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

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2012

Jun. 30, 2011

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 June 30, 2012 and December 31, 2011, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	June 30, 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	$	—	$	94,687	$	—	$	—		$	94,687
Trading account assets:
U.S. government and agency securities	51,020		25,214		—		—			76,234
Corporate securities, trading loans and other	1,415		26,215		4,459		—			32,089
Equity securities	19,009		9,912		597		—			29,518
Non-U.S. sovereign debt	38,333		12,557		389		—			51,279
Mortgage trading loans and ABS	—		10,787		4,818		—			15,605
Total trading account assets	109,777		84,685		10,263		—			204,725
Derivative assets ⁽³⁾	2,393		1,562,365		11,397		(1,516,216		)	59,939
AFS debt securities:
U.S. Treasury securities and agency securities	26,681		3,150		—		—			29,831
Mortgage-backed securities:
Agency	—		194,191		—		—			194,191
Agency-collateralized mortgage obligations	—		39,149		—		—			39,149
Non-agency residential	—		10,514		1		—			10,515
Non-agency commercial	—		4,103		24		—			4,127
Non-U.S. securities	3,133		2,632		—		—			5,765
Corporate/Agency bonds	—		2,029		93		—			2,122
Other taxable securities	20		6,944		4,558		—			11,522
Tax-exempt securities	—		1,687		1,140		—			2,827
Total AFS debt securities	29,834		264,399		5,816		—			300,049
Loans and leases	—		6,726		1,635		—			8,361
Mortgage servicing rights	—		—		5,708		—			5,708
Loans held-for-sale	—		7,446		2,741		—			10,187
Other assets	19,570		9,919		3,136		—			32,625
Total assets	$	161,574	$	2,030,227	$	40,696	$	(1,516,216	)	$	716,281
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	2,874	$	—	$	—		$	2,874
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		48,663		—		—			48,663
Trading account liabilities:
U.S. government and agency securities	22,481		1,478		—		—			23,959
Equity securities	22,849		2,167		—		—			25,016
Non-U.S. sovereign debt	17,756		1,381		—		—			19,137
Corporate securities and other	616		8,587		143		—			9,346
Total trading account liabilities	63,702		13,613		143		—			77,458
Derivative liabilities ⁽³⁾	2,145		1,551,295		6,796		(1,508,721		)	51,515
Other short-term borrowings	—		4,468		—		—			4,468
Accrued expenses and other liabilities	15,972		1,535		2		—			17,509
Long-term debt	—		45,957		2,388		—			48,345
Total liabilities	$	81,819	$	1,668,405	$	9,329	$	(1,508,721	)	$	250,832

⁽¹⁾

During the six months ended June 30, 2012, $1.7 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 transfer from Level 1 to Level 2, $640 million was due to a restriction that became effective for a private equity investment during the first quarter of 2012, while $535 million of the transfer from Level 2 to Level 1 was due to the lapse of this restriction during the second quarter of 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.

