Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2018

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, 2018 and December 31, 2017, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value. Unless otherwise noted below, assets and liabilities in the following table are recorded at fair value through net income.



	Fair Value Measurements on a Recurring Basis
September 30, 2018	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁸⁾			Net Balance
	(in millions)
Assets:
Securities purchased under agreements to resell⁽¹⁾	$	—	$	117	$	—	$	117	$	—		$	117
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	4,037		133		—		4,170		—			4,170
Asset-backed securities:
Collateralized debt obligations	—		—		112		112		—			112
Residential mortgages	—		—		16		16		—			16
Student loans	—		—		92		92		—			92
Corporate and other domestic debt securities	—		—		1,803		1,803		—			1,803
Debt securities issued by foreign entities	6,370		152		—		6,522		—			6,522
Equity securities	752		—		—		752		—			752
Precious metals trading	—		9,945		—		9,945		—			9,945
Derivatives:⁽²⁾
Interest rate contracts	3		9,762		—		9,765		—			9,765
Foreign exchange contracts	—		15,474		1		15,475		—			15,475
Equity contracts	—		4,172		74		4,246		—			4,246
Precious metals contracts	64		774		—		838		—			838
Credit contracts	—		874		75		949		—			949
Other contracts⁽³⁾	—		—		6		6		—			6
Derivatives netting	—		—		—		—		(28,046		)	(28,046		)
Total derivatives	67		31,056		156		31,279		(28,046		)	3,233
Securities available-for-sale:⁽⁴⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	17,311		11,418		—		28,729		—			28,729
Asset-backed securities:
Home equity	—		44		—		44		—			44
Other	—		—		105		105		—			105
Debt securities issued by foreign entities	2,252		199		—		2,451		—			2,451
Loans⁽¹⁾	—		242		—		242		—			242
Other assets:
Equity securities⁽⁵⁾	—		189		—		189		—			189
Equity Securities measured at net asset value⁽⁵⁾⁽⁶⁾	—		—		—		81		—			81
Other⁽⁷⁾	—		—		4		4		—			4
Total assets	$	30,789	$	53,495	$	2,288	$	86,653	$	(28,046	)	$	58,607
Liabilities:
Domestic deposits⁽¹⁾	$	—	$	7,037	$	943	$	7,980	$	—		$	7,980
Trading liabilities, excluding derivatives	1,605		—		—		1,605		—			1,605
Derivatives:⁽²⁾
Interest rate contracts	145		10,503		—		10,648		—			10,648
Foreign exchange contracts	22		14,571		2		14,595		—			14,595
Equity contracts	—		3,313		64		3,377		—			3,377
Precious metals contracts	51		800		—		851		—			851
Credit contracts	—		905		11		916		—			916
Other contracts⁽³⁾	—		—		51		51		—			51
Derivatives netting	—		—		—		—		(28,130		)	(28,130		)
Total derivatives	218		30,092		128		30,438		(28,130		)	2,308
Short-term borrowings⁽¹⁾	—		916		—		916		—			916
Long-term debt⁽¹⁾	—		11,730		532		12,262		—			12,262
Total liabilities	$	1,823	$	49,775	$	1,603	$	53,201	$	(28,130	)	$	25,071



