Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2016

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 September 30, 2016 and December 31, 2015:



September 30, 2016	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	18,062	$	18,062	$	903	$	17,139	$	20
Federal funds sold and securities purchased under agreements to resell	29,945		29,945		—		29,945		—
Federal funds sold and securities purchased under agreements to resell designated under fair value option	769		769		—		769		—
Non-derivative trading assets	15,912		15,912		4,374		8,463		3,075
Derivatives	3,927		3,927		5		3,904		18
Securities	54,231		54,562		26,435		28,127		—
Commercial loans, net of allowance for credit losses	57,061		58,676		—		—		58,676
Commercial loans designated under fair value option and held for sale	649		649		—		649		—
Commercial loans held for sale	92		92		—		92		—
Consumer loans, net of allowance for credit losses	19,504		18,753		—		—		18,753
Consumer loans held for sale:
Residential mortgages and home equity mortgages	971		972		—		18		954
Other consumer	75		75		—		—		75
Financial liabilities:
Short-term financial liabilities	$	3,407	$	3,469	$	—	$	3,449	$	20
Deposits:
Without fixed maturities	112,211		112,211		—		112,211		—
Fixed maturities	11,399		11,434		—		11,434		—
Deposits designated under fair value option	7,472		7,472		—		6,068		1,404
Non-derivative trading liabilities	1,079		1,079		1,030		49		—
Derivatives	6,897		6,897		8		6,877		12
Short-term borrowings designated under fair value option	2,675		2,675		—		2,675		—
Long-term debt	29,501		30,442		—		30,442		—
Long-term debt designated under fair value option	9,999		9,999		—		9,486		513



December 31, 2015	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	8,494	$	8,494	$	968	$	7,478	$	48
Federal funds sold and securities purchased under agreements to resell	19,847		19,847		—		19,847		—
Non-derivative trading assets	11,935		11,935		3,088		5,756		3,091
Derivatives	5,614		5,614		5		5,579		30
Securities	49,797		49,938		21,924		28,014		—
Commercial loans, net of allowance for credit losses	61,674		62,417		—		—		62,417
Commercial loans designated under fair value option and held for sale	151		151		—		151		—
Commercial loans held for sale	1,944		1,958		—		55		1,903
Consumer loans, net of allowance for credit losses	20,331		19,185		—		—		19,185
Consumer loans held for sale:
Residential mortgages	11		11		—		7		4
Other consumer	79		79		—		—		79
Financial liabilities:
Short-term financial liabilities	$	3,082	$	3,124	$	—	$	3,076	$	48
Deposits:
Without fixed maturities	101,146		101,146		—		101,146		—
Fixed maturities	10,514		10,508		—		10,508		—
Deposits designated under fair value option	6,919		6,919		—		5,052		1,867
Non-derivative trading liabilities	1,049		1,049		363		686		—
Derivatives	6,993		6,993		9		6,957		27
Short-term borrowings designated under fair value option	1,976		1,976		—		1,976		—
Long-term debt	24,338		24,874		—		24,874		—
Long-term debt designated under fair value option	9,171		9,171		—		8,425		746

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 at September 30, 2016 and December 31, 2015, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value:



	Fair Value Measurements on a Recurring Basis
September 30, 2016	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Securities purchased under agreements to resell⁽²⁾	$	—	$	769	$	—	$	769	$	—		$	769
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	4,374		180		—		4,554		—			4,554
Collateralized debt obligations	—		—		191		191		—			191
Asset-backed securities:
Residential mortgages	—		99		—		99		—			99
Student Loans	—		84		—		84		—			84
Corporate and other domestic debt securities	—		—		2,884		2,884		—			2,884
Debt Securities issued by foreign entities	—		5,416		—		5,416		—			5,416
Equity securities	—		15		—		15		—			15
Precious metals trading	—		2,669		—		2,669		—			2,669
Derivatives⁽³⁾:
Interest rate contracts	55		47,841		3		47,899		—			47,899
Foreign exchange contracts	—		19,459		14		19,473		—			19,473
Equity contracts	—		1,883		98		1,981		—			1,981
Precious metals contracts	38		740		—		778		—			778
Credit contracts	—		1,460		220		1,680		—			1,680
Derivatives netting	—		—		—		—		(67,884		)	(67,884		)
Total derivatives	93		71,383		335		71,811		(67,884		)	3,927
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	26,435		13,187		—		39,622		—			39,622
Asset-backed securities:
Commercial mortgages	—		4		—		4		—			4
Home equity	—		65		—		65		—			65
Other	—		494		—		494		—			494
Debt Securities issued by foreign entities	—		457		—		457		—			457
Equity securities	—		158		—		158		—			158
Loans⁽⁴⁾	—		649		—		649		—			649
Mortgage servicing rights⁽⁵⁾	—		95		—		95		—			95
Total assets	$	30,902	$	95,724	$	3,410	$	130,036	$	(67,884	)	$	62,152
Liabilities:
Domestic deposits⁽²⁾	$	—	$	6,068	$	1,404	$	7,472	$	—		$	7,472
Trading liabilities, excluding derivatives	1,030		49		—		1,079		—			1,079
Derivatives⁽³⁾:
Interest rate contracts	60		48,942		2		49,004		—			49,004
Foreign exchange contracts	6		17,684		14		17,704		—			17,704
Equity contracts	—		1,614		93		1,707		—			1,707
Precious metals contracts	21		653		—		674		—			674
Credit contracts	—		1,511		13		1,524		—			1,524
Derivatives netting	—		—		—		—		(63,716		)	(63,716		)
Total derivatives	87		70,404		122		70,613		(63,716		)	6,897
Short-term borrowings⁽²⁾	—		2,675		—		2,675		—			2,675
Long-term debt⁽²⁾	—		9,486		513		9,999		—			9,999
Total liabilities	$	1,117	$	88,682	$	2,039	$	91,838	$	(63,716	)	$	28,122



	Fair Value Measurements on a Recurring Basis
December 31, 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	$	3,088	$	167	$	—	$	3,255	$	—		$	3,255
Obligations of U. S. States and political subdivisions	—		559		—		559		—			559
Collateralized debt obligations	—		—		221		221		—			221
Asset-backed securities:
Residential mortgages	—		114		—		114		—			114
Student loans	—		89		—		89		—			89
Corporate and other domestic debt securities	—		—		2,870		2,870		—			2,870
Debt Securities issued by foreign entities:
Corporate	—		55		—		55		—			55
Government-backed	—		3,974		—		3,974		—			3,974
Equity securities	—		18		—		18		—			18
Precious metals trading	—		780		—		780		—			780
Derivatives⁽³⁾:
Interest rate contracts	26		35,241		2		35,269		—			35,269
Foreign exchange contracts	—		24,161		16		24,177		—			24,177
Equity contracts	—		1,687		119		1,806		—			1,806
Precious metals contracts	38		891		—		929		—			929
Credit contracts	—		3,676		209		3,885		—			3,885
Derivatives netting	—		—		—		—		(60,452		)	(60,452		)
Total derivatives	64		65,656		346		66,066		(60,452		)	5,614
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	21,924		12,621		—		34,545		—			34,545
Obligations of U.S. states and political subdivisions	—		348		—		348		—			348
Asset-backed securities:
Commercial mortgages	—		9		—		9		—			9
Home equity	—		75		—		75		—			75
Other	—		89		—		89		—			89
Debt Securities issued by foreign entities	—		546		—		546		—			546
Equity securities	—		161		—		161		—			161
Loans⁽⁴⁾	—		151		—		151		—			151
Mortgage servicing rights⁽⁵⁾	—		—		140		140		—			140
Total assets	$	25,076	$	85,412	$	3,577	$	114,065	$	(60,452	)	$	53,613
Liabilities:
Domestic deposits⁽²⁾	$	—	$	5,052	$	1,867	$	6,919	$	—		$	6,919
Trading liabilities, excluding derivatives	363		686		—		1,049		—			1,049
Derivatives⁽³⁾:
Interest rate contracts	28		35,432		1		35,461		—			35,461
Foreign exchange contracts	15		22,405		16		22,436		—			22,436
Equity contracts	—		1,560		202		1,762		—			1,762
Precious metals contracts	39		552		—		591		—			591
Credit contracts	—		3,753		30		3,783		—			3,783
Derivatives netting	—		—		—		—		(57,040		)	(57,040		)
Total derivatives	82		63,702		249		64,033		(57,040		)	6,993
Short-term borrowings⁽²⁾	—		1,976		—		1,976		—			1,976
Long-term debt⁽²⁾	—		8,425		746		9,171		—			9,171
Total liabilities	$	445	$	79,841	$	2,862	$	83,148	$	(57,040	)	$	26,108


⁽¹⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.