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

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 the three and six months ended June 30, 2012 and 2011, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2012
									Gross
(Dollars in millions)	Balance April 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 June 30 2012
Trading account assets:
Corporate securities, trading loans and other ^{(2, 3)}	$	6,001		$	30		$	—	$	570	$	(1,585	)	$	—		$	(556	)	$	98		$	(99	)	$	4,459
Equity securities	525			(6		)	—		45		(38		)	—			46			25			—			597
Non-U.S. sovereign debt	546			(26		)	—		35		(166		)	—			—			—			—			389
Mortgage trading loans and ABS⁽³⁾	4,012			(16		)	—		1,183		(181		)	—			(173		)	—			(7		)	4,818
Total trading account assets	11,084			(18		)	—		1,833		(1,970		)	—			(683		)	123			(106		)	10,263
Net derivative assets ⁽⁴⁾	4,187			1,110			—		354		(301		)	—			(676		)	(39		)	(34		)	4,601
AFS debt securities:
Mortgage-backed securities:
Agency	33			—			—		—		—			—			—			—			(33		)	—
Non-agency residential	29			—			—		—		(12		)	—			(2		)	—			(14		)	1
Non-agency commercial	38			—			—		—		(11		)	—			(3		)	—			—			24
Corporate/Agency bonds	131			—			—		—		—			—			(38		)	—			—			93
Other taxable securities	4,175			—			6		596		—			—			(68		)	—			(151		)	4,558
Tax-exempt securities	1,895			28			7		—		(34		)	—			(756		)	—			—			1,140
Total AFS debt securities	6,301			28			13		596		(57		)	—			(867		)	—			(198		)	5,816
Loans and leases ^{(2, 5)}	2,782			51			—		—		(1,158		)	—			(47		)	—			7			1,635
Mortgage servicing rights ⁽⁵⁾	7,589			(1,592		)	—		—		(98		)	91			(282		)	—			—			5,708
Loans held-for-sale ⁽²⁾	2,862			10			—		6		(21		)	—			(129		)	13			—			2,741
Other assets ⁽⁶⁾	3,487			(102		)	—		6		(186		)	—			(69		)	—			—			3,136
Trading account liabilities – Corporate securities and other	(124		)	—			—		7		(42		)	—			—			—			16			(143		)
Accrued expenses and other liabilities ⁽²⁾	(3		)	1			—		—		—			—			—			—			—			(2		)
Long-term debt ⁽²⁾	(2,500		)	93			—		42		—			(73		)	275			(506		)	281			(2,388		)


⁽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⁾

During the three months ended June 30, 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.


⁽⁴⁾	Net derivatives include derivative assets of $11.4 billion and derivative liabilities of $6.8 billion.


⁽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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended June 30, 2011
												Gross
(Dollars in millions)	Balance April 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 June 30 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	7,578		$	—	$	181		$	—		$	2,030	$	(2,187	)	$	—		$	(338	)	$	246		$	(58	)	$	7,452
Equity securities	734			—		24			—			75		(136		)	—			(115		)	81			(1		)	662
Non-U.S. sovereign debt	252			—		80			—			74		(11		)	—			(3		)	3			(4		)	391
Mortgage trading loans and ABS	6,697			—		80			—			1,066		(2,160		)	—			(164		)	—			—			5,519
Total trading account assets	15,261			—		365			—			3,245		(4,494		)	—			(620		)	330			(63		)	14,024
Net derivative assets ⁽³⁾	6,419			—		1,807			—			384		(512		)	—			(2,390		)	33			(323		)	5,418
AFS debt securities:
Mortgage-backed securities:
Agency-collateralized mortgage obligations	56			—		—			—			—		—			—			(1		)	—			—			55
Non-agency residential	1,203			—		(29		)	(6		)	2		(53		)	—			(27		)	4			—			1,094
Non-agency commercial	19			—		—			—			—		—			—			(1		)	—			—			18
Non-U.S. securities	—			—		—			—			—		—			—			—			88			—			88
Corporate/Agency bonds	133			—		—			(2		)	86		—			—			—			7			—			224
Other taxable securities	11,024			—		23			5			898		(1		)	—			(1,573		)	—			(2		)	10,374
Tax-exempt securities	1,146			—		9			(39		)	683		(23		)	—			(205		)	38			—			1,609
Total AFS debt securities	13,581			—		3			(42		)	1,669		(77		)	—			(1,807		)	137			(2		)	13,462
Loans and leases ^{(2, 4)}	3,619			5,194		37			—			21		(267		)	1,821			(828		)	—			—			9,597
Mortgage servicing rights ⁽⁴⁾	15,282			—		(2,447		)	—			—		(234		)	410			(639		)	—			—			12,372
Loans held-for-sale ⁽²⁾	4,259			—		7			—			92		(70		)	—			(469		)	219			(26		)	4,012
Other assets ⁽⁵⁾	4,193			—		180			—			95		(243		)	—			(105		)	375			—			4,495
Trading account liabilities – Corporate securities and other	(102		)	—		—			—			69		(30		)	—			—			—			—			(63		)
Other short-term borrowings ⁽²⁾	(726		)	—		(36		)	—			—		—			—			18			—			—			(744		)
Accrued expenses and other liabilities ⁽²⁾	(689		)	—		(79		)	—			—		—			(9		)	—			—			—			(777		)
Long-term debt ⁽²⁾	(3,138		)	—		5			—			131		(55		)	(206		)	149			(393		)	183			(3,324		)


