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

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Fair value Assets and liabilities measured on Recurring basis

Assets and liabilities carried at fair value on a recurring basis at March 31, 2012 and December 31, 2011, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	March 31, 2012
	Fair Value Measurements
(Dollars in millions)	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Netting Adjustments ⁽²⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	95,003	$	—	$	—		$	95,003
Trading account assets:
U.S. government and agency securities	44,083		25,581		—		—			69,664
Corporate securities, trading loans and other	994		32,115		6,001		—			39,110
Equity securities	24,574		8,236		525		—			33,335
Non-U.S. sovereign debt	40,245		11,280		546		—			52,071
Mortgage trading loans and ABS	—		11,583		4,012		—			15,595
Total trading account assets	109,896		88,795		11,084		—			209,775
Derivative assets ⁽³⁾	2,780		1,488,433		11,315		(1,443,477		)	59,051
AFS debt securities:
U.S. Treasury securities and agency securities	36,539		3,427		—		—			39,966
Mortgage-backed securities:
Agency	—		175,058		33		—			175,091
Agency-collateralized mortgage obligations	—		42,355		—		—			42,355
Non-agency residential	—		11,441		29		—			11,470
Non-agency commercial	—		4,861		38		—			4,899
Non-U.S. securities	3,363		3,205		—		—			6,568
Corporate/Agency bonds	—		2,290		131		—			2,421
Other taxable securities	20		6,422		4,175		—			10,617
Tax-exempt securities	—		1,758		1,895		—			3,653
Total AFS debt securities	39,922		250,817		6,301		—			297,040
Loans and leases	—		6,410		2,782		—			9,192
Mortgage servicing rights	—		—		7,589		—			7,589
Loans held-for-sale	—		4,696		2,862		—			7,558
Other assets	22,153		10,031		3,487		—			35,671
Total assets	$	174,751	$	1,944,185	$	45,420	$	(1,443,477	)	$	720,879
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	3,191	$	—	$	—		$	3,191
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		54,434		—		—			54,434
Trading account liabilities:
U.S. government and agency securities	19,789		761		—		—			20,550
Equity securities	19,571		2,080		—		—			21,651
Non-U.S. sovereign debt	17,866		1,180		—		—			19,046
Corporate securities and other	638		8,405		124		—			9,167
Total trading account liabilities	57,864		12,426		124		—			70,414
Derivative liabilities ⁽³⁾	2,437		1,468,536		7,128		(1,428,929		)	49,172
Other short-term borrowings	—		6,395		—		—			6,395
Accrued expenses and other liabilities	16,775		1,681		3		—			18,459
Long-term debt	—		48,537		2,500		—			51,037
Total liabilities	$	77,076	$	1,595,200	$	9,755	$	(1,428,929	)	$	253,102

⁽¹⁾

During the three months ended March 31, 2012, approximately $1.7 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and approximately $250 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Approximately $640 million of the transfer from Level 1 to Level 2 was due to a restriction that became effective for a private equity investment. The remaining transfers were the result of additional information associated with certain equities, derivative contracts and private equity investments.


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


⁽³⁾	For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.



	December 31, 2011
	Fair Value Measurements
(Dollars in millions)	Level 1 ⁽¹⁾		Level 2 ⁽¹⁾		Level 3		Netting Adjustments ⁽²⁾			Assets/Liabilities at Fair Value
Assets
Federal funds sold and securities borrowed or purchased under agreements to resell	$	—	$	87,453	$	—	$	—		$	87,453
Trading account assets:
U.S. government and agency securities	30,540		22,073		—		—			52,613
Corporate securities, trading loans and other	1,067		28,624		6,880		—			36,571
Equity securities	17,181		5,949		544		—			23,674
Non-U.S. sovereign debt	33,667		8,937		342		—			42,946
Mortgage trading loans and ABS	—		9,826		3,689		—			13,515
Total trading account assets	82,455		75,409		11,455		—			169,319
Derivative assets ⁽³⁾	2,186		1,865,310		14,366		(1,808,839		)	73,023
AFS debt securities:
U.S. Treasury securities and agency securities	39,389		3,475		—		—			42,864
Mortgage-backed securities:
Agency	—		142,526		37		—			142,563
Agency-collateralized mortgage obligations	—		44,999		—		—			44,999
Non-agency residential	—		13,907		860		—			14,767
Non-agency commercial	—		5,482		40		—			5,522
Non-U.S. securities	1,664		3,256		—		—			4,920
Corporate/Agency bonds	—		2,873		162		—			3,035
Other taxable securities	20		8,593		4,265		—			12,878
Tax-exempt securities	—		1,955		2,648		—			4,603
Total AFS debt securities	41,073		227,066		8,012		—			276,151
Loans and leases	—		6,060		2,744		—			8,804
Mortgage servicing rights	—		—		7,378		—			7,378
Loans held-for-sale	—		4,243		3,387		—			7,630
Other assets	18,963		13,886		4,235		—			37,084
Total assets	$	144,677	$	2,279,427	$	51,577	$	(1,808,839	)	$	666,842
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	3,297	$	—	$	—		$	3,297
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		34,235		—		—			34,235
Trading account liabilities:
U.S. government and agency securities	19,120		1,590		—		—			20,710
Equity securities	13,259		1,335		—		—			14,594
Non-U.S. sovereign debt	16,760		680		—		—			17,440
Corporate securities and other	829		6,821		114		—			7,764
Total trading account liabilities	49,968		10,426		114		—			60,508
Derivative liabilities ⁽³⁾	2,055		1,850,804		8,500		(1,801,839		)	59,520
Other short-term borrowings	—		6,558		—		—			6,558
Accrued expenses and other liabilities	13,832		1,897		14		—			15,743
Long-term debt	—		43,296		2,943		—			46,239
Total liabilities	$	65,855	$	1,950,513	$	11,571	$	(1,801,839	)	$	226,100


