Fair Value Measurements (Tables)
|
6 Months Ended |
Jun. 30, 2011
|
Fair Value Measurements [Abstract] |
|
Fair value Assets and liabilities measured on Recurring basis |
|
|
|
|
|
|
|
|
|
|
|
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|
|
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|
|
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|
June 30, 2011 |
|
|
Fair Value Measurements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netting |
|
Assets/Liabilities |
(Dollars in millions) |
|
Level 1 (1)
|
|
Level 2 (1)
|
|
Level 3 |
|
Adjustments (2)
|
|
at Fair Value |
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or
purchased under agreements to resell
|
|
$ |
- |
|
|
$ |
95,115 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
95,115 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities
|
|
|
26,141 |
|
|
|
19,827 |
|
|
|
- |
|
|
|
- |
|
|
|
45,968 |
|
Corporate securities, trading loans and other
|
|
|
1,165 |
|
|
|
40,692 |
|
|
|
7,452 |
|
|
|
- |
|
|
|
49,309 |
|
Equity securities
|
|
|
28,057 |
|
|
|
9,082 |
|
|
|
662 |
|
|
|
- |
|
|
|
37,801 |
|
Non-U.S. sovereign debt
|
|
|
35,309 |
|
|
|
11,023 |
|
|
|
391 |
|
|
|
- |
|
|
|
46,723 |
|
Mortgage trading loans and ABS
|
|
|
- |
|
|
|
11,619 |
|
|
|
5,519 |
|
|
|
- |
|
|
|
17,138 |
|
|
Total trading account assets
|
|
|
90,672 |
|
|
|
92,243 |
|
|
|
14,024 |
|
|
|
- |
|
|
|
196,939 |
|
Derivative assets (3)
|
|
|
3,262 |
|
|
|
1,410,699 |
|
|
|
15,214 |
|
|
|
(1,362,577 |
) |
|
|
66,598 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities
|
|
|
46,402 |
|
|
|
2,867 |
|
|
|
- |
|
|
|
- |
|
|
|
49,269 |
|
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
- |
|
|
|
181,616 |
|
|
|
- |
|
|
|
- |
|
|
|
181,616 |
|
Agency-collateralized mortgage obligations
|
|
|
- |
|
|
|
49,056 |
|
|
|
55 |
|
|
|
- |
|
|
|
49,111 |
|
Non-agency residential
|
|
|
- |
|
|
|
18,481 |
|
|
|
1,094 |
|
|
|
- |
|
|
|
19,575 |
|
Non-agency commercial
|
|
|
- |
|
|
|
6,700 |
|
|
|
18 |
|
|
|
- |
|
|
|
6,718 |
|
Non-U.S. securities
|
|
|
2,114 |
|
|
|
2,158 |
|
|
|
88 |
|
|
|
- |
|
|
|
4,360 |
|
Corporate/Agency bonds
|
|
|
- |
|
|
|
4,314 |
|
|
|
224 |
|
|
|
- |
|
|
|
4,538 |
|
Other taxable securities
|
|
|
20 |
|
|
|
1,629 |
|
|
|
10,374 |
|
|
|
- |
|
|
|
12,023 |
|
Tax-exempt securities
|
|
|
- |
|
|
|
2,052 |
|
|
|
1,609 |
|
|
|
- |
|
|
|
3,661 |
|
|
Total AFS debt securities
|
|
|
48,536 |
|
|
|
268,873 |
|
|
|
13,462 |
|
|
|
- |
|
|
|
330,871 |
|
Loans and leases
|
|
|
- |
|
|
|
- |
|
|
|
9,597 |
|
|
|
- |
|
|
|
9,597 |
|
Mortgage servicing rights
|
|
|
- |
|
|
|
- |
|
|
|
12,372 |
|
|
|
- |
|
|
|
12,372 |
|
Loans held-for-sale
|
|
|
- |
|
|
|
11,131 |
|
|
|
4,012 |
|
|
|
- |
|
|
|
15,143 |
|
Other assets
|
|
|
29,988 |
|
|
|
31,670 |
|
|
|
4,495 |
|
|
|
- |
|
|
|
66,153 |
|
|
Total assets
|
|
$ |
172,458 |
|
|
$ |
1,909,731 |
|
|
$ |
73,176 |
|
|
$ |
(1,362,577 |
) |
|
$ |
792,788 |
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices
|
|
$ |
- |
|
|
$ |
3,334 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
3,334 |
|
Federal funds purchased and securities loaned or
sold under agreements to repurchase
|
|
|
- |
|
|
|
42,453 |
|
|
|
- |
|
|
|
- |
|
|
|
42,453 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities
|
|
|
22,164 |
|
|
|
3,388 |
|
|
|
- |
|
|
|
- |
|
|
|
25,552 |
|
Equity securities
|
|
|
12,993 |
|
|
|
3,431 |
|
|
|
- |
|
|
|
- |
|
|
|
16,424 |
|
Non-U.S. sovereign debt
|
|
|
19,659 |
|
|
|
2,403 |
|
|
|
- |
|
|
|
- |
|
|
|
22,062 |
|
Corporate securities and other
|
|
|
277 |
|
|
|
10,611 |
|
|
|
63 |
|
|
|
- |
|
|
|
10,951 |
|
|
Total trading account liabilities
|
|
|
55,093 |
|
|
|
19,833 |
|
|
|
63 |
|
|
|
- |
|
|
|
74,989 |
|
Derivative liabilities (3)
|
|
|
2,445 |
|
|
|
1,388,183 |
|
|
|
9,796 |
|
|
|
(1,346,010 |
) |
|
|
54,414 |
|
Commercial paper and other short-term borrowings
|
|
|
- |
|
|
|
4,121 |
|
|
|
744 |
|
|
|
- |
|
|
|
4,865 |
|
Accrued expenses and other liabilities
|
|
|
23,157 |
|
|
|
1,464 |
|
|
|
777 |
|
|
|
- |
|
|
|
25,398 |
|
Long-term debt
|
|
|
- |
|
|
|
57,413 |
|
|
|
3,324 |
|
|
|
- |
|
|
|
60,737 |
|
|
Total liabilities
|
|
$ |
80,695 |
|
|
$ |
1,516,801 |
|
|
$ |
14,704 |
|
|
$ |
(1,346,010 |
) |
|
$ |
266,190 |
|
|
|
|
|
(1) |
|
Gross transfers between Level 1 and Level 2 were approximately $400 million during the six months ended June 30, 2011.