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


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


⁽³⁾	Net derivatives include derivative assets of $15.2 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 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2012
Trading account assets:
Corporate securities, trading loans and other ^{(2, 3)}	$	6,880		$	123		$	—	$	1,245		$	(2,650	)	$	—		$	(745	)	$	157		$	(551	)	$	4,459
Equity securities	544			9			—		124			(147		)	—			36			33			(2		)	597
Non-U.S. sovereign debt	342			(2		)	—		308			(247		)	—			—			—			(12		)	389
Mortgage trading loans and ABS⁽³⁾	3,689			83			—		1,367			(636		)	—			(262		)	742			(165		)	4,818
Total trading account assets	11,455			213			—		3,044			(3,680		)	—			(971		)	932			(730		)	10,263
Net derivative assets ⁽⁴⁾	5,866			273			—		713			(622		)	—			(1,310		)	67			(386		)	4,601
AFS debt securities:
Mortgage-backed securities:
Agency	37			—			—		—			—			—			(4		)	—			(33		)	—
Non-agency residential	860			(69		)	19		—			(305		)	—			(2		)	—			(502		)	1
Non-agency commercial	40			—			—		—			(11		)	—			(5		)	—			—			24
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			(38		)	—			(27		)	93
Other taxable securities	4,265			7			23		958			—			—			(486		)	—			(209		)	4,558
Tax-exempt securities	2,648			54			25		—			(69		)	—			(1,518		)	—			—			1,140
Total AFS debt securities	8,012			(10		)	67		956			(385		)	—			(2,053		)	—			(771		)	5,816
Loans and leases ^{(2, 5)}	2,744			215			—		—			(1,158		)	—			(164		)	—			(2		)	1,635
Mortgage servicing rights ⁽⁵⁾	7,378			(937		)	—		—			(98		)	168			(803		)	—			—			5,708
Loans held-for-sale ⁽²⁾	3,387			179			—		10			(21		)	—			(226		)	44			(632		)	2,741
Other assets ⁽⁶⁾	4,235			(134		)	—		49			(767		)	—			(236		)	—			(11		)	3,136
Trading account liabilities – Corporate securities and other	(114		)	—			—		55			(69		)	—			—			(65		)	50			(143		)
Accrued expenses and other liabilities ⁽²⁾	(14		)	4			—		5			—			—			—			—			3			(2		)
Long-term debt ⁽²⁾	(2,943		)	(148		)	—		118			(33		)	(138		)	708			(1,038		)	1,086			(2,388		)


⁽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⁾

During the six months ended June 30, 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.


⁽⁴⁾	Net derivatives include derivative assets of $11.4 billion and derivative liabilities of $6.8 billion.


⁽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.



