Bank of America Corporation Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2011

Fair Value Measurements [Abstract]

Fair value Assets and liabilities measured on Recurring basis

June 30, 2011

Fair Value Measurements

Netting

Assets/Liabilities

(Dollars in millions)

Level 1 ⁽¹⁾

Level 2 ⁽¹⁾

Level 3

Adjustments ⁽²⁾

at Fair Value

Assets

Federal funds sold and securities borrowed or purchased under agreements to resell

95,115

Trading account assets:

U.S. government and agency securities

26,141

19,827

45,968

Corporate securities, trading loans and other

1,165

40,692

7,452

49,309

Equity securities

28,057

9,082

662

37,801

Non-U.S. sovereign debt

35,309

11,023

391

46,723

Mortgage trading loans and ABS

11,619

5,519

17,138

Total trading account assets

90,672

92,243

14,024

196,939

Derivative assets ⁽³⁾

3,262

1,410,699

15,214

(1,362,577

)

66,598

AFS debt securities:

U.S. Treasury securities and agency securities

46,402

2,867

49,269

Mortgage-backed securities:

Agency

181,616

Agency-collateralized mortgage obligations

49,056

49,111

Non-agency residential

18,481

1,094

19,575

Non-agency commercial

6,700

6,718

Non-U.S. securities

2,114

2,158

4,360

Corporate/Agency bonds

4,314

224

4,538

Other taxable securities

1,629

10,374

12,023

Tax-exempt securities

2,052

1,609

3,661

Total AFS debt securities

48,536

268,873

13,462

330,871

Loans and leases

9,597

Mortgage servicing rights

12,372

Loans held-for-sale

11,131

4,012

15,143

Other assets

29,988

31,670

4,495

66,153

Total assets

172,458

1,909,731

73,176

(1,362,577

)

792,788

Liabilities

Interest-bearing deposits in U.S. offices

3,334

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

42,453

Trading account liabilities:

U.S. government and agency securities

22,164

3,388

25,552

Equity securities

12,993

3,431

16,424

Non-U.S. sovereign debt

19,659

2,403

22,062

Corporate securities and other

277

10,611

10,951

Total trading account liabilities

55,093

19,833

74,989

Derivative liabilities ⁽³⁾

2,445

1,388,183

9,796

(1,346,010

)

54,414

Commercial paper and other short-term borrowings

4,121

744

4,865

Accrued expenses and other liabilities

23,157

1,464

777

25,398

Long-term debt

57,413

3,324

60,737

Total liabilities

80,695

1,516,801

14,704

(1,346,010

)

266,190


⁽¹⁾		Gross transfers between Level 1 and Level 2 were approximately $400 million during the six months ended June 30, 2011.

⁽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 4 – Derivatives.


	December 31, 2010
	Fair Value Measurements
							Netting			Assets/Liabilities
(Dollars in millions)	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Adjustments ⁽²⁾			at Fair Value

Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	-	$	78,599	$	-	$	-		$	78,599
Trading account assets:
U.S. government and agency securities ⁽³⁾		28,237		32,574		-		-			60,811
Corporate securities, trading loans and other		732		40,869		7,751		-			49,352
Equity securities		23,249		8,257		623		-			32,129
Non-U.S. sovereign debt		24,934		8,346		243		-			33,523
Mortgage trading loans and ABS		-		11,948		6,908		-			18,856

Total trading account assets		77,152		101,994		15,525		-			194,671
Derivative assets ⁽⁴⁾		2,627		1,516,244		18,773		(1,464,644	)		73,000
AFS debt securities:
U.S. Treasury securities and agency securities		46,003		3,102		-		-			49,105
Mortgage-backed securities:
Agency		-		191,213		4		-			191,217
Agency-collateralized mortgage obligations		-		37,017		-		-			37,017
Non-agency residential		-		21,649		1,468		-			23,117
Non-agency commercial		-		6,833		19		-			6,852
Non-U.S. securities		1,440		2,696		3		-			4,139
Corporate/Agency bonds		-		5,154		137		-			5,291
Other taxable securities		20		2,354		13,018		-			15,392
Tax-exempt securities		-		4,273		1,224		-			5,497

