Fair Value Measurements

v2.4.0.6

Fair Value Measurements	12 Months Ended
	Dec. 31, 2011
Fair Value Disclosures [Abstract]
Fair Value Measurements	Fair Value Measurements Under applicable accounting guidance, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments based on the fair value hierarchy established under applicable accounting guidance which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. There are three levels of inputs used to measure fair value. For more information regarding the fair value hierarchy and how the Corporation measures fair value, see Note 1 – Summary of Significant Accounting Principles. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 23 – Fair Value Option. Level 1, 2 and 3 Valuation Techniques Financial instruments are considered Level 1 when the valuation is based on quoted prices in active markets for identical assets or liabilities. Level 2 financial instruments are valued using quoted prices for similar assets or liabilities, quoted prices in markets that are not active, or models using inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques, and at least one significant model assumption or input is unobservable and when determination of the fair value requires significant management judgment or estimation. Trading Account Assets and Liabilities and Available-for-Sale Debt Securities The fair values of trading account assets and liabilities are primarily based on actively traded markets where prices are based on either direct market quotes or observed transactions. The fair values of AFS debt securities are generally based on quoted market prices or market prices for similar assets. Liquidity is a significant factor in the determination of the fair values of trading account assets and liabilities and AFS debt securities. Market price quotes may not be readily available for some positions, or positions within a market sector where trading activity has slowed significantly or ceased. Some of these instruments are valued using a discounted cash flow model, which estimates the fair value of the securities using internal credit risk, interest rate and prepayment risk models that incorporate management’s best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Principal and interest cash flows are discounted using an observable discount rate for similar instruments with adjustments that management believes a market participant would consider in determining fair value for the specific security. Other instruments are valued using a net asset value approach which considers the value of the underlying securities. Underlying assets are valued using external pricing services, where available, or matrix pricing based on the vintages and ratings. Situations of illiquidity generally are triggered by the market’s perception of credit uncertainty regarding a single company or a specific market sector. In these instances, fair value is determined based on limited available market information and other factors, principally from reviewing the issuer’s financial statements and changes in credit ratings made by one or more rating agencies. Derivative Assets and Liabilities The fair values of derivative assets and liabilities traded in the OTC market are determined using quantitative models that utilize multiple market inputs including interest rates, prices and indices to generate continuous yield or pricing curves and volatility factors to value the position. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. When third-party pricing services are used, the methods and assumptions used are reviewed by the Corporation. Estimation risk is greater for derivative asset and liability positions that are either option-based or have longer maturity dates where observable market inputs are less readily available, or are unobservable, in which case, quantitative-based extrapolations of rate, price or index scenarios are used in determining fair values. The fair values of derivative assets and liabilities include adjustments for market liquidity, counterparty credit quality and other instrument-specific factors, where appropriate. In addition, the Corporation incorporates