	Fair Value Measurements on a Recurring Basis
December 31, 2017	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁸⁾			Net Balance
	(in millions)
Assets:
Securities purchased under agreements to resell⁽¹⁾	$	—	$	80	$	—	$	80	$	—		$	80
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	3,391		332		—		3,723		—			3,723
Asset-backed securities:
Collateralized debt obligations	—		—		129		129		—			129
Residential mortgages	—		16		—		16		—			16
Student loans	—		91		—		91		—			91
Corporate and other domestic debt securities	—		—		1,803		1,803		—			1,803
Debt securities issued by foreign entities	4,167		210		—		4,377		—			4,377
Equity securities⁽⁵⁾	—		12		—		12		—			12
Precious metals trading	—		2,274		—		2,274		—			2,274
Derivatives:⁽²⁾
Interest rate contracts	6		24,231		—		24,237		—			24,237
Foreign exchange contracts	4		15,754		2		15,760		—			15,760
Equity contracts	—		3,911		173		4,084		—			4,084
Precious metals contracts	52		502		—		554		—			554
Credit contracts	—		536		120		656		—			656
Other contracts⁽³⁾	—		—		6		6		—			6
Derivatives netting	—		—		—		—		(40,874		)	(40,874		)
Total derivatives	62		44,934		301		45,297		(40,874		)	4,423
Securities available-for-sale:⁽⁴⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	19,056		10,004		—		29,060		—			29,060
Asset-backed securities:
Home equity	—		51		—		51		—			51
Other	—		399		111		510		—			510
Debt securities issued by foreign entities	850		52		—		902		—			902
Equity securities⁽⁵⁾	—		177		—		177		—			177
Loans⁽¹⁾	—		471		—		471		—			471
Other assets⁽⁷⁾	—		—		15		15		—			15
Total assets	$	27,526	$	59,103	$	2,359	$	88,988	$	(40,874	)	$	48,114
Liabilities:
Domestic deposits⁽¹⁾	$	—	$	6,796	$	897	$	7,693	$	—		$	7,693
Trading liabilities, excluding derivatives	1,722		524		—		2,246		—			2,246
Derivatives:⁽²⁾
Interest rate contracts	59		24,379		—		24,438		—			24,438
Foreign exchange contracts	—		14,664		2		14,666		—			14,666
Equity contracts	—		2,859		92		2,951		—			2,951
Precious metals contracts	108		614		—		722		—			722
Credit contracts	—		578		6		584		—			584
Other contracts⁽³⁾	—		—		52		52		—			52
Derivatives netting	—		—		—		—		(40,217		)	(40,217		)
Total derivatives	167		43,094		152		43,413		(40,217		)	3,196
Short-term borrowings⁽¹⁾	—		2,032		—		2,032		—			2,032
Long-term debt⁽¹⁾	—		12,245		641		12,886		—			12,886
Total liabilities	$	1,889	$	64,691	$	1,690	$	68,270	$	(40,217	)	$	28,053


⁽¹⁾	See Note 10, "Fair Value Option," for additional information. Excluding the fair value movement on fair value option liabilities attributable to our own credit spread, which is recorded in other comprehensive income (loss), fair value option assets and liabilities are recorded at fair value through net income.

⁽²⁾

Includes trading derivative assets of $3,144 million and $3,725 million and trading derivative liabilities of $2,343 million and $2,633 million at September 30, 2018 and December 31, 2017, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives. See Note 9, "Derivatives," for additional information. Excluding changes in fair value of a derivative instrument associated with the effective portion of a qualifying cash flow hedge, which is recognized initially in other comprehensive income (loss), derivative assets and liabilities are recorded at fair value through net income.


⁽³⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.


⁽⁴⁾	Securities available-for-sale are recorded at fair value through other comprehensive income (loss).


⁽⁵⁾	See Note 3, "Securities," and Note 21, "New Accounting Pronouncements," for additional information. The adoption of new accounting guidance resulted in a reclassification of certain equity investments to other assets as of January 1, 2018.


⁽⁶⁾	Investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy.


⁽⁷⁾	Represents contingent consideration receivable associated with the sale of a portion of our Private Banking business.


⁽⁸⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.

