Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2014

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 June 30, 2014 and December 31, 2013:



June 30, 2014	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	26,335	$	26,335	$	2,325	$	23,946	$	64
Federal funds sold and securities purchased under resale agreements	2,311		2,311		—		2,311		—
Non-derivative trading assets	20,802		20,802		2,717		15,006		3,079
Derivatives	5,882		5,882		10		5,828		44
Securities	46,081		46,150		27,924		18,226		—
Commercial loans, net of allowance for credit losses	52,650		54,210		—		—		54,210
Commercial loans designated under fair value option and held for sale	159		159		—		159		—
Commercial loans held for sale	237		237		—		237		—
Consumer loans, net of allowance for credit losses	18,924		16,732		—		—		16,732
Consumer loans held for sale:
Residential mortgages	38		38		—		14		24
Other consumer	66		66		—		—		66
Financial liabilities:
Short-term financial liabilities	$	12,987	$	12,987	$	—	$	12,924	$	63
Deposits:
Without fixed maturities	105,977		105,977		—		105,977		—
Fixed maturities	1,830		1,834		—		1,834		—
Deposits designated under fair value option	7,714		7,714		—		5,457		2,257
Non-derivative trading liabilities	3,808		3,808		656		3,152		—
Derivatives	5,747		5,747		14		5,715		18
Long-term debt	16,341		17,022		—		17,022		—
Long-term debt designated under fair value option	8,263		8,263		—		7,525		738



December 31, 2013	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	20,626	$	20,626	$	961	$	19,614	$	51
Federal funds sold and securities purchased under resale agreements	2,119		2,119		—		2,119		—
Non-derivative trading assets	22,903		22,903		1,344		18,924		2,635
Derivatives	7,569		7,569		26		7,467		76
Securities	56,368		56,405		39,553		16,852		—
Commercial loans, net of allowance for credit losses	48,186		49,897		—		—		49,897
Commercial loans designated under fair value option and held for sale	58		58		—		58		—
Commercial loans held for sale	18		18		—		18		—
Consumer loans, net of allowance for credit losses	18,903		16,051		—		—		16,051
Consumer loans held for sale:
Residential mortgages	91		92		—		36		56
Other consumer	63		63		—		—		63
Financial liabilities:
Short-term financial liabilities	$	19,205	$	19,205	$	—	$	19,154	$	51
Deposits:
Without fixed maturities	102,584		102,584		—		102,584		—
Fixed maturities	2,284		2,289		—		2,289		—
Deposits designated under fair value option	7,740		7,740		—		5,406		2,334
Non-derivative trading liabilities	4,134		4,134		308		3,826		—
Derivatives	7,348		7,348		5		7,294		49
Long-term debt	15,261		15,729		—		15,729		—
Long-term debt designated under fair value option	7,586		7,586		—		6,686		900

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 June 30, 2014 and December 31, 2013, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value:



	Fair Value Measurements on a Recurring Basis
June 30, 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	$	2,717	$	135	$	—	$	2,852	$	—		$	2,852
Obligations of U.S. States and political subdivisions	—		27		—		27		—			27
Collateralized debt obligations	—		—		260		260		—			260
Asset-backed securities:
Residential mortgages	—		153		—		153		—			153
Student Loans	—		81		—		81		—			81
Corporate and other domestic debt securities	—		—		2,819		2,819		—			2,819
Debt Securities issued by foreign entities:
Corporate	—		77		—		77		—			77
Government-backed	—		4,035		—		4,035		—			4,035
Equity securities	—		21		—		21		—			21
Precious metals trading	—		10,477		—		10,477		—			10,477
Derivatives⁽²⁾:
Interest rate contracts	97		52,969		1		53,067		—			53,067
Foreign exchange contracts	29		12,731		16		12,776		—			12,776
Equity contracts	—		2,062		165		2,227		—			2,227
Precious metals contracts	2		644		—		646		—			646
Credit contracts	—		3,460		356		3,816		—			3,816
Derivatives netting	—		—		—		—		(66,650		)	(66,650		)
Total derivatives	128		71,866		538		72,532		(66,650		)	5,882
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	27,914		11,186		—		39,100		—			39,100
Obligations of U.S. states and political subdivisions	—		730		—		730		—			730
Asset-backed securities:
Residential mortgages	—		1		—		1		—			1
Commercial mortgages	—		86		—		86		—			86
Home equity	—		94		—		94		—			94
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		869		—		869		—			869
Government-backed	10		3,628		—		3,638		—			3,638
Equity securities	—		166		—		166		—			166
Loans⁽³⁾	—		159		—		159		—			159
Mortgage servicing rights⁽⁴⁾	—		—		186		186		—			186
Total assets	$	30,769	$	103,885	$	3,803	$	138,457	$	(66,650	)	$	71,807
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,457	$	2,257	$	7,714	$	—		$	7,714
Trading liabilities, excluding derivatives	656		3,152		—		3,808		—			3,808
Derivatives⁽²⁾:
Interest rate contracts	37		53,651		1		53,689		—			53,689
Foreign exchange contracts	—		11,606		16		11,622		—			11,622
Equity contracts	—		1,414		106		1,520		—			1,520
Precious metals contracts	138		656		—		794		—			794
Credit contracts	—		3,822		99		3,921		—			3,921
Derivatives netting	—		—		—		—		(65,799		)	(65,799		)
Total derivatives	175		71,149		222		71,546		(65,799		)	5,747
Long-term debt⁽⁶⁾	—		7,525		738		8,263		—			8,263
Total liabilities	$	831	$	87,283	$	3,217	$	91,331	$	(65,799	)	$	25,532