|
|
(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 4 – Derivatives.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2010 |
|
|
Fair Value Measurements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netting |
|
Assets/Liabilities |
(Dollars in millions) |
|
Level 1 (1)
|
|
Level 2 (1)
|
|
Level 3 |
|
Adjustments (2)
|
|
at Fair Value |
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or
purchased under agreements to resell
|
|
$ |
- |
|
|
$ |
78,599 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
78,599 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities (3)
|
|
|
28,237 |
|
|
|
32,574 |
|
|
|
- |
|
|
|
- |
|
|
|
60,811 |
|
Corporate securities, trading loans and other
|
|
|
732 |
|
|
|
40,869 |
|
|
|
7,751 |
|
|
|
- |
|
|
|
49,352 |
|
Equity securities
|
|
|
23,249 |
|
|
|
8,257 |
|
|
|
623 |
|
|
|
- |
|
|
|
32,129 |
|
Non-U.S. sovereign debt
|
|
|
24,934 |
|
|
|
8,346 |
|
|
|
243 |
|
|
|
- |
|
|
|
33,523 |
|
Mortgage trading loans and ABS
|
|
|
- |
|
|
|
11,948 |
|
|
|
6,908 |
|
|
|
- |
|
|
|
18,856 |
|
|
Total trading account assets
|
|
|
77,152 |
|
|
|
101,994 |
|
|
|
15,525 |
|
|
|
- |
|
|
|
194,671 |
|
Derivative assets (4)
|
|
|
2,627 |
|
|
|
1,516,244 |
|
|
|
18,773 |
|
|
|
(1,464,644 |
) |
|
|
73,000 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities
|
|
|
46,003 |
|
|
|
3,102 |
|
|
|
- |
|
|
|
- |
|
|
|
49,105 |
|
Mortgage-backed securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency
|
|
|
- |
|
|
|
191,213 |
|
|
|
4 |
|
|
|
- |
|
|
|
191,217 |
|
Agency-collateralized mortgage obligations
|
|
|
- |
|
|
|
37,017 |
|
|
|
- |
|
|
|
- |
|
|
|
37,017 |
|
Non-agency residential
|
|
|
- |
|
|
|
21,649 |
|
|
|
1,468 |
|
|
|
- |
|
|
|
23,117 |
|
Non-agency commercial
|
|
|
- |
|
|
|
6,833 |
|
|
|
19 |
|
|
|
- |
|
|
|
6,852 |
|
Non-U.S. securities
|
|
|
1,440 |
|
|
|
2,696 |
|
|
|
3 |
|
|
|
- |
|
|
|
4,139 |
|
Corporate/Agency bonds
|
|
|
- |
|
|
|
5,154 |
|
|
|
137 |
|
|
|
- |
|
|
|
5,291 |
|
Other taxable securities
|
|
|
20 |
|
|
|
2,354 |
|
|
|
13,018 |
|
|
|
- |
|
|
|
15,392 |
|
Tax-exempt securities
|
|
|
- |
|
|
|
4,273 |
|
|
|
1,224 |
|
|
|
- |
|
|
|
5,497 |
|
|
Total AFS debt securities
|
|
|
47,463 |
|
|
|
274,291 |
|
|
|
15,873 |
|
|
|
- |
|
|
|
337,627 |
|
Loans and leases
|
|
|
- |
|
|
|
- |
|
|
|
3,321 |
|
|
|
- |
|
|
|
3,321 |
|
Mortgage servicing rights
|
|
|
- |
|
|
|
- |
|
|
|
14,900 |
|
|
|
- |
|
|
|
14,900 |
|
Loans held-for-sale
|
|
|
- |
|
|
|
21,802 |
|
|
|
4,140 |
|
|
|
- |
|
|
|
25,942 |
|
Other assets
|
|
|
32,624 |
|
|
|
31,051 |
|
|
|
6,856 |
|
|
|
- |
|
|
|
70,531 |
|
|
Total assets
|
|
$ |
159,866 |
|
|
$ |
2,023,981 |
|
|
$ |
79,388 |
|
|
$ |
(1,464,644 |
) |
|
$ |
798,591 |
|
|
Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices
|
|
$ |
- |
|
|
$ |
2,732 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2,732 |
|
Federal funds purchased and securities loaned or
sold under agreements to repurchase
|
|
|
- |
|
|
|
37,424 |
|
|
|
- |
|
|
|
- |
|
|
|
37,424 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities
|
|
|
23,357 |
|
|
|
5,983 |
|
|
|
- |
|
|
|
- |
|
|
|
29,340 |
|
Equity securities
|
|
|
14,568 |
|
|
|
914 |
|
|
|
- |
|
|
|
- |
|
|
|
15,482 |
|
Non-U.S. sovereign debt
|
|
|
14,748 |
|
|
|
1,065 |
|
|
|
- |
|
|
|
- |
|
|
|
15,813 |
|
Corporate securities and other
|
|
|
224 |
|
|
|
11,119 |
|
|
|
7 |
|
|
|
- |
|
|
|
11,350 |
|
|
Total trading account liabilities
|
|
|
52,897 |
|
|
|
19,081 |
|
|
|
7 |
|
|
|
- |
|
|
|
71,985 |
|
Derivative liabilities (4)
|
|
|
1,799 |
|
|
|
1,492,963 |
|
|
|
11,028 |
|
|
|
(1,449,876 |
) |
|
|
55,914 |
|
Commercial paper and other short-term borrowings
|
|
|
- |
|
|
|
6,472 |
|
|
|
706 |
|
|
|
- |
|
|
|
7,178 |
|
Accrued expenses and other liabilities
|
|
|
31,470 |
|
|
|
931 |
|
|
|
828 |
|
|
|
- |
|
|
|
33,229 |
|
Long-term debt
|
|
|
- |
|
|
|
47,998 |
|
|
|
2,986 |
|
|
|
- |
|
|
|
50,984 |
|
|
Total liabilities
|
|
$ |
86,166 |
|
|
$ |
1,607,601 |
|
|
$ |
15,555 |
|
|
$ |
(1,449,876 |
) |
|
$ |
259,446 |
|
|
|
|
|
(1) |
|
Gross transfers between Level 1 and Level 2 were approximately $1.3 billion during the year ended December 31, 2010.
|
|
(2) |
|
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
|
|
(3) |
|
Certain prior period amounts have been reclassified to conform to current period presentation.
|
|
(4) |
|
For further disaggregation of derivative assets and liabilities, see Note 4 – Derivatives.
|
|
Reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements |
|
|
Three Months Ended June 30, 2011 |
|
|
|
|
|
|
|
|
|
|
Gains |
|
|
Gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross |
|
|
Gross |
|
|
|
|
|
|
Balance |
|
|
|
|
|
|
(Losses) |
|
|
(Losses) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers |
|
|
Transfers |
|
|
Balance |
|
|
|
April 1 |
|
|
Consolidation |
|
|
Included in |
|
|
Included in |
|
|
Gross |
|
|
into |
|
|
out of |
|
|
June 30 |
|
(Dollars in millions) |
|
2011 (1)
|
|
|
of VIEs |
|
|
Earnings |
|
|
OCI |
|
|
Purchases |
|
|
Sales |
|
|
Issuances |
|
|
Settlements |
|
|
Level 3 (1)
|
|
|
Level 3 (1)
|
|
|
2011 (1)
|
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
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 (2)
|
|
|
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 (3, 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 (3)
|
|
|
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 |
) |
Commercial paper and other short-term borrowings (3)
|
|
|
(726 |
) |
|
|
- |
|
|
|
(36 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
18 |
|
|
|
- |
|
|
|
- |
|
|
|
(744 |
) |
Accrued expenses and other liabilities (3)
|
|
|
(689 |
) |
|
|
- |
|
|
|
(79 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(9 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(777 |
) |
Long-term debt (3)
|
|
|
(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) |
|
Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion.
|
|
(3) |
|
Amounts represent items which are accounted for under the fair value option.
|
|
(4) |
|
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.