Total AFS debt securities		47,463		274,291		15,873		-			337,627
Loans and leases		-		-		3,321		-			3,321
Mortgage servicing rights		-		-		14,900		-			14,900
Loans held-for-sale		-		21,802		4,140		-			25,942
Other assets		32,624		31,051		6,856		-			70,531

Total assets	$	159,866	$	2,023,981	$	79,388	$	(1,464,644	)	$	798,591

Liabilities
Interest-bearing deposits in U.S. offices	$	-	$	2,732	$	-	$	-		$	2,732
Federal funds purchased and securities loaned or sold under agreements to repurchase		-		37,424		-		-			37,424
Trading account liabilities:
U.S. government and agency securities		23,357		5,983		-		-			29,340
Equity securities		14,568		914		-		-			15,482
Non-U.S. sovereign debt		14,748		1,065		-		-			15,813
Corporate securities and other		224		11,119		7		-			11,350

Total trading account liabilities		52,897		19,081		7		-			71,985
Derivative liabilities ⁽⁴⁾		1,799		1,492,963		11,028		(1,449,876	)		55,914
Commercial paper and other short-term borrowings		-		6,472		706		-			7,178
Accrued expenses and other liabilities		31,470		931		828		-			33,229
Long-term debt		-		47,998		2,986		-			50,984

Total liabilities	$	86,166	$	1,607,601	$	15,555	$	(1,449,876	)	$	259,446


⁽¹⁾		Gross transfers between Level 1 and Level 2 were approximately $1.3 billion during the year ended December 31, 2010.

⁽²⁾		Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.

⁽³⁾		Certain prior period amounts have been reclassified to conform to current period presentation.

⁽⁴⁾		For further disaggregation of derivative assets and liabilities, see Note 4 – Derivatives.

Reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3)


*Level 3 – Fair Value Measurements*
	Three Months Ended June 30, 2011
						Gains			Gains														Gross			Gross
	Balance					(Losses)			(Losses)														Transfers			Transfers			Balance
	April 1			Consolidation		Included in			Included in			Gross											into			out of			June 30
(Dollars in millions)	2011 ⁽¹⁾			of VIEs		Earnings			OCI			Purchases		Sales			Issuances			Settlements			Level 3 ⁽¹⁾			Level 3 ⁽¹⁾			2011 ⁽¹⁾

Trading account assets:
Corporate securities, trading loans and other	$	7,578		$	-	$	181		$	-		$	2,030	$	(2,187	)	$	-		$	(338	)	$	246		$	(58	)	$	7,452
Equity securities		734			-		24			-			75		(136	)		-			(115	)		81			(1	)		662
Non-U.S. sovereign debt		252			-		80			-			74		(11	)		-			(3	)		3			(4	)		391
Mortgage trading loans and ABS		6,697			-		80			-			1,066		(2,160	)		-			(164	)		-			-			5,519

Total trading account assets		15,261			-		365			-			3,245		(4,494	)		-			(620	)		330			(63	)		14,024
Net derivative assets ⁽²⁾		6,419			-		1,807			-			384		(512	)		-			(2,390	)		33			(323	)		5,418
AFS debt securities:
Mortgage-backed securities:
Agency-collateralized mortgage obligations		56			-		-			-			-		-			-			(1	)		-			-			55
Non-agency residential		1,203			-		(29	)		(6	)		2		(53	)		-			(27	)		4			-			1,094
Non-agency commercial		19			-		-			-			-		-			-			(1	)		-			-			18
Non-U.S. securities		-			-		-			-			-		-			-			-			88			-			88
Corporate/Agency bonds		133			-		-			(2	)		86		-			-			-			7			-			224
Other taxable securities		11,024			-		23			5			898		(1	)		-			(1,573	)		-			(2	)		10,374
Tax-exempt securities		1,146			-		9			(39	)		683		(23	)		-			(205	)		38			-			1,609