⁽¹⁾	Gross transfers between Level 1 and Level 2 during 2011 were not significant.


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


⁽³⁾	For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.

Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended March 31, 2012
									Gross
(Dollars in millions)	Balance January 1 2012			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases			Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2012
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	6,880		$	93		$	—	$	675		$	(1,065	)	$	—		$	(189	)	$	59		$	(452	)	$	6,001
Equity securities	544			15			—		79			(109		)	—			(10		)	8			(2		)	525
Non-U.S. sovereign debt	342			24			—		273			(81		)	—			—			—			(12		)	546
Mortgage trading loans and ABS	3,689			99			—		184			(455		)	—			(89		)	742			(158		)	4,012
Total trading account assets	11,455			231			—		1,211			(1,710		)	—			(288		)	809			(624		)	11,084
Net derivative assets ⁽³⁾	5,866			(837		)	—		359			(321		)	—			(634		)	106			(352		)	4,187
AFS debt securities:
Mortgage-backed securities:
Agency	37			—			—		—			—			—			(4		)	—			—			33
Non-agency residential	860			(69		)	19		—			(293		)	—			—			—			(488		)	29
Non-agency commercial	40			—			—		—			—			—			(2		)	—			—			38
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			—			—			(27		)	131
Other taxable securities	4,265			7			17		362			—			—			(418		)	—			(58		)	4,175
Tax-exempt securities	2,648			26			18		—			(35		)	—			(762		)	—			—			1,895
Total AFS debt securities	8,012			(38		)	54		360			(328		)	—			(1,186		)	—			(573		)	6,301
Loans and leases ^{(2, 4)}	2,744			164			—		—			—			—			(117		)	—			(9		)	2,782
Mortgage servicing rights ⁽⁴⁾	7,378			655			—		—			—			77			(521		)	—			—			7,589
Loans held-for-sale ⁽²⁾	3,387			169			—		4			—			—			(97		)	31			(632		)	2,862
Other assets ⁽⁵⁾	4,235			(32		)	—		43			(581		)	—			(167		)	—			(11		)	3,487
Trading account liabilities – Corporate securities and other	(114		)	—			—		48			(27		)	—			—			(65		)	34			(124		)
Accrued expenses and other liabilities ⁽²⁾	(14		)	3			—		5			—			—			—			—			3			(3		)
Long-term debt ⁽²⁾	(2,943		)	(241		)	—		76			(33		)	(65		)	433			(532		)	805			(2,500		)


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


⁽²⁾	Amounts represent items that are accounted for under the fair value option.


⁽³⁾	Net derivatives include derivative assets of $11.3 billion and derivative liabilities of $7.1 billion.


⁽⁴⁾	Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.