	Fair Value Measurements on a Recurring Basis
December 31, 2013	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	$	1,344	$	178	$	—	$	1,522	$	—		$	1,522
Obligations of U. S. States and political subdivisions	—		25		—		25		—			25
Collateralized debt obligations	—		—		254		254		—			254
Asset-backed securities:
Residential mortgages	—		159		—		159		—			159
Student loans	—		68		—		68		—			68
Corporate and other domestic debt securities	—		—		2,260		2,260		—			2,260
Debt Securities issued by foreign entities:
Corporate	—		495		—		495		—			495
Government-backed	—		6,223		121		6,344		—			6,344
Equity securities	—		25		—		25		—			25
Precious metals trading	—		11,751		—		11,751		—			11,751
Derivatives⁽²⁾:
Interest rate contracts	81		56,095		1		56,177		—			56,177
Foreign exchange contracts	7		15,291		131		15,429		—			15,429
Equity contracts	—		2,042		160		2,202		—			2,202
Precious metals contracts	182		1,400		1		1,583		—			1,583
Credit contracts	—		4,152		512		4,664		—			4,664
Derivatives netting	—		—		—		—		(72,486		)	(72,486		)
Total derivatives	270		78,980		805		80,055		(72,486		)	7,569
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	39,513		9,439		—		48,952		—			48,952
Obligations of U.S. states and political subdivisions	—		742		—		742		—			742
Asset-backed securities:
Residential mortgages	—		1		—		1		—			1
Commercial mortgages	—		126		—		126		—			126
Home equity	—		227		—		227		—			227
Other	—		94		—		94		—			94
Corporate and other domestic debt securities	—		—		—		—		—			—
Debt Securities issued by foreign entities:
Corporate	—		881		—		881		—			881
Government-backed	40		3,681		—		3,721		—			3,721
Equity securities	—		162		—		162		—			162
Loans⁽³⁾	—		58		—		58		—			58
Mortgage servicing rights⁽⁴⁾	—		—		227		227		—			227
Total assets	$	41,167	$	113,315	$	3,667	$	158,149	$	(72,486	)	$	85,663
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,406	$	2,334	$	7,740	$	—		$	7,740
Trading liabilities, excluding derivatives	308		3,826		—		4,134		—			4,134
Derivatives⁽²⁾:
Interest rate contracts	34		56,282		—		56,316		—			56,316
Foreign exchange contracts	16		14,576		36		14,628		—			14,628
Equity contracts	—		1,403		157		1,560		—			1,560
Precious metals contracts	7		847		3		857		—			857
Credit contracts	—		4,398		321		4,719		—			4,719
Derivatives netting	—		—		—		—		(70,732		)	(70,732		)
Total derivatives	57		77,506		517		78,080		(70,732		)	7,348
Long-term debt⁽⁶⁾	—		6,686		900		7,586		—			7,586
Total liabilities	$	365	$	93,424	$	3,751	$	97,540	$	(70,732	)	$	26,808


⁽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 $4,354 million and $5,991 million and trading derivative liabilities of $5,007 million and $6,741 million as of June 30, 2014 and December 31, 2013, 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 6, "Loans Held for Sale," for further information.


