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)

9 Months Ended

Sep. 30, 2012

Sep. 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 September 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.



	September 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	$	—	$	104,494	$	—	$	—		$	104,494
Trading account assets:
U.S. government and agency securities	42,933		24,606		—		—			67,539
Corporate securities, trading loans and other	1,137		28,602		4,173		—			33,912
Equity securities	26,366		11,886		573		—			38,825
Non-U.S. sovereign debt	41,291		12,624		303		—			54,218
Mortgage trading loans and ABS	—		11,690		4,906		—			16,596
Total trading account assets	111,727		89,408		9,955		—			211,090
Derivative assets ⁽³⁾	2,857		1,456,794		9,983		(1,411,769		)	57,865
AFS debt securities:
U.S. Treasury securities and agency securities	21,815		2,980		—		—			24,795
Mortgage-backed securities:
Agency	—		204,043		—		—			204,043
Agency-collateralized mortgage obligations	—		40,147		—		—			40,147
Non-agency residential	—		10,001		1		—			10,002
Non-agency commercial	—		4,104		23		—			4,127
Non-U.S. securities	3,322		2,426		—		—			5,748
Corporate/Agency bonds	—		1,990		93		—			2,083
Other taxable securities	20		7,056		5,121		—			12,197
Tax-exempt securities	—		1,746		1,061		—			2,807
Total AFS debt securities	25,157		274,493		6,299		—			305,949
Loans and leases	—		5,385		2,253		—			7,638
Mortgage servicing rights	—		—		5,087		—			5,087
Loans held-for-sale	—		7,764		3,313		—			11,077
Other assets	18,651		10,923		2,978		—			32,552
Total assets	$	158,392	$	1,949,261	$	39,868	$	(1,411,769	)	$	735,752
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	2,449	$	—	$	—		$	2,449
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		53,635		—		—			53,635
Trading account liabilities:
U.S. government and agency securities	18,055		596		—		—			18,651
Equity securities	19,901		2,459		—		—			22,360
Non-U.S. sovereign debt	21,036		1,165		—		—			22,201
Corporate securities and other	403		8,399		165		—			8,967
Total trading account liabilities	59,395		12,619		165		—			72,179
Derivative liabilities ⁽³⁾	2,625		1,441,542		7,023		(1,399,821		)	51,369
Other short-term borrowings	—		4,046		232		—			4,278
Accrued expenses and other liabilities	16,999		1,272		9		—			18,280
Long-term debt	—		47,622		2,290		—			49,912
Total liabilities	$	79,019	$	1,563,185	$	9,719	$	(1,399,821	)	$	252,102

⁽¹⁾

During the nine months ended September 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 transfers from Level 1 to Level 2, $640 million were due to a restriction that became effective for a private equity investment during the first quarter of 2012, while $535 million of the transfers from Level 2 to Level 1 were 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