Total AFS debt securities		13,581			-		3			(42	)		1,669		(77	)		-			(1,807	)		137			(2	)		13,462
Loans and leases ^{(3, 4)}		3,619			5,194		37			-			21		(267	)		1,821			(828	)		-			-			9,597
Mortgage servicing rights ⁽⁴⁾		15,282			-		(2,447	)		-			-		(234	)		410			(639	)		-			-			12,372
Loans held-for-sale ⁽³⁾		4,259			-		7			-			92		(70	)		-			(469	)		219			(26	)		4,012
Other assets ⁽⁵⁾		4,193			-		180			-			95		(243	)		-			(105	)		375			-			4,495
Trading account liabilities – Corporate securities and other		(102	)		-		-			-			69		(30	)		-			-			-			-			(63	)
Commercial paper and other short-term borrowings ⁽³⁾		(726	)		-		(36	)		-			-		-			-			18			-			-			(744	)
Accrued expenses and other liabilities ⁽³⁾		(689	)		-		(79	)		-			-		-			(9	)		-			-			-			(777	)
Long-term debt ⁽³⁾		(3,138	)		-		5			-			131		(55	)		(206	)		149			(393	)		183			(3,324	)


⁽¹⁾		Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.

⁽²⁾		Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion.

⁽³⁾		Amounts represent items which are accounted for under the fair value option.

⁽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 – Fair Value Measurements*
	Three Months Ended June 30, 2010
				Gains			Gains			Purchases,			Gross			Gross
	Balance			(Losses)			(Losses)			Sales,			Transfers			Transfers			Balance
	April 1			Included in			Included in			Issuances and			into			out of			June 30
(Dollars in millions)	2010 ⁽¹⁾			Earnings			OCI			Settlements			Level 3 ⁽¹⁾			Level 3 ⁽¹⁾			2010 ⁽¹⁾

Trading account assets:
Corporate securities, trading loans and other	$	10,646		$	(52	)	$	-		$	(854	)	$	715		$	(582	)	$	9,873
Equity securities		721			(39	)		-			4			41			(1	)		726
Non-U.S. sovereign debt		1,064			(73	)		-			(52	)		16			(3	)		952
Mortgage trading loans and ABS		7,832			182			-			(640	)		367			(233	)		7,508

Total trading account assets		20,263			18			-			(1,542	)		1,139			(819	)		19,059
Net derivative assets ⁽²⁾		8,597			3,588			-			(2,555	)		(520	)		292			9,402
AFS debt securities:
Non-agency MBS:
Residential		5,376			(282	)		65			(3,594	)		599			(188	)		1,976
Commercial		138			-			-			-			-			(88	)		50
Non-U.S. securities		284			(3	)		(79	)		(25	)		56			-			233
Corporate/Agency bonds		639			-			14			(341	)		11			(19	)		304
Other taxable securities		16,192			28			(56	)		(2,702	)		439			(1	)		13,900
Tax-exempt securities		1,430			(48	)		(17	)		(69	)		-			(59	)		1,237

Total AFS debt securities		24,059			(305	)		(73	)		(6,731	)		1,105			(355	)		17,700
Loans and leases ⁽³⁾		4,007			(256	)		-			147			-			-			3,898
Mortgage servicing rights		18,842			(3,998	)		-			(99	)		-			-			14,745
Loans held-for-sale ⁽³⁾		5,984			131			-			(371	)		237			-			5,981
Other assets ⁽⁴⁾		7,774			998			-			(1,050	)		-			(20	)		7,702
Trading account liabilities:
Non-U.S. sovereign debt		(369	)		2			-			(9	)		-			369			(7	)
Corporate securities and other		(30	)		(5	)		-			8			(46	)		-			(73	)

Total trading account liabilities		(399	)		(3	)		-			(1	)		(46	)		369			(80	)
Commercial paper and other short-term borrowings ⁽³⁾		(696	)		(30	)		-			26			-			-			(700	)
Accrued expenses and other liabilities ⁽³⁾		(694	)		(23	)		-			(201	)		-			-			(918	)
Long-term debt ⁽³⁾		(4,560	)		586			-			188			(560	)		256			(4,090	)


⁽¹⁾		Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.

