Fair Value Measurements

v2.4.0.6

Fair Value Measurements	12 Months Ended
	Dec. 31, 2012
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. The Corporation conducts a review of its fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities became unobservable or observable, respectively, in the current marketplace. These transfers are considered to be effective as of the beginning of the quarter in which they occur. 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 22 – Fair Value Option. Valuation Processes and Techniques The Corporation has various processes and controls in place to ensure that fair value is reasonably estimated. A model validation policy governs the use and control of valuation models used to estimate fair value. This policy requires review and approval of models by personnel who are independent of the front office, and periodic re-assessments of models to ensure that they are continuing to perform as designed. In addition, detailed reviews of trading gains and losses are conducted on a daily basis by personnel who are independent of the front office. A price verification group, which is also independent of the front office, utilizes available market information including executed trades, market prices and market-observable valuation model inputs to ensure that fair values are reasonably estimated. The Corporation performs due diligence procedures over third-party pricing service providers in order to support their use in the valuation process. Where market information is not available to support internal valuations, independent reviews of the valuations are performed and any material exposures are escalated through a management review process. While the Corporation believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date. During 2012, there were no changes to the valuation techniques that had, or are expected to have, a material impact on its consolidated financial position or results of operations. 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 24 – 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 certain debt securities and 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 quantitative 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 also considers the impact of its own credit spreads in determining the discount rate used to value these liabilities. The credit spread is determined by reference to observable 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, 2012 and 2011, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.                       December 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 $ —   $ 98,670   $ —   $ —   $ 98,670 Trading account assets:                   U.S. government and agency securities 57,655   29,319   —   —   86,974 Corporate securities, trading loans and other 1,292   32,882   3,726   —   37,900 Equity securities 28,144   14,626   545   —   43,315 Non-U.S. sovereign debt 38,405   13,439   353   —   52,197 Mortgage trading loans and ABS —   11,905   4,935   —   16,840 Total trading account assets 125,496   102,171   9,559   —   237,226 Derivative assets (3) 2,997   1,372,398   8,073   (1,329,971 )   53,497 AFS debt securities:                   U.S. Treasury securities and agency securities 21,514   2,958   —   —   24,472 Mortgage-backed securities:                   Agency —   188,149   —   —   188,149 Agency-collateralized mortgage obligations —   37,538   —   —   37,538 Non-agency residential —   9,494   —   —   9,494 Non-agency commercial —   3,914   10   —   3,924 Non-U.S. securities 2,637   2,981   —   —   5,618 Corporate/Agency bonds —   1,358   92   —   1,450 Other taxable securities 20   8,180   3,928   —   12,128 Tax-exempt securities —   3,072   1,061   —   4,133 Total AFS debt securities 24,171   257,644   5,091   —   286,906 Loans and leases —   6,715   2,287   —   9,002 Mortgage servicing rights —   —   5,716   —   5,716 Loans held-for-sale —   8,926   2,733   —   11,659 Other assets 19,026   18,828   3,129   —   40,983 Total assets $ 171,690   $ 1,865,352   $ 36,588   $ (1,329,971 )   $ 743,659 Liabilities                   Interest-bearing deposits in U.S. offices $ —   $ 2,262   $ —   $ —   $ 2,262 Federal funds purchased and securities loaned or sold under agreements to repurchase —   42,639   —   —   42,639 Trading account liabilities:                   U.S. government and agency securities 22,351   1,079   —   —   23,430 Equity securities 19,852   2,640   —   —   22,492 Non-U.S. sovereign debt 18,875   1,369   —   —   20,244 Corporate securities and other 487   6,870   64   —   7,421 Total trading account liabilities 61,565   11,958   64   —   73,587 Derivative liabilities (3) 2,859   1,355,309   6,605   (1,318,757 )   46,016 Other short-term borrowings —   4,074   —   —   4,074 Accrued expenses and other liabilities 15,457   1,122   15   —   16,594 Long-term debt —   46,860   2,301   —   49,161 Total liabilities $ 79,881   $ 1,464,224   $ 8,985   $ (1,318,757 )   $ 234,333 (1)  During 2012, $2.0 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and $785 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Of the asset transfers from Level 1 to Level 2, $940 million was due to a restriction that became effective for a private equity investment during 2012, while $535 million of the transfers from Level 2 to Level 1 was due to the lapse of this restriction during 2012. 