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended September 30, 2011
										Gross
(Dollars in millions)	Balance July 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 September 30 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	7,452		$	(219	)	$	—		$	1,084	$	(757	)	$	—		$	(561	)	$	635		$	(142	)	$	7,492
Equity securities	608			(8		)	—			103		(92		)	—			(25		)	11			—			597
Non-U.S. sovereign debt	391			(17		)	—			3		(3		)	—			—			1			—			375
Mortgage trading loans and ABS	5,519			(112		)	—			97		(1,378		)	—			(80		)	18			(293		)	3,771
Total trading account assets	13,970			(356		)	—			1,287		(2,230		)	—			(666		)	665			(435		)	12,235
Net derivative assets ⁽³⁾	5,418			3,211			—			154		(200		)	—			(2,950		)	285			374			6,292
AFS debt securities:
Mortgage-backed securities:
Agency	—			—			—			13		—			—			—			—			—			13
Agency-collateralized mortgage obligations	55			—			—			—		—			—			—			—			—			55
Non-agency residential	1,094			(41		)	52			9		(3		)	—			(32		)	1			—			1,080
Non-agency commercial	18			—			—			17		—			—			—			—			—			35
Non-U.S. securities	88			—			—			—		—			—			—			—			(88		)	—
Corporate/Agency bonds	224			(4		)	(1		)	162		(9		)	—			—			—			(8		)	364
Other taxable securities	10,374			(25		)	(42		)	2,068		(2,187		)	—			(846		)	—			—			9,342
Tax-exempt securities	1,609			8			(9		)	2,179		(7		)	—			(234		)	—			(673		)	2,873
Total AFS debt securities	13,462			(62		)	—			4,448		(2,206		)	—			(1,112		)	1			(769		)	13,762
Loans and leases ^{(2, 4)}	9,597			(209		)	—			—		—			451			(194		)	—			(4,345		)	5,300
Mortgage servicing rights ⁽⁴⁾	12,372			(3,860		)	—			—		(218		)	251			(665		)	—			—			7,880
Loans held-for-sale ⁽²⁾	4,012			(142		)	—			15		(200		)	—			(112		)	61			(4		)	3,630
Other assets ⁽⁵⁾	4,549			54			—			1,703		(290		)	—			(266		)	—			—			5,750
Trading account liabilities – Corporate securities and other	(63		)	2			—			18		(3		)	—			—			(24		)	—			(70		)
Other short-term borrowings ⁽²⁾	(744		)	58			—			—		—			—			19			—			—			(667		)
Accrued expenses and other liabilities ⁽²⁾	(777		)	—			—			—		—			—			3			—			761			(13		)
Long-term debt ⁽²⁾	(3,324		)	388			—			125		(17		)	(218		)	366			(679		)	702			(2,657		)


⁽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 $16.0 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.

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 nine months ended September 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 September 30, 2012
										Gross
(Dollars in millions)	Balance July 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 September 30 2012
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	4,459		$	69		$	—		$	750	$	(848	)	$	—		$	(101	)	$	158		$	(314	)	$	4,173
Equity securities	597			15			—			43		(12		)	—			(9		)	5			(66		)	573
Non-U.S. sovereign debt	389			7			—			30		(112		)	—			(4		)	—			(7		)	303
Mortgage trading loans and ABS	4,818			111			—			380		(279		)	—			(124		)	3			(3		)	4,906
Total trading account assets	10,263			202			—			1,203		(1,251		)	—			(238		)	166			(390		)	9,955
Net derivative assets ⁽³⁾	4,601			(256		)	—			78		(211		)	—			(918		)	(350		)	16			2,960
AFS debt securities:
Mortgage-backed securities:
Non-agency residential	1			—			—			—		—			—			—			—			—			1
Non-agency commercial	24			—			—			—		—			—			(1		)	—			—			23
Corporate/Agency bonds	93			—			—			—		—			—			—			—			—			93
Other taxable securities	4,558			—			28			600		—			—			(65		)	—			—			5,121
Tax-exempt securities	1,140			7			(7		)	—		(63		)	—			(16		)	—			—			1,061
Total AFS debt securities	5,816			7			21			600		(63		)	—			(82		)	—			—			6,299
Loans and leases ^{(2, 4)}	1,635			69			—			317		(150		)	—			(65		)	450			(3		)	2,253
Mortgage servicing rights ⁽⁴⁾	5,708			(360		)	—			—		(15		)	100			(346		)	—			—			5,087
Loans held-for-sale ⁽²⁾	2,741			86			—			596		(19		)	—			(104		)	13			—			3,313
Other assets ⁽⁵⁾	3,136			24			—			40		(183		)	—			(39		)	—			—			2,978
Trading account liabilities – Corporate securities and other	(143		)	4			—			17		(45		)	—			—			—			2			(165		)
Other short-term borrowings ⁽²⁾	—			—			—			—		—			(232		)	—			—			—			(232		)
Accrued expenses and other liabilities ⁽²⁾	(2		)	—			—			—		—			(7		)	—			—			—			(9		)
Long-term debt ⁽²⁾	(2,388		)	(91		)	—			70		—			(115		)	391			(531		)	374			(2,290		)


