Fair Value Measurements |
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NOTE 16 – Fair Value Measurements |
Under applicable accounting guidance, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. The Corporation determines the fair values of its financial instruments based on the fair value hierarchy established under applicable accounting guidance which requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. There are three levels of inputs used to measure fair value. The Corporation conducts a review of its fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities became unobservable or observable, respectively, in the current marketplace. These transfers are considered to be effective as of the beginning of the quarter in which they occur. For more information regarding the fair value hierarchy and how the Corporation measures fair value, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2012 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 17 – Fair Value Option.
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Valuation Processes and Techniques |
The Corporation has various processes and controls in place to ensure that fair value is reasonably estimated. A model validation policy governs the use and control of valuation models used to estimate fair value. This policy requires review and approval of models by personnel who are independent of the front office, and periodic reassessments of models to ensure that they are continuing to perform as designed. In addition, detailed reviews of trading gains and losses are conducted on a daily basis by personnel who are independent of the front office. A price verification group, which is also independent of the front office, utilizes available market information including executed trades, market prices and market-observable valuation model inputs to ensure that fair values are reasonably estimated. The Corporation performs due diligence procedures over third-party pricing service providers in order to support their use in the valuation process. Where market information is not available to support internal valuations, independent reviews of the valuations are performed and any material exposures are escalated through a management review process.
While the Corporation believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different estimate of fair value at the reporting date.
During the three months ended March 31, 2013, there were no changes to the valuation techniques that had, or are expected to have, a material impact on its consolidated financial position or results of operations.
Level 1, 2 and 3 Valuation Techniques
Financial instruments are considered Level 1 when the valuation is based on quoted prices in active markets for identical assets or liabilities. Level 2 financial instruments are valued using quoted prices for similar assets or liabilities, quoted prices in markets that are not active, or models using inputs that are observable or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Financial instruments are considered Level 3 when their values are determined using pricing models, discounted cash flow methodologies or similar techniques, and at least one significant model assumption or input is unobservable and when determination of the fair value requires significant management judgment or estimation.
Trading Account Assets and Liabilities and Debt Securities
The fair values of trading account assets and liabilities are primarily based on actively traded markets where prices are based on either direct market quotes or observed transactions. The fair values of debt securities are generally based on quoted market prices or market prices for similar assets. Liquidity is a significant factor in the determination of the fair values of trading account assets and liabilities and debt securities. Market price quotes may not be readily available for some positions, or positions within a market sector where trading activity has slowed significantly or ceased. Some of these instruments are valued using a discounted cash flow model, which estimates the fair value of the securities using internal credit risk, interest rate and prepayment risk models that incorporate management's best estimate of current key assumptions such as default rates, loss severity and prepayment rates. Principal and interest cash flows are discounted using an observable discount rate for similar instruments with adjustments that management believes a market participant would consider in determining fair value for the specific security. Other instruments are valued using a net asset value approach which considers the value of the underlying securities. Underlying assets are valued using external pricing services, where available, or matrix pricing based on the vintages and ratings. Situations of illiquidity generally are triggered by the market's perception of credit uncertainty regarding a single company or a specific market sector. In these instances, fair value is determined based on limited available market information and other factors, principally from reviewing the issuer's financial statements and changes in credit ratings made by one or more rating agencies.
Derivative Assets and Liabilities
The fair values of derivative assets and liabilities traded in the OTC market are determined using quantitative models that utilize multiple market inputs including interest rates, prices and indices to generate continuous yield or pricing curves and volatility factors to value the position. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. When third-party pricing services are used, the methods and assumptions used are reviewed by the Corporation. Estimation risk is greater for derivative asset and liability positions that are either option-based or have longer maturity dates where observable market inputs are less readily available, or are unobservable, in which case, quantitative-based extrapolations of rate, price or index scenarios are used in determining fair values. The fair values of derivative assets and liabilities include adjustments for market liquidity, counterparty credit quality and other instrument-specific factors, where appropriate. In addition, the Corporation incorporates within its fair value measurements of OTC derivatives a valuation adjustment to reflect the credit risk associated with the net position. Positions are netted by counterparty, and fair value for net long exposures is adjusted for counterparty credit risk while the fair value for net short exposures is adjusted for the Corporation's own credit risk. An estimate of severity of loss is also used in the determination of fair value, primarily based on market data.
Loans and Loan Commitments
The fair values of loans and loan commitments are based on market prices, where available, or discounted cash flow analyses using market-based credit spreads of comparable debt instruments or credit derivatives of the specific borrower or comparable borrowers. Results of discounted cash flow calculations may be adjusted, as appropriate, to reflect other market conditions or the perceived credit risk of the borrower.
Mortgage Servicing Rights
The fair values of MSRs are determined using models that rely on estimates of prepayment rates, the resultant weighted-average lives of the MSRs and the option-adjusted spread (OAS) levels. For more information on MSRs, see Note 19 – Mortgage Servicing Rights.
