Fair value measurement (Tables)

6 Months Ended

Jun. 30, 2012

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present the financial instruments carried at fair value at June 30, 2012 and Dec. 31, 2011, by caption on the consolidated balance sheet and by ASC 820 valuation hierarchy (as described above). We have included credit ratings information in certain of the tables because the information indicates the degree of credit risk to which we are exposed, and significant changes in ratings classifications could result in increased risk for us. There were no transfers between Level 1 and Level 2 during the second quarter of 2012.


Assets and liabilities measured at fair value on a recurring basis at June 30, 2012
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Available-for-sale securities:
U.S. Treasury	$	14,470		$	-		$	-		$	-		$	14,470
U.S. Government agencies		-			1,097			-			-			1,097
Sovereign debt		40			8,989			-			-			9,029
State and political subdivisions (b)		-			5,560			42			-			5,602
Agency RMBS		-			33,032			-			-			33,032
Alt-A RMBS		-			258			-			-			258
Prime RMBS		-			764			-			-			764
Subprime RMBS		-			422			-			-			422
Other RMBS		-			2,487			-			-			2,487
Commercial MBS		-			3,320			-			-			3,320
Asset-backed CLOs		-			1,080			-			-			1,080
Other asset-backed securities		-			1,189			-			-			1,189
Equity securities		28			-			-			-			28
Money market funds (b)		918			-			-			-			918
Corporate bonds		-			1,628			-			-			1,628
Other debt securities		-			2,251			-			-			2,251
Foreign covered bonds		3,158			770			-			-			3,928
Alt-A RMBS (c)		-			1,863			-			-			1,863
Prime RMBS (c)		-			1,059			-			-			1,059
Subprime RMBS (c)		-			115			-			-			115
Total available-for-sale		18,614			65,884			42			-			84,540
Trading assets:
Debt and equity instruments (d)		751			2,205			60			-			3,016
Derivative assets (e):
Interest rate		37			27,601			34			N/A
Foreign exchange		3,014			165			-			N/A
Equity		123			237			39			N/A
Total derivative assets		3,174			28,003			73			(27,357	)		3,893
Total trading assets		3,925			30,208			133			(27,357	)		6,909
Loans		-			8			-			-			8
Other assets (f)		187			1,085			138			-			1,410
Subtotal assets of operations at fair value		22,726			97,185			313			(27,357	)		92,867
Percentage of assets prior to netting		19	%		81	%		-	%
Assets of consolidated investment management funds:
Trading assets		320			10,079			-			-			10,399
Other assets		393			163			-			-			556
Total assets of consolidated investment management funds		713			10,242			-			-			10,955
Total assets	$	23,439		$	107,427		$	313		$	(27,357	)	$	103,822
Percentage of assets prior to netting		18	%		82	%		-	%
Trading liabilities:
Debt and equity instruments	$	535		$	525		$	-		$	-		$	1,060
Derivative liabilities (e):
Interest rate		-			28,406			231			N/A
Foreign exchange		3,010			104			-			N/A
Equity		86			288			71			N/A
Total derivative liabilities		3,096			28,798			302			(26,316	)		5,880
Total trading liabilities		3,631			29,323			302			(26,316	)		6,940
Long-term debt (b)		-			339			-			-			339
Other liabilities (g)		-			455			-			-			455
Subtotal liabilities at fair value		3,631			30,117			302			(26,316	)		7,734
Percentage of liabilities prior to netting		11	%		88	%		1	%
Liabilities of consolidated investment management funds:
Trading liabilities		-			9,752			-			-			9,752
Other liabilities		-			38			-			-			38
Total liabilities of consolidated investment management funds		-			9,790			-			-			9,790
Total liabilities	$	3,631		$	39,907		$	302		$	(26,316	)	$	17,524
Percentage of liabilities prior to netting		8	%		91	%		1	%

(a)

ASC 815 permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting cannot be disaggregated by product.

(b)

Includes certain interests in securitizations.

(c)

Previously included in the Grantor Trust.

(d)

Includes loans classified as trading assets and certain interests in securitizations.

