Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v2.4.0.6
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2012
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Fair value Assets and liabilities measured on Recurring basis

Assets and liabilities carried at fair value on a recurring basis at March 31, 2012 and December 31, 2011, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
 
March 31, 2012
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Netting
Adjustments (2)
 
Assets/Liabilities
at Fair Value
Assets
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell
$

 
$
95,003

 
$

 
$

 
$
95,003

Trading account assets:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
44,083

 
25,581

 

 

 
69,664

Corporate securities, trading loans and other
994

 
32,115

 
6,001

 

 
39,110

Equity securities
24,574

 
8,236

 
525

 

 
33,335

Non-U.S. sovereign debt
40,245

 
11,280

 
546

 

 
52,071

Mortgage trading loans and ABS

 
11,583

 
4,012

 

 
15,595

Total trading account assets
109,896

 
88,795

 
11,084

 

 
209,775

Derivative assets (3)
2,780

 
1,488,433

 
11,315

 
(1,443,477
)
 
59,051

AFS debt securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and agency securities
36,539

 
3,427

 

 

 
39,966

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
175,058

 
33

 

 
175,091

Agency-collateralized mortgage obligations

 
42,355

 

 

 
42,355

Non-agency residential

 
11,441

 
29

 

 
11,470

Non-agency commercial

 
4,861

 
38

 

 
4,899

Non-U.S. securities
3,363

 
3,205

 

 

 
6,568

Corporate/Agency bonds

 
2,290

 
131

 

 
2,421

Other taxable securities
20

 
6,422

 
4,175

 

 
10,617

Tax-exempt securities

 
1,758

 
1,895

 

 
3,653

Total AFS debt securities
39,922

 
250,817

 
6,301

 

 
297,040

Loans and leases

 
6,410

 
2,782

 

 
9,192

Mortgage servicing rights

 

 
7,589

 

 
7,589

Loans held-for-sale

 
4,696

 
2,862

 

 
7,558

Other assets
22,153

 
10,031

 
3,487

 

 
35,671

Total assets
$
174,751

 
$
1,944,185

 
$
45,420

 
$
(1,443,477
)
 
$
720,879

Liabilities
 
 
 
 
 
 
 
 
 
Interest-bearing deposits in U.S. offices
$

 
$
3,191

 
$

 
$

 
$
3,191

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
54,434

 

 

 
54,434

Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
19,789

 
761

 

 

 
20,550

Equity securities
19,571

 
2,080

 

 

 
21,651

Non-U.S. sovereign debt
17,866

 
1,180

 

 

 
19,046

Corporate securities and other
638

 
8,405

 
124

 

 
9,167

Total trading account liabilities
57,864

 
12,426

 
124

 

 
70,414

Derivative liabilities (3)
2,437

 
1,468,536

 
7,128

 
(1,428,929
)
 
49,172

Other short-term borrowings

 
6,395

 

 

 
6,395

Accrued expenses and other liabilities
16,775

 
1,681

 
3

 

 
18,459

Long-term debt

 
48,537

 
2,500

 

 
51,037

Total liabilities
$
77,076

 
$
1,595,200

 
$
9,755

 
$
(1,428,929
)
 
$
253,102

(1) 
During the three months ended March 31, 2012, approximately $1.7 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and approximately $250 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Approximately $640 million of the transfer from Level 1 to Level 2 was due to a restriction that became effective for a private equity investment. The remaining transfers were the result of additional information associated with certain equities, derivative contracts and private equity investments.
(2) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(3) 
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
 
December 31, 2011
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1 (1)
 
Level 2 (1)
 
Level 3
 
Netting
Adjustments (2)
 
Assets/Liabilities
at Fair Value
Assets
 
 
 
 
 
 
 
 
 
Federal funds sold and securities borrowed or purchased under agreements to resell
$

 
$
87,453

 
$

 
$

 
$
87,453

Trading account assets:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
30,540

 
22,073

 

 

 
52,613

Corporate securities, trading loans and other
1,067

 
28,624

 
6,880

 