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, 2018 and 2017. 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, 2018			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	Jul. 1, 2018			Earnings			Other Compre-hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	131		$	4		$	—		$	—	$	—		$	(23	)	$	—		$	—		$	112		$	2
Residential mortgage asset-backed securities	—			—			—			—		—			—			16			—			16			—
Student loan asset-backed securities	—			—			—			—		—			—			92			—			92			—
Corporate and other domestic debt securities	1,803			—			—			—		—			—			—			—			1,803			—
Derivatives, net:⁽²⁾
Foreign exchange contracts	(1		)	—			—			—		—			—			—			—			(1		)	—
Equity contracts	2			8			—			—		—			1			—			(1		)	10			9
Credit contracts	110			1			—			—		—			(47		)	—			—			64			(5		)
Other contracts⁽³⁾	(51		)	(5		)	—			—		—			11			—			—			(45		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	107			—			(2		)	—		—			—			—			—			105			(2		)
Other assets⁽⁵⁾	12			—			—			—		—			(8		)	—			—			4			—
Total assets	$	2,113		$	8		$	(2	)	$	—	$	—		$	(66	)	$	108		$	(1	)	$	2,160		$	4
Liabilities:
Domestic deposits⁽⁶⁾	$	(876	)	$	(8	)	$	(1	)	$	—	$	(106	)	$	25		$	(7	)	$	30		$	(943	)	$	(7	)
Long-term debt⁽⁶⁾	(557		)	(10		)	—			—		(37		)	29			—			43			(532		)	(7		)
Total liabilities	$	(1,433	)	$	(18	)	$	(1	)	$	—	$	(143	)	$	54		$	(7	)	$	73		$	(1,475	)	$	(14	)



	Jan. 1, 2018			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	Jan. 1, 2018			Earnings			Other Compre-hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	129		$	12		$	—		$	—	$	—		$	(29	)	$	—		$	—	$	112		$	10
Residential mortgage asset-backed securities	—			—			—			—		—			—			16			—		16			—
Student loan asset-backed securities	—			—			—			—		—			—			92			—		92			—
Corporate and other domestic debt securities	1,803			—			—			—		—			—			—			—		1,803			—
Derivatives, net:⁽²⁾
Foreign exchange contracts	—			(1		)	—			—		—			—			—			—		(1		)	(1		)
Equity contracts	81			(42		)	—			—		—			(29		)	(1		)	1		10			(34		)
Credit contracts	114			3			—			—		—			(53		)	—			—		64			(35		)
Other contracts⁽³⁾	(46		)	(19		)	—			—		—			20			—			—		(45		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	111			—			(6		)	—		—			—			—			—		105			(5		)
Other assets⁽⁵⁾	15			(3		)	—			—		—			(8		)	—			—		4			—
Total assets	$	2,207		$	(50	)	$	(6	)	$	—	$	—		$	(99	)	$	107		$	1	$	2,160		$	(65	)
Liabilities:
Domestic deposits⁽⁶⁾	$	(897	)	$	15		$	2		$	—	$	(285	)	$	85		$	(20	)	$	157	$	(943	)	$	16
Long-term debt⁽⁶⁾	(641		)	(4		)	5			—		(180		)	170			—			118		(532		)	10
Total liabilities	$	(1,538	)	$	11		$	7		$	—	$	(465	)	$	255		$	(20	)	$	275	$	(1,475	)	$	26



	Jul. 1, 2017			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2017			Current Period Unrealized Gains (Losses)
	Jul. 1, 2017			Earnings			Other Compre-hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2017			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	131		$	2		$	—		$	—	$	—		$	(8	)	$	—		$	—		$	125		$	1
Corporate and other domestic debt securities	1,803			—			—			—		—			—			—			—			1,803			—
Derivatives, net:⁽²⁾
Interest rate contracts	—			—			—			—		—			—			—			—			—			—
Foreign exchange contracts	—			—			—			—		—			—			—			—			—			—
Equity contracts	32			33			—			—		—			(7		)	—			(2		)	56			26
Credit contracts	143			(5		)	—			—		—			(23		)	—			—			115			(2		)
Other contracts⁽³⁾	(44		)	(5		)	—			—		—			3			—			—			(46		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	107			3			—			—		—			—			—			—			110			2
Other assets⁽⁵⁾	—			15			—			—		—			—			—			—			15			15
Total assets	$	2,172		$	43		$	—		$	—	$	—		$	(35	)	$	—		$	(2	)	$	2,178		$	42
Liabilities:
Domestic deposits⁽⁶⁾	$	(1,142	)	$	(19	)	$	(3	)	$	—	$	(50	)	$	191		$	(4	)	$	82		$	(945	)	$	(17	)
Long-term debt⁽⁶⁾	(541		)	(22		)	(1		)	—		(44		)	28			—			27			(553		)	(21		)
Total liabilities	$	(1,683	)	$	(41	)	$	(4	)	$	—	$	(94	)	$	219		$	(4	)	$	109		$	(1,498	)	$	(38	)



