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Notes to Consolidated Financial Statements, continued
142
Level 3 Significant Unobservable Input Assumptions
(Dollars in millions)
Fair value
December
31, 2014 Valuation Technique Unobservable Input 1Range
(weighted average)
Assets
Trading assets and derivative
instruments:
Derivative instruments, net 2$20 Internal model Pull through rate 40-100% (75%)
MSR value 39-218 bps (107 bps)
Securities AFS:
U.S. states and political subdivisions 12 Cost N/A
MBS - private 123 Third party pricing N/A
ABS 21 Third party pricing N/A
Corporate and other debt securities 5 Cost N/A
Other equity securities 785 Cost N/A
Residential LHFS 1 Monte Carlo/
Discounted cash
flow
Option adjusted spread 145-225 bps (157 bps)
Conditional prepayment rate 1-30 CPR (15 CPR)
Conditional default rate 0-3 CDR (0.75 CDR)
LHFI 269 Monte Carlo/
Discounted cash
flow
Option adjusted spread 0-450 bps (286 bps)
Conditional prepayment rate 4-30 CPR (14 CPR)
Conditional default rate 0-7 CDR (2 CDR)
3 Collateral based pricing Appraised value NM 4
MSRs 1,206 Monte Carlo/
Discounted cash
flow
Conditional prepayment rate 2-47 CPR (11 CPR)
Option adjusted spread (1)-122% (10%)
Liabilities
Other liabilities 327 Internal model Loan production volume 0-150% (107%)
1 For certain assets and liabilities where the Company utilizes third party pricing, the unobservable inputs and their ranges are not reasonably available to the Company, and
therefore, have been noted as not applicable ("N/A").
2 Represents the net of IRLC assets and liabilities entered into by the Mortgage Banking segment and includes the derivative liability associated with the Company's sale of Visa
shares.
3 Input assumptions relate to the Company's contingent consideration obligations related to acquisitions. See Note 16, "Guarantees," for additional information.
4 Not meaningful.