within its fair value measurements of OTC derivatives a valuation adjustment to reflect the credit risk associated with the net position. Positions are netted by counterparty, and fair value for net long exposures is adjusted for counterparty credit risk while the fair value for net short exposures is adjusted for the Corporation’s own credit risk. An estimate of severity of loss is also used in the determination of fair value, primarily based on market data. Loans and Loan Commitments The fair values of loans and loan commitments are based on market prices, where available, or discounted cash flow analyses using market-based credit spreads of comparable debt instruments or credit derivatives of the specific borrower or comparable borrowers. Results of discounted cash flow calculations may be adjusted, as appropriate, to reflect other market conditions or the perceived credit risk of the borrower. Mortgage Servicing Rights The fair values of MSRs are determined using models that rely on estimates of prepayment rates, the resultant weighted-average lives of the MSRs and the OAS levels. For more information on MSRs, see Note 25 – Mortgage Servicing Rights. Loans Held-for-Sale The fair values of LHFS are based on quoted market prices, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation’s current origination rates for similar loans adjusted to reflect the inherent credit risk. Other Assets The fair values of AFS marketable equity securities are generally based on quoted market prices or market prices for similar assets. However, non-public investments are initially valued at the transaction price and subsequently adjusted when evidence is available to support such adjustments. Securities Financing Agreements The fair values of certain reverse repurchase agreements, repurchase agreements and securities borrowed transactions are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. Deposits and Other Short-term Borrowings The fair values of deposits and other short-term borrowings are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. The Corporation considers the impact of its own credit spreads in the valuation of these liabilities. The credit risk is determined by reference to observable credit spreads in the secondary cash market. Long-term Debt The Corporation issues structured liabilities that have coupons or repayment terms linked to the performance of debt or equity securities, indices, currencies or commodities. The fair values of these structured liabilities are estimated using valuation models for the combined derivative and debt portions of the notes. These models incorporate observable and, in some instances, unobservable inputs including security prices, interest rate yield curves, option volatility, currency, commodity or equity rates and correlations between these inputs. The Corporation considers the impact of its own credit spreads in the valuation of these liabilities. The credit risk is determined by reference to observable credit spreads in the secondary bond market. Asset-backed Secured Financings The fair values of asset-backed secured financings are based on external broker bids, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation’s current origination rates for similar loans adjusted to reflect the inherent credit risk. Recurring Fair Value Assets and liabilities carried at fair value on a recurring basis at December 31, 2011 and 2010, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.                       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 were not significant during 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         (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 $ —   $ 78,599   $ —   $ —   $ 78,599 Trading account assets:                   U.S. government and agency securities 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 (3) 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 (3) 1,799   1,492,963   11,028   (1,449,876 )   55,914 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 2010. (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. The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during 2011, 2010 and 2009, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.                         