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. 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 2012, 2011 and 2010, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.                       Level 3 – Fair Value Measurements (1)                                       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 December 31 2012 Trading account assets:                     Corporate securities, trading loans and other (2) $ 6,880 $ 195 $ — $ 2,798 $ (4,556 ) $ — $ (1,077 ) $ 436 $ (950 ) $ 3,726 Equity securities 544 31 — 201 (271 ) — 27 90 (77 ) 545 Non-U.S. sovereign debt 342 8 — 388 (359 ) — (5 ) — (21 ) 353 Mortgage trading loans and ABS (2) 3,689 215 — 2,574 (1,536 ) — (678 ) 844 (173 ) 4,935 Total trading account assets 11,455 449 — 5,961 (6,722 ) — (1,733 ) 1,370 (1,221 ) 9,559 Net derivative assets (3) 5,866 (221 ) — 893 (1,012 ) — (3,328 ) (269 ) (461 ) 1,468 AFS debt securities:                     Mortgage-backed securities:                     Agency 37 — — — — — (4 ) — (33 ) — Non-agency residential 860 (69 ) 19 — (306 ) — (2 ) — (502 ) — Non-agency commercial 40 — — — (24 ) — (6 ) — — 10 Corporate/Agency bonds 162 (2 ) — (2 ) — — (39 ) — (27 ) 92 Other taxable securities 4,265 23 26 3,196 (28 ) — (3,345 ) — (209 ) 3,928 Tax-exempt securities 2,648 61 20 — (133 ) — (1,535 ) — — 1,061 Total AFS debt securities 8,012 13 65 3,194 (491 ) — (4,931 ) — (771 ) 5,091 Loans and leases (4, 5) 2,744 334 — 564 (1,520 ) — (274 ) 450 (11 ) 2,287 Mortgage servicing rights (5) 7,378 (430 ) — — (122 ) 374 (1,484 ) — — 5,716 Loans held-for-sale (4) 3,387 352 — 794 (834 ) — (414 ) 80 (632 ) 2,733 Other assets (6) 4,235 (54 ) — 109 (1,039 ) 270 (381 ) — (11 ) 3,129 Trading account liabilities – Corporate securities and other (114 ) 4 — 116 (136 ) — 80 (68 ) 54 (64 ) Other short-term borrowings (4) — — — — — (232 ) 232 — — — Accrued expenses and other liabilities (4) (14 ) (4 ) — 8 — (9 ) — — 4 (15 ) Long-term debt (4) (2,943 ) (307 ) — 290 (33 ) (259 ) 1,239 (2,040 ) 1,752 (2,301 ) (1)  Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. (2)  During 2012, approximately $900 million was reclassified from Trading account assets - Corporate securities, trading loans and other to Trading account assets - Mortgage trading loans and ABS. In the table above, this reclassification is presented as a sale of Trading account assets - Corporate securities, trading loans and other and as a purchase of Trading account assets - Mortgage trading loans and ABS. (3)  Net derivatives include derivative assets of $8.1 billion and derivative liabilities of $6.6 billion. (4)  Amounts represent instruments that are accounted for under the fair value option. (5)  Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. (6)  Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. During 2012, the transfers into Level 3 included $1.4 billion of trading account assets, $269 million of net derivative assets, $450 million of loans and leases, and $2.0 billion of long-term debt. Transfers into Level 3 for trading account assets were primarily the result of decreased market liquidity for certain corporate loans and updated information related to certain CLOs. Transfers into Level 3 for net derivative assets primarily related to decreased price observability for certain long-dated equity derivative liabilities due to a lack of independent pricing. Transfers into Level 3 for loans and leases were due to updated information related to certain commercial loans. 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 due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole. During 2012, the transfers out of Level 3 included $1.2 billion of trading account assets, $461 million of net derivative assets, $771 million of AFS debt securities, $632 million of LHFS and $1.8 billion of long-term debt. Transfers out of Level 3 for trading account assets primarily related to increased market liquidity for certain corporate and commercial real estate loans. Transfers out of Level 3 for net derivative assets primarily related to increased price observability (i.e., market comparables for the referenced instruments) for certain total return swaps and foreign exchange swaps. Transfers out of Level 3 for AFS debt securities primarily related to increased price observability for certain non-agency RMBS and ABS. Transfers out of Level 3 for LHFS primarily related to increased observable inputs, primarily liquid comparables. 