⁽⁵⁾	Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended March 31, 2011
										Gross
(Dollars in millions)	Balance January 1 2011			Gains (Losses) in Earnings			Gains (Losses) in OCI			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	7,751		$	494		$	—		$	1,550	$	(2,350	)	$	—		$	(181	)	$	569		$	(255	)	$	7,578
Equity securities	623			43			—			100		(70		)	—			—			39			(1		)	734
Non-U.S. sovereign debt	243			5			—			48		(4		)	—			—			—			(40		)	252
Mortgage trading loans and ABS	6,908			562			—			766		(1,086		)	—			(64		)	1			(390		)	6,697
Total trading account assets	15,525			1,104			—			2,464		(3,510		)	—			(245		)	609			(686		)	15,261
Net derivative assets ⁽³⁾	7,745			438			—			502		(748		)	—			(1,670		)	307			(155		)	6,419
AFS debt securities:
Mortgage-backed securities:
Agency	4			—			—			—		—			—			—			—			(4		)	—
Agency-collateralized mortgage obligations	—			—			—			56		—			—			—			—			—			56
Non-agency residential	1,468			(16		)	(22		)	—		(237		)	—			(262		)	272			—			1,203
Non-agency commercial	19			—			—			—		—			—			—			—			—			19
Non-U.S. securities	3			—			—			—		—			—			—			—			(3		)	—
Corporate/Agency bonds	137			2			1			—		(7		)	—			—			—			—			133
Other taxable securities	13,018			29			57			552		(52		)	—			(2,582		)	2			—			11,024
Tax-exempt securities	1,224			(3		)	6			—		(49		)	—			(32		)	—			—			1,146
Total AFS debt securities	15,873			12			42			608		(345		)	—			(2,876		)	274			(7		)	13,581
Loans and leases ^{(2, 4)}	3,321			172			—			—		(109		)	846			(616		)	5			—			3,619
Mortgage servicing rights ⁽⁴⁾	14,900			247			—			—		—			841			(706		)	—			—			15,282
Loans held-for-sale ⁽²⁾	4,140			178			—			31		(173		)	—			(123		)	222			(16		)	4,259
Other assets ⁽⁵⁾	6,856			122			—			77		(941		)	—			(288		)	—			(1,633		)	4,193
Trading account liabilities – Corporate securities and other	(7		)	—			—			7		(102		)	—			—			—			—			(102		)
Other short-term borrowings ⁽²⁾	(706		)	(46		)	—			—		—			—			26			—			—			(726		)
Accrued expenses and other liabilities ⁽²⁾	(828		)	143			—			—		(4		)	—			—			—			—			(689		)
Long-term debt ⁽²⁾	(2,986		)	(148		)	—			84		—			(43		)	239			(637		)	353			(3,138		)


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


⁽²⁾	Amounts represent items that are accounted for under the fair value option.


⁽³⁾	Net derivatives include derivative assets of $16.2 billion and derivative liabilities of $9.8 billion.


⁽⁴⁾	Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.


⁽⁵⁾	Other assets is primarily comprised of AFS marketable equity securities.

Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

The table below summarizes changes in unrealized gains (losses) recorded in earnings during the three months ended March 31, 2012 and 2011 for Level 3 assets and liabilities that were still held at March 31, 2012 and 2011. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.



Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
	Three Months Ended March 31, 2012
(Dollars in millions)	Equity Investment Income (Loss)			Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other Income (Loss)			Total
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	56		$	—		$	—		$	56
Equity securities	—			11			—			—			11
Non-U.S. sovereign debt	—			13			—			—			13
Mortgage trading loans and ABS	—			53			—			—			53
Total trading account assets	—			133			—			—			133
Net derivative assets	—			(1,314		)	360			—			(954		)
Loans and leases ⁽²⁾	—			—			—			214			214
Mortgage servicing rights	—			—			470			—			470
Loans held-for-sale ⁽²⁾	—			—			55			23			78
Other assets	(19		)	—			6			(34		)	(47		)
Accrued expenses and other liabilities⁽²⁾	—			—			—			3			3
Long-term debt ⁽²⁾	—			(129		)	—			(102		)	(231		)
Total	$	(19	)	$	(1,310	)	$	891		$	104		$	(334	)

	Three Months Ended March 31, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	402		$	—		$	—		$	402
Equity securities	—			19			—			—			19
Non-U.S. sovereign debt	—			3			—			—			3
Mortgage trading loans and ABS	—			509			—			—			509
Total trading account assets	—			933			—			—			933
Net derivative assets	—			(290		)	428			—			138
AFS debt securities:
Non-agency residential MBS	—			—			—			(68		)	(68		)
Total AFS debt securities	—			—			—			(68		)	(68		)
Loans and leases ⁽²⁾	—			—			—			169			169
Mortgage servicing rights	—			—			(64		)	—			(64		)
Loans held-for-sale ⁽²⁾	—			—			(12		)	159			147
Other assets	(131		)	—			—			—			(131		)
Other short-term borrowings ⁽²⁾	—			—			(34		)	—			(34		)
Accrued expenses and other liabilities ⁽²⁾	—			(8		)	—			108			100
Long-term debt ⁽²⁾	—			(92		)	—			(56		)	(148		)
Total	$	(131	)	$	543		$	318		$	312		$	1,042


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


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

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at March 31, 2012.