⁽⁴⁾	See Note 7, "Intangible Assets," for additional information.


⁽⁵⁾	Represents structured deposits risk-managed on a fair value basis for which we have elected to apply the fair value option.


⁽⁶⁾	Includes structured notes and own debt issuances which we have elected to measure on a fair value basis.

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 the three and six months ended June 30, 2014 and 2013. 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.



	Apr. 1, 2014			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2014			Current Period Unrealized Gains (Losses)
	Apr. 1, 2014			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2014			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	258		$	7		$	—		$	—	$	—		$	(5	)	$	—		$	—		$	260		$	7
Corporate and other domestic debt securities	2,808			—			—			11		—			—			—			—			2,819			—
Corporate debt securities issued by foreign entities	—			—			—			—		—			—			—			—			—			—
Government debt securities issued by foreign entities	117			3			—			—		—			(1		)	—			(119		)	—			—
Equity securities	—			—			—			—		—			—			—			—			—			—
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			(1		)	—		—			—			—			—			—			—
Foreign exchange contracts	96			8			—			—		—			(6		)	—			(98		)	—			4
Equity contracts	24			66			—			—		—			(29		)	2			(4		)	59			41
Precious metals contracts	—			—			—			—		—			—			—			—			—			—
Credit contracts	181			(41		)	—			—		—			3			—			114			257			(42		)
Mortgage servicing rights⁽⁴⁾	205			—			(12		)	—		—			(7		)	—			—			186			(12		)
Total assets	$	3,690		$	43		$	(13	)	$	11	$	—		$	(45	)	$	2		$	(107	)	$	3,581		$	(2	)
Liabilities:
Deposits in domestic offices	$	(2,244	)	$	(85	)	$	—		$	—	$	(135	)	$	130		$	(27	)	$	104		(2,257		)	$	(34	)
Long-term debt	(732		)	4			—			—		(110		)	73			—			27			(738		)	(22		)
Total liabilities	$	(2,976	)	$	(81	)	$	—		$	—	$	(245	)	$	203		$	(27	)	$	131		$	(2,995	)	$	(56	)



	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			Jun. 30, 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			Jun. 30, 2014			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	254		$	14		$	—		$	—	$	—		$	(8	)	$	—		$	—		$	260		$	14
Corporate and other domestic debt securities	2,260			(5		)	—			564		—			—			—			—			2,819			(6		)
Corporate debt securities issued by foreign entities	—			—			—			—		—			—			—			—			—			—
Government debt securities issued by foreign entities	121			5			—			—		—			(7		)	—			(119		)	—			—
Equity securities	—			—			—			—		—			—			—			—			—			—
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			(1		)	—		—			—			—			—			—			(1		)
Foreign exchange contracts	95			10			—			—		—			(12		)	—			(93		)	—			5
Equity contracts	3			86			—			—		—			(36		)	6			—			59			49
Precious metals contracts	(2		)	2			—			—		—			—			—			—			—			—
Credit contracts	191			(55		)	—			—		—			7			—			114			257			(98		)
Mortgage servicing rights⁽⁴⁾	227			—			(24		)	—		—			(17		)	—			—			186			(24		)
Total assets	$	3,150		$	57		$	(25	)	$	564	$	—		$	(73	)	$	6		$	(98	)	$	3,581		$	(61	)
Liabilities:
Deposits in domestic offices	$	(2,334	)	$	(210	)	$	—		$	—	$	(160	)	$	298		$	(95	)	$	244		(2,257		)	$	(51	)
Long-term debt	(900		)	97			—			—		(153		)	120			—			98			(738		)	(23		)
Total liabilities	$	(3,234	)	$	(113	)	$	—		$	—	$	(313	)	$	418		$	(95	)	$	342		$	(2,995	)	$	(74	)