Loans Held-for-sale
The fair values of LHFS are based on quoted market prices, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation's current origination rates for similar loans adjusted to reflect the inherent credit risk.
Private Equity Investments
Private equity investments consist of direct investments and fund investments which are initially valued at their transaction price. Thereafter, the fair value of direct investments is based on an assessment of each individual investment using methodologies that include publicly-traded comparables derived by multiplying a key performance metric (e.g., earnings before interest, taxes, depreciation and amortization) of the portfolio company by the relevant valuation multiple observed for comparable companies, acquisition comparables, entry level multiples and discounted cash flow analyses, and are subject to appropriate discounts for lack of liquidity or marketability. After initial recognition, the fair value of fund investments is based on the Corporation's proportionate interest in the fund's capital as reported by the respective fund managers.
Securities Financing Agreements
The fair values of certain reverse repurchase agreements, repurchase agreements and securities borrowed transactions are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services.
Deposits and Short-term Borrowings
The fair values of deposits and short-term borrowings are determined using quantitative models, including discounted cash flow models that require the use of multiple market inputs including interest rates and spreads to generate continuous yield or pricing curves, and volatility factors. The majority of market inputs are actively quoted and can be validated through external sources, including brokers, market transactions and third-party pricing services. The Corporation considers the impact of its own credit spreads in the valuation of these liabilities. The credit risk is determined by reference to observable credit spreads in the secondary cash market.
Long-term Debt
The Corporation issues structured liabilities that have coupons or repayment terms linked to the performance of debt or equity securities, indices, currencies or commodities. The fair values of these structured liabilities are estimated using quantitative models for the combined derivative and debt portions of the notes. These models incorporate observable and, in some instances, unobservable inputs including security prices, interest rate yield curves, option volatility, currency, commodity or equity rates and correlations between these inputs. The Corporation also considers the impact of its own credit spreads in determining the discount rate used to value these liabilities. The credit spread is determined by reference to observable spreads in the secondary bond market.
Asset-backed Secured Financings
The fair values of asset-backed secured financings are based on external broker bids, where available, or are determined by discounting estimated cash flows using interest rates approximating the Corporation's current origination rates for similar loans adjusted to reflect the inherent credit risk.
Assets and liabilities carried at fair value on a recurring basis at March 31, 2013 and December 31, 2012, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
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March 31, 2013 |
|
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 |
$ |
— |
|
|
$ |
94,673 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
94,673 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
47,957 |
|
|
24,921 |
|
|
— |
|
|
— |
|
|
72,878 |
|
Corporate securities, trading loans and other |
1,702 |
|
|
33,874 |
|
|
3,607 |
|
|
— |
|
|
39,183 |
|
Equity securities |
31,398 |
|
|
13,968 |
|
|
497 |
|
|
— |
|
|
45,863 |
|
Non-U.S. sovereign debt |
33,681 |
|
|
14,536 |
|
|
417 |
|
|
— |
|
|
48,634 |
|
