
394

$
25

 
Other liabilities
13


 
 
 
 
42

(35
)
 
 
 
20

 
 
Total liabilities
$
406

$
21

 
 
 
$
1

$
66

$
(70
)
 
 
 
$
424

$
25

 
Net gains (losses)
 
$
145

(c) 
 
 
 
 
 
 
 
 
 
$
89

(d) 

Nine Months Ended September 30, 2017  
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
  
 
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
Sept. 30, 2017
(a) (b)
Level 3 Instruments Only
In millions
Fair
Value
Dec. 31,
2016

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

Transfers
out of
Level 3

 
Fair
Value
Sept.
30,
2017

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
2

 
 
 
$
8

$
(1
)
 
 
$
6

$
(13
)
 
$
2

 
 
Commercial mortgage
loans held for sale
1,400

$
51

 
 
 
(3,640
)
$
3,011

$
(64
)
 
 
 
758

$
(13
)
 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
3,254

69

 
$
130

 
 
 
(608
)
 
 
 
2,845

(1
)
 
Commercial mortgage-
backed non-agency
 
12

 
 
 
(12
)
 
 
 
 
 
 
 
 
Asset-backed
403

11

 
19

 
(26
)
 
(59
)
 
 
 
348

 
 
Other debt
66

 
 
15

11

(8
)
 
(1
)
 
 
 
83

 
 
Total securities
available for sale
3,723

92

 
164

11

(46
)
 
(668
)
 
 
 
3,276

(1
)
 
Loans
335

(3
)
 
 
60

(22
)
 
(51
)
11

(39
)
 
291

(8
)
 
Equity investments
1,331

211

 
 
184

(482
)
 
 
 
(183
)
(e) 
1,061

127

 
Residential mortgage
servicing rights
1,182

(40
)
 
 
172

 
42

(130
)
 
 
 
1,226

(37
)
 
Commercial mortgage
servicing rights
576

20

 
 
48

 
65

(81
)
 
 
 
628

19

 
Trading securities
2

 
 
 
 
 
 
 
 
 
 
2

 
 
Financial derivatives
40

33

 
 
3

 
 
(54
)
 
 
 
22

58

 
Other assets
239

10

 
 
 
 
 
(155
)
 
 
 
94

10

 
Total assets
$
8,830

$
374

 
$
164

$
486

$
(4,191
)
$
3,118

$
(1,203
)
$
17

$
(235
)
 
$
7,360

$
155

 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
10

 
 
 
 
 
$
51

$
(52
)
 
 
 
$
9

 
 
Financial derivatives
414

$
34

 
 
 
$
3

 
(203
)
 
 
 
248

$
36

 
Other liabilities
9

22

 
 
 
 
165

(162
)
 
 
 
34

24

 
Total liabilities
$
433

$
56

 
 
 
$
3

$
216

$
(417
)
 
 
 
$
291

$
60

 
Net gains (losses)
 
$
318

(c) 
 
 
 
 
 
 
 
 
 
$
95

(d) 

Nine Months Ended September 30, 2016
 
  
Total realized / unrealized
gains or losses for the 
period (a)
  
  
  
  
  
 
  
  
Unrealized
gains / losses
on assets and
liabilities held on
Consolidated
Balance Sheet at
Sept. 30, 2016
(a) (b)
Level 3 Instruments Only
In millions
Fair
Value
Dec. 31,
2015

Included in
Earnings

Included
in Other
comprehensive
income
 
Purchases

Sales

Issuances

Settlements

Transfers
into
Level 3

 
Transfers
out of
Level 3

Fair
Value
Sept.
30,
2016

Assets
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
5

 
 
 
$
9

$
(2
)
 
 
$
8

 
$
(17
)
$
3

 
 
Commercial mortgage
loans held for sale
641

$
55

 
 
 
(2,797
)
$
2,981

$
(20
)
 
 
 
860

$
4

 
Securities available for sale
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage-
backed non-agency
4,008

58

 
$
4

 
(60
)
 
(597
)
 
 
 
3,413

(1
)
 
Asset-backed
482

10

 

 
 
 
(67
)
 
 
 
425

 
 
Other debt
45

1

 
 
10

(18
)
 
(3
)
 
 
 
35

 
 
Total securities
available for sale
4,535

69

 
4

10

(78
)
 
(667
)
 
 
 
3,873

(1
)
 
Loans
340

6

 
 
82

(18
)
 
(57
)
 
 
(29
)
324

3

 
Equity investments
1,098

101

 
 
135

(274
)
 
 
235

(e)
 