	Jan. 1, 2017			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2017			Current Period Unrealized Gains (Losses)
	Jan. 1, 2017			Earnings			Other Compre-hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2017			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	184		$	20		$	—		$	—	$	—		$	(79	)	$	—		$	—	$	125		$	6
Corporate and other domestic debt securities	2,884			—			—			—		—			(1,081		)	—			—		1,803			—
Derivatives, net:⁽²⁾
Interest rate contracts	1			(1		)	—			—		—			—			—			—		—			(1		)
Foreign exchange contracts	—			—			—			—		—			—			—			—		—			—
Equity contracts	(2		)	72			—			—		—			(15		)	—			1		56			52
Credit contracts	193			(9		)	—			—		—			(69		)	—			—		115			(18		)
Other contracts⁽³⁾	(9		)	(7		)	—			—		(35		)	5			—			—		(46		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	105			5			—			—		—			—			—			—		110			5
Other assets⁽⁵⁾	—			15			—			—		—			—			—			—		15			15
Total assets	$	3,356		$	95		$	—		$	—	$	(35	)	$	(1,239	)	$	—		$	1	$	2,178		$	59
Liabilities:
Domestic deposits⁽⁶⁾	$	(1,407	)	$	(33	)	$	9		$	—	$	(141	)	$	468		$	(25	)	$	184	$	(945	)	$	(18	)
Long-term debt⁽⁶⁾	(499		)	(62		)	(7		)	—		(166		)	106			(2		)	77		(553		)	(56		)
Total liabilities	$	(1,906	)	$	(95	)	$	2		$	—	$	(307	)	$	574		$	(27	)	$	261	$	(1,498	)	$	(74	)


⁽¹⁾	Gains (losses) on trading assets, excluding derivatives are included in trading revenue in the consolidated statement of income.


⁽²⁾	Level 3 net derivatives included derivative assets of $156 million and derivative liabilities of $128 million at September 30, 2018 and derivative assets of $294 million and derivative liabilities of $169 million at September 30, 2017. Gains (losses) on derivatives, net are predominantly included in trading revenue in the consolidated statement of income.


⁽³⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.


⁽⁴⁾	Realized gains (losses) on securities available-for-sale are included in other securities gains (losses), net in the consolidated statement of income. Unrealized gains (losses) on securities available-for-sale are included in other comprehensive income (loss).


⁽⁵⁾	Represents contingent consideration receivable associated with the sale of a portion of our Private Banking business. Gains (losses) associated with this transaction are included in other income (loss) in the consolidated statement of income.


⁽⁶⁾	Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive income (loss), gains (losses) on fair value option liabilities are included in gain on instruments designated at fair value and related derivatives in the consolidated statement of income.