Level 3 – Fair Value Measurements ⁽¹⁾
	Six Months Ended June 30, 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 June 30 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	7,751		$	—	$	675		$	—		$	3,580	$	(4,537	)	$	—		$	(519	)	$	815		$	(313	)	$	7,452
Equity securities	623			—		67			—			175		(206		)	—			(115		)	120			(2		)	662
Non-U.S. sovereign debt	243			—		85			—			122		(15		)	—			(3		)	3			(44		)	391
Mortgage trading loans and ABS	6,908			—		642			—			1,832		(3,246		)	—			(228		)	1			(390		)	5,519
Total trading account assets	15,525			—		1,469			—			5,709		(8,004		)	—			(865		)	939			(749		)	14,024
Net derivative assets ⁽³⁾	7,745			—		2,245			—			886		(1,260		)	—			(4,060		)	340			(478		)	5,418
AFS debt securities:
Mortgage-backed securities:
Agency	4			—		—			—			—		—			—			—			—			(4		)	—
Agency-collateralized mortgage obligations	—			—		—			—			56		—			—			(1		)	—			—			55
Non-agency residential	1,468			—		(45		)	(28		)	2		(290		)	—			(289		)	276			—			1,094
Non-agency commercial	19			—		—			—					—			—			(1		)	—			—			18
Non-U.S. securities	3			—		—			—			—		—			—			—			88			(3		)	88
Corporate/Agency bonds	137			—		2			(1		)	86		(7		)	—			—			7			—			224
Other taxable securities	13,018			—		52			62			1,450		(53		)	—			(4,155		)	2			(2		)	10,374
Tax-exempt securities	1,224			—		6			(33		)	683		(72		)	—			(237		)	38			—			1,609
Total AFS debt securities	15,873			—		15			—			2,277		(422		)	—			(4,683		)	411			(9		)	13,462
Loans and leases ^{(2, 4)}	3,321			5,194		209			—			21		(376		)	2,667			(1,444		)	5			—			9,597
Mortgage servicing rights ⁽⁴⁾	14,900			—		(2,200		)	—			—		(234		)	1,251			(1,345		)	—			—			12,372
Loans held-for-sale ⁽²⁾	4,140			—		185			—			123		(243		)	—			(592		)	441			(42		)	4,012
Other assets ⁽⁵⁾	6,856			—		302			—			172		(1,184		)	—			(393		)	375			(1,633		)	4,495
Trading account liabilities – Corporate securities and other	(7		)	—		—			—			76		(132		)	—			—			—			—			(63		)
Other short-term borrowings ⁽²⁾	(706		)	—		(82		)	—			—		—			—			44			—			—			(744		)
Accrued expenses and other liabilities ⁽²⁾	(828		)	—		64			—			—		(4		)	(9		)	—			—			—			(777		)
Long-term debt ⁽²⁾	(2,986		)	—		(143		)	—			215		(55		)	(249		)	388			(1,030		)	536			(3,324		)


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


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


⁽³⁾	Net derivatives include derivative assets of $15.2 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 following tables summarize changes in unrealized gains (losses) recorded in earnings during the three and six months ended June 30, 2012 and 2011 for Level 3 assets and liabilities that were still held at June 30, 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 June 30, 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⁾	$	—		$	(30	)	$	—		$	—		$	(30	)
Equity securities	—			(6		)	—			—			(6		)
Non-U.S. sovereign debt	—			(25		)	—			—			(25		)
Mortgage trading loans and ABS	—			(26		)	—			—			(26		)
Total trading account assets	—			(87		)	—			—			(87		)
Net derivative assets	—			227			571			—			798
Loans and leases ⁽²⁾	—			—			—			51			51
Mortgage servicing rights	—			—			(1,722		)	—			(1,722		)
Loans held-for-sale ⁽²⁾	—			—			5			(9		)	(4		)
Other assets	(46		)	—			(34		)	(47		)	(127		)
Trading account liabilities – Corporate securities and other	—			(2		)	—			—			(2		)
Long-term debt ⁽²⁾	—			82			—			13			95
Total	$	(46	)	$	220		$	(1,180	)	$	8		$	(998	)

	Three Months Ended June 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	(20	)	$	—		$	—		$	(20	)
Equity securities	—			(40		)	—			—			(40		)
Non-U.S. sovereign debt	—			67			—			—			67
Mortgage trading loans and ABS	—			(40		)	—			—			(40		)
Total trading account assets	—			(33		)	—			—			(33		)
Net derivative assets	—			460			166			—			626
AFS debt securities:
Non-agency residential MBS	—			—			—			(29		)	(29		)
Total AFS debt securities	—			—			—			(29		)	(29		)
Mortgage servicing rights	—			—			(2,869		)	—			(2,869		)
Loans held-for-sale ⁽²⁾	—			—			(36		)	3			(33		)
Other assets	150			—			(12		)	—			138
Other short-term borrowings ⁽²⁾	—			—			(28		)	—			(28		)
Accrued expenses and other liabilities ⁽²⁾	—			—			—			(174		)	(174		)
Long-term debt ⁽²⁾	—			(10		)	—			3			(7		)
Total	$	150		$	417		$	(2,779	)	$	(197	)	$	(2,409	)


⁽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.



Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
	Six Months Ended June 30, 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⁾	$	—		$	(7	)	$	—		$	—			$	(7	)
Equity securities	—			6			—			—				6
Mortgage trading loans and ABS	—			14			—			—				14
Total trading account assets	—			13			—			—				13
Net derivative assets	—			(1,115		)	934			—				(181		)
Loans and leases ⁽²⁾	—			—			—			217				217
Mortgage servicing rights	—			—			(1,252		)	—				(1,252		)
Loans held-for-sale ⁽²⁾	—			—			62			64				126
Other assets	(36		)	—			(40		)	(81		)		(157		)
Trading account liabilities – Corporate securities and other	—			4			—			—				4
Long-term debt ⁽²⁾	—			(12		)	—			(54		)		(66		)
Total	$	(36	)	$	(1,110	)	$	(296	)	$	146			$	(1,296	)

	Six Months Ended June 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	286		$	—		$	—			$	286
Equity securities	—			(21		)	—			—				(21		)
Non-U.S. sovereign debt	—			70			—			—				70
Mortgage trading loans and ABS	—			278			—			—				278
Total trading account assets	—			613			—			—				613
Net derivative assets	—			247			192			—				439
AFS debt securities:
Non-agency residential MBS	—			—			—			(99		)		(99		)
Total AFS debt securities	—			—			—			(99		)		(99		)
Loans and leases ⁽²⁾	—			—			—			127				127
Mortgage servicing rights	—			—			(2,933		)	—				(2,933		)
Loans held-for-sale ⁽²⁾	—			—			(48		)	91				43
Other assets	137			—			(11		)	—				126
Other short-term borrowings ⁽²⁾	—			—			(61		)	—				(61		)
Accrued expenses and other liabilities ⁽²⁾	—			—			—			(90		)		(90		)
Long-term debt ⁽²⁾	—			(102		)	—			(53		)		(155		)
Total	$	137		$	758		$	(2,861	)	$	(24	)	—	$	(1,990	)


⁽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 June 30, 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
Loans and Securities ⁽¹⁾
Instruments backed by residential real estate assets	$	4,245		Discounted cash flow, Market comparables	Yield	1% to 25%
Trading account assets – Mortgage trading loans and ABS	784				Prepayment speed	0% to 28% CPR
Loans and leases	1,185				Default rate	0% to 54% CDR
Loans held-for-sale	2,276				Loss severity	0% to 80%
Instruments backed by commercial real estate assets	$	2,438		Discounted cash flow	Yield	1% to 10%
Trading account assets – Mortgage trading loans and ABS	299				Loss severity	0% to 97%
Loans held-for-sale	465
Other assets	1,674
Commercial loans, debt securities and other	$	10,215		Discounted cash flow, Market comparables	Yield	0% to 20%
Trading account assets – Corporate securities, trading loans and other	2,729				Enterprise value/EBITDA multiple	3x to 7x
Trading account assets – Mortgage trading loans and ABS	3,735				Prepayment speed	5% to 25%
AFS debt securities – Other taxable securities	3,301				Default rate	1% to 5%
Loans and leases	450				Loss severity	25% to 40%
Auction rate securities	$	4,127		Discounted cash flow, Market comparables	Weighted-average life	5 years
Trading account assets – Corporate securities, trading loans and other	1,730				Discount rate	LIBOR +200 or JJK +150
AFS debt securities – Other taxable securities	1,257				Projected tender price/Re-financing level	50% to 100%
AFS debt securities – Tax-exempt securities	1,140				Projected tender price/Re-financing level
Structured liabilities
Long-term debt	$	(2,388	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	30% to 97%
					Long-dated volatilities	20% to 70%