1,295

93

 
Residential mortgage
servicing rights
1,063

(316
)
 
 
154

 
39

(120
)
 
 
 
820

(308
)
 
Commercial mortgage
servicing rights
526

(56
)
 
 
25

 
45

(67
)
 
 
 
473

(56
)
 
Trading securities
3

 
 
 
 
 
 
(1
)
 
 
 
2

 
 
Financial derivatives
31

106

 
 
1

 
 
(86
)
 
 
 
52

101

 
Other assets
364

4

 
(2
)
 
(1
)
 
(138
)
 
 
 
227

2

 
Total assets
$
8,606

$
(31
)
 
$
2

$
416

$
(3,170
)
$
3,065

$
(1,156
)
$
243

 
$
(46
)
$
7,929

$
(162
)
 
Liabilities
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other borrowed funds
$
12

 
 
 
 
 
$
64

$
(66
)
 
 
 
$
10

 
 
Financial derivatives
473

$
90

 
 
 
$
4

 
(173
)
 
 
 
394

$
92

 
Other liabilities
10

1

 
 
 
 
114

(105
)
 
 
 
20

 
 
Total liabilities
$
495

$
91

 
 
 
$
4

$
178

$
(344
)
 
 
 
$
424

$
92

 
Net gains (losses)
 
$
(122
)
(c) 
 
 
 
 
 
 
 
 
 
$
(254
)
(d) 
(a)
Losses for assets are bracketed while losses for liabilities are not.
(b)
The amount of the total gains or losses for the period included in earnings that is attributable to the change in unrealized gains or losses related to those assets and liabilities held at the end of the reporting period.
(c)
Net gains (losses) realized and unrealized included in earnings related to Level 3 assets and liabilities included amortization and accretion. The amortization and accretion amounts were included in Interest income on the Consolidated Income Statement and the remaining net gains (losses) realized and unrealized were included in Noninterest income on the Consolidated Income Statement.
(d)
Net unrealized gains (losses) related to assets and liabilities held at the end of the reporting period were included in Noninterest income on the Consolidated Income Statement.
(e)
Reflects transfers into and out of Level 3 associated with changes in valuation methodology for certain equity investments subject to the Volcker Rule provisions of the Dodd-Frank Act.
An instrument’s categorization within the hierarchy is based on the lowest level of input that is significant to the fair value measurement. Changes from one quarter to the next related to the observability of inputs to a fair value measurement may result in a reclassification (transfer) of assets or liabilities between hierarchy levels. Our policy is to recognize transfers in and transfers out as of the end of the reporting period.
Table 49: Fair Value Measurements – Recurring Quantitative Information

September 30, 2017
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted  Average)
Commercial mortgage loans held for sale
$
758

Discounted cash flow
Spread over the benchmark curve (a)
0bps - 4,045bps (1,257bps)
Estimated servicing cash flows
0.3% - 5.1% (1.1%)
Residential mortgage-backed
non-agency securities
2,845

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 24.7% (8.7%)
Constant default rate (CDR)
0.1% - 14.6% (5.2%)
Loss severity
20.0% - 96.7% (52.5%)
Spread over the benchmark curve (a)
160bps weighted average
Asset-backed securities
348

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 18.0% (6.9%)
Constant default rate (CDR)
2.0% - 13.9% (6.2%)
Loss severity
24.2% - 100.0% (73.6%)
Spread over the benchmark curve (a)
162bps weighted average
Loans
125

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (85.6%)
Loss severity
0.0% - 100.0% (21.2%)
Discount rate
5.5% - 8.0% (5.7%)
 
101

Discounted cash flow
Loss severity
8.0% weighted average
Discount rate
4.6% weighted average
 
65

Consensus pricing (b)
Credit and Liquidity discount
0.0% - 99.0% (60.4%)
Equity investments
1,061

Multiple of adjusted earnings
Multiple of earnings
4.5x - 29.7x (8.4x)
Residential mortgage servicing rights
1,226

Discounted cash flow
Constant prepayment rate (CPR)
0.0% - 39.7% (10.2%)
Spread over the benchmark curve (a)
329bps - 1,784bps (827bps)
Commercial mortgage servicing rights
628

Discounted cash flow
Constant prepayment rate (CPR)
7.7% - 13.6% (8.5%)
Discount rate
6.2% - 7.7% (7.6%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(149
)
Discounted cash flow
Estimated conversion factor of Visa
Class B shares into Class A shares
164.5% weighted average
Esimated growth rate of Visa
Class A share price
14.0%
Estimated length of litigation
resolution date
Q2 2019
Insignificant Level 3 assets, net of
liabilities (c)
61