 
36,571

Equity securities
17,181

 
5,949

 
544

 

 
23,674

Non-U.S. sovereign debt
33,667

 
8,937

 
342

 

 
42,946

Mortgage trading loans and ABS

 
9,826

 
3,689

 

 
13,515

Total trading account assets
82,455

 
75,409

 
11,455

 

 
169,319

Derivative assets (3)
2,186

 
1,865,310

 
14,366

 
(1,808,839
)
 
73,023

AFS debt securities:
 
 
 
 
 
 
 
 
 
U.S. Treasury securities and agency securities
39,389

 
3,475

 

 

 
42,864

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency

 
142,526

 
37

 

 
142,563

Agency-collateralized mortgage obligations

 
44,999

 

 

 
44,999

Non-agency residential

 
13,907

 
860

 

 
14,767

Non-agency commercial

 
5,482

 
40

 

 
5,522

Non-U.S. securities
1,664

 
3,256

 

 

 
4,920

Corporate/Agency bonds

 
2,873

 
162

 

 
3,035

Other taxable securities
20

 
8,593

 
4,265

 

 
12,878

Tax-exempt securities

 
1,955

 
2,648

 

 
4,603

Total AFS debt securities
41,073

 
227,066

 
8,012

 

 
276,151

Loans and leases

 
6,060

 
2,744

 

 
8,804

Mortgage servicing rights

 

 
7,378

 

 
7,378

Loans held-for-sale

 
4,243

 
3,387

 

 
7,630

Other assets
18,963

 
13,886

 
4,235

 

 
37,084

Total assets
$
144,677

 
$
2,279,427

 
$
51,577

 
$
(1,808,839
)
 
$
666,842

Liabilities
 
 
 
 
 
 
 
 
 
Interest-bearing deposits in U.S. offices
$

 
$
3,297

 
$

 
$

 
$
3,297

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
34,235

 

 

 
34,235

Trading account liabilities:
 
 
 
 
 
 
 
 
 
U.S. government and agency securities
19,120

 
1,590

 

 

 
20,710

Equity securities
13,259

 
1,335

 

 

 
14,594

Non-U.S. sovereign debt
16,760

 
680

 

 

 
17,440

Corporate securities and other
829

 
6,821

 
114

 

 
7,764

Total trading account liabilities
49,968

 
10,426

 
114

 

 
60,508

Derivative liabilities (3)
2,055

 
1,850,804

 
8,500

 
(1,801,839
)
 
59,520

Other short-term borrowings

 
6,558

 

 

 
6,558

Accrued expenses and other liabilities
13,832

 
1,897

 
14

 

 
15,743

Long-term debt

 
43,296

 
2,943

 

 
46,239

Total liabilities
$
65,855

 
$
1,950,513

 
$
11,571

 
$
(1,801,839
)
 
$
226,100

(1) 
Gross transfers between Level 1 and Level 2 during 2011 were not significant.
(2) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(3) 
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings
Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2012
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2012
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
March 31
2012
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$
6,880

$
93

$

$
675

$
(1,065
)
$

$
(189
)
$
59

$
(452
)
$
6,001

Equity securities
544

15


79

(109
)

(10
)
8

(2
)
525

Non-U.S. sovereign debt
342

24


273

(81
)



(12
)
546

Mortgage trading loans and ABS
3,689

99


184

(455
)

(89
)
742

(158
)
4,012

Total trading account assets
11,455

231


1,211

(1,710
)

(288
)
809

(624
)
11,084

Net derivative assets (3)
5,866

(837
)

359

(321
)

(634
)
106

(352
)
4,187

AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
Agency
37






(4
)


33

Non-agency residential
860

(69
)
19


(293
)



(488
)
29

Non-agency commercial
40






(2
)


38

Corporate/Agency bonds
162

(2
)

(2
)




(27
)
131

Other taxable securities
4,265

7

17

362



(418
)

(58
)
4,175

Tax-exempt securities
2,648

26

18


(35
)

(762
)