⁽¹⁾

The categories presented in the table above have been aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 218: Trading account assets – Corporate securities, trading loans and other of $4.5 billion, Trading account assets – Mortgage trading loans and ABS of $4.8 billion, AFS debt securities – Other taxable securities of $4.6 billion, AFS debt securities – Tax-exempt securities of $1.1 billion, Loans and leases of $1.6 billion, LHFS of $2.7 billion and Other assets of $1.7 billion.


⁽²⁾	Includes models such as Monte Carlo simulation and Black-Scholes.

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			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs
Net derivatives assets
Credit derivatives	$	4,639		Discounted cash flow, Hazard rate model⁽¹⁾, Stochastic recovery correlation model	Yield	0% to 25%
					Credit spreads	100 bps to 500 bps
					Upfront points	53 points to 99 points
					Spread to index	-2,000 bps to 2,000 bps
					Credit correlation	30% to 80%
					Prepayment speed	0% to -28% CPR
					Default rate	0% to 5% CDR
					Loss severity	0% to 70%
Equity derivatives	$	(481	)	Industry standard derivative pricing⁽²⁾	Equity correlation	30% to 97%
					Long-dated volatilities	20% to 70%

Commodity derivatives	$	(1	)	Discounted cash flow	Long-term natural gas basis curve	-$0.53 to $0.30
Interest rate derivatives	$	444		Industry standard derivative pricing ⁽²⁾	Correlation (IR/IR)	15% to 100%
					Correlation (FX/IR)	-65% to 50%
					Long-dated inflation rates	1% to 3%
					Long-dated inflation volatilities	0% to 1%
					Long-dated volatilities (FX)	7% to 38%
					Long-dated swap rates	9% to 11%
Total net derivative assets	$	4,601


⁽¹⁾	The hazard rate model is an industry standard model for valuing CDS for single names or indices.


⁽²⁾	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

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis



Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis
	June 30, 2012				Three Months Ended June 30, 2012			Six Months Ended June 30, 2012
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	683	$	1,139	$	(66	)	$	(1	)
Loans and leases ⁽¹⁾	27		6,902		(1,213		)	(2,350		)
Foreclosed properties ⁽²⁾	67		1,305		(65		)	(156		)
Other assets	39		11		(2		)	(2		)

	June 30, 2011				Three Months Ended June 30, 2011			Six Months Ended June 30, 2011
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	1,049	$	1,779	$	(12	)	$	52
Loans and leases ⁽¹⁾	17		9,437		(1,679		)	(3,097		)
Foreclosed properties ⁽²⁾	—		2,405		(75		)	(147		)
Other assets	—		96		(19		)	(23		)


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


⁽²⁾	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.

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 June 30, 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
Instruments backed by residential real estate assets	$	8,041	Discounted cash flows, Market comparables	Yield	4% to 7%
Loans held-for-sale	1,139			Prepayment speed	3% to 27%
Loans and leases	6,902			Default rate	0% to 61%
				Loss severity	0% to 62%
				OREO discount	0% to 28%
				Cost to sell	8%

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 June 30, 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⁾	$	—		$	30		$	—		$	—		$	30
Equity securities	—			(6		)	—			—			(6		)
Non-U.S. sovereign debt	—			(26		)	—			—			(26		)
Mortgage trading loans and ABS	—			(16		)	—			—			(16		)
Total trading account assets	—			(18		)	—			—			(18		)
Net derivative assets	—			229			881			—			1,110
AFS debt securities:
Tax-exempt securities	—			—			—			28			28
Total AFS debt securities	—			—			—			28			28
Loans and leases ⁽²⁾	—			—			—			51			51
Mortgage servicing rights	—			—			(1,592		)	—			(1,592		)
Loans held-for-sale ⁽²⁾	—			—			5			5			10
Other assets	(21		)	—			(34		)	(47		)	(102		)
Accrued expenses and other liabilities ⁽²⁾	—			—			—			1			1
Long-term debt ⁽²⁾	—			80			—			13			93
Total	$	(21	)	$	291		$	(740	)	$	51		$	(419	)