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)                                         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 $ 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 (2) 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 (3, 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 (3) 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 (3) (706 ) — (30 ) — — — — 86 — 650 — Accrued expenses and other liabilities (3) (828 ) — 61 — — (2 ) (9 ) 3 — 761 (14 ) Long-term debt (3) (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)  Net derivatives include derivative assets of $14.4 billion and derivative liabilities of $8.5 billion. (3)  Amounts represent instruments that 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 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. Transfers into Level 3 for trading account assets were primarily certain CLOs, corporate loans and bonds that 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 due to changes in the impact of unobservable inputs on the 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 due to increased price observability on certain RMBS, commercial mortgage-backed securities (CMBS) 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 due to increased observable inputs, primarily liquid comparables, for certain corporate loans. Transfers out of Level 3 for other assets were primarily the result of an IPO 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.                                 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 $ 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 (2) 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 (3) 4,936   —   (89 )   —   (1,526 )   —   —   3,321 Mortgage servicing rights 19,465   —   (4,321 )   —   (244 )   —   —   14,900 Loans held-for-sale (3) 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 (3) (707 )   —   (95 )   —   96   —   —   (706 ) Accrued expenses and other liabilities (3) (891 )   —   146   —   (83 )   —   —   (828 ) Long-term debt (3) (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)  Net derivatives include derivative assets of $18.8 billion and derivative liabilities of $11.0 billion. (3)  Amounts represent instruments that are accounted for under the fair value option. (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 assets and $1.9 billion of long-term debt. Transfers into Level 3 for trading account assets were due to reduced price transparency as a result of lower levels of trading activity for certain municipal ARS 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. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole. 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 due to 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. 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 2012, 2011 and 2010. 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                       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 $ —   $ 195   $ —   $ —   $ 195 Equity securities —   31   —   —   31 Non-U.S. sovereign debt —   8   —   —   8 Mortgage trading loans and ABS —   215   —   —   215 Total trading account assets —   449   —   —   449 Net derivative assets —   (3,208 )   2,987   —   (221 ) AFS debt securities:                   Non-agency residential MBS —   —   —   (69 )   (69 ) Corporate/Agency bonds —   —   —   (2 )   (2 ) Other taxable securities —   2   —   21   23 Tax-exempt securities —   —   —   61   61 Total AFS debt securities —   2   —   11   13 Loans and leases (2) —   —   —   334   334 Mortgage servicing rights —   —   (430 )   —   (430 ) Loans held-for-sale (2) —   —   148   204   352 Other assets 97   —   (74 )   (77 )   (54 ) Trading account liabilities – Corporate securities and other —   4   —   —   4 Accrued expenses and other liabilities (2) —   —   —   (4 )   (4 ) Long-term debt (2) —   (133 )   —   (174 )   (307 ) Total $ 97   $ (2,886 )   $ 2,631   $ 294   $ 136                       2011 Trading account assets:                   Corporate securities, trading loans and other $ —   $ 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 (1)  Mortgage banking income (loss) 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.                     Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings                       2010 (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 $ —   $ 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 (loss) 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. The following tables summarize changes in unrealized gains (losses) recorded in earnings during 2012, 2011 and 2010 for Level 3 assets and liabilities that were still held at December 31, 2012, 2011 and 2010. 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                       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 $ —   $ (19 )   $ —   $ —   $ (19 ) Equity securities —   17   —   —   17 Non-U.S. sovereign debt —   20   —   —   20 Mortgage trading loans and ABS —   36   —   —   36 Total trading account assets —   54   —   —   54 Net derivative assets —   (2,782 )   2,020   —   (762 ) AFS debt securities – Other taxable securities —   2   —   —   2 Loans and leases (2) —   —   —   291   291 Mortgage servicing rights —   —   (1,100 )   —   (1,100 ) Loans held-for-sale (2) —   —   121   168   289 Other assets 141   —   (71 )   (74 )   (4 ) Trading account liabilities – Corporate securities and other —   4   —   —   4 Accrued expenses and other liabilities (2) —   —   —   (2 )   (2 ) Long-term debt (2) —   (136 )   —   (173 )   (309 ) Total $ 141   $ (2,858 )   $ 970   $ 210   $ (1,537 )                       2011 Trading account assets:                   Corporate securities, trading loans and other $ —   $ (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 ) (1)  Mortgage banking income (loss) 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.                     Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date                       2010 (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 $ —   $ 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 (loss) 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. The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at December 31, 2012.             Quantitative Information about Level 3 Fair Value Measurements             (Dollars in millions)     Inputs Financial Instrument Fair Value Valuation Technique Significant Unobservable Inputs Ranges of Inputs Weighted Average Loans and Securities (1)           Instruments backed by residential real estate assets $ 4,478 Discounted cash flow, Market comparables Yield 2% to 25% 6 % Trading account assets – Mortgage trading loans and ABS 459 Prepayment speed 1% to 30% CPR 11 % Loans and leases 1,286 Default rate 0% to 44% CDR 8 % Loans held-for-sale 2,733 Loss severity 6% to 85% 36 % Instruments backed by commercial real estate assets $ 1,910 Discounted cash flow Yield 5% n/a Other assets 1,910 Loss severity 51% to 100% 88 % Commercial loans, debt securities and other $ 10,778 Discounted cash flow, Market comparables Yield 0% to 25% 4 % Trading account assets – Corporate securities, trading loans and other 2,289 Enterprise value/EBITDA multiple 2x to 11x 5 x Trading account assets – Mortgage trading loans and ABS 4,476 Prepayment speed 5% to 30% 20 % AFS debt securities – Other taxable securities 3,012 Default rate 1% to 5% 4 % Loans and leases 1,001 Loss severity 25% to 40% 35 % Auction rate securities $ 3,414 Discounted cash flow, Market comparables Discount rate 0% to 10% 4 % Trading account assets – Corporate securities, trading loans and other 1,437 Projected tender price/Re-financing level 50% to 100% 92 % AFS debt securities – Other taxable securities 916     AFS debt securities – Tax-exempt securities 1,061       Structured liabilities           Long-term debt (2) $ (2,301 ) Industry standard derivative pricing (3) Equity correlation 30% to 97% n/m     Long-dated volatilities 20% to 70% n/m           (1)  The categories are aggregated based on product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 261: Trading account assets – Corporate securities, trading loans and other of $3.7 billion, Trading account assets – Mortgage trading loans and ABS of $4.9 billion, AFS debt securities – Other taxable securities of $3.9 billion, AFS debt securities – Tax-exempt securities of $1.1 billion, Loans and leases of $2.3 billion, LHFS of $2.7 billion and Other assets of $1.9 billion. (2)  For additional information on the ranges of inputs for equity correlation and long-dated volatilities, see the qualitative equity derivatives discussion on page 268. (3)  Includes models such as Monte Carlo simulation and Black-Scholes. n/a = not applicable n/m = not meaningful CPR = Constant Prepayment Rate CDR = Constant Default Rate EBITDA = Earnings before interest, taxes, depreciation and amortization           Quantitative Information about Level 3 Fair Value Measurements (continued)         (Dollars in millions)     Inputs Financial Instrument Fair Value Valuation Technique Significant Unobservable Inputs Ranges of Inputs Net derivatives assets         Credit derivatives $ 2,327 Discounted cash flow, Stochastic recovery correlation model Yield 2% to 25%     Credit spreads 58 bps to 615 bps     Upfront points 25 points to 99 points     Spread to index -2,080 bps to 1,972 bps     Credit correlation 19% to 75%     Prepayment speed 3% to 30% CPR     Default rate 0% to 8% CDR     Loss severity 25% to 42% Equity derivatives $ (1,295 ) Industry standard derivative pricing (4) Equity correlation 30% to 97%     Long-dated volatilities 20% to 70%         Commodity derivatives $ (5 ) Discounted cash flow Long-term natural gas basis -$0.30 to $0.30 Interest rate derivatives $ 441 Industry standard derivative pricing (4) Correlation (IR/IR) 15% to 99%     Correlation (FX/IR) -65% to 50%     Long-dated inflation rates 2% to 3%     Long-dated inflation volatilities 0% to 1%     Long-dated volatilities (FX) 5% to 36%     Long-dated swap rates 8% to 10% Total net derivative assets $ 1,468       (4) Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. CPR = Constant Prepayment Rate CDR = Constant Default Rate IR = Interest Rate FX = Foreign Exchange In the tables above, instruments backed by residential and commercial real estate assets include RMBS, CMBS, whole loans, mortgage CDOs and net monoline exposure. Commercial loans, debt securities and other includes corporate CLOs and CDOs, commercial loans and bonds, and securities backed by non-real estate assets. Structured liabilities