⁽²⁾	See Note 11, "Fair Value Option," for additional information.


⁽³⁾	Includes trading derivative assets of $3,674 million and $5,150 million and trading derivative liabilities of $6,458 million and $6,406 million at September 30, 2016 and December 31, 2015, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽⁴⁾	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.


⁽⁵⁾	See Note 7, "Intangible Assets," and Note 9, "Other Assets Held for Sale," 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 nine months ended September 30, 2016 and 2015. 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.



	Jul. 1, 2016			Total Gains and (Losses) Included in⁽¹⁾					Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2016			Current Period Unrealized Gains (Losses)
	Jul. 1, 2016			Trading Revenue (Loss)		Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2016			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	201		$	4	$	—		$	—	$	—		$	(14	)	$	—		$	—		$	191		$	2
Corporate and other domestic debt securities	2,879			1		—			4		—			—			—			—			2,884			1
Derivatives, net⁽²⁾:
Interest rate contracts	1			—		—			—		—			—			—			—			1			—
Foreign exchange contracts	—			—		—			—		—			—			—			—			—			—
Equity contracts	(15		)	20		—			—		—			(2		)	(1		)	3			5			—
Credit contracts	188			11		—			—		—			8			—			—			207			(3		)
Mortgage servicing rights⁽³⁾	104			—		(4		)	—		—			(5		)	—			(95		)	—			(4		)
Total assets	$	3,358		$	36	$	(4	)	$	4	$	—		$	(13	)	$	(1	)	$	(92	)	$	3,288		$	(4	)
Liabilities:
Domestic deposits⁽⁴⁾	$	(1,677	)	$	—	$	(3	)	$	—	$	(42	)	$	300		$	(39	)	$	57		$	(1,404	)	$	(26	)
Long-term debt⁽⁴⁾	(573		)	—		(31		)	—		(86		)	110			—			67			(513		)	(42		)
Total liabilities	$	(2,250	)	$	—	$	(34	)	$	—	$	(128	)	$	410		$	(39	)	$	124		$	(1,917	)	$	(68	)



	Jan. 1, 2016			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2016			Current Period Unrealized Gains (Losses)
	Jan. 1, 2016			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2016			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	221		$	(4	)	$	—		$	—	$	—		$	(26	)	$	—		$	—		$	191		$	(9	)
Corporate and other domestic debt securities	2,870			—			—			14		—			—			—			—			2,884			—
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			—			—		—			—			—			—			1			—
Foreign exchange contracts	—			—			—			—		—			—			—			—			—			—
Equity contracts	(83		)	75			—			—		—			10			—			3			5			50
Credit contracts	179			27			—			—		—			1			—			—			207			18
Mortgage servicing rights⁽³⁾	140			—			(28		)	—		—			(17		)	—			(95		)	—			(28		)
Total assets	$	3,328		$	98		$	(28	)	$	14	$	—		$	(32	)	$	—		$	(92	)	$	3,288		$	31
Liabilities:
Domestic deposits⁽⁴⁾	$	(1,867	)	$	—		$	(74	)	$	—	$	(206	)	$	599		$	(54	)	$	198		$	(1,404	)	$	(46	)
Long-term debt⁽⁴⁾	(746		)	—			(23		)	—		(216		)	259			—			213			(513		)	(23		)
Total liabilities	$	(2,613	)	$	—		$	(97	)	$	—	$	(422	)	$	858		$	(54	)	$	411		$	(1,917	)	$	(69	)