Level 3 – Fair Value Measurements (1)                                         2011           Gross       (Dollars in millions) Balance January 1 2011  Consolidation of VIEs Gains (Losses) in Earnings Gains (Losses) in OCI Purchases Sales Issuances Settlements Gross Transfers into Level 3  Gross Transfers out of Level 3  Balance December 31 2011 Trading account assets:                       Corporate securities, trading loans and other (2) $ 7,751 $ — $ 490 $ — $ 5,683 $ (6,664 ) $ — $ (1,362 ) $ 1,695 $ (713 ) $ 6,880 Equity securities 557 — 49 — 335 (362 ) — (140 ) 132 (27 ) 544 Non-U.S. sovereign debt 243 — 87 — 188 (137 ) — (3 ) 8 (44 ) 342 Mortgage trading loans and ABS 6,908 — 442 — 2,222 (4,713 ) — (440 ) 75 (805 ) 3,689 Total trading account assets 15,459 — 1,068 — 8,428 (11,876 ) — (1,945 ) 1,910 (1,589 ) 11,455 Net derivative assets (3) 7,745 — 5,199 — 1,235 (1,553 ) — (7,779 ) 1,199 (180 ) 5,866 AFS debt securities:                       Mortgage-backed securities:                       Agency 4 — — — 14 (11 ) — — 34 (4 ) 37 Agency-collateralized mortgage obligations — — — — 56 (56 ) — — — — — Non-agency residential 1,468 — (158 ) 41 11 (307 ) — (568 ) 373 — 860 Non-agency commercial 19 — — — 15 — — — 6 — 40 Non-U.S. securities 3 — — — — — — — 88 (91 ) — Corporate/Agency bonds 137 — (12 ) (8 ) 304 (17 ) — — 7 (249 ) 162 Other taxable securities 13,018 — 26 21 3,876 (2,245 ) — (5,112 ) 2 (5,321 ) 4,265 Tax-exempt securities 1,224 — 21 (35 ) 2,862 (92 ) — (697 ) 38 (673 ) 2,648 Total AFS debt securities 15,873 — (123 ) 19 7,138 (2,728 ) — (6,377 ) 548 (6,338 ) 8,012 Loans and leases (2, 4) 3,321 5,194 (55 ) — 21 (2,644 ) 3,118 (1,830 ) 5 (4,386 ) 2,744 Mortgage servicing rights (4) 14,900 — (5,661 ) — — (896 ) 1,656 (2,621 ) — — 7,378 Loans held-for-sale (2) 4,140 — 36 — 157 (483 ) — (961 ) 565 (67 ) 3,387 Other assets (5) 6,922 — 140 — 1,932 (2,391 ) — (768 ) 375 (1,975 ) 4,235 Trading account liabilities – Corporate securities and other (7 ) — 4 — 133 (189 ) — — (65 ) 10 (114 ) Other short-term borrowings (2) (706 ) — (30 ) — — — — 86 — 650 — Accrued expenses and other liabilities (2) (828 ) — 61 — — (2 ) (9 ) 3 — 761 (14 ) Long-term debt (2) (2,986 ) — (188 ) — 520 (72 ) (520 ) 838 (2,111 ) 1,576 (2,943 ) (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 at December 31, 2011 include derivative assets of $14.4 billion and derivative liabilities of $8.5 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. During 2011, the transfers into Level 3 included $1.9 billion of trading account assets, $1.2 billion of net derivative assets and $2.1 billion of long-term debt accounted for under the fair value option. Transfers into Level 3 for trading account assets were primarily certain CLOs, corporate loans and bonds which were transferred due to decreased market activity. Transfers into Level 3 for net derivative assets were the result of changes in the valuation methodology for certain total return swaps, in addition to increases in certain equity derivatives with significant unobservable inputs. Transfers into Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities. Transfers occur on a regular basis for these long-term debt instruments based on the fair value of the embedded derivative in relation to the instrument as a whole. During 2011, the transfers out of Level 3 included $1.6 billion of trading account assets, $6.3 billion of AFS debt securities, $4.4 billion of loans and leases, $2.0 billion of other assets and $1.6 billion of long-term debt. Transfers out of Level 3 for trading account assets were primarily driven by increased price observability on certain RMBS, commercial mortgage-backed securities and consumer ABS portfolios as well as certain corporate bond positions due to increased trading volume. Transfers out of Level 3 for AFS debt securities primarily related to auto, credit card and student loan ABS portfolios due to increased trading volume in the secondary market for similar securities. Transfers out of Level 3 for loans and leases were driven by increased observable inputs, primarily market comparables, for certain corporate loans accounted for under the fair value option. Transfers out of Level 3 for other assets were primarily the result of an initial public offering of an equity investment. Transfers out of Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities. Transfers occur on a regular basis for these long-term debt instruments based on the fair value of the embedded derivative in relation to the instrument as a whole.                                 