Fair Value Measurements (Tables)

12 Months Ended

Dec. 31, 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 December 31, 2014 and 2013:



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	152		152		—		152		—
Commercial loans held for sale	376		376		—		376		—
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



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 December 31, 2014 and 2013, 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, 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⁾	—		152		—		152		—			152
Mortgage servicing rights⁽⁴⁾	—		—		159		159		—			159
Total assets	$	24,828	$	93,343	$	3,752	$	121,923	$	(68,724	)	$	53,199
Liabilities:
Deposits in domestic offices⁽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



	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
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⁽⁵⁾	—		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 $5,602 million and $5,991 million and trading derivative liabilities of $7,459 million and $6,741 million as of December 31, 2014 and 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 8, "Loans Held for Sale," for further information.


⁽⁴⁾	See Note 10, "Intangible Assets," for additional information.


⁽⁵⁾	See Note 16, "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 year ended December 31, 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.



	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:
Deposits in domestic offices⁽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	)



	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			Dec. 31, 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			Dec. 31, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	466		$	154		$	—		$	237	$	—		$	(603	)	$	—		$	—		$	254		$	151
Corporate and other domestic debt securities	1,861			29			—			792		—			(422		)	—			—			2,260			29
Corporate debt securities issued by foreign entities	299			(10		)	—			—		—			(238		)	—			(51		)	—			—
Government debt securities issued by foreign entities	311			21			—			—		—			(211		)	—			—			121			2
Equity securities	9			(5		)	—			—		—			(4		)	—			—			—			(5		)
Derivatives, net⁽²⁾:
Interest rate contracts	7			—			(6		)	—		—			—			—			—			1			(7		)
Foreign exchange contracts	5			1			—			—		—			105			(16		)	—			95			100
Equity contracts	(7		)	85			—			—		—			(67		)	16			(24		)	3			9
Precious metals contracts	—			(2		)	—			—		—			—			—			—			(2		)	(2		)
Credit contracts	571			(215		)	—			—		—			(119		)	(45		)	(1		)	191			(369		)
Mortgage servicing rights⁽³⁾	168			—			48			—		—			11			—			—			227			48
Total assets	$	3,690		$	58		$	42		$	1,029	$	—		$	(1,548	)	$	(45	)	$	(76	)	$	3,150		$	(44	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(2,636	)	$	—		$	301		$	—	$	(601	)	$	391		$	(305	)	$	516		$	(2,334	)	$	(24	)
Long-term debt⁽⁴⁾	(429		)	—			(278		)	—		(606		)	225			(38		)	226			(900		)	(183		)
Total liabilities	$	(3,065	)	$	—		$	23		$	—	$	(1,207	)	$	616		$	(343	)	$	742		$	(3,234	)	$	(207	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $500 million and derivative liabilities of $248 million as of December 31, 2014 and derivative assets of $805 million and derivative liabilities of $517 million as of December 31, 2013.


⁽³⁾	See Note 10, "Intangible Assets," for additional information.


⁽⁴⁾	See Note 16, "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, 2014 and 2013:



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
Deposits in domestic offices (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%



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%
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%
				Issuer by issuer 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 December 31, 2014 and 2013. The gains (losses) during 2014 and 2013 are also included.



	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⁾	—		289		—		289		(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	$	—	$	472	$	58	$	530	$	(58	)



	Non-Recurring Fair Value Measurements as of December 31, 2013								Total Gains (Losses) For the Year Ended December 31, 2013
	Level 1		Level 2		Level 3		Total		Total Gains (Losses) For the Year Ended December 31, 2013
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	9	$	56	$	65	$	4
Consumer loans⁽²⁾	—		492		—		492		(90		)
Impaired commercial loans⁽⁴⁾	—		—		108		108		26
Real estate owned⁽⁵⁾	—		20		—		20		—
Goodwill⁽⁶⁾	—		—		—		—		(616		)
Total assets at fair value on a non-recurring basis	$	—	$	521	$	164	$	685	$	(676	)

⁽¹⁾

As of December 31, 2014 and 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⁾	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, 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.


⁽⁶⁾	During 2013, goodwill with a carrying amount of $616 million allocated to our GB&M business was written down to its implied fair value of $0 million.

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 December 31, 2014 and 2013:



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%



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 December 31, 2014:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages - Alt A	$	82	$	—	$	82
	Residential mortgages - Subprime	55		—		55
	Student loans	86		—		86
	Total AAA -A	223		—		223
BBB -B	Collateralized debt obligations	—		253		253
CCC-Unrated	Residential mortgages - Subprime	5		—		5
		$	228	$	253	$	481

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	43	$	—	$	43
	Home equity - Alt A	89		—		89
	Other	94		—		94
	Total AAA -A	$	226	$	—	$	226


⁽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.

- 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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