Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2015

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments at June 30, 2015 and December 31, 2014:



June 30, 2015	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	21,179	$	21,179	$	1,077	$	20,059	$	43
Federal funds sold and securities purchased under resale agreements	16,112		16,112		—		16,112		—
Non-derivative trading assets	13,840		13,840		2,988		7,757		3,095
Derivatives	5,480		5,480		8		5,440		32
Securities	47,245		47,412		19,565		27,847		—
Commercial loans, net of allowance for credit losses	63,099		64,490		—		—		64,490
Commercial loans designated under fair value option and held for sale	315		315		—		315		—
Commercial loans held for sale	92		92		—		92		—
Consumer loans, net of allowance for credit losses	19,870		18,679		—		—		18,679
Consumer loans held for sale:
Residential mortgages	23		23		—		19		4
Other consumer	88		88		—		—		88
Financial liabilities:
Short-term financial liabilities	$	10,715	$	10,715	$	—	$	10,672	$	43
Deposits:
Without fixed maturities	114,005		114,005		—		114,005		—
Fixed maturities	1,910		1,913		—		1,913		—
Deposits designated under fair value option	6,632		6,632		—		4,815		1,817
Non-derivative trading liabilities	669		669		500		169		—
Derivatives	6,691		6,691		7		6,661		23
Short-term borrowings designated under fair value option	2,070		2,070		—		2,070		—
Long-term debt	21,666		22,250		—		22,250		—
Long-term debt designated under fair value option	8,901		8,901		—		8,239		662



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

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis as of June 30, 2015 and December 31, 2014, 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, 2015	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,988	$	158	$	—	$	3,146	$	—		$	3,146
Obligations of U.S. States and political subdivisions	—		581		—		581		—			581
Collateralized debt obligations	—		—		240		240		—			240
Asset-backed securities:
Residential mortgages	—		129		—		129		—			129
Student Loans	—		88		—		88		—			88
Corporate and other domestic debt securities	—		—		2,855		2,855		—			2,855
Debt Securities issued by foreign entities:
Corporate	—		63		—		63		—			63
Government-backed	—		4,592		—		4,592		—			4,592
Equity securities	—		18		—		18		—			18
Precious metals trading	—		2,128		—		2,128		—			2,128
Derivatives⁽²⁾:
Interest rate contracts	34		38,824		1		38,859		—			38,859
Foreign exchange contracts	7		20,946		7		20,960		—			20,960
Equity contracts	—		2,051		132		2,183		—			2,183
Precious metals contracts	52		717		—		769		—			769
Credit contracts	—		3,269		247		3,516		—			3,516
Derivatives netting	—		—		—		—		(60,807		)	(60,807		)
Total derivatives	93		65,807		387		66,287		(60,807		)	5,480
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	19,565		8,649		—		28,214		—			28,214
Obligations of U.S. states and political subdivisions	—		812		—		812		—			812
Asset-backed securities:
Commercial mortgages	—		27		—		27		—			27
Home equity	—		83		—		83		—			83
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		359		—		359		—			359
Government-backed	—		3,333		—		3,333		—			3,333
Equity securities	—		163		—		163		—			163
Loans⁽³⁾	—		315		—		315		—			315
Mortgage servicing rights⁽⁴⁾	—		—		158		158		—			158
Total assets	$	22,646	$	87,399	$	3,640	$	113,685	$	(60,807	)	$	52,878
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	4,815	$	1,817	$	6,632	$	—		$	6,632
Trading liabilities, excluding derivatives	500		169		—		669		—			669
Derivatives⁽²⁾:
Interest rate contracts	38		38,693		—		38,731		—			38,731
Foreign exchange contracts	—		19,371		7		19,378		—			19,378
Equity contracts	—		1,668		142		1,810		—			1,810
Precious metals contracts	31		468		—		499		—			499
Credit contracts	—		3,355		68		3,423		—			3,423
Derivatives netting	—		—		—		—		(57,150		)	(57,150		)
Total derivatives	69		63,555		217		63,841		(57,150		)	6,691
Short-term borrowings⁽⁵⁾	—		2,070		—		2,070		—			2,070
Long-term debt⁽⁵⁾	—		8,239		662		8,901		—			8,901
Total liabilities	$	569	$	78,848	$	2,696	$	82,113	$	(57,150	)	$	24,963



