Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

12 Months Ended

Dec. 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 December 31, 2013 and 2012, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.




	December 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	$	—	$	75,614	$	—	$	—		$	75,614
Trading account assets:
U.S. government and agency securities ⁽³⁾	34,222		14,625		—		—			48,847
Corporate securities, trading loans and other	1,147		27,746		3,559		—			32,452
Equity securities	41,324		22,741		386		—			64,451
Non-U.S. sovereign debt	24,357		12,399		468		—			37,224
Mortgage trading loans and ABS	—		13,388		4,631		—			18,019
Total trading account assets	101,050		90,899		9,044		—			200,993
Derivative assets ⁽⁴⁾	2,374		910,602		7,277		(872,758		)	47,495
AFS debt securities:
U.S. Treasury and agency securities	6,591		2,363		—		—			8,954
Mortgage-backed securities:
Agency	—		164,935		—		—			164,935
Agency-collateralized mortgage obligations	—		22,492		—		—			22,492
Non-agency residential	—		6,239		—		—			6,239
Commercial	—		2,480		—		—			2,480
Non-U.S. securities	3,698		3,415		107		—			7,220
Corporate/Agency bonds	—		873		—		—			873
Other taxable securities	20		12,963		3,847		—			16,830
Tax-exempt securities	—		5,122		806		—			5,928
Total AFS debt securities	10,309		220,882		4,760		—			235,951
Other debt securities carried at fair value:
U.S. Treasury and agency securities	4,062		—		—		—			4,062
Mortgage-backed securities:
Agency	—		16,500		—		—			16,500
Agency-collateralized mortgage obligations	—		218		—		—			218
Commercial	—		749		—		—			749
Non-U.S. securities	7,457		3,858		—		—			11,315
Total other debt securities carried at fair value	11,519		21,325		—		—			32,844
Loans and leases	—		6,985		3,057		—			10,042
Mortgage servicing rights	—		—		5,042		—			5,042
Loans held-for-sale	—		5,727		929		—			6,656
Other assets	14,474		1,912		1,669		—			18,055
Total assets	$	139,726	$	1,333,946	$	31,778	$	(872,758	)	$	632,692
Liabilities
Interest-bearing deposits in U.S. offices	$	—	$	1,899	$	—	$	—		$	1,899
Federal funds purchased and securities loaned or sold under agreements to repurchase	—		33,684		—		—			33,684
Trading account liabilities:
U.S. government and agency securities	26,915		348		—		—			27,263
Equity securities	23,874		3,711		—		—			27,585
Non-U.S. sovereign debt	20,755		1,387		—		—			22,142
Corporate securities and other	518		5,926		35		—			6,479
Total trading account liabilities	72,062		11,372		35		—			83,469
Derivative liabilities ⁽⁴⁾	1,968		897,107		7,301		(868,969		)	37,407
Short-term borrowings	—		1,520		—		—			1,520
Accrued expenses and other liabilities	10,130		1,093		10		—			11,233
Long-term debt	—		45,045		1,990		—			47,035
Total liabilities	$	84,160	$	991,720	$	9,336	$	(868,969	)	$	216,247


⁽¹⁾	During 2013, $500 million of other assets were transferred from Level 1 to Level 2 primarily due to a restriction that became effective for a private equity investment that was subsequently sold once the restriction was lifted.


⁽²⁾	Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.


⁽³⁾	Includes $17.2 billion of government-sponsored enterprise obligations.


⁽⁴⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – 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 ⁽³⁾	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 ⁽⁴⁾	2,997		1,372,398		8,073		(1,329,971		)	53,497
AFS debt securities:
U.S. Treasury 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 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 ⁽⁴⁾	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⁾	Includes $30.6 billion of government-sponsored enterprise obligations.


⁽⁴⁾	For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.