primarily includes equity-linked notes that are accounted for under the fair value option. In addition to the instruments in the tables above, the Corporation holds $1.2 billion of instruments consisting primarily of certain direct private equity investments and private equity funds that are classified as Level 3 and reported within other assets. Valuations of direct private equity investments are based on the most recent company financial information. Inputs generally include market and acquisition comparables, entry level multiples, as well as other variables. The Corporation selects a valuation methodology (e.g., market comparables) for each investment and, in certain instances, multiple inputs are weighted to derive the most representative value. Discounts are applied as appropriate to consider the lack of liquidity and marketability versus publicly-traded companies. For private equity funds, fair value is determined using the net asset value as provided by the individual fund’s general partner. For information on the inputs and techniques used in the valuation of MSRs, see Note 24 – Mortgage Servicing Rights. The Corporation uses multiple market approaches in valuing certain of its Level 3 financial instruments. For example, market comparables and discounted cash flows are used together. For a given product, such as corporate debt securities, market comparables may be used to estimate some of the unobservable inputs and then these inputs are incorporated into a discounted cash flow model. Therefore, the balances disclosed encompass both of these techniques. The level of aggregation and diversity within the products disclosed in the table result in certain ranges of inputs being wide and unevenly distributed across asset and liability categories. For credit derivatives, the range of credit spreads represents positions with varying levels of default risk to the underlying instruments. The lower end of the credit spread range typically represents shorter-dated instruments and those with better perceived credit risk. The higher end of the range comprises longer-dated instruments and those referencing debt issuances that are more likely to be impaired or nonperforming. The majority of inputs are concentrated in the lower end of the range. Similarly, the spread to index can vary significantly based on the risk of the instrument. The spread will be positive for instruments that have a higher risk of default than the index (which is based on a weighted average of its components) and negative for instruments that have a lower risk of default than the index. Inputs are distributed evenly throughout the range for spread to index. For yield and credit correlation, the majority of the inputs are concentrated in the center of the range. Inputs are concentrated in the middle to lower end of the range for upfront points. The range for loss severity reflects exposures that are concentrated in the middle to upper end of the range while the ranges for prepayment speed and default rates reflect exposures that are concentrated in the lower end of the range. For equity derivatives, including those embedded in long-term debt, the range for equity correlation represents exposure primarily concentrated toward the upper end of the range. The range for long-dated volatilities represents exposure primarily concentrated toward the lower end of the range. For interest rate derivatives, the diversity in the portfolio is reflected in wide ranges of inputs because the variety of currencies and tenors of the transactions requires the use of numerous foreign exchange and interest rate curves. Since foreign exchange and interest rate correlations are measured between curves and across the various tenors on the same curve, the range of potential values can include both negative and positive values. For the correlation (IR/IR) range, the exposure represents the valuation of interest rate correlations on less liquid pairings and is concentrated at the upper end of the range. For the correlation (FX/IR) range, the exposure is the sensitivity to a broad mix of interest rate and foreign exchange correlations and is distributed evenly throughout the range. For long-dated inflation rates and volatilities as well as long-dated volatilities (FX), the inputs are concentrated in the middle of the range. Sensitivity of Fair Value Measurements to Changes in Unobservable Inputs Loans and Securities For instruments backed by residential real estate assets, commercial real estate assets, and commercial loans, debt securities and other, a significant increase in market yields, default rates or loss severities would result in a significantly lower fair value for long positions. Short positions would be impacted in a directionally opposite way. The impact of changes in prepayment speeds would have differing impacts depending on the seniority of the instrument and, in the case of CLOs, whether prepayments can be reinvested. For closed-end ARS, a significant increase in discount rates would result in a significantly lower fair value. For student loan and municipal ARS, a