(e)

The Level 1, 2 and 3 fair values of derivative assets and derivative liabilities are presented on a gross basis.

(f)

Includes private equity investments, seed capital, a brokerage account, and derivatives in designated hedging relationships.

(g)

Includes the fair value adjustment for certain unfunded lending-related commitments and derivatives in designated hedging relationships and support agreements.


Assets and liabilities measured at fair value on a recurring basis at Dec. 31, 2011
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Available-for-sale securities:
U.S. Treasury	$	17,326		$	-		$	-		$	-		$	17,326
U.S. Government agencies		-			958			-			-			958
Sovereign debt		44			11,910			-			-			11,954
State and political subdivisions (b)		-			2,694			45			-			2,739
Agency RMBS		-			26,796			-			-			26,796
Alt-A RMBS		-			273			-			-			273
Prime RMBS		-			815			-			-			815
Subprime RMBS		-			418			-			-			418
Other RMBS		-			903			-			-			903
Commercial MBS		-			3,339			-			-			3,339
Asset-backed CLOs		-			1,444			-			-			1,444
Other asset-backed securities		-			532			-			-			532
Equity securities		9			21			-			-			30
Money market funds (b)		973			-			-			-			973
Corporate bonds		-			1,738			-			-			1,738
Other debt securities		-			2,622			3			-			2,625
Foreign covered bonds		1,820			605			-			-			2,425
Alt-A RMBS (c)		-			1,879			-			-			1,879
Prime RMBS (c)		-			1,175			-			-			1,175
Subprime RMBS (c)		-			125			-			-			125
Total available-for-sale		20,172			58,247			48			-			78,467
Trading assets:
Debt and equity instruments (d)		485			1,655			63			-			2,203
Derivative assets (e):
Interest rate		164			26,434			54			N/A
Foreign exchange		4,519			113			-			N/A
Equity		91			284			43			N/A
Other		-			3			-			N/A
Total derivative assets		4,774			26,834			97			(26,047	)		5,658
Total trading assets		5,259			28,489			160			(26,047	)		7,861
Loans		-			10			-			-			10
Other assets (f)		672			1,019			157			-			1,848
Subtotal assets of operations at fair value		26,103			87,765			365			(26,047	)		88,186
Percentage of assets prior to netting		23	%		77	%		-	%
Assets of consolidated investment management funds:
Trading assets		323			10,428			-			-			10,751
Other assets		453			143			-			-			596
Total assets of consolidated investment management funds		776			10,571			-			-			11,347
Total assets	$	26,879		$	98,336		$	365		$	(26,047	)	$	99,533
Percentage of assets prior to netting		22	%		78	%		-	%
Trading liabilities:
Debt and equity instruments	$	418		$	537		$	-		$	-		$	955
Derivative liabilities(e):
Interest rate		-			27,201			239			N/A
Foreign exchange		4,311			44			-			N/A
Equity		55			200			75			N/A
Total derivative liabilities		4,366			27,445			314			(25,009	)		7,116
Total trading liabilities		4,784			27,982			314			(25,009	)		8,071
Long-term debt (b)		-			326			-			-			326
Other liabilities (g)		14			368			-			-			382
Subtotal liabilities at fair value		4,798			28,676			314			(25,009	)		8,779
Percentage of liabilities prior to netting		14	%		85	%		1	%
Liabilities of consolidated investment management funds:
Trading liabilities		-			10,053			-			-			10,053
Other liabilities		2			30			-			-			32
Total liabilities of consolidated investment management funds		2			10,083			-			-			10,085
Total liabilities	$	4,800		$	38,759		$	314		$	(25,009	)	$	18,864
Percentage of liabilities prior to netting		11	%		88	%		1	%

(a)

(b)

Includes certain interests in securitizations.

(c)

Previously included in the Grantor Trust.

(d)

Includes loans classified as trading assets and certain interests in securitizations.

(e)

The Level 1, 2 and 3 fair values of derivative assets and derivative liabilities are presented on a gross basis.

(f)

Includes private equity investments, seed capital, a brokerage account, and derivatives in designated hedging relationships.