⁽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 $10.0 billion and derivative liabilities of $7.0 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⁾
	Nine Months Ended September 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 September 30 2012
Trading account assets:
Corporate securities, trading loans and other ^{(2, 3)}	$	6,880		$	192		$	—	$	1,995		$	(3,498	)	$	—		$	(846	)	$	315		$	(865	)	$	4,173
Equity securities	544			24			—		167			(159		)	—			27			38			(68		)	573
Non-U.S. sovereign debt	342			5			—		338			(359		)	—			(4		)	—			(19		)	303
Mortgage trading loans and ABS⁽³⁾	3,689			194			—		1,747			(915		)	—			(386		)	745			(168		)	4,906
Total trading account assets	11,455			415			—		4,247			(4,931		)	—			(1,209		)	1,098			(1,120		)	9,955
Net derivative assets ⁽⁴⁾	5,866			17			—		791			(833		)	—			(2,228		)	(283		)	(370		)	2,960
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		)	—			(6		)	—			—			23
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			(38		)	—			(27		)	93
Other taxable securities	4,265			7			51		1,558			—			—			(551		)	—			(209		)	5,121
Tax-exempt securities	2,648			61			18		—			(132		)	—			(1,534		)	—			—			1,061
Total AFS debt securities	8,012			(3		)	88		1,556			(448		)	—			(2,135		)	—			(771		)	6,299
Loans and leases ^{(2, 5)}	2,744			284			—		317			(1,308		)	—			(229		)	450			(5		)	2,253
Mortgage servicing rights ⁽⁵⁾	7,378			(1,297		)	—		—			(113		)	268			(1,149		)	—			—			5,087
Loans held-for-sale ⁽²⁾	3,387			265			—		606			(40		)	—			(330		)	57			(632		)	3,313
Other assets ⁽⁶⁾	4,235			(110		)	—		89			(950		)	—			(275		)	—			(11		)	2,978
Trading account liabilities – Corporate securities and other	(114		)	4			—		72			(114		)	—			—			(65		)	52			(165		)
Other short-term borrowings⁽²⁾	—			—			—		—			—			(232		)	—			—			—			(232		)
Accrued expenses and other liabilities ⁽²⁾	(14		)	4			—		5			—			(7		)	—			—			3			(9		)
Long-term debt ⁽²⁾	(2,943		)	(239		)	—		188			(33		)	(253		)	1,099			(1,569		)	1,460			(2,290		)