Mortgage trading loans and ABS |
— |
|
|
11,990 |
|
|
4,480 |
|
|
— |
|
|
16,470 |
|
Total trading account assets |
114,738 |
|
|
99,289 |
|
|
9,001 |
|
|
— |
|
|
223,028 |
|
Derivative assets (3)
|
5,078 |
|
|
1,201,709 |
|
|
8,011 |
|
|
(1,162,551 |
) |
|
52,247 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
14,639 |
|
|
2,800 |
|
|
— |
|
|
— |
|
|
17,439 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
174,268 |
|
|
— |
|
|
— |
|
|
174,268 |
|
Agency-collateralized mortgage obligations |
— |
|
|
34,761 |
|
|
— |
|
|
— |
|
|
34,761 |
|
Non-agency residential |
— |
|
|
8,877 |
|
|
— |
|
|
— |
|
|
8,877 |
|
Non-agency commercial |
— |
|
|
3,824 |
|
|
10 |
|
|
— |
|
|
3,834 |
|
Non-U.S. securities |
2,699 |
|
|
2,950 |
|
|
1 |
|
|
— |
|
|
5,650 |
|
Corporate/Agency bonds |
— |
|
|
1,289 |
|
|
96 |
|
|
— |
|
|
1,385 |
|
Other taxable securities |
20 |
|
|
6,989 |
|
|
4,045 |
|
|
— |
|
|
11,054 |
|
Tax-exempt securities |
— |
|
|
3,541 |
|
|
1,041 |
|
|
— |
|
|
4,582 |
|
Total AFS debt securities |
17,358 |
|
|
239,299 |
|
|
5,193 |
|
|
— |
|
|
261,850 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
3,861 |
|
|
— |
|
|
— |
|
|
— |
|
|
3,861 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
29,178 |
|
|
— |
|
|
— |
|
|
29,178 |
|
Agency-collateralized mortgage obligations |
— |
|
|
958 |
|
|
— |
|
|
— |
|
|
958 |
|
Non-agency commercial |
— |
|
|
103 |
|
|
— |
|
|
— |
|
|
103 |
|
Non-U.S. securities |
8,872 |
|
|
310 |
|
|
— |
|
|
— |
|
|
9,182 |
|
Total other debt securities carried at fair value |
12,733 |
|
|
30,549 |
|
|
— |
|
|
— |
|
|
43,282 |
|
Loans and leases |
— |
|
|
6,457 |
|
|
2,363 |
|
|
— |
|
|
8,820 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
5,776 |
|
|
— |
|
|
5,776 |
|
Loans held-for-sale |
— |
|
|
11,482 |
|
|
2,405 |
|
|
— |
|
|
13,887 |
|
Other assets |
15,578 |
|
|
5,036 |
|
|
2,629 |
|
|
— |
|
|
23,243 |
|
Total assets |
$ |
165,485 |
|
|
$ |
1,688,494 |
|
|
$ |
35,378 |
|
|
$ |
(1,162,551 |
) |
|
$ |
726,806 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
2,130 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,130 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
47,842 |
|
|
— |
|
|
— |
|
|
47,842 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
25,292 |
|
|
472 |
|
|
— |
|
|
— |
|
|
25,764 |
|
Equity securities |
21,786 |
|
|
2,963 |
|
|
— |
|
|
— |
|
|
24,749 |
|
Non-U.S. sovereign debt |
27,945 |
|
|
1,432 |
|
|
— |
|
|
— |
|
|
29,377 |
|
Corporate securities and other |
574 |
|
|
10,025 |
|
|
58 |
|
|
— |
|
|
10,657 |
|
Total trading account liabilities |
75,597 |
|
|
14,892 |
|
|
58 |
|
|
— |
|
|
90,547 |
|
Derivative liabilities (3)
|
3,888 |
|
|
1,184,636 |
|
|
6,948 |
|
|
(1,147,647 |
) |
|
47,825 |
|
Short-term borrowings |
— |
|
|
3,168 |
|
|
— |
|
|
— |
|
|
3,168 |
|
Accrued expenses and other liabilities |
12,016 |
|
|
1,814 |
|
|
455 |
|
|
— |
|
|
14,285 |
|
Long-term debt |
— |
|
|
50,006 |
|
|
2,355 |
|
|
— |
|
|
52,361 |
|
Total liabilities |
$ |
91,501 |
|
|
$ |
1,304,488 |
|
|
$ |
9,816 |
|
|
$ |
(1,147,647 |
) |
|
$ |
258,158 |
|
|
|
(1) |
During the three months ended March 31, 2013, $500 million of assets were transferred from Level 1 to Level 2 primarily due to a restriction that became effective for a private equity investment.
|
|
|
(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(3) |
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
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|
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|
|
|
|
|
|
|
December 31, 2012 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 (1)
|
|
Level 2 (1)
|
|
Level 3 |
|
Netting
Adjustments (2)
|
|
Assets/Liabilities
at Fair Value
|
Assets |
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
98,670 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
98,670 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
57,655 |
|
|
29,319 |
|
|
— |
|
|