	Fair Value Measurements on a Recurring Basis
December 31, 2014	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,675	$	48	$	—	$	2,723	$	—		$	2,723
Obligations of U. S. States and political subdivisions	—		591		—		591		—			591
Collateralized debt obligations	—		—		253		253		—			253
Asset-backed securities:
Residential mortgages	—		142		—		142		—			142
Student loans	—		86		—		86		—			86
Corporate and other domestic debt securities	—		1		2,840		2,841		—			2,841
Debt Securities issued by foreign entities:
Corporate	—		184		—		184		—			184
Government-backed	—		6,656		—		6,656		—			6,656
Equity securities	—		22		—		22		—			22
Precious metals trading	—		1,992		—		1,992		—			1,992
Derivatives⁽²⁾:
Interest rate contracts	46		46,012		1		46,059		—			46,059
Foreign exchange contracts	—		22,241		23		22,264		—			22,264
Equity contracts	—		2,212		180		2,392		—			2,392
Precious metals contracts	59		1,013		—		1,072		—			1,072
Credit contracts	—		3,899		296		4,195		—			4,195
Derivatives netting	—		—		—		—		(68,724		)	(68,724		)
Total derivatives	105		75,377		500		75,982		(68,724		)	7,258
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,048		3,117		—		25,165		—			25,165
Obligations of U.S. states and political subdivisions	—		667		—		667		—			667
Asset-backed securities:
Commercial mortgages	—		43		—		43		—			43
Home equity	—		89		—		89		—			89
Other	—		94		—		94		—			94
Debt Securities issued by foreign entities:
Corporate	—		517		—		517		—			517
Government-backed	—		3,398		—		3,398		—			3,398
Equity securities	—		167		—		167		—			167
Loans⁽³⁾	—		384		—		384		—			384
Mortgage servicing rights⁽⁴⁾	—		—		159		159		—			159
Total assets	$	24,828	$	93,575	$	3,752	$	122,155	$	(68,724	)	$	53,431
Liabilities:
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


⁽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 $3,931 million and $5,602 million and trading derivative liabilities of $5,779 million and $7,459 million as of June 30, 2015 and December 31, 2014, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽³⁾	Includes certain commercial loans held for sale which we have elected to apply the fair value option. See Note 6, "Loans Held for Sale," for further information.


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


⁽⁵⁾	See Note 10, "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 the three and six months ended June 30, 2015 and 2014. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Apr. 1, 2015			Total Gains and (Losses) Included in⁽¹⁾					Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2015			Current Period Unrealized Gains (Losses)
	Apr. 1, 2015			Trading Revenue (Loss)			Other Revenue		Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	254		$	3		$	—	$	—	$	—		$	(17	)	$	—		$	—	$	240		$	—
Corporate and other domestic debt securities	2,848			—			—		7		—			—			—			—		2,855			—
Derivatives, net⁽²⁾:
Interest rate contracts	20			(20		)	1		—		—			—			—			—		1			1
Foreign exchange contracts	—			—			—		—		—			—			—			—		—			—
Equity contracts	43			(27		)	—		—		—			(27		)	—			1		(10		)	(34		)
Credit contracts	192			(10		)	—		—		—			(3		)	—			—		179			(13		)
Mortgage servicing rights⁽³⁾	140			—			19		—		—			(1		)	—			—		158			21
Total assets	$	3,497		$	(54	)	$	20	$	7	$	—		$	(48	)	$	—		$	1	$	3,423		$	(25	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(1,926	)	$	—		$	14	$	—	$	(95	)	$	134		$	(22	)	$	78	$	(1,817	)	$	19
Long-term debt⁽⁴⁾	(642		)	—			13		—		(150		)	105			—			12		(662		)	14
Total liabilities	$	(2,568	)	$	—		$	27	$	—	$	(245	)	$	239		$	(22	)	$	90	$	(2,479	)	$	33



	Jan. 1, 2015			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2015			Current Period Unrealized Gains (Losses)
	Jan. 1, 2015			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	253		$	12		$	—		$	—	$	—		$	(25	)	$	—		$	—	$	240		$	7
Corporate and other domestic debt securities	2,840			—			—			15		—			—			—			—		2,855			—
Derivatives, net⁽²⁾:
Interest rate contracts	—			—			1			—		—			—			—			—		1			1
Foreign exchange contracts	—			—			—			—		—			—			—			—		—			—
Equity contracts	42			(4		)	—			—		—			(48		)	—			—		(10		)	(22		)
Credit contracts	210			(22		)	—			—		—			(9		)	—			—		179			(53		)
Mortgage servicing rights⁽³⁾	159			—			8			—		—			(9		)	—			—		158			7
Total assets	$	3,504		$	(14	)	$	9		$	15	$	—		$	(91	)	$	—		$	—	$	3,423		$	(60	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(1,968	)	$	—		$	(5	)	$	—	$	(184	)	$	183		$	(22	)	$	179	$	(1,817	)	$	6
Long-term debt⁽⁴⁾	(647		)	—			6			—		(237		)	184			—			32		(662		)	10
Total liabilities	$	(2,615	)	$	—		$	1		$	—	$	(421	)	$	367		$	(22	)	$	211	$	(2,479	)	$	16