1,895

Total AFS debt securities
8,012

(38
)
54

360

(328
)

(1,186
)

(573
)
6,301

Loans and leases (2, 4)
2,744

164





(117
)

(9
)
2,782

Mortgage servicing rights (4)
7,378

655




77

(521
)


7,589

Loans held-for-sale (2)
3,387

169


4



(97
)
31

(632
)
2,862

Other assets (5)
4,235

(32
)

43

(581
)

(167
)

(11
)
3,487

Trading account liabilities – Corporate securities and other
(114
)


48

(27
)


(65
)
34

(124
)
Accrued expenses and other liabilities (2)
(14
)
3


5





3

(3
)
Long-term debt (2)
(2,943
)
(241
)

76

(33
)
(65
)
433

(532
)
805

(2,500
)
(1) 
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
(2) 
Amounts represent items that are accounted for under the fair value option.
(3) 
Net derivatives include derivative assets of $11.3 billion and derivative liabilities of $7.1 billion.
(4) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.
(5) 
Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.
Level 3 – Fair Value Measurements (1)
 
Three Months Ended March 31, 2011
 
 
 
 
Gross
 
 
 
(Dollars in millions)
Balance
January 1
2011
Gains
(Losses) in
Earnings
Gains
(Losses) in
OCI
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
March 31
2011
Trading account assets:
 
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$
7,751

$
494

$

$
1,550

$
(2,350
)
$

$
(181
)
$
569

$
(255
)
$
7,578

Equity securities
623

43


100

(70
)


39

(1
)
734

Non-U.S. sovereign debt
243

5


48

(4
)



(40
)
252

Mortgage trading loans and ABS
6,908

562


766

(1,086
)

(64
)
1

(390
)
6,697

Total trading account assets
15,525

1,104


2,464

(3,510
)

(245
)
609

(686
)
15,261

Net derivative assets (3)
7,745

438


502

(748
)

(1,670
)
307

(155
)
6,419

AFS debt securities:
 
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
 
Agency
4








(4
)

Agency-collateralized mortgage obligations



56






56

Non-agency residential
1,468

(16
)
(22
)

(237
)

(262
)
272


1,203

Non-agency commercial
19









19

Non-U.S. securities
3








(3
)

Corporate/Agency bonds
137

2

1


(7
)




133

Other taxable securities
13,018

29

57

552

(52
)

(2,582
)
2


11,024

Tax-exempt securities
1,224

(3
)
6


(49
)

(32
)


1,146

Total AFS debt securities
15,873

12

42

608

(345
)

(2,876
)
274

(7
)
13,581

Loans and leases (2, 4)
3,321

172



(109
)
846

(616
)
5


3,619

Mortgage servicing rights (4)
14,900

247




841

(706
)


15,282

Loans held-for-sale (2)
4,140

178


31

(173
)

(123
)
222

(16
)
4,259

Other assets (5)
6,856

122


77

(941
)

(288
)

(1,633
)
4,193

Trading account liabilities – Corporate securities and other
(7
)


7

(102
)




(102
)
Other short-term borrowings (2)
(706
)
(46
)




26



(726
)
Accrued expenses and other liabilities (2)
(828
)
143



(4
)




(689
)
Long-term debt (2)
(2,986
)
(148
)

84


(43
)
239

(637
)
353

(3,138
)
(1) 
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
(2) 
Amounts represent items that are accounted for under the fair value option.
(3) 
Net derivatives include derivative assets of $16.2 billion and derivative liabilities of $9.8 billion.
(4) 
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.
(5) 
Other assets is primarily comprised of AFS marketable equity securities.
Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
The table below summarizes changes in unrealized gains (losses) recorded in earnings during the three months ended March 31, 2012 and 2011 for Level 3 assets and liabilities that were still held at March 31, 2012 and 2011. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.

Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
 
Three Months Ended March 31, 2012
(Dollars in millions)
Equity
Investment
Income
(Loss)
 
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss) (1)
 
Other
Income
(Loss)
 
Total
Trading account assets:
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$

 
$
56

 
$

 
$

 
$
56

Equity securities

 
11

 

 

 
11

Non-U.S. sovereign debt

 
13

 

 

 
13

Mortgage trading loans and ABS

 
53

 

 

 
53

Total trading account assets

 
133

 

 

 
133

Net derivative assets

 
(1,314
)
 
360

 

 
(954
)
Loans and leases (2)

 

 

 
214

 
214

Mortgage servicing rights

 

 
470

 

 
470

Loans held-for-sale (2)

 

 
55

 
23

 
78

Other assets
(19
)
 

 
6

 
(34
)
 
(47
)
Accrued expenses and other liabilities (2)

 

 

 
3

 
3

Long-term debt (2)

 
(129
)
 

 
(102
)
 
(231
)
Total
$
(19
)
 
$
(1,310
)
 
$
891

 
$
104

 
$
(334
)
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2011
Trading account assets:
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$

 
$
402

 
$

 
$

 
$
402

Equity securities

 
19

 

 

 
19

Non-U.S. sovereign debt

 
3

 

 

 
3

Mortgage trading loans and ABS

 
509

 

 

 
509

Total trading account assets

 
933

 

 

 
933

Net derivative assets

 
(290
)
 
428

 

 
138

AFS debt securities:
 
 
 
 
 
 
 
 
 
Non-agency residential MBS

 

 

 
(68
)
 
(68
)
Total AFS debt securities

 

 

 
(68
)
 
(68
)
Loans and leases (2)

 

 

 
169

 
169

Mortgage servicing rights

 

 
(64
)
 

 
(64
)
Loans held-for-sale (2)

 

 
(12
)
 
159

 
147

Other assets
(131
)
 

 

 

 
(131
)
Other short-term borrowings (2)

 

 
(34
)
 

 
(34
)
Accrued expenses and other liabilities (2)

 
(8
)
 

 
108

 
100

Long-term debt (2)

 
(92
)
 

 
(56
)
 
(148
)
Total
$
(131
)
 
$
543

 
$
318

 
$
312

 
$
1,042

(1) 
Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
(2) 
Amounts represent instruments that are accounted for under the fair value option.
Fair Value Inputs, Assets and Liabilities, Quantitative Information
The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at March 31, 2012.

Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)
 
Inputs
Financial Instrument
Fair Value
Significant Unobservable Inputs
Ranges of Inputs
Loans and Securities (1)
 
 
 
Instruments backed by residential real estate assets
$
5,542

Yield
1% to 25%
Trading account assets – Mortgage trading loans and ABS
689

Prepayment speeds
0% to 25% CPR
Loans and leases
2,332

Default rates
0% to 54% CDR
Loans held-for-sale
2,521

Loss severities
0% to 80%
Instruments backed by commercial real estate assets
$
2,449

Yield
1% to 15%
Trading account assets – Mortgage trading loans and ABS
299

Loss severities
0% to 91%
Loans held-for-sale
341

 
 
Other assets
1,809

 
 
Instruments backed by other assets
$
3,089

Yield
1% to 5%
Trading account assets – Mortgage trading loans and ABS
184

 
 
AFS debt securities – Other taxable securities
2,455

 
 
Loans and leases
450

 
 
Corporate loans and debt securities
$
2,773

Yield
2% to 20%
Trading account assets – Corporate securities, trading loans and other
2,773

Enterprise value/EBITDA multiple
3x to 7x
Corporate CLOs and CDOs
$
4,520

Prepayment speed
5% to 25%
Trading account assets – Corporate securities, trading loans and other
1,219

Default rates
1% to 5%
Trading account assets – Mortgage trading loans and ABS
2,840

Loss severity
25% to 40%
AFS debt securities – Other taxable securities
461

Yield
2% to 20%
Auction rate securities
$
5,163

Weighted-average life
5 years
Trading account assets – Corporate securities, trading loans and other
2,009

Discount rate
LIBOR +200 or JJK +150
AFS debt securities – Other taxable securities
1,259