 
 
 
Total Level 3 assets, net of liabilities (d)
$
7,069

 
 
 

December 31, 2016
Level 3 Instruments Only
Dollars in millions
Fair Value

Valuation Techniques
Unobservable Inputs
Range (Weighted  Average)
Commercial mortgage loans held for sale
$
1,400

Discounted cash flow
Spread over the benchmark curve (a)
42bps - 1,725bps (362bps)
Estimated servicing cash flows
0.0% - 7.3% (1.5%)
Residential mortgage-backed
non-agency securities
3,254

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 24.2% (7.2%)
Constant default rate (CDR)
0.0% - 16.7% (5.3%)
Loss severity
10.0% - 98.5% (53.5%)
Spread over the benchmark curve (a)
236bps weighted average
Asset-backed securities
403

Priced by a third-party vendor using a discounted cash flow pricing model
Constant prepayment rate (CPR)
1.0% - 16.0% (6.4%)
Constant default rate (CDR)
2.0% - 13.9% (6.6%)
Loss severity
24.2% - 100.0% (77.3%)
Spread over the benchmark curve (a)
278bps weighted average
Loans
141

Consensus pricing (b)
Cumulative default rate
11.0% - 100.0% (86.9%)
Loss severity
0.0% - 100.0% (22.9%)
Discount rate
4.7% - 6.7% (5.1%)
 
116

Discounted cash flow
Loss severity
8.0% weighted average
Discount rate
4.2% weighted average
 
78

Consensus pricing (b)
Credit and Liquidity discount
0.0% - 99.0% (57.9%)
Equity investments
1,331

Multiple of adjusted earnings
Multiple of earnings
4.5x - 12.0x (7.8x)
Consensus pricing (b)
Liquidity discount
0.0% - 40.0%
Residential mortgage servicing rights
1,182

Discounted cash flow
Constant prepayment rate (CPR)
0.0% - 36.0% (9.4%)
Spread over the benchmark curve (a)
341bps - 1,913bps (850bps)
Commercial mortgage servicing rights
576

Discounted cash flow
Constant prepayment rate (CPR)
7.5% - 43.4% (8.6%)
Discount rate
3.5% - 7.6% (7.5%)
Other assets – BlackRock Series C
Preferred Stock
232

Consensus pricing (b)
Liquidity discount
15.0% - 25.0% (20.0%)
Financial derivatives - BlackRock LTIP
(232
)
Consensus pricing (b)
Liquidity discount
15.0% - 25.0% (20.0%)
Financial derivatives - Swaps related to
sales of certain Visa Class B
common shares
(164
)
Discounted cash flow
Estimated conversion factor of     Class B shares into Class A shares
164.4% weighted average
Estimated growth rate of Visa Class
A share price
14.0%
Estimated length of litigation
resolution date
Q2 2019
Insignificant Level 3 assets, net of
liabilities (c)
80

 
 
 
Total Level 3 assets, net of liabilities (d)
$
8,397

 
 
 
(a)
The assumed yield spread over the benchmark curve for each instrument is generally intended to incorporate non-interest-rate risks, such as credit and liquidity risks.
(b)
Consensus pricing refers to fair value estimates that are generally internally developed using information such as dealer quotes or other third-party provided valuations or comparable asset prices.
(c)
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 certain financial derivative assets and liabilities, trading securities, other debt securities, residential mortgage loans held for sale, other assets, other borrowed funds and other liabilities.
(d)
Consisted of total Level 3 assets of $7.4 billion and total Level 3 liabilities of $.3 billion as of September 30, 2017 and $8.8 billion and $.4 billion as of December 31, 2016, respectively.

Financial Assets Accounted for at Fair Value on a Nonrecurring Basis
We may be required to measure certain financial assets at fair value on a nonrecurring basis. These adjustments to fair value usually result from the application of lower of amortized cost or fair value accounting or write-downs of individual assets due to impairment and are included in Table 50 and Table 51. For more information regarding the valuation methodologies of our financial assets measured at fair value on a nonrecurring basis, see Note 6 Fair Value in our 2016 Form 10-K.
Table 50: Fair Value Measurements – Nonrecurring
 
Fair Value (a)
 
Gains (Losses)
Three months ended
 
Gains (Losses)
Nine months ended
 
In millions
September 30
2017

 
December 31
2016

 
September 30
2017

 
September 30
2016

 
September 30
2017

 
September 30
2016

 
Assets
 
 
 
 
 
 
 
 
 
 
 
 
Nonaccrual loans
$
130

 
$
187

 
$
(1
)
 