⁽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 nine months ended September 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 $10.0 billion and derivative liabilities of $7.0 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⁾
	Nine Months Ended September 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 September 30 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	7,751		$	—	$	456		$	—		$	4,664	$	(5,294	)	$	—		$	(1,080	)	$	1,450		$	(455	)	$	7,492
Equity securities	557			—		57			—			278		(284		)	—			(140		)	131			(2		)	597
Non-U.S. sovereign debt	243			—		68			—			125		(18		)	—			(3		)	4			(44		)	375
Mortgage trading loans and ABS	6,908			—		530			—			1,929		(4,624		)	—			(308		)	19			(683		)	3,771
Total trading account assets	15,459			—		1,111			—			6,996		(10,220		)	—			(1,531		)	1,604			(1,184		)	12,235
Net derivative assets ⁽³⁾	7,745			—		5,456			—			1,040		(1,460		)	—			(7,010		)	625			(104		)	6,292
AFS debt securities:
Mortgage-backed securities:
Agency	4			—		—			—			13		—			—			—			—			(4		)	13
Agency-collateralized mortgage obligations	—			—		—			—			56		—			—			(1		)	—			—			55
Non-agency residential	1,468			—		(86		)	24			11		(293		)	—			(321		)	277			—			1,080
Non-agency commercial	19			—		—			—			17		—			—			(1		)	—			—			35
Non-U.S. securities	3			—		—			—			—		—			—			—			88			(91		)	—
Corporate/Agency bonds	137			—		(2		)	(2		)	248		(16		)	—			—			7			(8		)	364
Other taxable securities	13,018			—		27			20			3,518		(2,240		)	—			(5,001		)	2			(2		)	9,342
Tax-exempt securities	1,224			—		14			(42		)	2,862		(79		)	—			(471		)	38			(673		)	2,873
Total AFS debt securities	15,873			—		(47		)	—			6,725		(2,628		)	—			(5,795		)	412			(778		)	13,762
Loans and leases ^{(2, 4)}	3,321			5,194		—			—			21		(376		)	3,118			(1,638		)	5			(4,345		)	5,300
Mortgage servicing rights ⁽⁴⁾	14,900			—		(6,060		)	—			—		(452		)	1,502			(2,010		)	—			—			7,880
Loans held-for-sale ⁽²⁾	4,140			—		43			—			138		(443		)	—			(704		)	502			(46		)	3,630
Other assets ⁽⁵⁾	6,922			—		356			—			1,875		(1,486		)	—			(659		)	375			(1,633		)	5,750
Trading account liabilities – Corporate securities and other	(7		)	—		2			—			94		(135		)	—			—			(24		)	—			(70		)
Other short-term borrowings ⁽²⁾	(706		)	—		(24		)	—			—		—			—			63			—			—			(667		)
Accrued expenses and other liabilities ⁽²⁾	(828		)	—		64			—			—		(4		)	(9		)	3			—			761			(13		)
Long-term debt ⁽²⁾	(2,986		)	—		245			—			340		(72		)	(467		)	754			(1,709		)	1,238			(2,657		)


⁽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 $16.0 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 nine months ended September 30, 2012 and 2011 for Level 3 assets and liabilities that were still held at September 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 September 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⁾	$	—		$	36		$	—		$	—		$	36
Equity securities	—			13			—			—			13
Non-U.S. sovereign debt	—			8			—			—			8
Mortgage trading loans and ABS	—			89			—			—			89
Total trading account assets	—			146			—			—			146
Net derivative assets	—			(1,202		)	691			—			(511		)
Loans and leases ⁽²⁾	—			—			—			71			71
Mortgage servicing rights	—			—			(552		)	—			(552		)
Loans held-for-sale ⁽²⁾	—			—			17			68			85
Other assets	115			—			(14		)	4			105
Accrued expenses and other liabilities ⁽²⁾	—			—			—			(2		)	(2		)
Long-term debt ⁽²⁾	—			(46		)	—			(46		)	(92		)
Total	$	115		$	(1,102	)	$	142		$	95		$	(750	)

	Three Months Ended September 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	(251	)	$	—		$	—		$	(251	)
Equity securities	—			(20		)	—			—			(20		)
Non-U.S. sovereign debt	—			16			—			—			16
Mortgage trading loans and ABS	—			(136		)	—			—			(136		)
Total trading account assets	—			(391		)	—			—			(391		)
Net derivative assets	—			1,998			616			—			2,614
AFS debt securities:
Non-agency residential MBS	—			—			—			(42		)	(42		)
Corporate/Agency bonds	—			—			—			(6		)	(6		)
Other taxable securities	—			(2		)	—			(44		)	(46		)
Total AFS debt securities	—			(2		)	—			(92		)	(94		)
Loans and leases ⁽²⁾	—			—			—			(208		)	(208		)
Mortgage servicing rights	—			—			(4,112		)	—			(4,112		)
Loans held-for-sale ⁽²⁾	—			—			(88		)	(73		)	(161		)
Other assets	(265		)	—			(32		)	158			(139		)
Trading account liabilities – Corporate securities and other	—			2			—			—			2
Other short-term borrowings ⁽²⁾	—			—			50			—			50
Long-term debt ⁽²⁾	—			331			—			44			375
Total	$	(265	)	$	1,938		$	(3,566	)	$	(171	)	$	(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.



Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date
	Nine Months Ended September 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⁾	$	—		$	95		$	—		$	—		$	95
Equity securities	—			24			—			—			24
Non-U.S. sovereign debt	—			16			—			—			16
Mortgage trading loans and ABS	—			119			—			—			119
Total trading account assets	—			254			—			—			254
Net derivative assets	—			(2,526		)	1,624			—			(902		)
Loans and leases ⁽²⁾	—			—			—			242			242
Mortgage servicing rights	—			—			(1,804		)	—			(1,804		)
Loans held-for-sale ⁽²⁾	—			—			76			127			203
Other assets	90			—			(54		)	(78		)	(42		)
Trading account liabilities – Corporate securities and other	—			3			—			—			3
Long-term debt ⁽²⁾	—			(105		)	—			(134		)	(239		)
Total	$	90		$	(2,374	)	$	(158	)	$	157		$	(2,285	)

	Nine Months Ended September 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	(13	)	$	—		$	—		$	(13	)
Equity securities	—			(84		)	—			—			(84		)
Non-U.S. sovereign debt	—			86			—			—			86
Mortgage trading loans and ABS	—			104			—			—			104
Total trading account assets	—			93			—			—			93
Net derivative assets	—			2,037			1,232			—			3,269
AFS debt securities:
Non-agency residential MBS	—			—			—			(140		)	(140		)
Corporate/Agency bonds	—			—			—			(6		)	(6		)
Other taxable securities	—			(2		)	—			(44		)	(46		)
Total AFS debt securities	—			(2		)	—			(190		)	(192		)
Loans and leases ⁽²⁾	—			—			—			(105		)	(105		)
Mortgage servicing rights	—			—			(7,129		)	—			(7,129		)
Loans held-for-sale ⁽²⁾	—			3			(135		)	10			(122		)
Other assets	(132		)	—			(43		)	158			(17		)
Trading account liabilities – Corporate securities and other	—			2			—			—			2
Other short-term borrowings ⁽²⁾	—			—			(11		)	—			(11		)
Long-term debt ⁽²⁾	—			229			—			(9		)	220
Total	$	(132	)	$	2,362		$	(6,086	)	$	(136	)	$	(3,992	)


⁽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 September 30, 2012. The level of aggregation and span of products disclosed result in certain ranges of inputs being wide and unevenly distributed across asset and liability categories.



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	$	5,405		Discounted cash flow, Market comparables	Yield	2% to 25%
Trading account assets – Mortgage trading loans and ABS	789				Prepayment speed	1% to 30% CPR
Loans and leases	1,517				Default rate	0% to 57% CDR
Loans held-for-sale	3,099				Loss severity	6% to 80%
Instruments backed by commercial real estate assets	$	2,121		Discounted cash flow	Yield	4% to 13%
Trading account assets – Mortgage trading loans and ABS	246				Loss severity	22% to 100%
Loans held-for-sale	214
Other assets	1,661
Commercial loans, debt securities and other	$	11,028		Discounted cash flow, Market comparables	Yield	0% to 20%
Trading account assets – Corporate securities, trading loans and other	2,564				Enterprise value/EBITDA multiple	3x to 7x
Trading account assets – Mortgage trading loans and ABS	3,871				Prepayment speed	5% to 25%
AFS debt securities – Other taxable securities	3,857				Default rate	1% to 5%
Loans and leases	736				Loss severity	25% to 40%
Auction rate securities	$	3,934		Discounted cash flow, Market comparables	Discount rate	1% to 10%
Trading account assets – Corporate securities, trading loans and other	1,609				Projected tender price/Re-financing level	50% to 100%
AFS debt securities – Other taxable securities	1,264				Projected tender price/Re-financing level
AFS debt securities – Tax-exempt securities	1,061
Structured liabilities
Long-term debt	$	(2,290	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	30% to 97%
					Long-dated volatilities	20% to 70%

