Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2013

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

Fair value Assets and liabilities measured on Recurring basis

Assets and liabilities carried at fair value on a recurring basis at March 31, 2013 and December 31, 2012, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.



	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.



	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.

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



Level 3 – Fair Value Measurements ⁽¹⁾
	Three Months Ended March 31, 2012
									Gross
(Dollars in millions)	Balance January 1 2012			Gains (Losses) in Earnings			Gains (Losses) in OCI		Purchases			Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance March 31 2012
Trading account assets:
Corporate securities, trading loans and other	$	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.

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.

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 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.



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.

Fair Value Inputs, Assets and Liabilities, Quantitative Information

The following tables present information about significant unobservable inputs related to the Corporation's material categories of Level 3 financial assets and liabilities at March 31, 2013 and December 31, 2012.



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			Discounted cash flow	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				Projected tender price/Re-financing level
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)					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	$	4,478		Discounted cash flow, Market comparables	Yield	2% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	459				Prepayment speed	1% to 30% CPR	10	%
Loans and leases	1,286				Default rate	0% to 44% CDR	6	%
Loans held-for-sale	2,733				Loss severity	6% to 85%	43	%
Instruments backed by commercial real estate assets	$	1,910		Discounted cash flow	Yield	5%	n/a
Other assets	1,910			Discounted cash flow	Loss severity	51% to 100%	88	%
Commercial loans, debt securities and other	$	10,778		Discounted cash flow, Market comparables	Yield	0% to 25%	4	%
Trading account assets – Corporate securities, trading loans and other	2,289				Enterprise value/EBITDA multiple	2x to 11x	5x
Trading account assets – Mortgage trading loans and ABS	4,476				Prepayment speed	5% to 30%	20	%
AFS debt securities – Other taxable securities	3,012				Default rate	1% to 5%	4	%
Loans and leases	1,001				Loss severity	25% to 40%	35	%
Auction rate securities	$	3,414		Discounted cash flow, Market comparables	Discount rate	4% to 5%	4	%
Trading account assets – Corporate securities, trading loans and other	1,437				Projected tender price/Re-financing level	50% to 100%	92	%
AFS debt securities – Other taxable securities	916				Projected tender price/Re-financing level
AFS debt securities – Tax-exempt securities	1,061
Structured liabilities
Long-term debt⁽²⁾	$	(2,301	)	Industry standard derivative pricing ⁽³⁾	Equity correlation	30% to 97%	n/m
					Long-dated volatilities	20% to 70%	n/m



Quantitative Information about Level 3 Fair Value Measurements for Net Derivative Assets at December 31, 2012
(Dollars in millions)					Inputs
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs
Net derivatives assets
Credit derivatives	$	2,327		Discounted cash flow, Stochastic recovery correlation model	Yield	2% to 25%
					Credit spreads	58 bps to 615 bps
					Upfront points	25 points to 99 points
					Spread to index	-2,080 bps to 1,972 bps
					Credit correlation	19% to 75%
					Prepayment speed	3% to 30% CPR
					Default rate	0% to 8% CDR
					Loss severity	25% to 42%
Equity derivatives	$	(1,295	)	Industry standard derivative pricing⁽³⁾	Equity correlation	30% to 97%
					Long-dated volatilities	20% to 70%

Commodity derivatives	$	(5	)	Discounted cash flow	Natural gas forward price	$3/MMBtu to $12/MMBtu
Interest rate derivatives	$	441		Industry standard derivative pricing ⁽⁴⁾	Correlation (IR/IR)	15% to 99%
					Correlation (FX/IR)	-65% to 50%
					Long-dated inflation rates	2% to 3%
					Long-dated inflation volatilities	0% to 1%
					Long-dated volatilities (FX)	5% to 36%
					Long-dated swap rates	8% to 10%
Total net derivative assets	$	1,468

⁽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 215: Trading account assets – Corporate securities, trading loans and other of $3.7 billion, Trading account assets – Mortgage trading loans and ABS of $4.9 billion, AFS debt securities – Other taxable securities of $3.9 billion, AFS debt securities – Tax-exempt securities of $1.1 billion, Loans and leases of $2.3 billion, LHFS of $2.7 billion and Other assets of $1.9 billion.


⁽²⁾	For additional information on the ranges of inputs for equity correlation and long-dated volatilities, see the qualitative equity derivatives discussion on page 220.


⁽³⁾	Includes models such as Monte Carlo simulation and Black-Scholes.


⁽⁴⁾	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

n/m = not meaningful

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

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis



Assets Measured at Fair Value on a Nonrecurring Basis
	March 31, 2013				Three Months Ended March 31, 2013
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	3,902	$	795	$	(96	)
Loans and leases ⁽¹⁾	20		3,619		(640		)
Foreclosed properties ⁽²⁾	48		1,981		(19		)
Other assets	65		12		(6		)

	March 31, 2012				Three Months Ended March 31, 2012
(Dollars in millions)	Level 2		Level 3		Gains (Losses)
Assets
Loans held-for-sale	$	3,465	$	857	$	60
Loans and leases ⁽¹⁾	21		5,813		(1,497		)
Foreclosed properties ⁽²⁾	—		2,149		(67		)
Other assets	—		14		—


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


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

Fair Value Inputs, Assets, Quantitative Information

The table below presents information about significant unobservable inputs related to the Corporation's nonrecurring Level 3 financial assets and liabilities at March 31, 2013 and December 31, 2012.



Quantitative Information about Nonrecurring 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
Instruments backed by residential real estate assets	$	4,312	Discounted cash flow, Market comparables	Yield	4% to 5%	4	%
Loans held-for-sale	693			Prepayment speed	3% to 26%	14	%
Loans and leases	3,619			Default rate	0% to 51%	7	%
				Loss severity	5% to 63%	44	%
				OREO discount	0% to 28%	15	%
				Cost to sell	8%	n/a
Instruments backed by commercial real estate assets	$	102	Discounted cash flow	Yield	5% to 11%	9	%
Loans held-for-sale	102		Discounted cash flow	Loss severity	31% to 93%	81	%



Quantitative Information about Nonrecurring Level 3 Fair Value Measurements at December 31, 2012
Instruments backed by residential real estate assets	$	9,932	Discounted cash flow, Market comparables	Yield	3% to 5%	3	%
Loans held-for-sale	748			Prepayment speed	3% to 30%	15	%
Loans and leases	9,184			Default rate	0% to 55%	7	%
				Loss severity	6% to 66%	48	%
				OREO discount	0% to 28%	15	%
				Cost to sell	8%	n/a
Instruments backed by commercial real estate assets	$	388	Discounted cash flow	Yield	4% to 13%	6	%
Loans held-for-sale	388		Discounted cash flow	Loss severity	24% to 88%	53	%

n/a = not applicable

Fair Value, Inputs, Level 3 [Member]

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

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



Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings
	Three Months Ended March 31, 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.

- Definition

Tabular disclosure of the amount of gains or losses for the period included in earnings or resulted in a change to net assets, have arisen from the use of significant unobservable inputs (level 3) to measure the fair value of assets, liabilities, and financial instruments classified in shareholders' equity.

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- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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