— |
|
|
86,974 |
|
Corporate securities, trading loans and other |
1,292 |
|
|
32,882 |
|
|
3,726 |
|
|
— |
|
|
37,900 |
|
Equity securities |
28,144 |
|
|
14,626 |
|
|
545 |
|
|
— |
|
|
43,315 |
|
Non-U.S. sovereign debt |
29,254 |
|
|
13,139 |
|
|
353 |
|
|
— |
|
|
42,746 |
|
Mortgage trading loans and ABS |
— |
|
|
11,905 |
|
|
4,935 |
|
|
— |
|
|
16,840 |
|
Total trading account assets |
116,345 |
|
|
101,871 |
|
|
9,559 |
|
|
— |
|
|
227,775 |
|
Derivative assets (3)
|
2,997 |
|
|
1,372,398 |
|
|
8,073 |
|
|
(1,329,971 |
) |
|
53,497 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
21,514 |
|
|
2,958 |
|
|
— |
|
|
— |
|
|
24,472 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
188,149 |
|
|
— |
|
|
— |
|
|
188,149 |
|
Agency-collateralized mortgage obligations |
— |
|
|
37,538 |
|
|
— |
|
|
— |
|
|
37,538 |
|
Non-agency residential |
— |
|
|
9,494 |
|
|
— |
|
|
— |
|
|
9,494 |
|
Non-agency commercial |
— |
|
|
3,914 |
|
|
10 |
|
|
— |
|
|
3,924 |
|
Non-U.S. securities |
2,637 |
|
|
2,981 |
|
|
— |
|
|
— |
|
|
5,618 |
|
Corporate/Agency bonds |
— |
|
|
1,358 |
|
|
92 |
|
|
— |
|
|
1,450 |
|
Other taxable securities |
20 |
|
|
8,180 |
|
|
3,928 |
|
|
— |
|
|
12,128 |
|
Tax-exempt securities |
— |
|
|
3,072 |
|
|
1,061 |
|
|
— |
|
|
4,133 |
|
Total AFS debt securities |
24,171 |
|
|
257,644 |
|
|
5,091 |
|
|
— |
|
|
286,906 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
491 |
|
|
— |
|
|
— |
|
|
— |
|
|
491 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
13,073 |
|
|
— |
|
|
— |
|
|
13,073 |
|
Agency-collateralized mortgage obligations |
— |
|
|
929 |
|
|
— |
|
|
— |
|
|
929 |
|
Non-U.S. securities |
9,151 |
|
|
300 |
|
|
— |
|
|
— |
|
|
9,451 |
|
Total other debt securities carried at fair value |
9,642 |
|
|
14,302 |
|
|
— |
|
|
— |
|
|
23,944 |
|
Loans and leases |
— |
|
|
6,715 |
|
|
2,287 |
|
|
— |
|
|
9,002 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
5,716 |
|
|
— |
|
|
5,716 |
|
Loans held-for-sale |
— |
|
|
8,926 |
|
|
2,733 |
|
|
— |
|
|
11,659 |
|
Other assets |
18,535 |
|
|
4,826 |
|
|
3,129 |
|
|
— |
|
|
26,490 |
|
Total assets |
$ |
171,690 |
|
|
$ |
1,865,352 |
|
|
$ |
36,588 |
|
|
$ |
(1,329,971 |
) |
|
$ |
743,659 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
2,262 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,262 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
42,639 |
|
|
— |
|
|
— |
|
|
42,639 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
22,351 |
|
|
1,079 |
|
|
— |
|
|
— |
|
|
23,430 |
|
Equity securities |
19,852 |
|
|
2,640 |
|
|
— |
|
|
— |
|
|
22,492 |
|
Non-U.S. sovereign debt |
18,875 |
|
|
1,369 |
|
|
— |
|
|
— |
|
|
20,244 |
|
Corporate securities and other |
487 |
|
|
6,870 |
|
|
64 |
|
|
— |
|
|
7,421 |
|
Total trading account liabilities |
61,565 |
|
|
11,958 |
|
|
64 |
|
|
— |
|
|
73,587 |
|
Derivative liabilities (3)
|
2,859 |
|
|
1,355,309 |
|
|
6,605 |
|
|
(1,318,757 |
) |
|
46,016 |
|
Short-term borrowings |
— |
|
|
4,074 |
|
|
— |
|
|
— |
|
|
4,074 |
|
Accrued expenses and other liabilities |
15,457 |
|
|
1,122 |
|
|
15 |
|
|
— |
|
|
16,594 |
|
Long-term debt |
— |
|
|
46,860 |
|
|
2,301 |
|
|
— |
|
|
49,161 |
|
Total liabilities |
$ |
79,881 |
|
|
$ |
1,464,224 |
|
|
$ |
8,985 |
|
|
$ |
(1,318,757 |
) |
|
$ |
234,333 |
|
|
|
(1) |
During 2012, $2.0 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and $785 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Of the asset transfers from Level 1 to Level 2, $940 million was due to a restriction that became effective for a private equity investment during 2012, while $535 million of the transfers from Level 2 to Level 1 was due to the lapse of this restriction during 2012. The remaining transfers were the result of additional information associated with certain equities, derivative contracts and private equity investments.
|
|
|
(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.