⁽¹⁾

The categories are 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 236: Trading account assets – Corporate securities, trading loans and other of $4.2 billion, Trading account assets – Mortgage trading loans and ABS of $4.9 billion, AFS debt securities – Other taxable securities of $5.1 billion, AFS debt securities – Tax-exempt securities of $1.1 billion, Loans and leases of $2.3 billion, LHFS of $3.3 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



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	$	3,729		Discounted cash flow, Stochastic recovery correlation model	Yield	2% to 25%
					Credit spreads	71 bps to 600 bps
					Upfront points	30 points to 99 points
					Spread to index	-1,874 bps to 2,708 bps
					Credit correlation	30% to 80%
					Prepayment speed	5% to 30% CPR
					Default rate	1% to 5% CDR
					Loss severity	25% to 75%
Equity derivatives	$	(1,047	)	Industry standard derivative pricing⁽¹⁾	Equity correlation	30% to 97%
					Long-dated volatilities	20% to 70%

Commodity derivatives	$	(1	)	Discounted cash flow	Long-term natural gas basis curve	-$0.27 to $0.31
Interest rate derivatives	$	279		Industry standard derivative pricing ⁽¹⁾	Correlation (IR/IR)	15% to 99%
					Correlation (FX/IR)	-65% to 50%
					Long-dated inflation rates	1% to 3%
					Long-dated inflation volatilities	0% to 2%
					Long-dated volatilities (FX)	5% to 36%
					Long-dated swap rates	3% to 10%
Total net derivative assets	$	2,960


⁽¹⁾	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
	September 30, 2012				Three Months Ended September 30, 2012			Nine Months Ended September 30, 2012
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	3,551	$	1,006	$	1		$	6
Loans and leases ⁽¹⁾	16		8,576		(1,548		)	(3,422		)
Foreclosed properties ⁽²⁾	64		1,436		(23		)	(179		)
Other assets	32		111		9			11

	September 30, 2011				Three Months Ended September 30, 2011			Nine Months Ended September 30, 2011
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	9,284	$	1,465	$	(85	)	$	(19	)
Loans and leases ⁽¹⁾	6		10,368		(1,445		)	(4,153		)
Foreclosed properties ⁽²⁾	—		2,556		(87		)	(233		)
Other assets	20		861		(20		)	(43		)


⁽¹⁾	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 September 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	$	9,277	Discounted cash flows, Market comparables	Yield	3% to 6%
Loans held-for-sale	701			Prepayment speed	2% to 27%
Loans and leases	8,576			Default rate	0% to 67%
				Loss severity	6% to 72%
				OREO discount	0% to 29%
				Cost to sell	8%
Instruments backed by commercial real estate assets	$	305	Discounted cash flows	Yield	4% to 13%
Loans held-for-sale	305		Discounted cash flows	Loss severity	22% to 100%

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 September 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⁾	$	—		$	69		$	—		$	—		$	69
Equity securities	—			15			—			—			15
Non-U.S. sovereign debt	—			7			—			—			7
Mortgage trading loans and ABS	—			111			—			—			111
Total trading account assets	—			202			—			—			202
Net derivative assets	—			(1,214		)	958			—			(256		)
AFS debt securities – Tax-exempt securities	—			—			—			7			7
Loans and leases ⁽²⁾	—			—			—			69			69
Mortgage servicing rights	—			—			(360		)	—			(360		)
Loans held-for-sale ⁽²⁾	—			—			10			76			86
Other assets	39			—			(15		)	—			24
Trading account liabilities – Corporate securities and other	—			4			—			—			4
Long-term debt ⁽²⁾	—			(45		)	—			(46		)	(91		)
Total	$	39		$	(1,053	)	$	593		$	106		$	(315	)