$
(32
)
 
$
(11
)
 
$
(81
)
 
OREO, foreclosed and other assets
82

 
107

 
(5
)
 
(6
)
 
(10
)
 
(15
)
 
Insignificant assets
36

 
19

 
(3
)
 


 
(11
)
 
(5
)
 
Total assets
$
248

 
$
313

 
$
(9
)
 
$
(38
)
 
$
(32
)
 
$
(101
)
 
(a)
All Level 3 as of September 30, 2017 and December 31, 2016.
Quantitative information about the significant unobservable inputs within Level 3 nonrecurring assets follows.
Table 51: Fair Value Measurements – Nonrecurring Quantitative Information
Level 3 Instruments Only
Dollars in millions
Fair Value

 
Valuation Techniques
Unobservable Inputs
Range (Weighted  Average)
September 30, 2017
 
 
 
 
 
Assets
 
 
 
 
 
Nonaccrual loans
$
16

 
LGD percentage
Loss severity
26.4% - 43.8% (36.9%)
 
114

 
Fair value of property or collateral
Appraised value/sales price
Not meaningful
OREO, foreclosed and other assets
82

 
Fair value of property or collateral
Appraised value/sales price
Not meaningful
Insignificant assets
36

 
 
 
 
Total assets
$
248

 
 
 
 
December 31, 2016
 
 
 
 
 
Assets
 
 
 
 
 
Nonaccrual loans
$
112

 
LGD percentage
Loss severity
6.0% - 77.1% (31.3%)
 
75

 
Fair value of property or collateral
Appraised value/sales price
Not meaningful
OREO, foreclosed and other assets
107

 
Fair value of property or collateral
Appraised value/sales price
Not meaningful
Insignificant assets
19

 
 
 
 
Total assets
$
313

 
 
 
 


Financial Instruments Accounted for under Fair Value Option

We elect the fair value option to account for certain financial instruments. For more information on these financial instruments for which the fair value option election has been made, please refer to Note 6 Fair Value in our 2016 Form 10-K.

Fair values and aggregate unpaid principal balances of certain items for which we elected the fair value option follow.
Table 52: Fair Value Option – Fair Value and Principal Balances
In millions
Fair
Value

 
Aggregate
Unpaid
Principal
Balance

 
Difference

 
September 30, 2017
 
 
 
 
 
 
Assets
 
 
 
 
 
 
Residential mortgage loans
held for sale
 
 
 
 
 
 
Performing loans
$
832

 
$
799

 
$
33

 
Accruing loans 90 days or
more past due
4

 
4

 


 
Nonaccrual loans
6

 
7

 
(1
)
 
Total
842

 
810

 
32

 
Commercial mortgage loans
held for sale (a)
 
 
 
 
 
 
Performing loans
756

 
797

 
(41
)
 
Nonaccrual loans
2

 
3

 
(1
)
 
Total
758

 
800

 
(42
)
 
Residential mortgage loans
 
 
 
 
 
 
Performing loans
243

 
273

 
(30
)
 
Accruing loans 90 days or
more past due
364

 
375

 
(11
)
 
Nonaccrual loans
200

 
324

 
(124
)
 
Total
807

 
972

 
(165
)
 
Other assets
230

 
215

 
15

 
Liabilities
 
 
 
 
 
 
Other borrowed funds
$
63

 
$
64

 
$
(1
)
 
December 31, 2016
 
 
 
 
 
 
Assets
 
 
 
 
 
 
Residential mortgage loans
held for sale
 
 
 
 
 
 
Performing loans
$
1,000

 
$
988

 
$
12

 
Accruing loans 90 days or
more past due
4

 
4

 


 
Nonaccrual loans
6

 
6

 


 
Total
1,010

 
998

 
12

 
Commercial mortgage loans
held for sale (a)
 
 
 
 
 
 
Performing loans
1,395

 
1,412

 
(17
)
 
Nonaccrual loans
5

 
9

 
(4
)
 
Total
1,400

 
1,421

 
(21
)
 
Residential mortgage loans
 
 
 
 
 
 
Performing loans
247

 
289

 
(42
)
 
Accruing loans 90 days or
more past due
427

 
428

 
(1
)
 
Nonaccrual loans
219

 
346

 
(127
)
 
Total
893

 
1,063

 
(170
)
 
Other assets
293

 
288

 
5

 
Liabilities
 
 
 
 
 
 
Other borrowed funds
$
81

 
$
82

 
$
(1
)
 
(a)
There were no accruing loans 90 days or more past due within this category at September 30, 2017 or December 31, 2016.