|
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 months ended March 31, 2013 and 2012, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2013 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2013
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31 2013 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,726 |
|
$ |
88 |
|
$ |
— |
|
$ |
805 |
|
$ |
(966 |
) |
$ |
— |
|
$ |
(140 |
) |
$ |
218 |
|
$ |
(124 |
) |
$ |
3,607 |
|
Equity securities |
545 |
|
42 |
|
— |
|
29 |
|
(109 |
) |
— |
|
— |
|
8 |
|
(18 |
) |
497 |
|
Non-U.S. sovereign debt |
353 |
|
51 |
|
— |
|
15 |
|
(1 |
) |
— |
|
— |
|
— |
|
(1 |
) |
417 |
|
Mortgage trading loans and ABS |
4,935 |
|
162 |
|
— |
|
653 |
|
(643 |
) |
— |
|
(631 |
) |
5 |
|
(1 |
) |
4,480 |
|
Total trading account assets |
9,559 |
|
343 |
|
— |
|
1,502 |
|
(1,719 |
) |
— |
|
(771 |
) |
231 |
|
(144 |
) |
9,001 |
|
Net derivative assets (2)
|
1,468 |
|
293 |
|
— |
|
179 |
|
(466 |
) |
— |
|
(660 |
) |
52 |
|
197 |
|
1,063 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency commercial MBS |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
Non-U.S. securities |
— |
|
— |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
Corporate/Agency bonds |
92 |
|
— |
|
4 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
96 |
|
Other taxable securities |
3,928 |
|
— |
|
2 |
|
243 |
|
— |
|
— |
|
(128 |
) |
— |
|
— |
|
4,045 |
|
Tax-exempt securities |
1,061 |
|
1 |
|
3 |
|
— |
|
— |
|
— |
|
(24 |
) |
— |
|
— |
|
1,041 |
|
Total AFS debt securities |
5,091 |
|
1 |
|
9 |
|
244 |
|
— |
|
— |
|
(152 |
) |
— |
|
— |
|
5,193 |
|
Loans and leases (3, 4)
|
2,287 |
|
51 |
|
— |
|
71 |
|
— |
|
5 |
|
(41 |
) |
— |
|
(10 |
) |
2,363 |
|
Mortgage servicing rights (4)
|
5,716 |
|
434 |
|
— |
|
— |
|
(183 |
) |
123 |
|
(314 |
) |
— |
|
— |
|
5,776 |
|
Loans held-for-sale (3)
|
2,733 |
|
(39 |
) |
— |
|
— |
|
(210 |
) |
— |
|
(101 |
) |
22 |
|
— |
|
2,405 |
|
Other assets (5)
|
3,129 |
|
(448 |
) |
— |
|
17 |
|
(27 |
) |
— |
|
(42 |
) |
— |
|
— |
|
2,629 |
|
Trading account liabilities – Corporate securities and other |
(64 |
) |
— |
|
— |
|
7 |
|
(14 |
) |
— |
|
— |
|
(8 |
) |
21 |
|
(58 |
) |
Accrued expenses and other liabilities (3)
|
(15 |
) |
29 |
|
— |
|
— |
|
— |
|
(586 |
) |
116 |
|
— |
|
1 |
|
(455 |
) |
Long-term debt (3)
|
(2,301 |
) |
11 |
|
— |
|
89 |
|
(4 |
) |
(36 |
) |
60 |
|
(381 |
) |
207 |
|
(2,355 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
Net derivatives include derivative assets of $8.0 billion and derivative liabilities of $6.9 billion.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(4) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(5) |
Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
During the three months ended March 31, 2013, the transfers into Level 3 included $231 million of trading account assets and $381 million of long-term debt. Transfers into Level 3 for trading account assets were primarily the result of decreased market liquidity for certain corporate loans and securities. Transfers into Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
During the three months ended March 31, 2013, the transfers out of Level 3 included $144 million of trading account assets, $197 million of net derivative assets and $207 million of long-term debt. Transfers out of Level 3 for trading account assets primarily related to increased market liquidity for certain corporate loans and securities. Transfers out of Level 3 for net derivative assets primarily related to increased price observability (i.e., market comparables for the referenced instruments) for certain options. Transfers out of Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2012 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2012
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31 2012 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
6,880 |
|
$ |
93 |
|
$ |
— |
|
$ |
675 |
|
$ |
(1,065 |
) |
$ |
— |
|
$ |
(189 |
) |
$ |
59 |
|
$ |
(452 |
) |
$ |
6,001 |
|
Equity securities |
544 |
|
15 |
|
— |
|
79 |
|
(109 |
) |
— |
|
(10 |
) |
8 |
|
(2 |
) |
525 |
|
Non-U.S. sovereign debt |
342 |
|
24 |
|
— |
|
273 |
|
(81 |
) |
— |
|
— |
|
— |
|
(12 |
) |
546 |
|
Mortgage trading loans and ABS |
3,689 |
|
99 |
|
— |
|
184 |
|
(455 |
) |
— |
|
(89 |
) |
742 |
|
(158 |
) |
4,012 |
|
Total trading account assets |
11,455 |
|
231 |
|
— |
|
1,211 |
|
(1,710 |
) |
— |
|
(288 |
) |
809 |
|
(624 |
) |
11,084 |
|
Net derivative assets (2)
|
5,866 |
|
(837 |
) |
— |
|
359 |
|
(321 |
) |
— |
|
(634 |
) |
106 |
|
(352 |
) |