	Apr. 1, 2013			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	Apr. 1, 2013			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	481		$	83		$	—		$	216	$	—		$	(553	)	$	—		$	—		$	227		$	56
Corporate and other domestic debt securities	1,524			21			—			16		—			(63		)	—			—			1,498			21
Corporate debt securities issued by foreign entities	294			(9		)	—			—		—			—			—			—			285			(9		)
Government debt securities issued by foreign entities	143			(7		)	—			—		—			(1		)	—			—			135			(9		)
Equity securities	11			(7		)	—			—		—			(4		)	—			—			—			(7		)
Derivatives, net⁽²⁾:
Interest rate contracts	6			(1		)	(6		)	—		—			—			—			—			(1		)	(7		)
Foreign exchange contracts	134			(18		)	—			—		—			(6		)	(6		)	—			104			(28		)
Equity contracts	34			(81		)	—			—		—			(27		)	6			(15		)	(83		)	(92		)
Credit contracts	364			(105		)	—			—		—			(34		)	—			—			225			(82		)
Mortgage servicing rights⁽⁴⁾	190			—			30			—		5			—			—			—			225			30
Total assets	$	3,181		$	(124	)	$	24		$	232	$	5		$	(688	)	$	—		$	(15	)	$	2,615		$	(127	)
Liabilities:
Deposits in domestic offices	$	(2,876	)	$	411		$	—		$	—	$	(81	)	$	110		$	(177	)	$	165		(2,448		)	$	432
Long-term debt	(618		)	(242		)	—			—		(59		)	68			—			179			(672		)	(239		)
Total liabilities	$	(3,494	)	$	169		$	—		$	—	$	(140	)	$	178		$	(177	)	$	344		$	(3,120	)	$	193



	Jan. 1, 2013			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	Jan. 1, 2013			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	466		$	118		$	—		$	237	$	—		$	(594	)	$	—		$	—		$	227		$	87
Corporate and other domestic debt securities	1,861			28			—			31		—			(422		)	—			—			1,498			24
Corporate debt securities issued by foreign entities	299			(14		)	—			—		—			—			—			—			285			(14		)
Government debt securities issued by foreign entities	311			15			—			—		—			(191		)	—			—			135			10
Equity securities	9			(5		)	—			—		—			(4		)	—			—			—			(5		)
Derivatives, net⁽²⁾:
Interest rate contracts	7			(1		)	(7		)	—		—			—			—			—			(1		)	(8		)
Foreign exchange contracts	5			(4		)	—			—		—			116			(13		)	—			104			106
Equity contracts	(7		)	(20		)	—			—		—			(48		)	13			(21		)	(83		)	(73		)
Credit contracts	571			(155		)	—			—		—			(145		)	(46		)	—			225			(274		)
Mortgage servicing rights⁽⁴⁾	168			—			46			—		11			—			—			—			225			51
Total assets	$	3,690		$	(38	)	$	39		$	268	$	11		$	(1,288	)	$	(46	)	$	(21	)	$	2,615		$	(96	)
Liabilities:
Deposits in domestic offices	$	(2,636	)	$	370		$	—		$	—	$	(485	)	$	219		$	(160	)	$	244		(2,448		)	$	406
Long-term debt	(429		)	(273		)	—			—		(270		)	119			—			181			(672		)	(250		)
Total liabilities	$	(3,065	)	$	97		$	—		$	—	$	(755	)	$	338		$	(160	)	$	425		$	(3,120	)	$	156


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $538 million and derivative liabilities of $222 million as of June 30, 2014 and derivative assets of $985 million and derivative liabilities of $740 million as of June 30, 2013.


⁽³⁾	See Note 7, "Intangible Assets," 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 June 30, 2014 and December 31, 2013:



June 30, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	260		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 5%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 91%
Corporate and other domestic debt securities	2,819		Discounted cash flows	Spread volatility on collateral assets	1% - 3%
				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	5% - 97%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	8% - 14%
Equity derivative contracts⁽¹⁾	59		Option pricing model	Equity / Equity Index volatility	9% - 41%
				Equity / Equity and Equity / Index correlation	47% - 60%
Credit derivative contracts	257		Option pricing model	Correlation of defaults of a portfolio of reference credit names	49% - 56%
				Issuer by issuer correlation of defaults	83% - 95%
Mortgage servicing rights	186		Option adjusted discounted cash flows	Constant prepayment rates	8% - 46%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits)⁽¹⁾⁽²⁾	(2,257	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 14%
				Equity / Equity Index volatility	9% - 41%
				Equity / Equity and Equity / Index correlation	47% - 60%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(738	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 14%
				Equity / Equity Index volatility	9% - 41%
				Equity / Equity and Equity / Index correlation	47% - 60%