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, 2018 and December 31, 2017:



September 30, 2018
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	$	112		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 1%
					Conditional default rates	0% - 1%
					Loss severity rates	90% - 95%
Residential mortgage asset-backed securities	$	16		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 5%
					Conditional default rates	1% - 4%
					Loss severity rates	80% - 85%
					Discount margin	100bps - 250bps
Student loan asset-backed securities	$	92		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	7% - 10%
					Conditional default rates	1% - 2%
					Loss severity rates	25% - 40%
					Discount margin	87bps -120bps
Corporate and other domestic debt securities	$	1,803		Discounted cash flows	Spread volatility on collateral assets	1% - 4%
					Correlation between insurance claim shortfall and collateral value	80%
Foreign exchange derivative contracts⁽¹⁾	$	(1	)	Option pricing model	Implied volatility of currency pairs	8% - 10%
Equity derivative contracts⁽¹⁾	$	10		Option pricing model	Equity / Equity Index volatility	7% - 37%
					Equity / Equity and Equity / Index correlation	43% - 79%
					Equity dividend yields	0% - 7%
Credit derivative contracts	$	64		Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	67bps - 87bps
Other derivative contracts	$	(45	)	Discounted cash flows	Conversion rate	1.6 times
					Expected duration	2 - 4 years
Other asset-backed securities available-for-sale	$	105		Discounted cash flows	Market assumptions related to yields for comparable instruments	1% - 3%
Other assets	$	4		Discounted cash flows	Client transfer rates based on rating	50% - 95%
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	$	(943	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 10%
					Equity / Equity Index volatility	7% - 35%
					Equity / Equity and Equity / Index correlation	43% - 51%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	$	(532	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 10%
					Equity / Equity Index volatility	7% - 37%
					Equity / Equity and Equity / Index correlation	44% - 79%



December 31, 2017
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	$	129		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 6%
					Conditional default rates	4% - 6%
					Loss severity rates	55% - 60%
Corporate and other domestic debt securities	$	1,803		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	41% - 100%
Foreign exchange derivative contracts⁽¹⁾	$	—		Option pricing model	Implied volatility of currency pairs	6% - 9%
Equity derivative contracts⁽¹⁾	$	81		Option pricing model	Equity / Equity Index volatility	7% - 42%
					Equity / Equity and Equity / Index correlation	42% - 80%
					Equity dividend yields	0% - 8%
Credit derivative contracts	$	114		Option pricing model and, where applicable, discounted cash flows	Issuer by issuer correlation of defaults	82% - 83%
					Credit default swap spreads	154bps - 174bps
Other derivative contracts	$	(46	)	Discounted cash flows	Conversion rate	1.6 times
					Expected duration	2 - 4 years
Other asset-backed securities available-for-sale	$	111		Discounted cash flows	Market assumptions related to yields for comparable instruments	1% - 3%
Other assets	$	15		Discounted cash flows	Client transfer rates based on rating	50% - 95%
Domestic deposits (structured deposits)⁽¹⁾⁽²⁾	$	(897	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	6% - 9%
					Equity / Equity Index volatility	7% - 42%
					Equity / Equity and Equity / Index correlation	42% - 80%
Long-term debt (structured notes)⁽¹⁾⁽²⁾	$	(641	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	6% - 9%
					Equity / Equity Index volatility	7% - 42%
					Equity / Equity and Equity / Index correlation	42% - 80%


⁽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, 2018 and December 31, 2017. The gains (losses) during the three and nine months ended September 30, 2018 and 2017 are also included.



	Non-Recurring Fair Value Measurements at September 30, 2018								Total Gains (Losses) For the Three Months Ended September 30, 2018			Total Gains (Losses) For the Nine Months Ended September 30, 2018
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	—	$	2	$	2	$	—		$	—
Consumer loans⁽²⁾	—		13		—		13		(2		)	(4		)
Commercial loans held for sale⁽³⁾	—		36		—		36		2			5
Impaired commercial loans⁽⁴⁾	—		—		36		36		8			109
Real estate owned⁽⁵⁾	—		7		—		7		1			3
Total assets at fair value on a non-recurring basis	$	—	$	56	$	38	$	94	$	9		$	113