(g)

Includes the fair value adjustment for certain unfunded lending-related commitments and derivatives in designated hedging relationships and support agreements.


Details of certain items measured at fair value on a recurring basis
	June 30, 2012														Dec. 31, 2011
			Ratings														Ratings
(dollar amounts in millions)	Total carrying value (a)		AAA/ AA-			A+/ A-			BBB+/ BBB-			BB+ and lower			Total carrying value (a)		AAA/ AA-			A+/ A-			BBB+/ BBB-			BB+ and lower
Alt-A RMBS, originated in:
2006-2007	$	97		-	%		-	%		-	%		100	%	$	99		-	%		-	%		-	%		100	%
2005		101		-			-			-			100			113		-			-			-			100
2004 and earlier		60		24			14			38			24			61		27			13			47			13
Total Alt-A RMBS	$	258		6	%		3	%		9	%		82	%	$	273		6	%		3	%		11	%		80	%
Prime RMBS, originated in:
2007	$	109		42	%		4	%		-	%		54	%	$	121		38	%		4	%		-	%		58	%
2006		72		-			-			-			100			75		-			-			-			100
2005		223		33			-			-			67			230		32			-			-			68
2004 and earlier		360		21			41			6			32			389		29			38			11			22
Total prime RMBS	$	764		25	%		20	%		3	%		52	%	$	815		28	%		19	%		5	%		48	%
Subprime RMBS, originated in:
2007	$	1		-	%		-	%		100	%		-	%	$	2		-	%		2	%		98	%		-	%
2005		94		22			12			26			40			82		23			12			29			36
2004 and earlier		327		3			7			15			75			334		5			15			18			62
Total subprime RMBS	$	422		7	%		8	%		18	%		67	%	$	418		8	%		14	%		21	%		57	%
Commercial MBS—Domestic, originated in:
2009-2012	$	198		100	%		-	%		-	%		-	%	$	200		100	%		-	%		-	%		-	%
2008		25		15			85			-			-			25		16			84			-			-
2007		867		49			37			14			-			789		66			26			8			-
2006		1,038		78			22			-			-			892		85			15			-			-
2005		796		94			6			-			-			696		94			6			-			-
2004 and earlier		396		95			4			1			-			403		97			2			1			-
Total commercial MBS—Domestic	$	3,320		77	%		19	%		4	%		-	%	$	3,005		84	%		14	%		2	%		-	%
Foreign covered bonds:
Germany	$	1,299		99	%		1	%		-	%		-	%	$	1,461		99	%		1	%		-	%		-	%
Canada		963		100			-			-			-			795		100			-			-			-
United Kingdom		660		100			-			-			-			25		100			-			-			-
Other		1,006		100			-			-			-			144		100			-			-			-
Total foreign covered bonds	$	3,928		100	%		-	%		-	%		-	%	$	2,425		100	%		-	%		-	%		-	%
European floating rate notes – available-for-sale:
United Kingdom	$	1,550		78	%		21	%		1	%		-	%	$	686		72	%		28	%		-	%		-	%
Netherlands		804		100			-			-			-			47		35			65			-			-
Ireland		182		12			-			22			66			203		-			50			47			3
Italy		133		100			-			-			-			150		100			-			-			-
Luxembourg		-		-			-			-			-			140		-			100			-			-
Australia		85		93			7			-			-			101		91			9			-			-
Spain		23		100			-			-			-			-		-			-			-			-
Germany		62		-			10			89			1			93		21			6			73			-
France		9		100			-			-			-			9		100			-			-			-
Total European floating rate notes – available-for-sale	$	2,848		80	%		12	%		4	%		4	%	$	1,429		55	%		34	%		11	%		-	%
Sovereign debt:
United Kingdom	$	4,738		100	%		-	%		-	%		-	%	$	4,526		100	%		-	%		-	%		-	%
Netherlands		2,182		100			-			-			-			2,230		100			-			-			-
France		1,564		100			-			-			-			2,790		100			-			-			-
Germany		489		100			-			-			-			2,347		100			-			-			-
Other		56		98			2			-			-			61		97			3			-			-
Total sovereign debt	$	9,029		100	%		-	%		-	%		-	%	$	11,954		100	%		-	%		-	%		-	%
Alt-A RMBS (b), originated in:
2007	$	552		-	%		-	%		-	%		100	%	$	554		-	%		-	%		-	%		100	%
2006		495		-			-			-			100			488		-			-			-			100
2005		606		4			-			1			95			628		5			-			1			94
2004 and earlier		210		-			4			23			73			209		-			4			27			69
Total Alt-A RMBS (b)	$	1,863		1	%		1	%		3	%		95	%	$	1,879		2	%		-	%		3	%		95	%
Prime RMBS (b), originated in:
2007	$	327		-	%		-	%		-	%		100	%	$	370		-	%		-	%		-	%		100	%
2006		285		-			-			-			100			308		-			-			-			100
2005		414		1			2			-			97			465		-			4			-			96
2004 and earlier		33		5			3			23			69			32		9			-			22			69
Total prime RMBS (b)	$	1,059		-	%		1	%		1	%		98	%	$	1,175		-	%		2	%		1	%		97	%
Subprime RMBS (b), originated in:
2005-2007	$	80		-	%		-	%		-	%		100	%	$	88		-	%		-	%		-	%		100	%
2004 and earlier		35		6			-			34			60			37		5			34			-			61
Total subprime RMBS (b)	$	115		2	%		-	%		3	%		95	%	$	125		2	%		10	%		-	%		88	%