Level 3 – Fair Value Measurements (1)                                                   2010 (Dollars in millions) Balance January 1 2010    Consolidation of VIEs   Gains (Losses) in Earnings   Gains (Losses) in OCI   Purchases, Issuances and Settlements   Gross Transfers into Level 3    Gross Transfers out of Level 3    Balance December 31 2010 Trading account assets:                               Corporate securities, trading loans and other (2) $ 11,080   $ 117   $ 848   $ —   $ (4,852 )   $ 2,599   $ (2,041 )   $ 7,751 Equity securities 1,084   —   (81 )   —   (342 )   131   (169 )   623 Non-U.S. sovereign debt 1,143   —   (138 )   —   (157 )   115   (720 )   243 Mortgage trading loans and ABS 7,770   175   653   —   (1,659 )   396   (427 )   6,908 Total trading account assets 21,077   292   1,282   —   (7,010 )   3,241   (3,357 )   15,525 Net derivative assets (3) 7,863   —   8,118   —   (8,778 )   1,067   (525 )   7,745 AFS debt securities:                               Mortgage-backed securities:                               Agency —   —   —   —   4   —   —   4 Non-agency residential 7,216   113   (646 )   (169 )   (6,767 )   1,909   (188 )   1,468 Non-agency commercial 258   —   (13 )   (31 )   (178 )   71   (88 )   19 Non-U.S. securities 468   —   (125 )   (75 )   (321 )   56   —   3 Corporate/Agency bonds 927   —   (3 )   47   (847 )   32   (19 )   137 Other taxable securities 9,854   5,603   (296 )   44   (3,263 )   1,119   (43 )   13,018 Tax-exempt securities 1,623   —   (25 )   (9 )   (574 )   316   (107 )   1,224 Total AFS debt securities 20,346   5,716   (1,108 )   (193 )   (11,946 )   3,503   (445 )   15,873 Loans and leases (2) 4,936   —   (89 )   —   (1,526 )   —   —   3,321 Mortgage servicing rights 19,465   —   (4,321 )   —   (244 )   —   —   14,900 Loans held-for-sale (2) 6,942   —   482   —   (3,714 )   624   (194 )   4,140 Other assets (4) 7,821   —   1,946   —   (2,612 )   —   (299 )   6,856 Trading account liabilities:                               Non-U.S. sovereign debt (386 )   —   23   —   (17 )   —   380   — Corporate securities and other (10 )   —   (5 )   —   11   (52 )   49   (7 ) Total trading account liabilities (396 )   —   18   —   (6 )   (52 )   429   (7 ) Other short-term borrowings (2) (707 )   —   (95 )   —   96   —   —   (706 ) Accrued expenses and other liabilities (2) (891 )   —   146   —   (83 )   —   —   (828 ) Long-term debt (2) (4,660 )   —   697   —   1,074   (1,881 )   1,784   (2,986 ) (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 at December 31, 2010 include derivative assets of $18.8 billion and derivative liabilities of $11.0 billion. (4)  Other assets is primarily comprised of AFS marketable equity securities. During 2010, the transfers into Level 3 included $3.2 billion of trading account assets, $3.5 billion of AFS debt securities, $1.1 billion of net derivative contracts and $1.9 billion of long-term debt. Transfers into Level 3 for trading account assets were driven by reduced price transparency as a result of lower levels of trading activity for certain municipal auction rate securities and corporate debt securities as well as a change in valuation methodology for certain ABS to a discounted cash flow model. Transfers into Level 3 for AFS debt securities were due to an increase in the number of non-agency RMBS and other taxable securities priced using a discounted cash flow model. Transfers into Level 3 for net derivative contracts were primarily related to a lack of price observability for certain credit default and total return swaps. Transfers into Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities. During 2010, the transfers out of Level 3 included $3.4 billion of trading account assets and $1.8 billion of long-term debt. Transfers out of Level 3 for trading account assets were driven by increased price verification of certain MBS, corporate debt and non-U.S. government and agency securities. Transfers out of Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities.                             