Quantitative Information about Level 3 Fair Value Measurements
(Dollars in millions)				Inputs
Financial Instrument	Fair Value			Significant Unobservable Inputs	Ranges of Inputs
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	5,542		Yield	1% to 25%
Trading account assets – Mortgage trading loans and ABS	689			Prepayment speeds	0% to 25% CPR
Loans and leases	2,332			Default rates	0% to 54% CDR
Loans held-for-sale	2,521			Loss severities	0% to 80%
Instruments backed by commercial real estate assets	$	2,449		Yield	1% to 15%
Trading account assets – Mortgage trading loans and ABS	299			Loss severities	0% to 91%
Loans held-for-sale	341
Other assets	1,809
Instruments backed by other assets	$	3,089		Yield	1% to 5%
Trading account assets – Mortgage trading loans and ABS	184
AFS debt securities – Other taxable securities	2,455
Loans and leases	450
Corporate loans and debt securities	$	2,773		Yield	2% to 20%
Trading account assets – Corporate securities, trading loans and other	2,773			Enterprise value/EBITDA multiple	3x to 7x
Corporate CLOs and CDOs	$	4,520		Prepayment speed	5% to 25%
Trading account assets – Corporate securities, trading loans and other	1,219			Default rates	1% to 5%
Trading account assets – Mortgage trading loans and ABS	2,840			Loss severity	25% to 40%
AFS debt securities – Other taxable securities	461			Yield	2% to 20%
Auction rate securities	$	5,163		Weighted-average life	5 years
Trading account assets – Corporate securities, trading loans and other	2,009			Discount rate	LIBOR +200 or JJK +150
AFS debt securities – Other taxable securities	1,259			Projected tender price/Re-financing level	50% to 99%
AFS debt securities – Tax-exempt securities	1,895			Projected tender price/Re-financing level
Structured liabilities
Long-term debt	$	(2,500	)	Correlation (Index/Index)	50% to 97%
				Correlation (Stock/Stock)	30% to 80%
				Long-dated volatilities	20% to 70%

⁽¹⁾

The total amount of the Level 3 line items that cross multiple categories of loans and securities for which ranges of inputs are provided in the table above is as follows: trading account assets – corporate securities, trading loans and other of $6.0 billion, trading account assets – mortgage trading loans and ABS of $4.0 billion, AFS debt securities – other taxable securities of $4.2 billion, AFS debt securities – tax-exempt securities of $1.9 billion, loans and leases of $2.8 billion, LHFS of $2.9 billion and other assets of $1.8 billion. Such amounts agree to the respective line items in the table on page 194.

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

EBITDA = Earnings before interest, taxes, depreciation and amortization

JJK = J.J. Kenny (tax-exempt municipal rate)



Quantitative Information about Level 3 Fair Value Measurements (continued)
(Dollars in millions)				Inputs
Financial Instrument	Fair Value			Significant Unobservable Inputs	Ranges of Inputs
Net derivatives assets
Credit default swaps referencing CLOs and corporate assets	$	849		Prepayment speed	5% to 25%
				Default rates	1% to 5%
				Loss severity	25% to 40%
				Yield	2% to 20%
				Credit spreads	100 bps to 500 bps
				Recovery	30% to 50%
Credit default swaps referencing other assets	$	1,072		Upfront points	53 points to 99 points
				Correlation	45% to 70%
				Spread to index	-1,000 bps to 4,000 bps
				Yield	6% to 25%
				Prepayment speed	0% to 25% CPR
				Default rates	0% to 4% CDR
				Loss severity	0% to 65%
Structured credit derivatives	$	2,114		Default correlation	30% to 80%
				Wrong-way correlation	20% to 50%
				Ratings-based spreads	300 bps to 500 bps
Equity derivatives	$	(657	)	Correlation (Index/Index)	50% to 97%
				Correlation (Stock/Stock)	30% to 80%
				Long-dated volatilities	20% to 70%
Commodity derivatives	$	(14	)	Long-term natural gas basis curve	-$0.53 to $0.22
Interest rate derivatives	$	823		Correlation (IR/IR)	46% to 98%
				Correlation (FX/IR)	-65% to 50%
				Long-dated inflation rates	2% to 3%
				Long-dated inflation volatilities	1% to 2%
				Long-dated volatilities (IR, FX)	4% to 45%
				Long-dated swap rates	11% to 12%
Total net derivative assets	$	4,187