The changes in fair value for items for which we elected the fair value option and are included in Noninterest income and Noninterest expense on the Consolidated Income Statement are as follows.
Table 53: Fair Value Option – Changes in Fair Value (a)
 
Gains (Losses)
 
Gains (Losses)
 
 
Three months ended
 
Nine months ended
 
 
Sept. 30

 
Sept. 30

 
Sept. 30

 
Sept. 30

 
In millions
2017

 
2016

 
2017

 
2016

 
Assets
 
 
 
 
 
 
 
 
Residential mortgage loans
held for sale
$
39

 
$
55

 
$
101

 
$
161

 
Commercial mortgage
loans held for sale
$
15

 
$
16

 
$
58

 
$
65

 
Residential mortgage loans
$
7

 
$
7

 
$
18

 
$
24

 
Other assets
$
16

 
$
26

 
$
36

 
$
(4
)
 
Liabilities
 
 
 
 
 
 
 
 
Other liabilities
$
(5
)
 
 
 
$
(24
)
 
 
 
(a)
The impact on earnings of offsetting hedged items or hedging instruments is not reflected in these amounts.


Additional Fair Value Information Related to Financial Instruments Not Recorded at Fair Value
The following table presents the carrying amounts and estimated fair values, as well as the level within the fair value hierarchy, of all other financial instruments that are not recorded on the consolidated balance sheet at fair value as of September 30, 2017 and December 31, 2016.
Table 54: Additional Fair Value Information Related to Other Financial Instruments
 
Carrying

 
Fair Value
 
In millions
Amount

 
Total

 
Level 1

 
Level 2

 
Level 3

 
September 30, 2017
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
4,736

 
$
4,736

 
$
4,736

 
 
 
 
 
Interest-earning deposits with banks
24,713

 
24,713

 
 
 
$
24,713

 
 
 
Securities held to maturity
17,740

 
17,895

 
764

 
16,986

 
$
145

 
Net loans (excludes leases)
210,002

 
211,888

 
 
 
 
 
211,888

 
Other assets
5,493

 
6,101

 
 
 
5,367

 
734

 
Total assets
$
262,684

 
$
265,333

 
$
5,500

 
$
47,066

 
$
212,767

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Deposits
$
260,735

 
$
260,589

 
 
 
$
260,589

 
 
 
Borrowed funds
56,004

 
56,776

 
 
 
55,163

 
$
1,613

 
Unfunded loan commitments and letters of credit
293

 
293

 
 
 
 
 
293

 
Other liabilities
452

 
452

 
 
 
452

 
 
 
Total liabilities
$
317,484

 
$
318,110

 
 
 
$
316,204

 
$
1,906

 
December 31, 2016
 
 
 
 
 
 
 
 
 
 
Assets
 
 
 
 
 
 
 
 
 
 
Cash and due from banks
$
4,879

 
$
4,879

 
$
4,879

 
 
 
 
 
Interest-earning deposits with banks
25,711

 
25,711

 
 
 
$
25,711

 
 
 
Securities held to maturity
15,843

 
15,866

 
540

 
15,208

 
$
118

 
Net loans (excludes leases)
199,766

 
201,863

 
 
 
 
 
201,863

 
Other assets
4,793

 
5,243

 
 
 
4,666

 
577

 
Total assets
$
250,992

 
$
253,562

 
$
5,419

 
$
45,585

 
$
202,558

 
Liabilities
 
 
 
 
 
 
 
 
 
 
Deposits
$
257,164

 
$
257,038

 
 
 
$
257,038

 
 
 
Borrowed funds
51,736

 
52,322

 
 
 
50,941

 
$
1,381

 
Unfunded loan commitments and letters of credit
301

 
301

 
 
 
 
 
301

 
Other liabilities
417

 
417

 
 
 
417

 
 
 
Total liabilities
$
309,618

 
$
310,078

 
 
 
$
308,396

 
$
1,682

 


The aggregate fair values in Table 54 represent only a portion of the total market value of our assets and liabilities as, in accordance with the guidance related to fair values about financial instruments, we exclude the following:
•
financial instruments recorded at fair value on a recurring basis (as they are disclosed in Table 47),
•
investments accounted for under the equity method,
•
real and personal property,
•
lease financing,
•
loan customer relationships,
•
deposit customer intangibles,
•
mortgage servicing rights,
•
retail branch networks,
•
fee-based businesses, such as asset management and brokerage, and
•
trademarks and brand names.

For more information regarding the methods and assumptions used to estimate the fair values of financial instruments included in Table 54, see Note 6 Fair Value in our 2016 Form 10-K.