4,187 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
Agency |
37 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(4 |
) |
— |
|
— |
|
33 |
|
Non-agency residential |
860 |
|
(69 |
) |
19 |
|
— |
|
(293 |
) |
— |
|
— |
|
— |
|
(488 |
) |
29 |
|
Non-agency commercial |
40 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(2 |
) |
— |
|
— |
|
38 |
|
Corporate/Agency bonds |
162 |
|
(2 |
) |
— |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
(27 |
) |
131 |
|
Other taxable securities |
4,265 |
|
7 |
|
17 |
|
362 |
|
— |
|
— |
|
(418 |
) |
— |
|
(58 |
) |
4,175 |
|
Tax-exempt securities |
2,648 |
|
26 |
|
18 |
|
— |
|
(35 |
) |
— |
|
(762 |
) |
— |
|
— |
|
1,895 |
|
Total AFS debt securities |
8,012 |
|
(38 |
) |
54 |
|
360 |
|
(328 |
) |
— |
|
(1,186 |
) |
— |
|
(573 |
) |
6,301 |
|
Loans and leases (3, 4)
|
2,744 |
|
164 |
|
— |
|
— |
|
— |
|
— |
|
(117 |
) |
— |
|
(9 |
) |
2,782 |
|
Mortgage servicing rights (4)
|
7,378 |
|
655 |
|
— |
|
— |
|
— |
|
77 |
|
(521 |
) |
— |
|
— |
|
7,589 |
|
Loans held-for-sale (3)
|
3,387 |
|
169 |
|
— |
|
4 |
|
— |
|
— |
|
(97 |
) |
31 |
|
(632 |
) |
2,862 |
|
Other assets (5)
|
4,235 |
|
(32 |
) |
— |
|
43 |
|
(581 |
) |
— |
|
(167 |
) |
— |
|
(11 |
) |
3,487 |
|
Trading account liabilities – Corporate securities and other |
(114 |
) |
— |
|
— |
|
48 |
|
(27 |
) |
— |
|
— |
|
(65 |
) |
34 |
|
(124 |
) |
Accrued expenses and other liabilities (3)
|
(14 |
) |
3 |
|
— |
|
5 |
|
— |
|
— |
|
— |
|
— |
|
3 |
|
(3 |
) |
Long-term debt (3)
|
(2,943 |
) |
(241 |
) |
— |
|
76 |
|
(33 |
) |
(65 |
) |
433 |
|
(532 |
) |
805 |
|
(2,500 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
Net derivatives include derivative assets of $11.3 billion and derivative liabilities of $7.1 billion.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(4) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(5) |
Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
During the three months ended March 31, 2012, the transfers into Level 3 included $809 million of trading account assets, $106 million of net derivative assets and $532 million of long-term debt. Transfers into Level 3 for trading account assets were primarily the result of updated information related to certain CLOs. Transfers into Level 3 for net derivative assets primarily related to decreased market activity (i.e., executed trades) for certain structured rate derivatives. Transfers into Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities. Transfers occur on a regular basis for these long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
During the three months ended March 31, 2012, the transfers out of Level 3 included $624 million of trading account assets, $352 million of net derivative assets, $573 million of AFS debt securities, $632 million of LHFS and $805 million of long-term debt. Transfers out of Level 3 for trading account assets primarily related to increased market liquidity for certain corporate and commercial real estate loans. Transfers out of Level 3 for net derivative assets primarily related to increased price observability (i.e., market comparables for the referenced instruments) for certain total return swaps and foreign exchange swaps. Transfers out of Level 3 for AFS debt securities primarily related to increased price observability for certain non-agency RMBS. Transfers out of Level 3 for LHFS primarily related to increased observable inputs, primarily liquid comparables. Transfers out of Level 3 for long-term debt were primarily due to changes in the impact of unobservable inputs on the value of certain structured liabilities.
The following tables summarize gains (losses) due to changes in fair value, including both realized and unrealized gains (losses), recorded in earnings for Level 3 assets and liabilities during the three months ended March 31, 2013 and 2012. These amounts include gains (losses) on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings |
|
Three Months Ended March 31, 2013 |
(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 |
$ |
— |
|
|
$ |
88 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
88 |
|
Equity securities |
— |
|
|
42 |
|
|
— |
|
|
— |
|
|
42 |
|
Non-U.S. sovereign debt |
— |
|
|
51 |
|
|
— |
|
|
— |
|
|
51 |
|
Mortgage trading loans and ABS |
— |
|
|
162 |
|
|
— |
|
|
— |
|
|
162 |
|
Total trading account assets |
— |
|
|
343 |
|
|
— |
|
|
— |
|
|
343 |
|
Net derivative assets |
— |
|
|
(114 |
) |
|
407 |
|
|
— |
|
|
293 |
|
AFS debt securities – Tax-exempt securities |
— |
|
|
— |
|
|
— |
|
|
1 |
|
|
1 |
|
Loans and leases (2)
|
— |
|
|