Level 3 – Fair Value Measurements (1)                                               2009 (Dollars in millions) Balance January 1 2009    Merrill Lynch Acquisition   Gains (Losses) Included in Earnings   Gains (Losses) Included in OCI   Purchases, Issuances and Settlements   Transfers into/(out of) Level 3    Balance December 31 2009 Trading account assets:                           Corporate securities, trading loans and other $ 4,540   $ 7,012   $ 370   $ —   $ (2,015 )   $ 1,173   $ 11,080 Equity securities 546   3,848   (396 )   —   (2,425 )   (489 )   1,084 Non-U.S. sovereign debt —   30   136   —   167   810   1,143 Mortgage trading loans and ABS 1,647   7,294   (262 )   —   933   (1,842 )   7,770 Total trading account assets 6,733   18,184   (152 )   —   (3,340 )   (348 )   21,077 Net derivative assets (2) 2,270   2,307   5,526   —   (7,906 )   5,666   7,863 AFS debt securities:                           Non-agency MBS:                           Residential 5,439   2,509   (1,159 )   2,738   (4,187 )   1,876   7,216 Commercial 657   —   (185 )   (7 )   (155 )   (52 )   258 Non-U.S. securities 1,247   —   (79 )   (226 )   (73 )   (401 )   468 Corporate/Agency bonds 1,598   —   (22 )   127   324   (1,100 )   927 Other taxable securities 9,599   —   (75 )   669   815   (1,154 )   9,854 Tax-exempt securities 162   —   2   26   788   645   1,623 Total AFS debt securities 18,702   2,509   (1,518 )   3,327   (2,488 )   (186 )   20,346 Loans and leases (3) 5,413   2,452   515   —   (3,718 )   274   4,936 Mortgage servicing rights 12,733   209   5,286   —   1,237   —   19,465 Loans held-for-sale (3) 3,382   3,872   678   —   (1,048 )   58   6,942 Other assets (4) 4,157   2,696   1,273   —   (308 )   3   7,821 Trading account liabilities:                           Non-U.S. sovereign debt —   —   (38 )   —   —   (348 )   (386 ) Corporate securities and other —   —   —   —   4   (14 )   (10 ) Total trading account liabilities —   —   (38 )   —   4   (362 )   (396 ) Other short-term borrowings (3) (816 )   —   (11 )   —   120   —   (707 ) Accrued expenses and other liabilities (3) (1,124 )   (1,337 )   1,396   —   174   —   (891 ) Long-term debt (3) —   (7,481 )   (2,310 )   —   830   4,301   (4,660 ) (1)  Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. (2)  Net derivatives at December 31, 2009 include derivative assets of $23.0 billion and derivative liabilities of $15.2 billion. (3)  Amounts represent items that are accounted for under the fair value option. (4)  Other assets is primarily comprised of AFS marketable equity securities. The following tables summarize gains (losses) due to changes in fair value, including both realized and unrealized gains (losses), recorded in earnings for Level 3 assets and liabilities during 2011, 2010 and 2009. These amounts include gains (losses) on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.                     Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings                       2011 (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) $ —   $ 490   $ —   $ —   $ 490 Equity securities —   49   —   —   49 Non-U.S. sovereign debt —   87   —   —   87 Mortgage trading loans and ABS —   442   —   —   442 Total trading account assets —   1,068   —   —   1,068 Net derivative assets —   1,516   3,683   —   5,199 AFS debt securities:                   Non-agency residential MBS —   —   —   (158 )   (158 ) Corporate/Agency bonds —   —   —   (12 )   (12 ) Other taxable securities —   16   —   10   26 Tax-exempt securities —   (3 )   —   24   21 Total AFS debt securities —   13   —   (136 )   (123 ) Loans and leases (2) —   —   (13 )   (42 )   (55 ) Mortgage servicing rights —   —   (5,661 )   —   (5,661 ) Loans held-for-sale (2) —   —   (108 )   144   36 Other assets 242   —   (51 )   (51 )   140 Trading account liabilities – Corporate securities and other —   4   —   —   4 Other short-term borrowings (2) —   —   (30 )   —   (30 ) Accrued expenses and other liabilities (2) —   (10 )   71   —   61 Long-term debt (2) —   (106 )   —   (82 )   (188 ) Total $ 242   $ 2,485   $ (2,109 )   $ (167 )   $ 451                       2010 Trading account assets:                   Corporate securities, trading loans and other (2) $ —   $ 848   $ —   $ —   $ 848 Equity securities —   (81 )   —   —   (81 ) Non-U.S. sovereign debt —   (138 )   —   —   (138 ) Mortgage trading loans and ABS —   653   —   —   653 Total trading account assets —   1,282   —   —   1,282 Net derivative assets —   (1,257 )   9,375   —   8,118 AFS debt securities:                   Non-agency MBS:                   Residential —   —   (16 )   (630 )   (646 ) Commercial —   —   —   (13 )   (13 ) Non-U.S. securities —   —   —   (125 )   (125 ) Corporate/Agency bonds —   —   —   (3 )   (3 ) Other taxable securities —   (295 )   —   (1 )   (296 ) Tax-exempt securities —   23   —   (48 )   (25 ) Total AFS debt securities —   (272 )   (16 )   (820 )   (1,108 ) Loans and leases (2) —   —   —   (89 )   (89 ) Mortgage servicing rights —   —   (4,321 )   —   (4,321 ) Loans held-for-sale (2) —   —   72   410   482 Other assets 1,967   —   (21 )   —   1,946 Trading account liabilities:                   Non-U.S. sovereign debt —   23   —   —   23 Corporate securities and other —   (5 )   —   —   (5 ) Total trading account liabilities —   18   —   —   18 Other short-term borrowings (2) —   —   (95 )   —   (95 ) Accrued expenses and other liabilities (2) —   (26 )   —   172   146 Long-term debt (2) —   677   —   20   697 Total $ 1,967   $ 422   $ 4,994   $ (307 )   $ 7,076 (1)  Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. (2)  Amounts represent items that are accounted for under the fair value option.                     Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings                       2009 (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 $ —   $ 370   $ —   $ —   $ 370 Equity securities —   (396 )   —   —   (396 ) Non-U.S. sovereign debt —   136   —   —   136 Mortgage trading loans and ABS —   (262 )   —   —   (262 ) Total trading account assets —   (152 )   —   —   (152 ) Net derivative assets —   (2,526 )   8,052   —   5,526 AFS debt securities:                   Non-agency MBS:                   Residential —   —   (20 )   (1,139 )   (1,159 ) Commercial —   —   —   (185 )   (185 ) Non-U.S. securities —   —   —   (79 )   (79 ) Corporate/Agency bonds —   —   —   (22 )   (22 ) Other taxable securities —   —   —   (75 )   (75 ) Tax-exempt securities —   —   —   2   2 Total AFS debt securities —   —   (20 )   (1,498 )   (1,518 ) Loans and leases (2) —   (11 )   —   526   515 Mortgage servicing rights —   —   5,286   —   5,286 Loans held-for-sale (2) —   (216 )   306   588   678 Other assets 968   —   244   61   1,273 Trading account liabilities – Non-U.S. sovereign debt —   (38 )   —   —   (38 ) Other short-term borrowings (2) —   —   (11 )   —   (11 ) Accrued expenses and other liabilities (2) —   36   —   1,360   1,396 Long-term debt (2) —   (2,083 )   —   (227 )   (2,310 ) Total $ 968   $ (4,990 )   $ 13,857   $ 810   $ 10,645 (1)  Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. (2)  Amounts represent items that are accounted for under the fair value option. The following tables summarize changes in unrealized gains (losses) recorded in earnings during 2011, 2010 and 2009 for Level 3 assets and liabilities that were still held at December 31, 2011, 2010 and 2009. 