	Three Months Ended June 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	181		$	—		$	—		$	181
Equity securities	—			24			—			—			24
Non-U.S. sovereign debt	—			80			—			—			80
Mortgage trading loans and ABS	—			80			—			—			80
Total trading account assets	—			365			—			—			365
Net derivative assets	—			556			1,251			—			1,807
AFS debt securities:
Non-agency residential MBS	—			—			—			(29		)	(29		)
Other taxable securities	—			—			—			23			23
Tax-exempt securities	—			—			—			9			9
Total AFS debt securities	—			—			—			3			3
Loans and leases ⁽²⁾	—			—			(13		)	50			37
Mortgage servicing rights	—			—			(2,447		)	—			(2,447		)
Loans held-for-sale ⁽²⁾	—			—			(13		)	20			7
Other assets	192			—			(12		)	—			180
Other short-term borrowings ⁽²⁾	—			—			(36		)	—			(36		)
Accrued expenses and other liabilities ⁽²⁾	—			(2		)	74			(151		)	(79		)
Long-term debt ⁽²⁾	—			(10		)	—			15			5
Total	$	192		$	909		$	(1,196	)	$	(63	)	$	(158	)


⁽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.



Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
	Six Months Ended June 30, 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⁾	$	—		$	123		$	—		$	—		$	123
Equity securities	—			9			—			—			9
Non-U.S. sovereign debt	—			(2		)	—			—			(2		)
Mortgage trading loans and ABS	—			83			—			—			83
Total trading account assets	—			213			—			—			213
Net derivative assets	—			(1,144		)	1,417			—			273
AFS debt securities:
Non-agency residential MBS	—			—			—			(69		)	(69		)
Corporate/Agency bonds	—			—			—			(2		)	(2		)
Other taxable securities	—			—			—			7			7
Tax-exempt securities	—			—			—			54			54
Total AFS debt securities	—			—			—			(10		)	(10		)
Loans and leases ⁽²⁾	—			—			—			215			215
Mortgage servicing rights	—			—			(937		)	—			(937		)
Loans held-for-sale ⁽²⁾	—			—			95			84			179
Other assets	(11		)	—			(42		)	(81		)	(134		)
Accrued expenses and other liabilities ⁽²⁾	—			—			—			4			4
Long-term debt ⁽²⁾	—			(59		)	—			(89		)	(148		)
Total	$	(11	)	$	(990	)	$	533		$	123		$	(345	)

	Six Months Ended June 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	675		$	—		$	—		$	675
Equity securities	—			67			—			—			67
Non-U.S. sovereign debt	—			85			—			—			85
Mortgage trading loans and ABS	—			642			—			—			642
Total trading account assets	—			1,469			—			—			1,469
Net derivative assets	—			97			2,148			—			2,245
AFS debt securities:
Non-agency residential MBS	—			—			—			(45		)	(45		)
Corporate/Agency bonds	—			—			—			2			2
Other taxable securities	—			12			—			40			52
Tax-exempt securities	—			(3		)	—			9			6
Total AFS debt securities	—			9			—			6			15
Loans and leases ⁽²⁾	—			—			(13		)	222			209
Mortgage servicing rights	—			—			(2,200		)	—			(2,200		)
Loans held-for-sale ⁽²⁾	—			—			(11		)	196			185
Other assets	314			—			(12		)	—			302
Other short-term borrowings ⁽²⁾	—			—			(82		)	—			(82		)
Accrued expenses and other liabilities ⁽²⁾	—			(10		)	74			—			64
Long-term debt ⁽²⁾	—			(102		)	—			(41		)	(143		)
Total	$	314		$	1,463		$	(96	)	$	383		$	2,064


⁽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