(a)

At June 30, 2012 and Dec. 31, 2011, the German foreign covered bonds were considered Level 1 in the valuation hierarchy. All other assets in the table above are primarily Level 2 assets in the valuation hierarchy.

(b)

Previously included in the Grantor Trust.

Fair Value Measurements Using Significant Unobservable Inputs

The tables below include a roll forward of the balance sheet amounts (including the change in fair value) for financial instruments classified in Level 3 of the valuation hierarchy.

Our classification of a financial instrument in Level 3 of the valuation hierarchy is based on the significance of the unobservable factors to the overall fair value measurement. However, these instruments generally include other observable

components that are actively quoted or validated to third-party sources; accordingly, the gains and losses in the table below include changes in fair value due to observable parameters as well as the unobservable parameters in our valuation methodologies. We also frequently manage the risks of Level 3 financial instruments using securities and derivatives positions that are Level 1 or 2 instruments which are not included in the table; accordingly, the gains or losses below do not reflect the effect of our risk management activities related to the Level 3 instruments.

Fair value measurements for assets using significant unobservable inputs

for three months ended June 30, 2012


	Available-for-sale securities			Trading assets
(in millions)	State and political subdivisions			Debt and equity instruments			Derivative assets (a)			Other assets			Total assets
Fair value at March 31, 2012	$	43		$	58		$	72		$	151		$	324
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)		-	(b)		3	(c)		1	(c)		(2	) (d)		2
Purchases, sales and settlements:
Purchases		-			-			-			2			2
Sales		-			(1	)		-			(13	)		(14	)
Settlements		(1	)		-			-			-			(1	)
Fair value at June 30, 2012	$	42		$	60		$	73		$	138		$	313
Change in unrealized gains or (losses) for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period				$	2		$	4		$	-		$	6

(a)

Derivative assets are reported on a gross basis.

(b)

Realized gains (losses) are reported in securities gains (losses). Unrealized gains (losses) are reported in accumulated other comprehensive income (loss) except for the credit portion of OTTI losses which are recorded in securities gains (losses).

(c)

Reported in foreign exchange and other trading revenue.

(d)

Reported in investment and other income.

Fair value measurements for liabilities using significant unobservable inputs

for three months ended June 30, 2012


	Trading liabilities			Total
(in millions)	Derivative liabilities (a)			liabilities
Fair value at March 31, 2012	$	246		$	246
Total (gains) or losses for the period:
Included in earnings (or changes in net liabilities)		56	(b)		56
Fair value at June 30, 2012	$	302		$	302
Change in unrealized (gains) or losses for the period included in earnings
(or changes in net assets) for liabilities held at the end of the reporting period	$	66		$	66

(a)

Derivative liabilities are reported on a gross basis.