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




Level 3 – Fair Value Measurements ⁽¹⁾

	2011
												Gross
(Dollars in millions)	Balance January 1 2011			Consolidation of VIEs		Gains (Losses) in Earnings			Gains (Losses) in OCI			Purchases		Sales			Issuances			Settlements			Gross Transfers into Level 3			Gross Transfers out of Level 3			Balance December 31 2011
Trading account assets:
Corporate securities, trading loans and other	$	7,751		$	—	$	490		$	—		$	5,683	$	(6,664	)	$	—		$	(1,362	)	$	1,695		$	(713	)	$	6,880
Equity securities	557			—		49			—			335		(362		)	—			(140		)	132			(27		)	544
Non-U.S. sovereign debt	243			—		87			—			188		(137		)	—			(3		)	8			(44		)	342
Mortgage trading loans and ABS	6,908			—		442			—			2,222		(4,713		)	—			(440		)	75			(805		)	3,689
Total trading account assets	15,459			—		1,068			—			8,428		(11,876		)	—			(1,945		)	1,910			(1,589		)	11,455
Net derivative assets ⁽²⁾	7,745			—		5,199			—			1,235		(1,553		)	—			(7,779		)	1,199			(180		)	5,866
AFS debt securities:
Mortgage-backed securities:
Agency	4			—		—			—			14		(11		)	—			—			34			(4		)	37
Agency collateralized-mortgage obligations	—			—		—			—			56		(56		)	—			—			—			—			—
Non-agency residential	1,468			—		(158		)	41			11		(307		)	—			(568		)	373			—			860
Non-agency commercial	19			—		—			—			15		—			—			—			6			—			40
Non-U.S. securities	3			—		—			—			—		—			—			—			88			(91		)	—
Corporate/Agency bonds	137			—		(12		)	(8		)	304		(17		)	—			—			7			(249		)	162
Other taxable securities	13,018			—		26			21			3,876		(2,245		)	—			(5,112		)	2			(5,321		)	4,265
Tax-exempt securities	1,224			—		21			(35		)	2,862		(92		)	—			(697		)	38			(673		)	2,648
Total AFS debt securities	15,873			—		(123		)	19			7,138		(2,728		)	—			(6,377		)	548			(6,338		)	8,012
Loans and leases ^{(3, 4)}	3,321			5,194		(55		)	—			21		(2,644		)	3,118			(1,830		)	5			(4,386		)	2,744
Mortgage servicing rights ⁽⁴⁾	14,900			—		(5,661		)	—			—		(896		)	1,656			(2,621		)	—			—			7,378
Loans held-for-sale ⁽³⁾	4,140			—		36			—			157		(483		)	—			(961		)	565			(67		)	3,387
Other assets ⁽⁵⁾	6,922			—		140			—			1,932		(2,391		)	—			(768		)	375			(1,975		)	4,235
Trading account liabilities – Corporate securities and other	(7		)	—		4			—			133		(189		)	—			—			(65		)	10			(114		)
Short-term borrowings ⁽³⁾	(706		)	—		(30		)	—			—		—			—			86			—			650			—
Accrued expenses and other liabilities ⁽³⁾	(828		)	—		61			—			—		(2		)	(9		)	3			—			761			(14		)
Long-term debt ⁽³⁾	(2,986		)	—		(188		)	—			520		(72		)	(520		)	838			(2,111		)	1,576			(2,943		)


⁽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 $14.4 billion and derivative liabilities of $8.5 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 2013, 2012 and 2011, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.




Level 3 – Fair Value Measurements ⁽¹⁾

	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 December 31 2013
Trading account assets:
Corporate securities, trading loans and other	$	3,726		$	242		$	—	$	3,848	$	(3,110	)	$	59		$	(651	)	$	890		$	(1,445	)	$	3,559
Equity securities	545			74			—		96		(175		)	—			(100		)	70			(124		)	386
Non-U.S. sovereign debt	353			50			—		122		(18		)	—			(36		)	2			(5		)	468
Mortgage trading loans and ABS	4,935			53			—		2,514		(1,993		)	—			(868		)	20			(30		)	4,631
Total trading account assets	9,559			419			—		6,580		(5,296		)	59			(1,655		)	982			(1,604		)	9,044
Net derivative assets ⁽²⁾	1,468			(297		)	—		824		(1,274		)	—			(1,362		)	(10		)	627			(24		)
AFS debt securities:
Commercial MBS	10			—			—		—		—			—			(10		)	—			—			—
Non-U.S. securities	—			5			2		1		(1		)	—			—			100			—			107
Corporate/Agency bonds	92			—			4		—		—			—			—			—			(96		)	—
Other taxable securities	3,928			9			15		1,055		—			—			(1,155		)	—			(5		)	3,847
Tax-exempt securities	1,061			3			19		—		—			—			(109		)	—			(168		)	806
Total AFS debt securities	5,091			17			40		1,056		(1		)	—			(1,274		)	100			(269		)	4,760
Loans and leases ^{(3, 4)}	2,287			98			—		310		(128		)	1,252			(757		)	19			(24		)	3,057
Mortgage servicing rights ⁽⁴⁾	5,716			1,941			—		—		(2,044		)	472			(1,043		)	—			—			5,042
Loans held-for-sale ⁽³⁾	2,733			62			—		8		(402		)	4			(1,507		)	34			(3		)	929
Other assets ⁽⁵⁾	3,129			(288		)	—		46		(383		)	—			(1,019		)	239			(55		)	1,669
Trading account liabilities – Corporate securities and other	(64		)	10			—		43		(54		)	(5		)	—			(9		)	44			(35		)
Accrued expenses and other liabilities ⁽³⁾	(15		)	30			—		—		—			(751		)	724			(1		)	3			(10		)
Long-term debt ⁽³⁾	(2,301		)	13			—		358		(4		)	(172		)	258			(1,331		)	1,189			(1,990		)