	Non-Recurring Fair Value Measurements at December 31, 2017								Total Gains (Losses) For the Three Months Ended September 30, 2017			Total Gains (Losses) For the Nine Months Ended September 30, 2017
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	—	$	2	$	2	$	—		$	7
Consumer loans⁽²⁾	—		21		—		21		(2		)	(10		)
Commercial loans held for sale⁽³⁾	—		62		—		62		4			4
Impaired commercial loans⁽⁴⁾	—		—		289		289		38			87
Real estate owned⁽⁵⁾	—		6		—		6		2			6
Total assets at fair value on a non-recurring basis	$	—	$	89	$	291	$	380	$	42		$	94

⁽¹⁾

At September 30, 2018 and December 31, 2017, the fair value of the loans held for sale was below cost. Certain residential mortgage loans held for sale have been classified as Level 3 fair value measurements within the fair value hierarchy as 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.


⁽³⁾	At September 30, 2018 and December 31, 2017, 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, 2018 and December 31, 2017:



At September 30, 2018
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	2	Third party appraisal valuation based on estimated loss severities, including collateral values	Loss severity rates	30% - 100%
Impaired commercial loans	36		Valuation of third party appraisal on underlying collateral	Loss severity rates	13% - 100%



At December 31, 2017
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	2	Third party appraisal valuation based on estimated loss severities, including collateral values	Loss severity rates	30% - 100%
Impaired commercial loans	289		Valuation of third party appraisal on underlying collateral	Loss severity rates	9% - 61%

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, 2018:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 3		Total
		(in millions)
AAA - A	Student loans	$	92	$	92
BBB - B	Collateralized debt obligations	112		112
CCC - Unrated	Residential mortgages - Subprime	16		16
		$	220	$	220

Available-for-sale securities backed by collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA - A	Home equity - Alt A	$	44	$	—	$	44
	Other	—		48		48
	Total AAA -A	$	44	$	48	$	92
BBB -B	Other	—		57		57
		$	44	$	105	$	149


⁽¹⁾	We utilize Standard and 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.

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments, excluding financial instruments that are carried at fair value on a recurring basis, at September 30, 2018 and December 31, 2017 and their classification within the fair value hierarchy:



September 30, 2018	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	21,662	$	21,662	$	1,336	$	20,306	$	20
Federal funds sold and securities purchased under agreements to resell	4,562		4,562		—		4,562		—
Securities held-to-maturity	14,889		14,445		—		14,445		—
Commercial loans, net of allowance for credit losses	46,725		48,698		—		—		48,698
Commercial loans held for sale	35		35		—		35		—
Consumer loans, net of allowance for credit losses	19,496		18,734		—		—		18,734
Consumer loans held for sale:
Residential mortgages	60		60		—		59		1
Other consumer	55		55		—		—		55
Financial liabilities:
Short-term financial liabilities	$	3,897	$	3,896	$	—	$	3,876	$	20
Deposits:
Without fixed maturities	91,937		91,937		—		91,937		—
Fixed maturities	12,125		12,064		—		12,064		—
Deposits held for sale	48		48		—		48		—
Long-term debt	17,254		17,524		—		17,524		—



December 31, 2017	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	12,304	$	12,304	$	1,115	$	11,157	$	32
Federal funds sold and securities purchased under agreements to resell	32,538		32,538		—		32,538		—
Securities held-to-maturity	13,977		13,902		—		13,902		—
Commercial loans, net of allowance for credit losses	52,427		54,210		—		—		54,210
Commercial loans held for sale	177		177		—		177		—
Consumer loans, net of allowance for credit losses	19,455		18,598		—		—		18,598
Consumer loans held for sale:
Residential mortgages	6		6		—		5		1
Other consumer	61		61		—		—		61
Financial liabilities:
Short-term financial liabilities	$	2,650	$	2,667	$	—	$	2,635	$	32
Deposits:
Without fixed maturities	100,502		100,502		—		100,502		—
Fixed maturities	9,834		9,782		—		9,782		—
Deposits held for sale	673		673		—		673		—
Long-term debt	22,080		22,717		—		22,717		—