(b)

Reported in foreign exchange and other trading revenue.


Fair value measurements for assets using significant unobservable inputs for three months ended June 30, 2011
	Available-for-sale securities						Trading assets
(in millions)	State and political subdivisions			Other debt securities			Debt and equity instruments			Derivative assets (a)			Loans		Other assets			Total assets
Fair value at March 31, 2011	$	10		$	64		$	32		$	131		$	4	$	120		$	361
Transfers into Level 3		-			2			27			2			-		-			31
Transfers out of Level 3		-			-			(23	)		(29	)		-		-			(52	)
Total gains or (losses):
Included in earnings (or changes in net assets)		-	(b)		-	(b)		-	(c)		4	(c)		-		(4	) (d)		-
Purchases, issuances, sales and settlements:
Issuances		-			-			-			-			1		-			1
Settlements		-			-			-			(1	)		-		-			(1	)
Fair value at June 30, 2011	$	10		$	66		$	36		$	107		$	5	$	116		$	340
Change in unrealized gains or (losses) for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period							$	-		$	7		$	-	$	-		$	7

(a)

Derivative assets are reported on a gross basis.

(b)

(c)

Reported in foreign exchange and other trading revenue.

(d)

Reported in investment and other income.


Fair value measurements for liabilities using significant unobservable inputs for three months ended June 30, 2011
	Trading liabilities
(in millions)	Derivative liabilities (a)			Other liabilities			Total liabilities
Fair value at March 31, 2011	$	126		$	2		$	128
Transfers into Level 3		1			-			1
Total (gains) or losses:
Included in earnings (or changes in net assets)		37	(b)		(2	)		35
Purchases, issuances, sales and settlements:
Settlements		(9	)		-			(9	)
Fair value at June 30, 2011	$	155		$	-		$	155
Change in unrealized (gains) or losses for the period included in earnings (or changes in net assets) for liabilities held at the end of the reporting period	$	45		$	(2	)	$	43

(a)

Derivative liabilities are reported on a gross basis.

(b)

Reported in foreign exchange and other trading revenue.


Fair value measurements for assets using significant unobservable inputs for six months ended June 30, 2012
	Available-for-sale securities						Trading assets
(in millions)	State and political subdivisions			Other debt securities			Debt and equity instruments			Derivative assets (a)			Other assets			Total assets
Fair value at Dec. 31, 2011	$	45		$	3		$	63		$	97		$	157		$	365
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)		-	(b)		(3	) (b)		-	(c)		(24	) (c)		1	(d)		(26	)
Purchases, sales and settlements:
Purchases		-			-			-			-			5			5
Sales		-			-			(3	)		-			(17	)		(20	)
Settlements		(3	)		-			-			-			(8	)		(11	)
Fair value at June 30, 2012	$	42		$	-		$	60		$	73		$	138		$	313
Change in unrealized gains or (losses) for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period							$	-		$	(7	)	$	-		$	(7	)

(a)

Derivative assets are reported on a gross basis.

(b)

(c)

Reported in foreign exchange and other trading revenue.

(d)

Reported in investment and other income.


Fair value measurements for liabilities using significant unobservable inputs for six months ended June 30, 2012
	Trading liabilities
(in millions)	Derivative liabilities (a)			Total liabilities
Fair value at Dec. 31, 2011	$	314		$	314
Total (gains) or losses for the period: Included in earnings (or changes in net liabilities)		(12	) (b)		(12	)
Fair value at June 30, 2012	$	302		$	302
Change in unrealized (gains) or losses for the period included in earnings (or changes in net assets) for liabilities held at the end of the reporting period	$	(8	)	$	(8	)

(a)

Derivative liabilities are reported on a gross basis.

(b)

Reported in foreign exchange and other trading revenue.