Projected tender price/Re-financing level
50% to 99%
AFS debt securities – Tax-exempt securities
1,895

 
Structured liabilities
 
 
 
Long-term debt
$
(2,500
)
Correlation (Index/Index)
50% to 97%
 
 
Correlation (Stock/Stock)
30% to 80%
 
 
Long-dated volatilities
20% to 70%
(1) 
The total amount of the Level 3 line items that cross multiple categories of loans and securities for which ranges of inputs are provided in the table above is as follows: trading account assets – corporate securities, trading loans and other of $6.0 billion, trading account assets – mortgage trading loans and ABS of $4.0 billion, AFS debt securities – other taxable securities of $4.2 billion, AFS debt securities – tax-exempt securities of $1.9 billion, loans and leases of $2.8 billion, LHFS of $2.9 billion and other assets of $1.8 billion. Such amounts agree to the respective line items in the table on page 194.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
EBITDA = Earnings before interest, taxes, depreciation and amortization
JJK = J.J. Kenny (tax-exempt municipal rate)



Quantitative Information about Level 3 Fair Value Measurements (continued)
(Dollars in millions)
 
Inputs
Financial Instrument
Fair Value
Significant Unobservable Inputs
Ranges of Inputs
Net derivatives assets
 
 
 
Credit default swaps referencing CLOs and corporate assets
$
849

Prepayment speed
5% to 25%
 
 
Default rates
1% to 5%
 
 
Loss severity
25% to 40%
 
 
Yield
2% to 20%
 
 
Credit spreads
100 bps to 500 bps
 
 
Recovery
30% to 50%
Credit default swaps referencing other assets
$
1,072

Upfront points
53 points to 99 points
 
 
Correlation
45% to 70%
 
 
Spread to index
-1,000 bps to 4,000 bps
 
 
Yield
6% to 25%
 
 
Prepayment speed
0% to 25% CPR
 
 
Default rates
0% to 4% CDR
 
 
Loss severity
0% to 65%
Structured credit derivatives
$
2,114

Default correlation
30% to 80%
 
 
Wrong-way correlation
20% to 50%
 
 
Ratings-based spreads
300 bps to 500 bps
Equity derivatives
$
(657
)
Correlation (Index/Index)
50% to 97%
 
 
Correlation (Stock/Stock)
30% to 80%
 
 
Long-dated volatilities
20% to 70%
Commodity derivatives
$
(14
)
Long-term natural gas basis curve
-$0.53 to $0.22
Interest rate derivatives
$
823

Correlation (IR/IR)
46% to 98%
 
 
Correlation (FX/IR)
-65% to 50%
 
 
Long-dated inflation rates
2% to 3%
 
 
Long-dated inflation volatilities
1% to 2%
 
 
Long-dated volatilities (IR, FX)
4% to 45%
 
 
Long-dated swap rates
11% to 12%
Total net derivative assets
$
4,187

 
 
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
IR = Interest Rate
FX = Foreign Exchange
Assets and Liabilities Measured at Fair Value on Nonrecurring Basis
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
 
March 31, 2012
 
Three Months Ended March 31, 2012
(Dollars in millions)
Level 2
 
Level 3
 
Gains (Losses)
Assets
 
 
 
 
 
Loans held-for-sale
$
3,465

 
$
857

 
$
68

Loans and leases (1)
21

 
5,813

 
(1,497
)
Foreclosed properties (2)

 
2,149

 
(90
)
Other assets

 
14

 

 
 
 
 
 
 
 
March 31, 2011
 
Three Months Ended March 31, 2011
(Dollars in millions)
Level 2
 
Level 3
 
Gains (Losses)
Assets
 
 
 
 
 
Loans held-for-sale
$
587

 
$
5,043

 
$
38

Loans and leases (1)
22

 
7,598

 
(1,609
)
Foreclosed properties (2)

 
2,028

 
(72
)
Other assets

 
91

 
(4
)
(1) 
Gains (losses) represent charge-offs on real estate-secured loans.
(2) 
Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value and related losses on foreclosed properties that were written down subsequent to their initial classification as foreclosed properties.
Fair Value Inputs, Assets, Quantitative Information
The table below presents information about significant unobservable inputs related to the Corporation's nonrecurring Level 3 financial assets and liabilities at March 31, 2012.

Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
(Dollars in millions)
 
Inputs
Financial Instrument
Fair Value
Significant Unobservable Inputs
Ranges of Inputs
Instruments backed by residential real estate assets
$
6,537

Yield
4% to 7%
Loans held-for-sale
724

Prepayment speeds
3% to 24%
Loans and leases
5,813

Default rates
0% to 59%
 
 
Loss severities
0% to 60%
 
 
OREO discount
1% to 28%
 
 
Cost to sell
8%
Instruments backed by commercial real estate assets
$
133

Yield
4% to 15%
Loans held-for-sale
133

Loss severities
0% to 91%

Fair Value, Inputs, Level 3 [Member]
 
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]  
Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
 
Three Months Ended March 31, 2012
(Dollars in millions)
Equity
Investment
Income
(Loss)
 
Trading
Account
Profits
(Losses)
 
Mortgage
Banking
Income
(Loss) (1)
 
Other
Income
(Loss)
 
Total
Trading account assets:
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$

 
$
93

 
$

 
$

 
$
93

Equity securities

 
15

 

 

 
15

Non-U.S. sovereign debt

 
24

 

 

 
24

Mortgage trading loans and ABS

 
99

 

 

 
99

Total trading account assets

 
231

 

 

 
231

Net derivative assets

 
(1,373
)
 
536

 

 
(837
)
AFS debt securities:
 
 
 
 
 
 
 
 
 
Non-agency residential MBS

 

 

 
(69
)
 
(69
)
Corporate/Agency bonds

 

 

 
(2
)
 
(2
)
Other taxable securities

 

 

 
7

 
7

Tax-exempt securities

 

 

 
26

 
26

Total AFS debt securities

 

 

 
(38
)
 
(38
)
Loans and leases (2)

 

 

 
164

 
164

Mortgage servicing rights

 

 
655

 

 
655

Loans held-for-sale (2)

 

 
90

 
79

 
169

Other assets
10

 

 
(8
)
 
(34
)
 
(32
)
Accrued expenses and other liabilities (2)

 

 

 
3

 
3

Long-term debt (2)

 
(139
)
 

 
(102
)
 
(241
)
Total
$
10

 
$
(1,281
)
 
$
1,273

 
$
72

 
$
74

 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2011
Trading account assets:
 
 
 
 
 
 
 
 
 
Corporate securities, trading loans and other (2)
$

 
$
494

 
$

 
$

 
$
494

Equity securities

 
43

 

 

 
43

Non-U.S. sovereign debt

 
5

 

 

 
5

Mortgage trading loans and ABS

 
562

 

 

 
562

Total trading account assets

 
1,104

 

 

 
1,104

Net derivative assets

 
(459
)
 
897

 

 
438

AFS debt securities:
 
 
 
 
 
 
 
 
 
Non-agency residential MBS

 

 

 
(16
)
 
(16
)
Corporate/Agency bonds

 

 

 
2

 
2

Other taxable securities

 
12

 

 
17

 
29

Tax-exempt securities

 
(3
)
 

 

 
(3
)
Total AFS debt securities

 
9

 

 
3

 
12

Loans and leases (2)

 

 

 
172

 
172

Mortgage servicing rights

 

 
247

 

 
247

Loans held-for-sale (2)

 

 
2

 
176

 
178

Other assets
122

 

 

 

 
122

Other short-term borrowings (2)

 

 
(46
)
 

 
(46
)
Accrued expenses and other liabilities (2)

 
(8
)
 

 
151

 
143

Long-term debt (2)

 
(92
)
 

 
(56
)
 
(148
)
Total
$
122

 
$
554

 
$
1,100

 
$
446

 
$
2,222

(1) 
Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
(2) 
Amounts represent instruments that are accounted for under the fair value option.