CPR = Constant Prepayment Rate

CDR = Constant Default Rate

IR = Interest Rate

FX = Foreign Exchange

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis



Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
	March 31, 2012				Three Months Ended March 31, 2012
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	3,465	$	857	$	68
Loans and leases ⁽¹⁾	21		5,813		(1,497		)
Foreclosed properties ⁽²⁾	—		2,149		(90		)
Other assets	—		14		—

	March 31, 2011				Three Months Ended March 31, 2011
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	587	$	5,043	$	38
Loans and leases ⁽¹⁾	22		7,598		(1,609		)
Foreclosed properties ⁽²⁾	—		2,028		(72		)
Other assets	—		91		(4		)


⁽¹⁾	Gains (losses) represent charge-offs on real estate-secured loans.


⁽²⁾	Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value and related losses on foreclosed properties that were written down subsequent to their initial classification as foreclosed properties.

Fair Value Inputs, Assets, Quantitative Information

The table below presents information about significant unobservable inputs related to the Corporation's nonrecurring Level 3 financial assets and liabilities at March 31, 2012.



Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
(Dollars in millions)			Inputs
Financial Instrument	Fair Value		Significant Unobservable Inputs	Ranges of Inputs
Instruments backed by residential real estate assets	$	6,537	Yield	4% to 7%
Loans held-for-sale	724		Prepayment speeds	3% to 24%
Loans and leases	5,813		Default rates	0% to 59%
			Loss severities	0% to 60%
			OREO discount	1% to 28%
			Cost to sell	8%
Instruments backed by commercial real estate assets	$	133	Yield	4% to 15%
Loans held-for-sale	133		Loss severities	0% to 91%

Fair Value, Inputs, Level 3 [Member]

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings



Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
	Three Months Ended March 31, 2012
(Dollars in millions)	Equity Investment Income (Loss)		Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other Income (Loss)			Total
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—	$	93		$	—		$	—		$	93
Equity securities	—		15			—			—			15
Non-U.S. sovereign debt	—		24			—			—			24
Mortgage trading loans and ABS	—		99			—			—			99
Total trading account assets	—		231			—			—			231
Net derivative assets	—		(1,373		)	536			—			(837		)
AFS debt securities:
Non-agency residential MBS	—		—			—			(69		)	(69		)
Corporate/Agency bonds	—		—			—			(2		)	(2		)
Other taxable securities	—		—			—			7			7
Tax-exempt securities	—		—			—			26			26
Total AFS debt securities	—		—			—			(38		)	(38		)
Loans and leases ⁽²⁾	—		—			—			164			164
Mortgage servicing rights	—		—			655			—			655
Loans held-for-sale ⁽²⁾	—		—			90			79			169
Other assets	10		—			(8		)	(34		)	(32		)
Accrued expenses and other liabilities ⁽²⁾	—		—			—			3			3
Long-term debt ⁽²⁾	—		(139		)	—			(102		)	(241		)
Total	$	10	$	(1,281	)	$	1,273		$	72		$	74

	Three Months Ended March 31, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—	$	494		$	—		$	—		$	494
Equity securities	—		43			—			—			43
Non-U.S. sovereign debt	—		5			—			—			5
Mortgage trading loans and ABS	—		562			—			—			562
Total trading account assets	—		1,104			—			—			1,104
Net derivative assets	—		(459		)	897			—			438
AFS debt securities:
Non-agency residential MBS	—		—			—			(16		)	(16		)
Corporate/Agency bonds	—		—			—			2			2
Other taxable securities	—		12			—			17			29
Tax-exempt securities	—		(3		)	—			—			(3		)
Total AFS debt securities	—		9			—			3			12
Loans and leases ⁽²⁾	—		—			—			172			172
Mortgage servicing rights	—		—			247			—			247
Loans held-for-sale ⁽²⁾	—		—			2			176			178
Other assets	122		—			—			—			122
Other short-term borrowings ⁽²⁾	—		—			(46		)	—			(46		)
Accrued expenses and other liabilities ⁽²⁾	—		(8		)	—			151			143
Long-term debt ⁽²⁾	—		(92		)	—			(56		)	(148		)
Total	$	122	$	554		$	1,100		$	446		$	2,222


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


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

- Definition

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

+ References + Details

- Definition

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

+ References + Details