Fair value measurements for assets using significant unobservable inputs for six months ended June 30, 2011
	Available-for-sale securities						Trading assets
(in millions)	State and political subdivisions			Other debt securities			Debt and equity instruments			Derivative assets (a)			Loans			Other assets			Total assets
Fair value at Dec. 31, 2010	$	10		$	58		$	32		$	119		$	6		$	113		$	338
Transfers into Level 3		-			8			27			3			-			-			38
Transfers out of Level 3		-			-			(23	)		(43	)		(2	)		-			(68	)
Total gains or (losses):
Included in earnings (or changes in net assets)		-	(b)		-	(b)		-	(c)		29	(c)		-			2	(d)		31
Purchases, issuances, sales and settlements:
Purchases		-			-			-			-			-			1			1
Issuances		-			-			-			-			1			-			1
Settlements		-			-			-			(1	)		-			-			(1	)
Fair value at June 30, 2011	$	10		$	66		$	36		$	107		$	5		$	116		$	340
Change in unrealized gains or (losses) for the period included in earnings (or changes in net assets) for assets held at the end of the reporting period							$	-		$	39		$	-		$	-		$	39

(a)

Derivative assets are reported on a gross basis.

(b)

(c)

Reported in foreign exchange and other trading revenue.

(d)

Reported in investment and other income.


Fair value measurements for liabilities using significant unobservable inputs for six months ended June 30, 2011
	Trading liabilities
(in millions)	Debt and equity instruments			Derivative liabilities (a)			Other liabilities			Total liabilities
Fair value at Dec. 31, 2010	$	6		$	171		$	2		$	179
Transfer into Level 3		-			1			-			1
Total (gains) or losses:
Included in earnings (or changes in net assets)		-			(4	) (b)		(2	)		(6	)
Purchases, issuances, sales and settlements:
Settlements		(6	)		(13	)		-			(19	)
Fair value at June 30, 2011	$	-		$	155		$	-		$	155
Change in unrealized (gains) or losses for the period included in earnings (or changes in net assets) for liabilities held at the end of the reporting period	$	-		$	19		$	(2	)	$	17

(a)

Derivative liabilities are reported on a gross basis.

(b)

Reported in foreign exchange and other trading revenue.

Quantitative Information about Level 3 Fair Value Measurements of Assets

Quantitative information about Level 3 fair value measurements of assets

(dollars in millions)

Fair value at
June 30, 2012

Valuation

techniques

Unobservable

input

Range

Measured on a recurring basis:

Available-for-sale securities:

State and political subdivisions

Discounted cash flow

Expected credit loss

8% - 39%

Trading assets:

Debt and equity instruments:

Structured debt

Option pricing model (a)

Correlation risk

15%

Long-term foreign exchange volatility

13%-17%

Distressed debt

Discounted cash flow

Expected maturity

2-10 years

Credit spreads

100-800 bps

Derivative assets:

Interest rate:

Structured foreign exchange swaptions

Option pricing model (a)

Correlation risk

0%-25%

Long-term foreign exchange volatility

12%-17%

Equity:

Equity options

Option pricing model (a)

Long-term equity volatility

24%-33%

Measured on a nonrecurring basis:

Loans

Discounted cash flows

Timing of sale

0-18 months

Cap rate

5.5%-8.0%

Cost to complete/sell

0%-29%

Quantitative Information about Level 3 Fair Value Measurements of Liabilities

Quantitative information about Level 3 fair value measurements of liabilities

(dollars in millions)

Fair value at
June 30, 2012

Valuation

techniques

Unobservable

input

Range

Measured on a recurring basis:

Trading liabilities:

Derivative liabilities:

Interest rate:

Structured foreign exchange swaptions

231

Option pricing model (a)

Correlation risk

%-25%

Long-term foreign exchange volatility

%-17%

Equity:

Equity options

Option pricing model (a)

Long-term equity volatility

%-33%

(a) The option pricing model uses market inputs such as foreign currency exchange rates, interest rates and volatility to calculate the fair value of the option.

bps – basis points.

Assets Measured at Fair Value on Nonrecurring Basis

The following tables present the financial instruments carried on the consolidated balance sheet by caption and by level in the fair value hierarchy as of June 30, 2012 and Dec. 31, 2011, for which a nonrecurring change in fair value has been recorded during the quarters ended June 30, 2012 and Dec. 31, 2011.