|
|
(5) |
|
Other assets is primarily comprised of AFS marketable equity securities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements |
|
|
Three Months Ended June 30, 2010 |
|
|
|
|
|
|
Gains |
|
|
Gains |
|
|
Purchases, |
|
|
Gross |
|
|
Gross |
|
|
|
|
|
|
Balance |
|
|
(Losses) |
|
|
(Losses) |
|
|
Sales, |
|
|
Transfers |
|
|
Transfers |
|
|
Balance |
|
|
|
April 1 |
|
|
Included in |
|
|
Included in |
|
|
Issuances and |
|
|
into |
|
|
out of |
|
|
June 30 |
|
(Dollars in millions) |
|
2010 (1)
|
|
|
Earnings |
|
|
OCI |
|
|
Settlements |
|
|
Level 3 (1)
|
|
|
Level 3 (1)
|
|
|
2010 (1)
|
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
10,646 |
|
|
$ |
(52 |
) |
|
$ |
- |
|
|
$ |
(854 |
) |
|
$ |
715 |
|
|
$ |
(582 |
) |
|
$ |
9,873 |
|
Equity securities
|
|
|
721 |
|
|
|
(39 |
) |
|
|
- |
|
|
|
4 |
|
|
|
41 |
|
|
|
(1 |
) |
|
|
726 |
|
Non-U.S. sovereign debt
|
|
|
1,064 |
|
|
|
(73 |
) |
|
|
- |
|
|
|
(52 |
) |
|
|
16 |
|
|
|
(3 |
) |
|
|
952 |
|
Mortgage trading loans and ABS
|
|
|
7,832 |
|
|
|
182 |
|
|
|
- |
|
|
|
(640 |
) |
|
|
367 |
|
|
|
(233 |
) |
|
|
7,508 |
|
|
Total trading account assets
|
|
|
20,263 |
|
|
|
18 |
|
|
|
- |
|
|
|
(1,542 |
) |
|
|
1,139 |
|
|
|
(819 |
) |
|
|
19,059 |
|
Net derivative assets (2)
|
|
|
8,597 |
|
|
|
3,588 |
|
|
|
- |
|
|
|
(2,555 |
) |
|
|
(520 |
) |
|
|
292 |
|
|
|
9,402 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential
|
|
|
5,376 |
|
|
|
(282 |
) |
|
|
65 |
|
|
|
(3,594 |
) |
|
|
599 |
|
|
|
(188 |
) |
|
|
1,976 |
|
Commercial
|
|
|
138 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(88 |
) |
|
|
50 |
|
Non-U.S. securities
|
|
|
284 |
|
|
|
(3 |
) |
|
|
(79 |
) |
|
|
(25 |
) |
|
|
56 |
|
|
|
- |
|
|
|
233 |
|
Corporate/Agency bonds
|
|
|
639 |
|
|
|
- |
|
|
|
14 |
|
|
|
(341 |
) |
|
|
11 |
|
|
|
(19 |
) |
|
|
304 |
|
Other taxable securities
|
|
|
16,192 |
|
|
|
28 |
|
|
|
(56 |
) |
|
|
(2,702 |
) |
|
|
439 |
|
|
|
(1 |
) |
|
|
13,900 |
|
Tax-exempt securities
|
|
|
1,430 |
|
|
|
(48 |
) |
|
|
(17 |
) |
|
|
(69 |
) |
|
|
- |
|
|
|
(59 |
) |
|
|
1,237 |
|
|
Total AFS debt securities
|
|
|
24,059 |
|
|
|
(305 |
) |
|
|
(73 |
) |
|
|
(6,731 |
) |
|
|
1,105 |
|
|
|
(355 |
) |
|
|
17,700 |
|
Loans and leases (3)
|
|
|
4,007 |
|
|
|
(256 |
) |
|
|
- |
|
|
|
147 |
|
|
|
- |
|
|
|
- |
|
|
|
3,898 |
|
Mortgage servicing rights
|
|
|
18,842 |
|
|
|
(3,998 |
) |
|
|
- |
|
|
|
(99 |
) |
|
|
- |
|
|
|
- |
|
|
|
14,745 |
|
Loans held-for-sale (3)
|
|
|
5,984 |
|
|
|
131 |
|
|
|
- |
|
|
|
(371 |
) |
|
|
237 |
|
|
|
- |
|
|
|
5,981 |
|
Other assets (4)
|
|
|
7,774 |
|
|
|
998 |
|
|
|
- |
|
|
|
(1,050 |
) |
|
|
- |
|
|
|
(20 |
) |
|
|
7,702 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. sovereign debt
|
|
|
(369 |
) |
|
|
2 |
|
|
|
- |
|
|
|
(9 |
) |
|
|
- |
|
|
|
369 |
|
|
|
(7 |
) |
Corporate securities and other
|
|
|
(30 |
) |
|
|
(5 |
) |
|
|
- |
|
|
|
8 |
|
|
|
(46 |
) |
|
|
- |
|
|
|
(73 |
) |
|
Total trading account liabilities
|
|
|
(399 |
) |
|
|
(3 |
) |
|
|
- |
|
|
|
(1 |
) |
|
|
(46 |
) |
|
|
369 |
|
|
|
(80 |
) |
Commercial paper and other short-term borrowings (3)
|
|
|
(696 |
) |
|
|
(30 |
) |
|
|
- |
|
|
|
26 |
|
|
|
- |
|
|
|
- |
|
|
|
(700 |
) |
Accrued expenses and other liabilities (3)
|
|
|
(694 |
) |
|
|
(23 |
) |
|
|
- |
|
|
|
(201 |
) |
|
|
- |
|
|
|
- |
|
|
|
(918 |
) |
Long-term debt (3)
|
|
|
(4,560 |
) |
|
|
586 |
|
|
|
- |
|
|
|
188 |
|
|
|
(560 |
) |
|
|
256 |
|
|
|
(4,090 |
) |
|
|
|
|
(1) |
|
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
|
|
(2) |
|
Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion.