⁽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 $7.3 billion and derivative liabilities of $7.3 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 private equity investments and certain long-term fixed-rate margin loans that are accounted for under the fair value option.




Level 3 – Fair Value Measurements ⁽¹⁾

	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 December 31 2012
Trading account assets:
Corporate securities, trading loans and other ⁽²⁾	$	6,880		$	195		$	—	$	2,798		$	(4,556	)	$	—		$	(1,077	)	$	436		$	(950	)	$	3,726
Equity securities	544			31			—		201			(271		)	—			27			90			(77		)	545
Non-U.S. sovereign debt	342			8			—		388			(359		)	—			(5		)	—			(21		)	353
Mortgage trading loans and ABS ⁽²⁾	3,689			215			—		2,574			(1,536		)	—			(678		)	844			(173		)	4,935
Total trading account assets	11,455			449			—		5,961			(6,722		)	—			(1,733		)	1,370			(1,221		)	9,559
Net derivative assets ⁽³⁾	5,866			(221		)	—		893			(1,012		)	—			(3,328		)	(269		)	(461		)	1,468
AFS debt securities:
Mortgage-backed securities:
Agency	37			—			—		—			—			—			(4		)	—			(33		)	—
Non-agency residential	860			(69		)	19		—			(306		)	—			(2		)	—			(502		)	—
Non-agency commercial	40			—			—		—			(24		)	—			(6		)	—			—			10
Corporate/Agency bonds	162			(2		)	—		(2		)	—			—			(39		)	—			(27		)	92
Other taxable securities	4,265			23			26		3,196			(28		)	—			(3,345		)	—			(209		)	3,928
Tax-exempt securities	2,648			61			20		—			(133		)	—			(1,535		)	—			—			1,061
Total AFS debt securities	8,012			13			65		3,194			(491		)	—			(4,931		)	—			(771		)	5,091
Loans and leases ^{(4, 5)}	2,744			334			—		564			(1,520		)	—			(274		)	450			(11		)	2,287
Mortgage servicing rights ⁽⁵⁾	7,378			(430		)	—		—			(122		)	374			(1,484		)	—			—			5,716
Loans held-for-sale ⁽⁴⁾	3,387			352			—		794			(834		)	—			(414		)	80			(632		)	2,733
Other assets ⁽⁶⁾	4,235			(54		)	—		109			(1,039		)	270			(381		)	—			(11		)	3,129
Trading account liabilities – Corporate securities and other	(114		)	4			—		116			(136		)	—			80			(68		)	54			(64		)
Short-term borrowings ⁽⁴⁾	—			—			—		—			—			(232		)	232			—			—			—
Accrued expenses and other liabilities ⁽⁴⁾	(14		)	(4		)	—		8			—			(9		)	—			—			4			(15		)
Long-term debt ⁽⁴⁾	(2,943		)	(307		)	—		290			(33		)	(259		)	1,239			(2,040		)	1,752			(2,301		)


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

⁽²⁾

During 2012, approximately $900 million was reclassified from Trading account assets – Corporate securities, trading loans and other to Trading account assets – Mortgage trading loans and ABS. In the table above, this reclassification is presented as a sale of Trading account assets – Corporate securities, trading loans and other and as a purchase of Trading account assets – Mortgage trading loans and ABS.


⁽³⁾	Net derivatives include derivative assets of $8.1 billion and derivative liabilities of $6.6 billion.


⁽⁴⁾	Amounts represent instruments that are accounted for under the fair value option.


⁽⁵⁾	Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole-loan sales.


⁽⁶⁾	Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments.

Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

The table below summarizes changes in unrealized gains (losses) recorded in earnings during 2013, 2012 and 2011 for Level 3 assets and liabilities that were still held at December 31, 2013, 2012 and 2011. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.




Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date

	2013
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
Trading account assets:
Corporate securities, trading loans and other	$	(130	)	$	—		$	—		$	(130	)
Equity securities	40			—			—			40
Non-U.S. sovereign debt	80			—			—			80
Mortgage trading loans and ABS	(174		)	—			—			(174		)
Total trading account assets	(184		)	—			—			(184		)
Net derivative assets	(1,375		)	42			—			(1,333		)
Loans and leases ⁽³⁾	—			(34		)	152			118
Mortgage servicing rights	—			1,541			—			1,541
Loans held-for-sale ⁽³⁾	—			6			57			63
Other assets	—			166			14			180
Long-term debt ⁽³⁾	(4		)	—			(32		)	(36		)
Total	$	(1,563	)	$	1,721		$	191		$	349

	2012
Trading account assets:
Corporate securities, trading loans and other	$	(19	)	$	—		$	—		$	(19	)
Equity securities	17			—			—			17
Non-U.S. sovereign debt	20			—			—			20
Mortgage trading loans and ABS	36			—			—			36
Total trading account assets	54			—			—			54
Net derivative assets	(2,782		)	456			—			(2,326		)
AFS debt securities – Other taxable securities	2			—			—			2
Loans and leases ⁽³⁾	—			—			214			214
Mortgage servicing rights	—			(1,100		)	—			(1,100		)
Loans held-for-sale ⁽³⁾	—			112			168			280
Other assets	—			(71		)	50			(21		)
Trading account liabilities – Corporate securities and other	4			—			—			4
Accrued expenses and other liabilities ⁽³⁾	—			—			(2		)	(2		)
Long-term debt ⁽³⁾	(136		)	—			(173		)	(309		)
Total	$	(2,858	)	$	(603	)	$	257		$	(3,204	)

	2011
Trading account assets:
Corporate securities, trading loans and other	$	(86	)	$	—		$	—		$	(86	)
Equity securities	(60		)	—			—			(60		)
Non-U.S. sovereign debt	101			—			—			101
Mortgage trading loans and ABS	30			—			—			30
Total trading account assets	(15		)	—			—			(15		)
Net derivative assets	1,430			133			—			1,563
AFS debt securities:
Non-agency residential MBS	—			—			(195		)	(195		)
Corporate/Agency bonds	—			—			(14		)	(14		)
Other taxable securities	—			—			13			13
Total AFS debt securities	—			—			(196		)	(196		)
Loans and leases ⁽³⁾	—			—			94			94
Mortgage servicing rights	—			(6,958		)	—			(6,958		)
Loans held-for-sale ⁽³⁾	—			(87		)	5			(82		)
Other assets	—			(53		)	(772		)	(825		)
Trading account liabilities – Corporate securities and other	3			—			—			3
Long-term debt ⁽³⁾	(107		)	—			(94		)	(201		)
Total	$	1,311		$	(6,965	)	$	(963	)	$	(6,617	)


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $60 million and $141 million, and losses of $309 million recorded on other assets were also included for 2013, 2012 and 2011, respectively.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.

Assets and Liabilities Measured at Fair Value on Nonrecurring Basis

The amounts below represent only balances measured at fair value during 2013, 2012 and 2011, and still held as of the reporting date.




Assets Measured at Fair Value on a Nonrecurring Basis

	December 31
	2013					2012
(Dollars in millions)	Level 2		Level 3			Level 2			Level 3
Assets
Loans held-for-sale	$	2,138	$	115		$	5,692		$	1,136
Loans and leases	18		5,240			21			9,184
Foreclosed properties ⁽¹⁾	12		1,258			33			1,918
Other assets	88		—			36			12

			Gains (Losses)
			2013			2012			2011
Assets
Loans held-for-sale			$	(71	)	$	(24	)	$	(188	)
Loans and leases ⁽²⁾			(1,104		)	(3,116		)	(4,813		)
Foreclosed properties ⁽¹⁾			(39		)	(47		)	(167		)
Other assets			(20		)	(16		)	—


⁽¹⁾	Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value of, and related losses on, foreclosed properties that were written down subsequent to their initial classification as foreclosed properties.


⁽²⁾	Losses represent charge-offs on real estate-secured loans.