	Three Months Ended September 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—		$	(219	)	$	—		$	—		$	(219	)
Equity securities	—			(8		)	—			—			(8		)
Non-U.S. sovereign debt	—			(17		)	—			—			(17		)
Mortgage trading loans and ABS	—			(112		)	—			—			(112		)
Total trading account assets	—			(356		)	—			—			(356		)
Net derivative assets	—			2,056			1,155			—			3,211
AFS debt securities:
Non-agency residential MBS	—			—			—			(41		)	(41		)
Corporate/Agency bonds	—			—			—			(4		)	(4		)
Other taxable securities	—			4			—			(29		)	(25		)
Tax-exempt securities	—			—			—			8			8
Total AFS debt securities	—			4			—			(66		)	(62		)
Loans and leases ⁽²⁾	—			—			—			(209		)	(209		)
Mortgage servicing rights	—			—			(3,860		)	—			(3,860		)
Loans held-for-sale ⁽²⁾	—			—			(90		)	(52		)	(142		)
Other assets	(72		)	—			(32		)	158			54
Trading account liabilities – Corporate securities and other	—			2			—			—			2
Other short-term borrowings ⁽²⁾	—			—			58			—			58
Long-term debt ⁽²⁾	—			344			—			44			388
Total	$	(72	)	$	2,050		$	(2,769	)	$	(125	)	$	(916	)


⁽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
	Nine Months Ended September 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⁾	$	—	$	192		$	—		$	—		$	192
Equity securities	—		24			—			—			24
Non-U.S. sovereign debt	—		5			—			—			5
Mortgage trading loans and ABS	—		194			—			—			194
Total trading account assets	—		415			—			—			415
Net derivative assets	—		(2,358		)	2,375			—			17
AFS debt securities:
Non-agency residential MBS	—		—			—			(69		)	(69		)
Corporate/Agency bonds	—		—			—			(2		)	(2		)
Other taxable securities	—		—			—			7			7
Tax-exempt securities	—		—			—			61			61
Total AFS debt securities	—		—			—			(3		)	(3		)
Loans and leases ⁽²⁾	—		—			—			284			284
Mortgage servicing rights	—		—			(1,297		)	—			(1,297		)
Loans held-for-sale ⁽²⁾	—		—			105			160			265
Other assets	28		—			(57		)	(81		)	(110		)
Trading account liabilities – Corporate securities and other	—		4			—			—			4
Accrued expenses and other liabilities ⁽²⁾	—		—			—			4			4
Long-term debt ⁽²⁾	—		(104		)	—			(135		)	(239		)
Total	$	28	$	(2,043	)	$	1,126		$	229		$	(660	)

	Nine Months Ended September 30, 2011
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	—	$	456		$	—		$	—		$	456
Equity securities	—		57			—			—			57
Non-U.S. sovereign debt	—		68			—			—			68
Mortgage trading loans and ABS	—		530			—			—			530
Total trading account assets	—		1,111			—			—			1,111
Net derivative assets	—		2,153			3,303			—			5,456
AFS debt securities:
Non-agency residential MBS	—		—			—			(86		)	(86		)
Corporate/Agency bonds	—		—			—			(2		)	(2		)
Other taxable securities	—		16			—			11			27
Tax-exempt securities	—		(3		)	—			17			14
Total AFS debt securities	—		13			—			(60		)	(47		)
Loans and leases ⁽²⁾	—		—			(13		)	13			—
Mortgage servicing rights	—		—			(6,060		)	—			(6,060		)
Loans held-for-sale ⁽²⁾	—		—			(101		)	144			43
Other assets	242		—			(44		)	158			356
Trading account liabilities – Corporate securities and other	—		2			—			—			2
Other short-term borrowings ⁽²⁾	—		—			(24		)	—			(24		)
Accrued expenses and other liabilities ⁽²⁾	—		(10		)	74			—			64
Long-term debt ⁽²⁾	—		242			—			3			245
Total	$	242	$	3,511		$	(2,865	)	$	258		$	1,146


⁽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