|
|
(3) |
|
Amounts represent instruments which are accounted for under the fair value option.
|
|
(4) |
|
Other assets is primarily comprised of AFS marketable equity securities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements |
|
|
|
Six Months Ended June 30, 2011 |
|
|
|
|
|
|
|
|
|
|
|
Gains |
|
|
Gains |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gross |
|
|
Gross |
|
|
|
|
|
|
Balance |
|
|
|
|
|
|
(Losses) |
|
|
(Losses) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers |
|
|
Transfers |
|
|
Balance |
|
|
|
January 1 |
|
|
Consolidation |
|
|
Included in |
|
|
Included in |
|
|
Gross |
|
|
into |
|
|
out of |
|
|
June 30 |
|
(Dollars in millions) |
|
2011 (1)
|
|
|
of VIEs |
|
|
Earnings |
|
|
OCI |
|
|
Purchases |
|
|
Sales |
|
|
Issuances |
|
|
Settlements |
|
|
Level 3 (1)
|
|
|
Level 3 (1)
|
|
|
2011 (1)
|
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
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 (2)
|
|
|
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 (3, 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 (3)
|
|
|
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 |
) |
Commercial paper and other short-term borrowings (3)
|
|
|
(706 |
) |
|
|
- |
|
|
|
(82 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
44 |
|
|
|
- |
|
|
|
- |
|
|
|
(744 |
) |
Accrued expenses and other liabilities (3)
|
|
|
(828 |
) |
|
|
- |
|
|
|
64 |
|
|
|
- |
|
|
|
- |
|
|
|
(4 |
) |
|
|
(9 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(777 |
) |
Long-term debt (3)
|
|
|
(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) |
|
Net derivatives at June 30, 2011 include derivative assets of $15.2 billion and derivative liabilities of $9.8 billion.
|
|
(3) |
|
Amounts represent items which are accounted for under the fair value option.
|
|
(4) |
|
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales.
|
|
(5) |
|
Other assets is primarily comprised of AFS marketable equity securities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements |
|
|
Six Months Ended June 30, 2010 |
|
|
|
|
|
|
|
|
|
|
Gains |
|
|
Gains |
|
|
Purchases, |
|
|
Gross |
|
|
Gross |
|
|
|
|
|
|
Balance |
|
|
|
|
|
|
(Losses) |
|
|
(Losses) |
|
|
Sales, |
|
|
Transfers |
|
|
Transfers |
|
|
Balance |
|
|
|
January 1 |
|
|
Consolidation |
|
|
Included in |
|
|
Included in |
|
|
Issuances and |
|
|
into |
|
|
out of |
|
|
June 30 |
|
(Dollars in millions) |
|
2010 (1)
|
|
|
of VIEs |
|
|
Earnings |
|
|
OCI |
|
|
Settlements |
|
|
Level 3 (1)
|
|
|
Level 3 (1)
|
|
|
2010 (1)
|
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
11,080 |
|
|
$ |
117 |
|
|
$ |
354 |
|
|
$ |
- |
|
|
$ |
(2,798 |
) |
|
$ |
2,189 |
|
|
$ |
(1,069 |
) |
|
$ |
9,873 |
|
Equity securities
|
|
|
1,084 |
|
|
|
- |
|
|
|
(33 |
) |
|
|
- |
|
|
|
(326 |
) |
|
|
75 |
|
|
|
(74 |
) |
|
|
726 |
|
Non-U.S. sovereign debt
|
|
|
1,143 |
|
|
|
- |
|
|
|
(155 |
) |
|
|
- |
|
|
|
(80 |
) |
|
|
103 |
|
|
|
(59 |
) |
|
|
952 |
|
Mortgage trading loans and ABS
|
|
|
7,770 |
|
|
|
175 |
|
|
|
