Fair value Assets and liabilities measured on Recurring basis |
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.
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December 31, 2012 |
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Fair Value Measurements |
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|
(Dollars in millions) |
Level 1 (1)
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Level 2 (1)
|
|
Level 3 |
|
Netting Adjustments (2)
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|
Assets/Liabilities at Fair Value |
Assets |
|
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|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
98,670 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
98,670 |
|
Trading account assets: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
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|
8,073 |
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|
(1,329,971 |
) |
|
53,497 |
|
AFS debt securities: |
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|
|
|
|
|
|
|
|
|
|
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U.S. Treasury securities and agency securities |
21,514 |
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|
2,958 |
|
|
— |
|
|
— |
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|
24,472 |
|
Mortgage-backed securities: |
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|
|
|
|
|
|
|
|
|
|
|
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Agency |
— |
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|
188,149 |
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|
— |
|
|
— |
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|
188,149 |
|
Agency-collateralized mortgage obligations |
— |
|
|
37,538 |
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|
— |
|
|
— |
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|
37,538 |
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Non-agency residential |
— |
|
|
9,494 |
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— |
|
|
— |
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|
9,494 |
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Non-agency commercial |
— |
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|
3,914 |
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|
10 |
|
|
— |
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|
3,924 |
|
Non-U.S. securities |
2,637 |
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|
2,981 |
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|
— |
|
|
— |
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|
5,618 |
|
Corporate/Agency bonds |
— |
|
|
1,358 |
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|
92 |
|
|
— |
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|
1,450 |
|
Other taxable securities |
20 |
|
|
8,180 |
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|
3,928 |
|
|
— |
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|
12,128 |
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Tax-exempt securities |
— |
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|
3,072 |
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|
1,061 |
|
|
— |
|
|
4,133 |
|
Total AFS debt securities |
24,171 |
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|
257,644 |
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|
5,091 |
|
|
— |
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|
286,906 |
|
Loans and leases |
— |
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|
6,715 |
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|
2,287 |
|
|
— |
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|
9,002 |
|
Mortgage servicing rights |
— |
|
|
— |
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|
5,716 |
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|
— |
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|
5,716 |
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Loans held-for-sale |
— |
|
|
8,926 |
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|
2,733 |
|
|
— |
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|
11,659 |
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Other assets |
19,026 |
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|
18,828 |
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|
3,129 |
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|
— |
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|
40,983 |
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Total assets |
$ |
171,690 |
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|
$ |
1,865,352 |
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|
$ |
36,588 |
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|
$ |
(1,329,971 |
) |
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$ |
743,659 |
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Liabilities |
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|
|
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|
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Interest-bearing deposits in U.S. offices |
$ |
— |
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|
$ |
2,262 |
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|
$ |
— |
|
|
$ |
— |
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$ |
2,262 |
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Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
42,639 |
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|
— |
|
|
— |
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|
42,639 |
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Trading account liabilities: |
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U.S. government and agency securities |
22,351 |
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|
1,079 |
|
|
— |
|
|
— |
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|
23,430 |
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Equity securities |
19,852 |
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|
2,640 |
|
|
— |
|
|
— |
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|
22,492 |
|
Non-U.S. sovereign debt |
18,875 |
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|
1,369 |
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|
— |
|
|
— |
|
|
20,244 |
|
Corporate securities and other |
487 |
|
|
6,870 |
|
|
64 |
|
|
— |
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|
7,421 |
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Total trading account liabilities |
61,565 |
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|
11,958 |
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|
64 |
|
|
— |
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|
73,587 |
|
Derivative liabilities (3)
|
2,859 |
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|
1,355,309 |
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|
6,605 |
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(1,318,757 |
) |
|
46,016 |
|
Other short-term borrowings |
— |
|
|
4,074 |
|
|
— |
|
|
— |
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|
4,074 |
|
Accrued expenses and other liabilities |
15,457 |
|
|
1,122 |
|
|
15 |
|
|
— |
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|
16,594 |
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Long-term debt |
— |
|
|
46,860 |
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|
2,301 |
|
|
— |
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|
49,161 |
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Total liabilities |
$ |
79,881 |
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|
$ |
1,464,224 |
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|
$ |
8,985 |
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|
$ |
(1,318,757 |
) |
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$ |
234,333 |
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|
(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.
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(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
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(3) |
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
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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.
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|
Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings |
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|
Level 3 – Fair Value Measurements (1)
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|
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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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. |
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. |
|