December 31, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	254		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 5%
				Conditional default rates	5% - 7%
				Loss severity rates	90% - 100%
Corporate and other domestic debt securities	2,260		Discounted cash flows	Spread volatility on collateral assets	1% - 3%
				Correlation between insurance claim shortfall and collateral value	80%
Corporate and government debt securities issued by foreign entities	121		Discounted cash flows	Correlations of default among a portfolio of credit names of embedded credit derivatives	36% - 63%
Interest rate derivative contracts	1		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	10% - 99%
Foreign exchange derivative contracts⁽¹⁾	95		Option pricing model	Implied volatility of currency pairs	11% - 16%
Equity derivative contracts⁽¹⁾	3		Option pricing model	Equity / Equity Index volatility	6% - 69%
				Equity / Equity and Equity / Index correlation	50% - 58%
Credit derivative contracts	191		Option pricing model	Correlation of defaults of a portfolio of reference credit names	46% - 54%
				Industry by industry correlation of defaults	83% - 95%
Mortgage servicing rights	227		Option adjusted discounted cash flows	Constant prepayment rates	5% - 22%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits)⁽¹⁾⁽²⁾	(2,334	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	11% - 16%
				Equity / Equity Index volatility	6% - 69%
				Equity / Equity and Equity / Index correlation	50% - 58%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(900	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	11% - 16%
				Equity / Equity Index volatility	6% - 69%
				Equity / Equity and Equity / Index correlation	50% - 58%


⁽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 June 30, 2014 and December 31, 2013. The gains (losses) during the three and six months ended June 30, 2014 and 2013 are also included.



	Non-Recurring Fair Value Measurements as of June 30, 2014								Total Gains (Losses) For the Three Months Ended June 30, 2014			Total Gains (Losses) For the Six Months Ended June 30, 2014
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) For the Six Months Ended June 30, 2014
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	2	$	24	$	26	$	(2	)	$	1
Impaired commercial loans⁽²⁾	—		—		24		24		(4		)	3
Consumer loans⁽³⁾	—		107		—		107		(9		)	(23		)
Real estate owned⁽⁴⁾	21		—		—		21		(3		)	(2		)
Commercial loans held for sale⁽⁵⁾	—		43		—		43		(7		)	(7		)
Total assets at fair value on a non-recurring basis	$	21	$	152	$	48	$	221	$	(25	)	$	(28	)



	Non-Recurring Fair Value Measurements as of December 31, 2013								Total Gains (Losses) For the Three Months Ended June 30, 2013			Total Gains (Losses) For the Six Months Ended June 30, 2013
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) For the Six Months Ended June 30, 2013
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	9	$	56	$	65	$	—		$	3
Impaired commercial loans⁽²⁾	—		—		108		108		(1		)	(2		)
Consumer loans⁽³⁾	—		492		—		492		(23		)	(51		)
Real estate owned⁽⁴⁾	20		—		—		20		—			2
Total assets at fair value on a non-recurring basis	$	20	$	501	$	164	$	685	$	(24	)	$	(48	)

⁽¹⁾

As of June 30, 2014 and December 31, 2013, 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⁾

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.


⁽³⁾	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.


⁽⁴⁾	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.


⁽⁵⁾	Represents certain commercial loans that have been transferred to the held for sale portfolio.

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

The following table presents quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of June 30, 2014 and December 31, 2013:



As of June 30, 2014
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	24	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	24		Valuation of third party appraisal on underlying collateral	Loss severity rates	10% - 48%



As of December 31, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	56	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	108		Valuation of third party appraisal on underlying collateral	Loss severity rates	1% - 66%

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 June 30, 2014:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages - Alt A	$	89	$	—	$	89
	Residential mortgages - Subprime	59		—		59
	Student loans	81		—		81
	Total AAA -A	229		—		229
BBB -B	Collateralized debt obligations	—		260		260
CCC-Unrated	Residential mortgages - Subprime	5		—		5
		$	234	$	260	$	494

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	86	$	—	$	86
	Home equity - Alt A	94		—		94
	Other	94		—		94
	Total AAA -A	274		—		274
CCC -Unrated	Residential mortgages - Alt A	1		—		1
		$	275	$	—	$	275


⁽¹⁾	We utilize Standard & Poor's ("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.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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