157 |
|
|
|
- |
|
|
|
(586 |
) |
|
|
389 |
|
|
|
(397 |
) |
|
|
7,508 |
|
|
Total trading account assets
|
|
|
21,077 |
|
|
|
292 |
|
|
|
323 |
|
|
|
- |
|
|
|
(3,790 |
) |
|
|
2,756 |
|
|
|
(1,599 |
) |
|
|
19,059 |
|
Net derivative assets (2)
|
|
|
7,863 |
|
|
|
- |
|
|
|
4,991 |
|
|
|
- |
|
|
|
(4,451 |
) |
|
|
768 |
|
|
|
231 |
|
|
|
9,402 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential
|
|
|
7,216 |
|
|
|
(96 |
) |
|
|
(515 |
) |
|
|
(310 |
) |
|
|
(5,829 |
) |
|
|
1,698 |
|
|
|
(188 |
) |
|
|
1,976 |
|
Commercial
|
|
|
258 |
|
|
|
- |
|
|
|
(13 |
) |
|
|
(31 |
) |
|
|
(128 |
) |
|
|
52 |
|
|
|
(88 |
) |
|
|
50 |
|
Non-U.S. securities
|
|
|
468 |
|
|
|
- |
|
|
|
(124 |
) |
|
|
(89 |
) |
|
|
(78 |
) |
|
|
56 |
|
|
|
- |
|
|
|
233 |
|
Corporate/Agency bonds
|
|
|
927 |
|
|
|
- |
|
|
|
(3 |
) |
|
|
35 |
|
|
|
(666 |
) |
|
|
30 |
|
|
|
(19 |
) |
|
|
304 |
|
Other taxable securities
|
|
|
9,854 |
|
|
|
5,812 |
|
|
|
19 |
|
|
|
(119 |
) |
|
|
(2,742 |
) |
|
|
1,119 |
|
|
|
(43 |
) |
|
|
13,900 |
|
Tax-exempt securities
|
|
|
1,623 |
|
|
|
- |
|
|
|
(25 |
) |
|
|
(9 |
) |
|
|
(561 |
) |
|
|
316 |
|
|
|
(107 |
) |
|
|
1,237 |
|
|
Total AFS debt securities
|
|
|
20,346 |
|
|
|
5,716 |
|
|
|
(661 |
) |
|
|
(523 |
) |
|
|
(10,004 |
) |
|
|
3,271 |
|
|
|
(445 |
) |
|
|
17,700 |
|
Loans and leases (3)
|
|
|
4,936 |
|
|
|
- |
|
|
|
(140 |
) |
|
|
- |
|
|
|
(898 |
) |
|
|
- |
|
|
|
- |
|
|
|
3,898 |
|
Mortgage servicing rights
|
|
|
19,465 |
|
|
|
- |
|
|
|
(4,696 |
) |
|
|
- |
|
|
|
(24 |
) |
|
|
- |
|
|
|
- |
|
|
|
14,745 |
|
Loans held-for-sale (3)
|
|
|
6,942 |
|
|
|
- |
|
|
|
67 |
|
|
|
- |
|
|
|
(1,427 |
) |
|
|
399 |
|
|
|
- |
|
|
|
5,981 |
|
Other assets (4)
|
|
|
7,821 |
|
|
|
- |
|
|
|
1,537 |
|
|
|
- |
|
|
|
(1,421 |
) |
|
|
- |
|
|
|
(235 |
) |
|
|
7,702 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. sovereign debt
|
|
|
(386 |
) |
|
|
- |
|
|
|
23 |
|
|
|
- |
|
|
|
(24 |
) |
|
|
- |
|
|
|
380 |
|
|
|
(7 |
) |
Corporate securities and other
|
|
|
(10 |
) |
|
|
- |
|
|
|
(5 |
) |
|
|
- |
|
|
|
(9 |
) |
|
|
(52 |
) |
|
|
3 |
|
|
|
(73 |
) |
|
Total trading account liabilities
|
|
|
(396 |
) |
|
|
- |
|
|
|
18 |
|
|
|
- |
|
|
|
(33 |
) |
|
|
(52 |
) |
|
|
383 |
|
|
|
(80 |
) |
Commercial paper and other short-term borrowings (3)
|
|
|
(707 |
) |
|
|
- |
|
|
|
(41 |
) |
|
|
- |
|
|
|
48 |
|
|
|
- |
|
|
|
- |
|
|
|
(700 |
) |
Accrued expenses and other liabilities (3)
|
|
|
(891 |
) |
|
|
- |
|
|
|
50 |
|
|
|
- |
|
|
|
(77 |
) |
|
|
- |
|
|
|
- |
|
|
|
(918 |
) |
Long-term debt (3)
|
|
|
(4,660 |
) |
|
|
- |
|
|
|
788 |
|
|
|
- |
|
|
|
(264 |
) |
|
|
(897 |
) |
|
|
943 |
|
|
|
(4,090 |
) |
|
|
|
|
(1)
|
|
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3.
|
|
(2)
|
|
Net derivatives at June 30, 2010 include derivative assets of $22.7 billion and derivative liabilities of $13.3 billion.
|
|
(3)
|
|
Amounts represent instruments which are accounted for under the fair value option.
|
|
(4)
|
|
Other assets is primarily comprised of AFS marketable equity securities.