— |
|
|
— |
|
|
51 |
|
|
51 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
434 |
|
|
— |
|
|
434 |
|
Loans held-for-sale (2)
|
— |
|
|
— |
|
|
4 |
|
|
(43 |
) |
|
(39 |
) |
Other assets |
2 |
|
|
— |
|
|
(3 |
) |
|
(447 |
) |
|
(448 |
) |
Accrued expenses and other liabilities (2)
|
— |
|
|
— |
|
|
29 |
|
|
— |
|
|
29 |
|
Long-term debt (2)
|
— |
|
|
22 |
|
|
— |
|
|
(11 |
) |
|
11 |
|
Total |
$ |
2 |
|
|
$ |
251 |
|
|
$ |
871 |
|
|
$ |
(449 |
) |
|
$ |
675 |
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2012 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
— |
|
|
$ |
93 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
93 |
|
Equity securities |
— |
|
|
15 |
|
|
— |
|
|
— |
|
|
15 |
|
Non-U.S. sovereign debt |
— |
|
|
24 |
|
|
— |
|
|
— |
|
|
24 |
|
Mortgage trading loans and ABS |
— |
|
|
99 |
|
|
— |
|
|
— |
|
|
99 |
|
Total trading account assets |
— |
|
|
231 |
|
|
— |
|
|
— |
|
|
231 |
|
Net derivative assets |
— |
|
|
(1,373 |
) |
|
536 |
|
|
— |
|
|
(837 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
|
— |
|
|
— |
|
|
(69 |
) |
|
(69 |
) |
Corporate/Agency bonds |
— |
|
|
— |
|
|
— |
|
|
(2 |
) |
|
(2 |
) |
Other taxable securities |
— |
|
|
— |
|
|
— |
|
|
7 |
|
|
7 |
|
Tax-exempt securities |
— |
|
|
— |
|
|
— |
|
|
26 |
|
|
26 |
|
Total AFS debt securities |
— |
|
|
— |
|
|
— |
|
|
(38 |
) |
|
(38 |
) |
Loans and leases (2)
|
— |
|
|
— |
|
|
— |
|
|
164 |
|
|
164 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
655 |
|
|
— |
|
|
655 |
|
Loans held-for-sale (2)
|
— |
|
|
— |
|
|
90 |
|
|
79 |
|
|
169 |
|
Other assets |
10 |
|
|
— |
|
|
(8 |
) |
|
(34 |
) |
|
(32 |
) |
Accrued expenses and other liabilities (2)
|
— |
|
|
— |
|
|
— |
|
|
3 |
|
|
3 |
|
Long-term debt (2)
|
— |
|
|
(139 |
) |
|
— |
|
|
(102 |
) |
|
(241 |
) |
Total |
$ |
10 |
|
|
$ |
(1,281 |
) |
|
$ |
1,273 |
|
|
$ |
72 |
|
|
$ |
74 |
|
|
|
(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. |
The following tables summarize changes in unrealized gains (losses) recorded in earnings during the three months ended March 31, 2013 and 2012 for Level 3 assets and liabilities that were still held at March 31, 2013 and 2012. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.
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Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date |
|
Three Months Ended March 31, 2013 |
(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 |
$ |
— |
|
|
$ |
48 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
48 |
|
Equity securities |
— |
|
|
33 |
|
|
— |
|
|
— |
|
|
33 |
|
Non-U.S. sovereign debt |
— |
|
|
51 |
|
|
— |
|
|
— |
|
|
51 |
|
Mortgage trading loans and ABS |
— |
|
|
89 |
|
|
— |
|
|
— |
|
|
89 |
|
Total trading account assets |
— |
|
|
221 |
|
|
— |
|
|
— |
|
|
221 |
|
Net derivative assets |
— |
|
|
(169 |
) |
|
246 |
|
|
— |
|
|
77 |
|
Loans and leases (2)
|
— |
|
|
— |
|
|
— |
|
|
43 |
|
|
43 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
336 |
|
|
— |
|
|
336 |
|
Loans held-for-sale (2)
|
— |
|
|
— |
|
|
10 |
|
|
(52 |
) |
|
(42 |
) |
Other assets |
(15 |
) |
|
— |
|
|
12 |
|
|
(447 |
) |
|
(450 |
) |
Accrued expenses and other liabilities (2)
|
— |
|
|
— |
|
|
25 |
|
|
— |
|
|
25 |
|
Long-term debt (2)
|
— |
|
|
21 |
|
|
— |
|
|
(11 |
) |
|
10 |
|
Total |
$ |
(15 |
) |
|
$ |
73 |
|
|
$ |
629 |
|
|
$ |
(467 |
) |
|
$ |
220 |
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2012 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
— |
|
|
$ |
56 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
56 |
|
Equity securities |
— |
|
|
11 |
|
|
— |
|
|
— |
|
|
11 |
|
Non-U.S. sovereign debt |
— |
|
|
13 |
|
|
— |
|
|
— |
|
|
13 |
|
Mortgage trading loans and ABS |
— |
|
|
53 |
|
|
— |
|
|
— |
|
|
53 |
|
Total trading account assets |
— |
|
|
133 |
|
|
— |
|
|
— |
|
|
133 |
|
Net derivative assets |
— |
|
|
(1,314 |
) |
|
300 |
|
|
— |
|
|
(1,014 |
) |
Loans and leases (2)
|
— |
|
|
— |
|
|
— |
|
|
163 |
|
|
163 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
470 |
|
|
— |
|
|
470 |
|
Loans held-for-sale (2)
|
— |
|
|
— |
|
|
51 |
|
|
23 |
|
|
74 |
|
Other assets |
(19 |
) |
|
— |
|
|
6 |
|
|
(34 |
) |
|
(47 |
) |
Accrued expenses and other liabilities (2)
|
— |
|
|
— |
|
|
— |
|
|
3 |
|
|
3 |
|
Long-term debt (2)
|
— |
|
|
(129 |
) |
|
— |
|
|
(102 |
) |
|
(231 |
) |
Total |
$ |
(19 |
) |
|
$ |
(1,310 |
) |
|
$ |
827 |
|
|
$ |
53 |
|
|
$ |
(449 |
) |
|
|
(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. |
The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at March 31, 2013 and December 31, 2012.