⁽²⁾		Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion.

⁽³⁾		Amounts represent instruments which are accounted for under the fair value option.

⁽⁴⁾		Other assets is primarily comprised of AFS marketable equity securities.


*Level 3 – Fair Value Measurements*
	Six Months Ended June 30, 2011
						Gains			Gains														Gross			Gross
	Balance					(Losses)			(Losses)														Transfers			Transfers			Balance
	January 1			Consolidation		Included in			Included in			Gross											into			out of			June 30
(Dollars in millions)	2011 ⁽¹⁾			of VIEs		Earnings			OCI			Purchases		Sales			Issuances			Settlements			Level 3 ⁽¹⁾			Level 3 ⁽¹⁾			2011 ⁽¹⁾

Trading account assets:
Corporate securities, trading loans and other	$	7,751		$	-	$	675		$	-		$	3,580	$	(4,537	)	$	-		$	(519	)	$	815		$	(313	)	$	7,452
Equity securities		623			-		67			-			175		(206	)		-			(115	)		120			(2	)		662
Non-U.S. sovereign debt		243			-		85			-			122		(15	)		-			(3	)		3			(44	)		391
Mortgage trading loans and ABS		6,908			-		642			-			1,832		(3,246	)		-			(228	)		1			(390	)		5,519

Total trading account assets		15,525			-		1,469			-			5,709		(8,004	)		-			(865	)		939			(749	)		14,024
Net derivative assets ⁽²⁾		7,745			-		2,245			-			886		(1,260	)		-			(4,060	)		340			(478	)		5,418
AFS debt securities:
Mortgage-backed securities:
Agency		4			-		-			-			-		-			-			-			-			(4	)		-
Agency-collateralized mortgage obligations		-			-		-			-			56		-			-			(1	)		-			-			55
Non-agency residential		1,468			-		(45	)		(28	)		2		(290	)		-			(289	)		276			-			1,094
Non-agency commercial		19			-		-			-			-		-			-			(1	)		-			-			18
Non-U.S. securities		3			-		-			-			-		-			-			-			88			(3	)		88
Corporate/Agency bonds		137			-		2			(1	)		86		(7	)		-			-			7			-			224
Other taxable securities		13,018			-		52			62			1,450		(53	)		-			(4,155	)		2			(2	)		10,374
Tax-exempt securities		1,224			-		6			(33	)		683		(72	)		-			(237	)		38			-			1,609

Total AFS debt securities		15,873			-		15			-			2,277		(422	)		-			(4,683	)		411			(9	)		13,462
Loans and leases ^{(3, 4)}		3,321			5,194		209			-			21		(376	)		2,667			(1,444	)		5			-			9,597
Mortgage servicing rights ⁽⁴⁾		14,900			-		(2,200	)		-			-		(234	)		1,251			(1,345	)		-			-			12,372
Loans held-for-sale ⁽³⁾		4,140			-		185			-			123		(243	)		-			(592	)		441			(42	)		4,012
Other assets ⁽⁵⁾		6,856			-		302			-			172		(1,184	)		-			(393	)		375			(1,633	)		4,495
Trading account liabilities – Corporate securities and other		(7	)		-		-			-			76		(132	)		-			-			-			-			(63	)
Commercial paper and other short-term borrowings ⁽³⁾		(706	)		-		(82	)		-			-		-			-			44			-			-			(744	)
Accrued expenses and other liabilities ⁽³⁾		(828	)		-		64			-			-		(4	)		(9	)		-			-			-			(777	)
Long-term debt ⁽³⁾		(2,986	)		-		(143	)		-			215		(55	)		(249	)		388			(1,030	)		536			(3,324	)


⁽¹⁾		Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.

⁽²⁾		Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion.

⁽³⁾		Amounts represent items which are accounted for under the fair value option.