	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			—
Government debt securities issued by foreign entities	117			3			—			—		—			(1		)	—			(119		)	—			—
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⁽³⁾	205			—			(12		)	—		—			(7		)	—			—			186			(12		)
Total assets	$	3,690		$	43		$	(13	)	$	11	$	—		$	(45	)	$	2		$	(107	)	$	3,581		$	(2	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(2,244	)	$	—		$	(85	)	$	—	$	(135	)	$	130		$	(27	)	$	104		$	(2,257	)	$	(34	)
Long-term debt⁽⁴⁾	(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		)
Government debt securities issued by foreign entities	121			5			—			—		—			(7		)	—			(119		)	—			—
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⁽³⁾	227			—			(24		)	—		—			(17		)	—			—			186			(24		)
Total assets	$	3,150		$	57		$	(25	)	$	564	$	—		$	(73	)	$	6		$	(98	)	$	3,581		$	(61	)
Liabilities:
Deposits in domestic offices⁽⁴⁾	$	(2,334	)	$	—		$	(210	)	$	—	$	(160	)	$	298		$	(95	)	$	244		$	(2,257	)	$	(51	)
Long-term debt⁽⁴⁾	(900		)	—			97			—		(153		)	120			—			98			(738		)	(23		)
Total liabilities	$	(3,234	)	$	—		$	(113	)	$	—	$	(313	)	$	418		$	(95	)	$	342		$	(2,995	)	$	(74	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $387 million and derivative liabilities of $217 million as of June 30, 2015 and derivative assets of $538 million and derivative liabilities of $222 million as of June 30, 2014.


⁽³⁾	See Note 7, "Intangible Assets," for additional information.


⁽⁴⁾	See Note 10, "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 June 30, 2015 and December 31, 2014:



June 30, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	240		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 99%
Corporate and other domestic debt securities	2,855		Discounted cash flows	Spread volatility on collateral assets	1% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	1		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	7% - 99%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	14% - 19%
Equity derivative contracts⁽¹⁾	(10	)	Option pricing model	Equity / Equity Index volatility	14% - 49%
				Equity / Equity and Equity / Index correlation	46% - 59%
Credit derivative contracts	179		Option pricing model	Correlation of defaults of a portfolio of reference credit names	49% - 52%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	158		Option adjusted discounted cash flows	Constant prepayment rates	11% - 51%
				Option adjusted spread	8% - 14%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits)⁽¹⁾⁽²⁾	(1,817	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	14% - 19%
				Equity / Equity Index volatility	14% - 49%
				Equity / Equity and Equity / Index correlation	46% - 59%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(662	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	14% - 19%
				Equity / Equity Index volatility	14% - 49%
				Equity / Equity and Equity / Index correlation	46% - 59%



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


⁽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, 2015 and December 31, 2014. The gains (losses) during the three and six months ended June 30, 2015 and 2014 are also included.



	Non-Recurring Fair Value Measurements as of June 30, 2015								Total Gains (Losses) For the Three Months Ended June 30, 2015			Total Gains (Losses) For the Six Months Ended June 30, 2015
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) For the Six Months Ended June 30, 2015
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	8	$	4	$	12	$	—		$	—
Consumer loans⁽²⁾	—		90		—		90		(8		)	(18		)
Commercial loans held for sale⁽³⁾	—		91		—		91		(6		)	(14		)
Impaired commercial loans⁽⁴⁾	—		—		39		39		(16		)	(15		)
Real estate owned⁽⁵⁾	—		21		—		21		1			2
Total assets at fair value on a non-recurring basis	$	—	$	210	$	43	$	253	$	(29	)	$	(45	)



	Non-Recurring Fair Value Measurements as of December 31, 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⁾	$	—	$	—	$	5	$	5	$	(2	)	$	1
Consumer loans⁽²⁾	—		164		—		164		(9		)	(23		)
Commercial loans held for sale⁽³⁾	—		77		—		77		(7		)	(7		)
Impaired commercial loans⁽⁴⁾	—		—		53		53		(4		)	3
Real estate owned⁽⁵⁾	—		19		—		19		(3		)	(2		)
Total assets at fair value on a non-recurring basis	$	—	$	260	$	58	$	318	$	(25	)	$	(28	)

⁽¹⁾

As of June 30, 2015 and December 31, 2014, the fair value of the loans held for sale was below cost. Certain residential mortgage loans held for sale have been classified as a Level 3 fair value measurement within the fair value hierarchy as the underlying real estate properties which determine fair value are illiquid assets as a result of market conditions and significant inputs in estimating fair value were unobservable. Additionally, the fair value of these properties is affected by, among other things, the location, the payment history and the completeness of the loan documentation.


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


⁽³⁾	As of June 30, 2015 and 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.

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

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of June 30, 2015 and December 31, 2014:



As of June 30, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	4	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	39		Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 68%



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

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

The following tables provide additional information relating to asset-backed securities as well as certain collateralized debt obligations held as of June 30, 2015:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages - Alt A	$	73	$	—	$	73
	Residential mortgages - Subprime	50		—		50
	Student loans	88		—		88
	Total AAA -A	211		—		211
BBB -B	Collateralized debt obligations	—		240		240
CCC-Unrated	Residential mortgages - Subprime	6		—		6
		$	217	$	240	$	457

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	27	$	—	$	27
	Home equity - Alt A	83		—		83
	Other	94		—		94
	Total AAA -A	$	204	$	—	$	204


⁽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.