|
|
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, 2011 |
|
|
Equity |
|
|
Trading |
|
|
Mortgage |
|
|
|
|
|
|
|
|
|
Investment |
|
|
Account |
|
|
Banking |
|
|
Other |
|
|
|
|
|
|
Income |
|
|
Profits |
|
|
Income |
|
|
Income |
|
|
|
|
(Dollars in millions) |
|
(Loss) |
|
|
(Losses) |
|
|
(Loss) (1)
|
|
|
(Loss) |
|
|
Total |
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
- |
|
|
$ |
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 |
|
Commercial paper and 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 |
) |
|
|
|
|
Three Months Ended June 30, 2010 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
- |
|
|
$ |
(52 |
) |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(52 |
) |
Equity securities
|
|
|
- |
|
|
|
(39 |
) |
|
|
- |
|
|
|
- |
|
|
|
(39 |
) |
Non-U.S. sovereign debt
|
|
|
- |
|
|
|
(73 |
) |
|
|
- |
|
|
|
- |
|
|
|
(73 |
) |
Mortgage trading loans and ABS
|
|
|
- |
|
|
|
182 |
|
|
|
- |
|
|
|
- |
|
|
|
182 |
|
|
Total trading account assets
|
|
|
- |
|
|
|
18 |
|
|
|
- |
|
|
|
- |
|
|
|
18 |
|
Net derivative assets
|
|
|
- |
|
|
|
193 |
|
|
|
3,395 |
|
|
|
- |
|
|
|
3,588 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(282 |
) |
|
|
(282 |
) |
Non-U.S. securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(3 |
) |
|
|
(3 |
) |
Other taxable securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
28 |
|
|
|
28 |
|
Tax-exempt securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(48 |
) |
|
|
(48 |
) |
|
Total AFS debt securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(305 |
) |
|
|
(305 |
) |
Loans and leases (2)
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(256 |
) |
|
|
(256 |
) |
Mortgage servicing rights
|
|
|
- |
|
|
|
- |
|
|
|
(3,998 |
) |
|
|
- |
|
|
|
(3,998 |
) |
Loans held-for-sale (2)
|
|
|
- |
|
|
|
- |
|
|
|
44 |
|
|
|
87 |
|
|
|
131 |
|
Other assets
|
|
|
1,033 |
|
|
|
- |
|
|
|
(35 |
) |
|
|
- |
|
|
|
998 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. sovereign debt
|
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
- |
|
|
|
2 |
|
Corporate securities and other
|
|
|
- |
|
|
|
(5 |
) |
|
|
- |
|
|
|
- |
|
|
|
(5 |
) |
|
Total trading account liabilities
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
- |
|
|
|
(3 |
) |
Commercial paper and other short-term borrowings (2)
|
|
|
- |
|
|
|
- |
|
|
|
(30 |
) |
|
|
- |
|
|
|
(30 |
) |
Accrued expenses and other liabilities (2)
|
|
|
- |
|
|
|
(12 |
) |
|
|
- |
|
|
|
(11 |
) |
|
|
(23 |
) |
Long-term debt (2)
|
|
|
- |
|
|
|
472 |
|
|
|
- |
|
|
|
114 |
|
|
|
586 |
|
|
Total
|
|
$ |
1,033 |
|
|
$ |
668 |
|
|
$ |
(624 |
) |
|
$ |
(371 |
) |
|
$ |
706 |
|
|
|
|
|
(1)
|
|
Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
|
(2)
|
|
Amounts represent instruments which are accounted for under the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3– Total Realized and Unrealized Gains (Losses) Included in Earnings |
|
|
Six Months Ended June 30, 2011 |
|
|
Equity |
|
|
Trading |
|
|
Mortgage |
|
|
|
|
|
|
|
|
|
Investment |
|
|
Account |
|
|
Banking |
|
|
Other |
|
|
|
|
|
|
Income |
|
|
Profits |
|
|
Income |
|
|
Income |
|
|
|
|
(Dollars in millions) |
|
(Loss) |
|
|
(Losses) |
|
|
(Loss) (1)
|
|
|
(Loss) |
|
|
Total |
|
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
- |
|
|
$ |
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 |
|
Commercial paper and 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2010 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other
|
|
$ |
- |
|
|
$ |
354 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
354 |
|
Equity securities
|
|
|
- |
|
|
|
(33 |
) |
|
|
- |
|
|
|
- |
|
|
|
(33 |
) |
Non-U.S. sovereign debt
|
|
|
- |
|
|
|
(155 |
) |
|
|
- |
|
|
|
- |
|
|
|
(155 |
) |
Mortgage trading loans and ABS
|
|
|
- |
|
|
|
157 |
|
|
|
- |
|
|
|
- |
|
|
|
157 |
|
|
Total trading account assets
|
|
|
- |
|
|
|
323 |
|
|
|
- |
|
|
|
- |
|
|
|
323 |
|
Net derivative assets
|
|
|
- |
|
|
|
(334 |
) |
|
|
5,325 |
|
|
|
- |
|
|
|
4,991 |
|
AFS debt securities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency MBS:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential
|
|
|
- |
|
|
|
- |
|
|
|
(13 |
) |
|
|
(502 |
) |
|
|
(515 |
) |
Commercial
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(13 |
) |
|
|
(13 |
) |
Non-U.S. securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(124 |
) |
|
|
(124 |
) |
Corporate/Agency bonds
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(3 |
) |
|
|
(3 |
) |
Other taxable securities
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
19 |
|
|
|
19 |
|
Tax-exempt securities
|
|
|
- |
|
|
|
23 |
|
|
|
- |
|
|
|
(48 |
) |
|
|
(25 |
) |
|
Total AFS debt securities
|
|
|
- |
|
|
|
23 |
|
|
|
(13 |
) |
|
|
(671 |
) |
|
|
(661 |
) |
Loans and leases (2)
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
(140 |
) |
|
|
(140 |
) |
Mortgage servicing rights
|
|
|
- |
|
|
|
- |
|
|
|
(4,696 |
) |
|
|
- |
|
|
|
(4,696 |
) |
Loans held-for-sale (2)
|
|
|
- |
|
|
|
- |
|
|
|
59 |
|
|
|
8 |
|
|
|
67 |
|
Other assets
|
|
|
1,569 |
|
|
|
- |
|
|
|
(32 |
) |
|
|
- |
|
|
|
1,537 |
|
Trading account liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. sovereign debt
|
|
|
- |
|
|
|
23 |
|
|
|
- |
|
|
|
- |
|
|
|
23 |
|
Corporate securities and other
|
|
|
- |
|
|
|
(5 |
) |
|
|
- |
|
|
|
- |
|
|
|
(5 |
) |
|
Total trading account liabilities
|
|
|
- |
|
|
|
18 |
|
|
|
- |
|
|
|
- |
|
|
|
18 |
|
Commercial paper and other short-term borrowings (2)
|
|
|
- |
|
|
|
- |
|
|
|
(41 |
) |
|
|
- |
|
|
|
(41 |
) |
Accrued expenses and other liabilities (2)
|
|
|
- |
|
|
|
(10 |
) |
|
|
- |
|
|
|
60 |
|
|
|
50 |
|
Long-term debt (2)
|
|
|
- |
|
|
|
595 |
|
|
|
- |
|
|
|
193 |
|
|
|
788 |
|
|
Total
|
|
$ |
1,569 |
|
|
$ |
615 |
|
|
$ |
602 |
|
|
$ |
(550 |
) |
|
$ |
2,236 |
|
|
|
|
|
(1)
|
|
Mortgage banking income does not reflect the impact of Level 1 and Level 2 hedges on MSRs.