Fair Value Inputs, Assets, 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 December 31, 2013 and 2012.




Quantitative Information about Level 3 Fair Value Measurements at December 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	$	3,443		Discounted cash flow, Market comparables	Yield	2% to 25%	6	%
Trading account assets – Mortgage trading loans and ABS	363				Prepayment speed	0% to 35% CPR	9	%
Loans and leases	2,151				Default rate	1% to 20% CDR	6	%
Loans held-for-sale	929				Loss severity	21% to 80%	35	%
Commercial loans, debt securities and other	$	12,135		Discounted cash flow, Market comparables	Yield	0% to 45%	5	%
Trading account assets – Corporate securities, trading loans and other	3,462				Enterprise value/EBITDA multiple	0x to 24x	7	x
Trading account assets – Non-U.S. sovereign debt	468				Prepayment speed	5% to 40%	19	%
Trading account assets – Mortgage trading loans and ABS	4,268				Default rate	1% to 5%	4	%
AFS debt securities – Other taxable securities	3,031				Loss severity	25% to 42%	36	%
Loans and leases	906				Duration	1 year to 5 years	4 years
Auction rate securities	$	1,719		Discounted cash flow, Market comparables	Projected tender price/Refinancing level	60% to 100%	96	%
Trading account assets – Corporate securities, trading loans and other	97				Projected tender price/Refinancing level
AFS debt securities – Other taxable securities	816
AFS debt securities – Tax-exempt securities	806
Structured liabilities
Long-term debt	$	(1,990	)	Industry standard derivative pricing ^{(2, 3)}	Equity correlation	18% to 98%	70	%
					Long-dated volatilities	4% to 63%	27	%
					Correlation (IR/IR)	24% to 99%	60	%
					Long-dated inflation rates	0% to 3%	2	%
					Long-dated inflation volatilities	0% to 2%	1	%
Net derivatives assets
Credit derivatives	$	1,008		Discounted cash flow, Stochastic recovery correlation model	Yield	3% to 25%	14	%
					Upfront points	0 points to 100 points	63 points
					Spread to index	-1,407 bps to 1,741 bps	91 bps
					Credit correlation	14% to 99%	47	%
					Prepayment speed	3% to 40% CPR	13	%
					Default rate	1% to 5% CDR	3	%
					Loss severity	20% to 42%	35	%
Equity derivatives	$	(1,596	)	Industry standard derivative pricing ⁽²⁾	Equity correlation	18% to 98%	70	%
				Industry standard derivative pricing ⁽²⁾	Long-dated volatilities	4% to 63%	27	%
Commodity derivatives	$	6		Discounted cash flow, Industry standard derivative pricing ⁽²⁾	Natural gas forward price	$3/MMBtu to $11/MMBtu	$6/MMBtu
					Correlation	47% to 89%	81	%
					Volatilities	9% to 109%	30	%
Interest rate derivatives	$	558		Industry standard derivative pricing ⁽³⁾	Correlation (IR/IR)	24% to 99%	60	%
					Correlation (FX/IR)	-30% to 40%	-4	%
					Long-dated inflation rates	0% to 3%	2	%
					Long-dated inflation volatilities	0% to 2%	1	%
					Long-dated volatilities (FX)	0% to 70%	10	%
Total net derivative assets	$	(24	)

⁽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 260: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $4.6 billion, AFS debt securities – Other taxable securities of $3.8 billion, AFS debt securities – Tax-exempt securities of $806 million, Loans and leases of $3.1 billion and LHFS of $929 million.


⁽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.

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 ⁽¹⁾
Financial Instrument	Fair Value			Valuation Technique	Significant Unobservable Inputs	Ranges of Inputs	Weighted Average
Loans and Securities ⁽²⁾
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	5	x
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/Refinancing level	50% to 100%	92	%
AFS debt securities – Other taxable securities	916				Projected tender price/Refinancing level
AFS debt securities – Tax-exempt securities	1,061
Structured liabilities
Long-term debt	$	(2,301	)	Industry standard derivative pricing ⁽³⁾	Equity correlation	30% to 97%	n/m
				Industry standard derivative pricing ⁽³⁾	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 ⁽¹⁾
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%
				Industry standard derivative pricing ⁽³⁾	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⁾	At December 31, 2012, weighted averages were disclosed for all loans and securities. For more information on the ranges of inputs for significant unobservable inputs for structured liabilities and net derivative assets, see the qualitative discussion on page 268.