Assets measured at fair value on a nonrecurring basis at June 30, 2012							Total
(in millions)	Level 1		Level 2		Level 3		carrying value
Loans (a)	$	-	$	184	$	35	$	219
Other assets (b)		-		88		-		88
Total assets at fair value on a nonrecurring basis	$	-	$	272	$	35	$	307


Assets measured at fair value on a nonrecurring basis at Dec. 31, 2011							Total
(in millions)	Level 1		Level 2		Level 3		carrying value
Loans (a)	$	-	$	178	$	43	$	221
Other assets (b)		-		126		-		126
Total assets at fair value on a nonrecurring basis	$	-	$	304	$	43	$	347

(a)

During the quarters ended June 30, 2012 and Dec. 31, 2011, the fair value of these loans was reduced $7 million and $32 million, respectively, based on the fair value of the underlying collateral as allowed by ASC 310, Accounting by Creditors for Impairment of a Loan, with an offset to the allowance for credit losses.

(b)

Includes other assets received in satisfaction of debt and loans held for sale. Loans held for sale are carried on the balance sheet at the lower of cost or market value.

Carrying Amount and Fair Value of Financial Instruments


Summary of financial instruments	June 30, 2012										Dec. 31, 2011
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount		Estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal
Reserve and other central banks	$	-	$	76,243	$	-	$	76,243	$	76,243	$	90,243	$	90,243
Interest-bearing deposits with banks		-		39,782		-		39,782		39,743		36,381		36,321
Federal funds sold and securities purchased under resale agreements		-		8,543		-		8,543		8,543		4,510		4,510
Securities held-to-maturity		922		7,947		-		8,869		8,794		3,540		3,521
Loans		-		42,689		-		42,689		42,549		41,166		40,970
Other financial assets		4,522		1,190		-		5,712		5,712		5,336		5,336
Total	$	5,444	$	176,394	$	-	$	181,838	$	181,584	$	181,176	$	180,901
Liabilities:
Noninterest-bearing deposits	$	-	$	76,933	$	-	$	76,933	$	76,933	$	95,335	$	95,335
Interest-bearing deposits		-		144,214		-		144,214		144,211		123,759		123,759
Federal funds purchased and securities sold under repurchase agreements		-		9,162		-		9,162		9,162		6,267		6,267
Payables to customers and broker-dealers		-		13,305		-		13,305		13,305		12,671		12,671
Borrowings		-		3,127		-		3,127		3,127		2,376		2,376
Long-term debt		-		20,357		-		20,357		19,536		20,459		19,933
Total	$	-	$	267,098	$	-	$	267,098	$	266,274	$	260,867	$	260,341

Summary of Carrying Amount of Hedged Financial Instruments, Related Notional Amount of Hedge and Estimated Fair Value of Derivatives

The table below summarizes the carrying amount of the hedged financial instruments, the notional amount of the hedge and the unrealized gain (loss) (estimated fair value) of the derivatives.


Hedged financial instruments	Carrying amount		Notional amount of hedge		Unrealized
(in millions)	Carrying amount		Notional amount of hedge		Gain		(Loss)
At June 30, 2012:
Interest-bearing deposits with banks	$	7,500	$	7,500	$	173	$	-
Securities available-for-sale		5,317		4,919		-		(450	)
Deposits		10		10		1		-
Long-term debt		16,239		15,396		988		(8	)
At Dec. 31, 2011:
Interest-bearing deposits with banks	$	8,789	$	8,789	$	441	$	(17	)
Securities available-for-sale		4,354		4,009		-		(289	)
Deposits		10		10		1		-
Long-term debt		15,048		14,262		964		(9	)

- 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).

+ References+ Details

- Definition

Tabular disclosure of the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments, assets, and liabilities. Such certain disclosures about the financial instruments, assets, and liabilities include: (1) the fair value of the required items together with their carrying amounts (as appropriate) and (2) the methodology and assumptions used in developing such estimates of fair value.

+ References

Reference 1: http://www.xbrl.org/2003/role/presentationRef

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-Name Statement of Financial Accounting Standard (FAS)

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Reference 10: http://www.xbrl.org/2003/role/presentationRef

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