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                       2011 (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) $ —   $ (86 )   $ —   $ —   $ (86 ) Equity securities —   (60 )   —   —   (60 ) Non-U.S. sovereign debt —   101   —   —   101 Mortgage trading loans and ABS —   30   —   —   30 Total trading account assets —   (15 )   —   —   (15 ) Net derivative assets —   1,430   1,351   —   2,781 AFS debt securities:                   Non-agency residential MBS —   —   —   (195 )   (195 ) Corporate/Agency bonds —   —   —   (14 )   (14 ) Other taxable securities —   —   —   13   13 Total AFS debt securities —   —   —   (196 )   (196 ) Loans and leases (2) —   —   —   (260 )   (260 ) Mortgage servicing rights —   —   (6,958 )   —   (6,958 ) Loans held-for-sale (2) —   —   (153 )   5   (148 ) Other assets (309 )   —   (53 )   (51 )   (413 ) Trading account liabilities – Corporate securities and other —   3   —   —   3 Long-term debt (2) —   (107 )   —   (94 )   (201 ) Total $ (309 )   $ 1,311   $ (5,813 )   $ (596 )   $ (5,407 )                       2010 Trading account assets:                   Corporate securities, trading loans and other (2) $ —   $ 289   $ —   $ —   $ 289 Equity securities —   (50 )   —   —   (50 ) Non-U.S. sovereign debt —   (144 )   —   —   (144 ) Mortgage trading loans and ABS —   227   —   —   227 Total trading account assets —   322   —   —   322 Net derivative assets —   (945 )   676   —   (269 ) Non-agency residential MBS AFS debt securities —   —   (2 )   (162 )   (164 ) Loans and leases (2) —   —   —   (142 )   (142 ) Mortgage servicing rights —   —   (5,740 )   —   (5,740 ) Loans held-for-sale (2) —   10   (9 )   258   259 Other assets 50   —   (22 )   —   28 Trading account liabilities – Non-U.S. sovereign debt —   52   —   —   52 Other short-term borrowings (2) —   —   (46 )   —   (46 ) Accrued expenses and other liabilities (2) —   —   —   (182 )   (182 ) Long-term debt (2) —   585   —   43   628 Total $ 50   $ 24   $ (5,143 )   $ (185 )   $ (5,254 ) (1)  Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. (2)  Amounts represent items 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                       2009 (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 $ —   $ 89   $ —   $ —   $ 89 Equity securities —   (328 )   —   —   (328 ) Non-U.S. sovereign debt —   137   —   —   137 Mortgage trading loans and ABS —   (332 )   —   —   (332 ) Total trading account assets —   (434 )   —   —   (434 ) Net derivative assets —   (2,761 )   348   —   (2,413 ) AFS debt securities:                   Non-agency residential MBS —   —   (20 )   (659 )   (679 ) Other taxable securities —   (11 )   —   (3 )   (14 ) Tax-exempt securities —   (2 )   —   (8 )   (10 ) Total AFS debt securities —   (13 )   (20 )   (670 )   (703 ) Loans and leases (2) —   —   —   210   210 Mortgage servicing rights —   —   4,100   —   4,100 Loans held-for-sale (2) —   (195 )   164   695   664 Other assets (177 )   —   6   1,061   890 Trading account liabilities – Non-U.S. sovereign debt —   (38 )   —   —   (38 ) Other short-term borrowings (2) —   —   (11 )   —   (11 ) Accrued expenses and other liabilities (2) —   —   —   1,740   1,740 Long-term debt (2) —   (2,303 )   —   (225 )   (2,528 ) Total $ (177 )   $ (5,744 )   $ 4,587   $ 2,811   $ 1,477 (1)  Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs. (2)  Amounts represent items that are accounted for under the fair value option. Nonrecurring Fair Value The Corporation held certain assets that are measured at fair value on a nonrecurring basis and are not included in the previous tables in this Note. These assets primarily include LHFS, certain loans and leases, and foreclosed properties. The amounts below represent only balances measured at fair value during 2011, 2010 and 2009, and still held as of the reporting date.                 Assets Measured at Fair Value on a Nonrecurring Basis                   December 31   2011   2010 (Dollars in millions) Level 2   Level 3   Level 2   Level 3 Assets               Loans held-for-sale $ 2,662   $ 1,008   $ 931   $ 6,408 Loans and leases 9   10,629   23   11,917 Foreclosed properties (1) —   2,531   10   2,125 Other assets 44   885   8   95   Gains (Losses)   (Dollars in millions) 2011   2010   2009   Assets             Loans held-for-sale $ (181 )   $ 174   $ (1,288 )   Loans and leases (2) (4,813 )   (6,074 )   (5,596 )   Foreclosed properties (333 )   (240 )   (322 )   Other assets —   (50 )   (268 )   (1)  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. (2)  Gains (losses) represent charge-offs on real estate-secured loans.