	Jul. 1, 2015			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2015			Current Period Unrealized Gains (Losses)
	Jul. 1, 2015			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	240		$	3		$	—		$	—	$	—		$	(10	)	$	—		$	—	$	233		$	—
Corporate and other domestic debt securities	2,855			—			—			7		—			—			—			—		2,862			—
Derivatives, net⁽²⁾:
Interest rate contracts	1			—			(1		)	—		—			—			—			—		—			(1		)
Foreign exchange contracts	—			—			—			—		—			—			—			—		—			—
Equity contracts	(10		)	(70		)	—			—		—			(17		)	—			2		(95		)	(79		)
Credit contracts	179			(8		)	—			—		—			—			—			—		171			(7		)
Mortgage servicing rights⁽³⁾	158			—			(21		)	—		—			(7		)	—			—		130			(21		)
Total assets	$	3,423		$	(75	)	$	(22	)	$	7	$	—		$	(34	)	$	—		$	2	$	3,301		$	(108	)
Liabilities:
Domestic deposits⁽⁴⁾	$	(1,817	)	$	—		$	9		$	—	$	(86	)	$	130		$	(44	)	$	54	$	(1,754	)	$	15
Long-term debt⁽⁴⁾	(662		)	—			73			—		(186		)	13			(1		)	18		(745		)	71
Total liabilities	$	(2,479	)	$	—		$	82		$	—	$	(272	)	$	143		$	(45	)	$	72	$	(2,499	)	$	86



	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		Sep. 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		Sep. 30, 2015			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	253		$	15		$	—		$	—	$	—		$	(35	)	$	—		$	—	$	233		$	7
Corporate and other domestic debt securities	2,840			—			—			22		—			—			—			—		2,862			—
Derivatives, net⁽²⁾:
Interest rate contracts	—			—			—			—		—			—			—			—		—			—
Foreign exchange contracts	—			—			—			—		—			—			—			—		—			—
Equity contracts	42			(74		)	—			—		—			(65		)	—			2		(95		)	(101		)
Credit contracts	210			(30		)	—			—		—			(9		)	—			—		171			(60		)
Mortgage servicing rights⁽³⁾	159			—			(13		)	—		—			(16		)	—			—		130			(13		)
Total assets	$	3,504		$	(89	)	$	(13	)	$	22	$	—		$	(125	)	$	—		$	2	$	3,301		$	(167	)
Liabilities:
Domestic deposits⁽⁴⁾	$	(1,968	)	$	—		$	4		$	—	$	(270	)	$	313		$	(66	)	$	233	$	(1,754	)	$	21
Long-term debt⁽⁴⁾	(647		)	—			79			—		(423		)	197			(1		)	50		(745		)	81
Total liabilities	$	(2,615	)	$	—		$	83		$	—	$	(693	)	$	510		$	(67	)	$	283	$	(2,499	)	$	102


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $335 million and derivative liabilities of $122 million at September 30, 2016 and derivative assets of $304 million and derivative liabilities of $228 million at September 30, 2015.


⁽³⁾	See Note 7, "Intangible Assets," and Note 9, "Other Assets Held for Sale," for additional information.


⁽⁴⁾	See Note 11, "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 at September 30, 2016 and December 31, 2015:



September 30, 2016
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	191		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	2% - 5%
				Conditional default rates	6% - 7%
				Loss severity rates	90% - 95%
Corporate and other domestic debt securities	2,884		Discounted cash flows	Spread volatility on collateral assets	2% - 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	38% - 100%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	15% - 21%
Equity derivative contracts⁽¹⁾	5		Option pricing model	Equity / Equity Index volatility	10% - 50%
				Equity / Equity and Equity / Index correlation	47% - 58%
				Equity dividend yields	0% - 15%
Credit derivative contracts	207		Option pricing model	Issuer by issuer correlation of defaults	82% - 83%
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	(1,404	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	15% - 21%
				Equity / Equity Index volatility	10% - 50%
				Equity / Equity and Equity / Index correlation	47% - 58%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(513	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	15% - 21%
				Equity / Equity Index volatility	10% - 50%
				Equity / Equity and Equity / Index correlation	47% - 58%