⁽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 – Fair Value Measurements*
	Six Months Ended June 30, 2010
							Gains			Gains			Purchases,			Gross			Gross
	Balance						(Losses)			(Losses)			Sales,			Transfers			Transfers			Balance
	January 1			Consolidation			Included in			Included in			Issuances and			into			out of			June 30
(Dollars in millions)	2010 ⁽¹⁾			of VIEs			Earnings			OCI			Settlements			Level 3 ⁽¹⁾			Level 3 ⁽¹⁾			2010 ⁽¹⁾

Trading account assets:
Corporate securities, trading loans and other	$	11,080		$	117		$	354		$	-		$	(2,798	)	$	2,189		$	(1,069	)	$	9,873
Equity securities		1,084			-			(33	)		-			(326	)		75			(74	)		726
Non-U.S. sovereign debt		1,143			-			(155	)		-			(80	)		103			(59	)		952
Mortgage trading loans and ABS		7,770			175			157			-			(586	)		389			(397	)		7,508

Total trading account assets		21,077			292			323			-			(3,790	)		2,756			(1,599	)		19,059
Net derivative assets ⁽²⁾		7,863			-			4,991			-			(4,451	)		768			231			9,402
AFS debt securities:
Non-agency MBS:
Residential		7,216			(96	)		(515	)		(310	)		(5,829	)		1,698			(188	)		1,976
Commercial		258			-			(13	)		(31	)		(128	)		52			(88	)		50
Non-U.S. securities		468			-			(124	)		(89	)		(78	)		56			-			233
Corporate/Agency bonds		927			-			(3	)		35			(666	)		30			(19	)		304
Other taxable securities		9,854			5,812			19			(119	)		(2,742	)		1,119			(43	)		13,900
Tax-exempt securities		1,623			-			(25	)		(9	)		(561	)		316			(107	)		1,237

Total AFS debt securities		20,346			5,716			(661	)		(523	)		(10,004	)		3,271			(445	)		17,700
Loans and leases ⁽³⁾		4,936			-			(140	)		-			(898	)		-			-			3,898
Mortgage servicing rights		19,465			-			(4,696	)		-			(24	)		-			-			14,745
Loans held-for-sale ⁽³⁾		6,942			-			67			-			(1,427	)		399			-			5,981
Other assets ⁽⁴⁾		7,821			-			1,537			-			(1,421	)		-			(235	)		7,702
Trading account liabilities:
Non-U.S. sovereign debt		(386	)		-			23			-			(24	)		-			380			(7	)
Corporate securities and other		(10	)		-			(5	)		-			(9	)		(52	)		3			(73	)

Total trading account liabilities		(396	)		-			18			-			(33	)		(52	)		383			(80	)
Commercial paper and other short-term borrowings ⁽³⁾		(707	)		-			(41	)		-			48			-			-			(700	)
Accrued expenses and other liabilities ⁽³⁾		(891	)		-			50			-			(77	)		-			-			(918	)
Long-term debt ⁽³⁾		(4,660	)		-			788			-			(264	)		(897	)		943			(4,090	)


⁽¹⁾		Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.

⁽²⁾		Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion.

⁽³⁾		Amounts represent instruments which are accounted for under the fair value option.

⁽⁴⁾		Other assets is primarily comprised of AFS marketable equity securities.

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 June 30, 2011
	Equity		Trading			Mortgage
	Investment		Account			Banking			Other
	Income		Profits			Income			Income
(Dollars in millions)	(Loss)		(Losses)			(Loss) ⁽¹⁾			(Loss)			Total

Trading account assets:
Corporate securities, trading loans and other	$	-	$	181		$	-		$	-		$	181
Equity securities		-		24			-			-			24
Non-U.S. sovereign debt		-		80			-			-			80
Mortgage trading loans and ABS		-		80			-			-			80

Total trading account assets		-		365			-			-			365
Net derivative assets		-		556			1,251			-			1,807
AFS debt securities:
Non-agency residential MBS		-		-			-			(29	)		(29	)
Other taxable securities		-		-			-			23			23
Tax-exempt securities		-		-			-			9			9