|
|
|
|
|
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|
|
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Quantitative Information about Level 3 Fair Value Measurements at March 31, 2013 |
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair Value |
Valuation Technique |
Significant Unobservable
Inputs
|
Ranges of Inputs |
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
3,676 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
365 |
|
Prepayment speed |
1% to 35% CPR |
10 |
% |
Loans and leases |
906 |
|
Default rate |
0% to 35% CDR |
5 |
% |
Loans held-for-sale |
2,405 |
|
Loss severity |
4% to 85% |
41 |
% |
Instruments backed by commercial real estate assets |
$ |
1,454 |
|
Discounted cash flow |
Yield |
5% |
n/a |
|
Other assets |
1,454 |
|
Loss severity |
51% to 100% |
80 |
% |
Commercial loans, debt securities and other |
$ |
11,257 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 33% |
4 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,471 |
|
Enterprise value/EBITDA multiple |
1x to 17x |
6 |
x |
Trading account assets – Mortgage trading loans and ABS |
4,115 |
|
Prepayment speed |
5% to 40% |
19 |
% |
AFS debt securities – Other taxable securities |
3,214 |
|
Default rate |
1% to 5% |
4 |
% |
Loans and leases |
1,457 |
|
Loss severity |
25% to 40% |
36 |
% |
Auction rate securities |
$ |
3,008 |
|
Discounted cash flow, Market comparables |
Discount rate |
4% to 5% |
5 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,136 |
|
Projected tender price/Re-financing level |
50% to 100% |
93 |
% |
AFS debt securities – Other taxable securities |
831 |
|
|
|
AFS debt securities – Tax-exempt securities |
1,041 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(2,355 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
30% to 97% |
73 |
% |
|
|
Long-dated volatilities |
15% to 115% |
26 |
% |
|
|
|
|
|
Net derivatives assets |
|
|
|
|
|
Credit derivatives |
$ |
1,839 |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
3% to 30% |
16 |
% |
|
|
Credit spreads |
37 bps to 346 bps |
200 bps |
|
|
|
Upfront points |
12 points to 100 points |
71 points |
|
|
|
Spread to index |
-1,657 bps to 1,988 bps |
400 bps |
|
|
|
Credit correlation |
21% to 75% |
39 |
% |
|
|
Prepayment speed |
4% to 30% CPR |
9 |
% |
|
|
Default rate |
1% to 5% CDR |
3 |
% |
|
|
Loss severity |
27% to 50% |
37 |
% |
Equity derivatives |
$ |
(1,215 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
30% to 97% |
73 |
% |
|
|
Long-dated volatilities |
15% to 115% |
26 |
% |
|
|
|
|
|
Commodity derivatives |
$ |
(4 |
) |
Discounted cash flow |
Natural gas forward price |
$3/MMBtu to $12/MMBtu |
$7/MMBtu |
|
Interest rate derivatives |
$ |
443 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
19% to 99% |
69 |
% |
|
|
Correlation (FX/IR) |
-65% to 50% |
7 |
% |
|
|
Long-dated inflation rates |
2% to 3% |
2 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
1,063 |
|
|
|
|
|
|
|
(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 214: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Mortgage trading loans and ABS of $4.5 billion, AFS debt securities – Other taxable securities of $4.0 billion, AFS debt securities – Tax-exempt securities of $1.0 billion, Loans and leases of $2.4 billion, LHFS of $2.4 billion and Other assets of $1.5 billion.
|
|
|
(2) |
Includes models such as Monte Carlo simulation and Black-Scholes. |
|
|
(3) |
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
n/a = not applicable
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
EBITDA = Earnings before interest, taxes, depreciation and amortization
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements for Loans, Securities and Structured Liabilities at December 31, 2012 |
|
(Dollars in millions) | |