⁽²⁾

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 261: 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.


⁽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

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




Quantitative Information about Nonrecurring Level 3 Fair Value Measurements

	December 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	$	5,240	Market comparables	OREO discount	0% to 19%		8	%
Loans and leases	5,240		Market comparables	Cost to sell	8	%	n/a



	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

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

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 2013, 2012 and 2011. 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

	2013
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
Trading account assets:
Corporate securities, trading loans and other	$	242		$	—		$	—		$	242
Equity securities	74			—			—			74
Non-U.S. sovereign debt	50			—			—			50
Mortgage trading loans and ABS	53			—			—			53
Total trading account assets	419			—			—			419
Net derivative assets	(1,224		)	927			—			(297		)
AFS debt securities:
Non-U.S. securities	—			—			5			5
Other taxable securities	—			—			9			9
Tax-exempt securities	—			—			3			3
Total AFS debt securities	—			—			17			17
Loans and leases ⁽³⁾	—			(38		)	136			98
Mortgage servicing rights	—			1,941			—			1,941
Loans held-for-sale ⁽³⁾	—			2			60			62
Other assets	—			122			(410		)	(288		)
Trading account liabilities – Corporate securities and other	10			—			—			10
Accrued expenses and other liabilities ⁽³⁾	—			30			—			30
Long-term debt ⁽³⁾	45			—			(32		)	13
Total	$	(750	)	$	2,984		$	(229	)	$	2,005

	2012
Trading account assets:
Corporate securities, trading loans and other	$	195		$	—		$	—		$	195
Equity securities	31			—			—			31
Non-U.S. sovereign debt	8			—			—			8
Mortgage trading loans and ABS	215			—			—			215
Total trading account assets	449			—			—			449
Net derivative assets	(3,208		)	2,987			—			(221		)
AFS debt securities:
Non-agency residential MBS	—			—			(69		)	(69		)
Corporate/Agency bonds	—			—			(2		)	(2		)
Other taxable securities	2			—			21			23
Tax-exempt securities	—			—			61			61
Total AFS debt securities	2			—			11			13
Loans and leases ⁽³⁾	—			—			334			334
Mortgage servicing rights	—			(430		)	—			(430		)
Loans held-for-sale ⁽³⁾	—			148			204			352
Other assets	—			(74		)	20			(54		)
Trading account liabilities – Corporate securities and other	4			—			—			4
Accrued expenses and other liabilities ⁽³⁾	—			—			(4		)	(4		)
Long-term debt⁽³⁾	(133		)	—			(174		)	(307		)
Total	$	(2,886	)	$	2,631		$	391		$	136


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $84 million and $97 million recorded on other assets were also included for 2013 and 2012.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.




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

	2011
(Dollars in millions)	Trading Account Profits (Losses)			Mortgage Banking Income (Loss) ⁽¹⁾			Other ⁽²⁾			Total
Trading account assets:
Corporate securities, trading loans and other	$	490		$	—		$	—		$	490
Equity securities	49			—			—			49
Non-U.S. sovereign debt	87			—			—			87
Mortgage trading loans and ABS	442			—			—			442
Total trading account assets	1,068			—			—			1,068
Net derivative assets	1,516			3,683			—			5,199
AFS debt securities:
Non-agency residential MBS	—			—			(158		)	(158		)
Corporate/Agency bonds	—			—			(12		)	(12		)
Other taxable securities	16			—			10			26
Tax-exempt securities	(3		)	—			24			21
Total AFS debt securities	13			—			(136		)	(123		)
Loans and leases ⁽³⁾	—			(13		)	(42		)	(55		)
Mortgage servicing rights	—			(5,661		)	—			(5,661		)
Loans held-for-sale ⁽³⁾	—			(108		)	144			36
Other assets	—			(51		)	191			140
Trading account liabilities – Corporate securities and other	4			—			—			4
Short-term borrowings ⁽³⁾	—			(30		)	—			(30		)
Accrued expenses and other liabilities ⁽³⁾	(10		)	71			—			61
Long-term debt⁽³⁾	(106		)	—			(82		)	(188		)
Total	$	2,485		$	(2,109	)	$	75		$	451


⁽¹⁾	Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs.


⁽²⁾	Amounts included are primarily recorded in other income (loss). Equity investment gains of $242 million recorded on other assets were also included for 2011.


⁽³⁾	Amounts represent instruments that are accounted for under the fair value option.