Total AFS debt securities		-		-			-			3			3
Loans and leases ⁽²⁾		-		-			(13	)		50			37
Mortgage servicing rights		-		-			(2,447	)		-			(2,447	)
Loans held-for-sale ⁽²⁾		-		-			(13	)		20			7
Other assets		192		-			(12	)		-			180
Commercial paper and other short-term borrowings ⁽²⁾		-		-			(36	)		-			(36	)
Accrued expenses and other liabilities ⁽²⁾		-		(2	)		74			(151	)		(79	)
Long-term debt ⁽²⁾		-		(10	)		-			15			5

Total	$	192	$	909		$	(1,196	)	$	(63	)	$	(158	)


	Three Months Ended June 30, 2010

Trading account assets:
Corporate securities, trading loans and other	$	-	$	(52	)	$	-		$	-		$	(52	)
Equity securities		-		(39	)		-			-			(39	)
Non-U.S. sovereign debt		-		(73	)		-			-			(73	)
Mortgage trading loans and ABS		-		182			-			-			182

Total trading account assets		-		18			-			-			18
Net derivative assets		-		193			3,395			-			3,588
AFS debt securities:
Non-agency residential MBS		-		-			-			(282	)		(282	)
Non-U.S. securities		-		-			-			(3	)		(3	)
Other taxable securities		-		-			-			28			28
Tax-exempt securities		-		-			-			(48	)		(48	)

Total AFS debt securities		-		-			-			(305	)		(305	)
Loans and leases ⁽²⁾		-		-			-			(256	)		(256	)
Mortgage servicing rights		-		-			(3,998	)		-			(3,998	)
Loans held-for-sale ⁽²⁾		-		-			44			87			131
Other assets		1,033		-			(35	)		-			998
Trading account liabilities:
Non-U.S. sovereign debt		-		2			-			-			2
Corporate securities and other		-		(5	)		-			-			(5	)

Total trading account liabilities		-		(3	)		-			-			(3	)
Commercial paper and other short-term borrowings ⁽²⁾		-		-			(30	)		-			(30	)
Accrued expenses and other liabilities ⁽²⁾		-		(12	)		-			(11	)		(23	)
Long-term debt ⁽²⁾		-		472			-			114			586

Total	$	1,033	$	668		$	(624	)	$	(371	)	$	706


⁽¹⁾		Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.

⁽²⁾		Amounts represent instruments which are accounted for under the fair value option.


*Level 3– Total Realized and Unrealized Gains (Losses) Included in Earnings*
	Six Months Ended June 30, 2011
	Equity		Trading			Mortgage
	Investment		Account			Banking			Other
	Income		Profits			Income			Income
(Dollars in millions)	(Loss)		(Losses)			(Loss) ⁽¹⁾			(Loss)			Total

Trading account assets:
Corporate securities, trading loans and other	$	-	$	675		$	-		$	-		$	675
Equity securities		-		67			-			-			67
Non-U.S. sovereign debt		-		85			-			-			85
Mortgage trading loans and ABS		-		642			-			-			642

Total trading account assets		-		1,469			-			-			1,469
Net derivative assets		-		97			2,148			-			2,245
AFS debt securities:
Non-agency residential MBS		-		-			-			(45	)		(45	)
Corporate/Agency bonds		-		-			-			2			2
Other taxable securities		-		12			-			40			52
Tax-exempt securities		-		(3	)		-			9			6

Total AFS debt securities		-		9			-			6			15
Loans and leases ⁽²⁾		-		-			(13	)		222			209
Mortgage servicing rights		-		-			(2,200	)		-			(2,200	)
Loans held-for-sale ⁽²⁾		-		-			(11	)		196			185
Other assets		314		-			(12	)		-			302
Commercial paper and other short-term borrowings ⁽²⁾		-		-			(82	)		-			(82	)
Accrued expenses and other liabilities ⁽²⁾		-		(10	)		74			-			64
Long-term debt ⁽²⁾		-		(102	)		-			(41	)		(143	)