December 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	221		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 6%
				Conditional default rates	3% - 7%
				Loss severity rates	90% - 99%
Corporate and other domestic debt securities	2,870		Discounted cash flows	Spread volatility on collateral assets	2% - 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	18% - 100%
Foreign exchange derivative contracts⁽¹⁾	—		Option pricing model	Implied volatility of currency pairs	18% - 22%
Equity derivative contracts⁽¹⁾	(83	)	Option pricing model	Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%
				Equity dividend yields	0% - 18%
Credit derivative contracts	179		Option pricing model	Correlation of defaults of a portfolio of reference credit names	44% - 47%
				Issuer by issuer correlation of defaults	82% - 83%
Mortgage servicing rights	140		Option adjusted discounted cash flows	Constant prepayment rates	11% - 50%
				Option adjusted spread	8% - 14%
				Estimated annualized costs to service	$87 - $329 per account
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	(1,867	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	18% - 22%
				Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	(746	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	18% - 22%
				Equity / Equity Index volatility	14% - 72%
				Equity / Equity and Equity / Index correlation	48% - 59%


⁽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.

Assets and Liabilities Recorded at Fair Value on a Non Recurring Basis

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded at September 30, 2016 and December 31, 2015. The gains (losses) during the three and nine months ended September 30, 2016 and 2015 are also included.



	Non-Recurring Fair Value Measurements at September 30, 2016								Total Gains (Losses) For the Three Months Ended September 30, 2016			Total Gains (Losses) For the Nine Months Ended September 30, 2016
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage and home equity mortgage loans held for sale⁽¹⁾	$	—	$	—	$	958	$	958	$	(17	)	$	(61	)
Consumer loans⁽²⁾	—		32		—		32		(10		)	(19		)
Commercial loans held for sale⁽³⁾	—		19		—		19		(7		)	(37		)
Impaired commercial loans⁽⁴⁾	—		—		420		420		7			(295		)
Real estate owned⁽⁵⁾	—		27		—		27		2			6
Total assets at fair value on a non-recurring basis	$	—	$	78	$	1,378	$	1,456	$	(25	)	$	(406	)



	Non-Recurring Fair Value Measurements at December 31, 2015								Total Gains (Losses) For the Three Months Ended September 30, 2015			Total Gains (Losses) For the Nine Months Ended September 30, 2015
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	2	$	3	$	5	$	—		$	—
Consumer loans⁽²⁾	—		133		—		133		(6		)	(24		)
Commercial loans held for sale⁽³⁾	—		55		—		55		(2		)	(16		)
Impaired commercial loans⁽⁴⁾	—		—		116		116		(16		)	(31		)
Real estate owned⁽⁵⁾	—		22		—		22		1			3
Total assets at fair value on a non-recurring basis	$	—	$	212	$	119	$	331	$	(23	)	$	(68	)

⁽¹⁾

At September 30, 2016 and December 31, 2015, the fair value of the loans held for sale was below cost. Certain residential mortgage and home equity mortgage loans held for sale have been classified as Level 3 fair value measurements within the fair value hierarchy, including certain residential mortgage and home equity mortgage loans which were transferred to held for sale during the nine months ended September 30, 2016 for which significant inputs in estimating fair value were unobservable and, to a lesser extent, certain residential mortgage loans held for sale for which the underlying real estate properties used to determine fair value are illiquid assets as a result of market conditions. 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. Total gains (losses) for the three and nine months ended September 30, 2016 include amounts recorded on loans that were subsequently transferred to held for sale.


⁽³⁾	At September 30, 2016 and December 31, 2015, 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 at September 30, 2016 and December 31, 2015:



At September 30, 2016
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage and home equity mortgage loans held for sale	$	958	Third party appraisal valuation based on estimated loss severities,	Loss severity rates	0% - 100%
			including collateral values and market discount rate	Market discount rate	8% - 14%
Impaired commercial loans	420		Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%



At December 31, 2015
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	3	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 100%
Impaired commercial loans	116		Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 70%

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 at September 30, 2016:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total

AAA -A	Residential mortgages - Alt A	$	48	$	—	$	48
	Residential mortgages - Subprime	40		—		40
	Student loans	84		—		84
	Total AAA -A	172		—		172
BBB -B	Collateralized debt obligations	—		191		191
CCC-Unrated	Residential mortgages - Subprime	11		—		11
		$	183	$	191	$	374

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	4	$	—	$	4
	Home equity - Alt A	65		—		65
	Other	494		—		494
	Total AAA -A	$	563	$	—	$	563


⁽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.