significant increase in projected tender price/refinancing levels would result in a significantly higher fair value. Structured Liabilities and Derivatives For credit derivatives, a significant increase in market yield, including spreads to indices, upfront points (i.e., a single upfront payment made by a protection buyer at inception), credit spreads, default rates or loss severities would result in a significantly lower fair value for protection sellers and higher fair value for protection buyers. The impact of changes in prepayment speeds would have differing impacts depending on the seniority of the instrument and, in the case of CLOs, whether prepayments can be reinvested. Structured credit derivatives, which include tranched portfolio CDS and derivatives with derivative product company (DPC) and monoline counterparties, are impacted by credit correlation, including default and wrong-way correlation. Default correlation is a parameter that describes the degree of dependence among credit default rates within a credit portfolio that underlies a credit derivative instrument. The sensitivity of this input on the fair value varies depending on the level of subordination of the tranche. For senior tranches that are net purchases of protection, a significant increase in default correlation would result in a significantly higher fair value. Net short protection positions would be impacted in a directionally opposite way. Wrong-way correlation is a parameter that describes the probability that as exposure to a counterparty increases, the credit quality of the counterparty decreases. A significantly higher degree of wrong-way correlation between a DPC counterparty and underlying derivative exposure would result in a significantly lower fair value. For equity derivatives, equity-linked long-term debt (structured liabilities) and interest rate derivatives, a significant change in long-dated rates and volatilities and correlation inputs (e.g., the degree of correlation between an equity security and an index, between two different interest rates, or between interest rates and foreign exchange rates) would result in a significant impact to the fair value; however, the magnitude and direction of the impact depends on whether the Corporation is long or short the exposure. Nonrecurring Fair Value The Corporation holds certain assets that are measured at fair value, but only in certain situations (for example, impairment) and these measurements are referred to herein as nonrecurring. These assets primarily include LHFS, certain loans and leases, and foreclosed properties. The amounts below represent only balances measured at fair value during 2012, 2011 and 2010, and still held as of the reporting date.                 Assets Measured at Fair Value on a Nonrecurring Basis                   December 31   2012   2011 (Dollars in millions) Level 2   Level 3   Level 2   Level 3 Assets               Loans held-for-sale $ 5,692   $ 1,136   $ 2,662   $ 1,008 Loans and leases 21   9,184   9   10,629 Foreclosed properties (1) 33   1,918   —   2,531 Other assets 36   12   44   885   Gains (Losses) (Dollars in millions) 2012   2011   2010 Assets           Loans held-for-sale $ (8 )   $ (181 )   $ 174 Loans and leases (2) (3,116 )   (4,813 )   (6,074 ) Foreclosed properties (188 )   (333 )   (240 ) Other assets (16 )   —   (50 ) (1)  Amounts are included in other assets on the Corporation’s 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)  Losses represent charge-offs on real estate-secured loans. The table below presents information about significant unobservable inputs related to the Corporation’s nonrecurring Level 3 financial assets and liabilities at December 31, 2012.             Quantitative Information about Nonrecurring Level 3 Fair Value Measurements             (Dollars in millions)     Inputs Financial Instrument Fair Value Valuation Technique Significant Unobservable Inputs Ranges of Inputs Weighted Average Instruments backed by residential real estate assets $ 9,932 Discounted cash flow, Market comparables Yield 3% to 5% 3 % Loans held-for-sale 748 Prepayment speed 3% to 30% 15 % Loans and leases 9,184 Default rate 0% to 55% 7 %     Loss severity 6% to 66% 48 %     OREO discount 0% to 28% 15 %     Cost to sell 8% n/a Instruments backed by commercial real estate assets $ 388 Discounted cash flow Yield 4% to 13% 6 % Loans held-for-sale 388 Loss severity 24% to 88% 53 % n/a = not applicable Instruments backed by residential real estate assets represent residential mortgages where the loan has been written down to the fair value of the underlying collateral or, in the case of LHFS, are carried at the lower of cost or fair value. In addition to the instruments disclosed in the table above, the Corporation holds foreclosed residential properties where the fair value is based on unadjusted third-party appraisals or broker price opinions. Appraisals are conducted every 90 days. Factors considered in determining the fair value include geographic sales trends, the value of comparable surrounding properties as well as the condition of the property.