Total	$	314	$	1,463		$	(96	)	$	383		$	2,064


	Six Months Ended June 30, 2010

Trading account assets:
Corporate securities, trading loans and other	$	-	$	354		$	-		$	-		$	354
Equity securities		-		(33	)		-			-			(33	)
Non-U.S. sovereign debt		-		(155	)		-			-			(155	)
Mortgage trading loans and ABS		-		157			-			-			157

Total trading account assets		-		323			-			-			323
Net derivative assets		-		(334	)		5,325			-			4,991
AFS debt securities:
Non-agency MBS:
Residential		-		-			(13	)		(502	)		(515	)
Commercial		-		-			-			(13	)		(13	)
Non-U.S. securities		-		-			-			(124	)		(124	)
Corporate/Agency bonds		-		-			-			(3	)		(3	)
Other taxable securities		-		-			-			19			19
Tax-exempt securities		-		23			-			(48	)		(25	)

Total AFS debt securities		-		23			(13	)		(671	)		(661	)
Loans and leases ⁽²⁾		-		-			-			(140	)		(140	)
Mortgage servicing rights		-		-			(4,696	)		-			(4,696	)
Loans held-for-sale ⁽²⁾		-		-			59			8			67
Other assets		1,569		-			(32	)		-			1,537
Trading account liabilities:
Non-U.S. sovereign debt		-		23			-			-			23
Corporate securities and other		-		(5	)		-			-			(5	)

Total trading account liabilities		-		18			-			-			18
Commercial paper and other short-term borrowings ⁽²⁾		-		-			(41	)		-			(41	)
Accrued expenses and other liabilities ⁽²⁾		-		(10	)		-			60			50
Long-term debt ⁽²⁾		-		595			-			193			788

Total	$	1,569	$	615		$	602		$	(550	)	$	2,236


⁽¹⁾		Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.

⁽²⁾		Amounts represent instruments which 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

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

June 30, 2011

Gains (Losses)

Three Months Ended

Six Months Ended

(Dollars in millions)

Level 2

Level 3

June 30, 2011

Assets

Loans held-for-sale

1,049

1,779

(12

)

Loans and leases ⁽¹⁾

9,437

(1,679

)

(3,097

)

Foreclosed properties ⁽²⁾

2,405

(75

)

(147

)

Other assets

(19

)

(23

)


	June 30, 2010				Gains (Losses)
					Three Months Ended			Six Months Ended
(Dollars in millions)	Level 2		Level 3		June 30, 2010			June 30, 2010

Assets
Loans held-for-sale	$	1,501	$	8,070	$	307		$	123
Loans and leases ⁽¹⁾		45		10,817		(1,736	)		(3,921	)
Foreclosed properties ⁽²⁾		10		1,251		(59	)		(113	)
Other assets		4		16		(3	)		(3	)


⁽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.

Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis

Fair Value Option Elections

June 30, 2011

December 31, 2010

Fair Value

Fair Value

Carrying

Carrying

Fair Value

Contractual

Amount

Fair Value

Contractual

Amount

Carrying

Principal

Less Unpaid

Carrying

Principal

Less Unpaid

(Dollars in millions)

Amount

Outstanding

Principal

Amount

Outstanding

Principal

Corporate loans

9,597

14,039

(4,442

)

3,269

3,638

(369

)

Loans held-for-sale

15,143

17,262

(2,119

)

25,942

28,370

(2,428

)

Securities financing agreements

137,568

137,196

372

116,023

115,053

970

Other assets

237

n/a

310

n/a

Long-term deposits

3,334

3,187

147

2,732

2,692

Asset-backed secured financings

744

1,313

(569

)

706

1,356

(650

)

Unfunded loan commitments

773

n/a

866

n/a

Commercial paper and other short-term borrowings

4,121

6,472

Long-term debt

60,737

67,119

(6,382

)

50,984

54,656

(3,672

)

n/a = not applicable

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

+ References + Details

- Definition

Tabular disclosure of assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

+ References + Details