|
|
(2)
|
|
Amounts represent instruments which 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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis |
|
|
June 30, 2011 |
|
|
Gains (Losses) |
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
Six Months Ended |
|
(Dollars in millions) |
|
Level 2 |
|
|
Level 3 |
|
|
June 30, 2011 |
|
|
June 30, 2011 |
|
|
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 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2010 |
|
|
Gains (Losses) |
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
|
Six Months Ended |
|
(Dollars in millions) |
|
Level 2 |
|
|
Level 3 |
|
|
June 30, 2010 |
|
|
June 30, 2010 |
|
|
Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale
|
|
$ |
1,501 |
|
|
$ |
8,070 |
|
|
$ |
307 |
|
|
$ |
123 |
|
Loans and leases (1)
|
|
|
45 |
|
|
|
10,817 |
|
|
|
(1,736 |
) |
|
|
(3,921 |
) |
Foreclosed properties (2)
|
|
|
10 |
|
|
|
1,251 |
|
|
|
(59 |
) |
|
|
(113 |
) |
Other assets
|
|
|
4 |
|
|
|
16 |
|
|
|
(3 |
) |
|
|
(3 |
) |
|
|
|
|
(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.
|
|
Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Option Elections |
|
|
|
June 30, 2011 |
|
|
December 31, 2010 |
|
|
|
|
|
|
|
|
|
|
|
Fair Value |
|
|
|
|
|
|
|
|
|
|
Fair Value |
|
|
|
|
|
|
|
|
|
|
|
Carrying |
|
|
|
|
|
|
|
|
|
|
Carrying |
|
|
|
Fair Value |
|
|
Contractual |
|
|
Amount |
|
|
Fair Value |
|
|
Contractual |
|
|
Amount |
|
|
|
Carrying |
|
|
Principal |
|
|
Less Unpaid |
|
|
Carrying |
|
|
Principal |
|
|
Less Unpaid |
|
(Dollars in millions) |
|
Amount |
|
|
Outstanding |
|
|
Principal |
|
|
Amount |
|
|
Outstanding |
|
|
Principal |
|
Corporate loans
|
|
$ |
9,597 |
|
|
$ |
14,039 |
|
|
$ |
(4,442 |
) |
|
$ |
3,269 |
|
|
$ |
3,638 |
|
|
$ |
(369 |
) |
Loans held-for-sale
|
|
|
15,143 |
|
|
|
17,262 |
|
|
|
(2,119 |
) |
|
|
25,942 |
|
|
|
28,370 |
|
|
|
(2,428 |
) |
Securities financing agreements
|
|
|
137,568 |
|
|
|
137,196 |
|
|
|
372 |
|
|
|
116,023 |
|
|
|
115,053 |
|
|
|
970 |
|
Other assets
|
|
|
237 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
310 |
|
|
|
n/a |
|
|
|
n/a |
|
Long-term deposits
|
|
|
3,334 |
|
|
|
3,187 |
|
|
|
147 |
|
|
|
2,732 |
|
|
|
2,692 |
|
|
|
40 |
|
Asset-backed secured financings
|
|
|
744 |
|
|
|
1,313 |
|
|
|
(569 |
) |
|
|
706 |
|
|
|
1,356 |
|
|
|
(650 |
) |
Unfunded loan commitments
|
|
|
773 |
|
|
|
n/a |
|
|
|
n/a |
|
|
|
866 |
|
|
|
n/a |
|
|
|
n/a |
|
Commercial paper and other
short-term borrowings
|
|
|
4,121 |
|
|
|
4,121 |
|
|
|
- |
|
|
|
6,472 |
|
|
|
6,472 |
|
|
|
- |
|
Long-term debt
|
|
|
60,737 |
|
|
|
67,119 |
|
|
|
(6,382 |
) |
|
|
50,984 |
|
|
|
54,656 |
|
|
|
(3,672 |
) |
|
n/a = not applicable
|