Fair Value Measurement (Tables)

9 Months Ended

Sep. 30, 2014

Assets and Liabilities Measured at Fair Value on Recurring Basis

The following tables present the financial instruments carried at fair value at Sept. 30, 2014 and Dec. 31, 2013, 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 material transfers between Level 1 and Level 2 during the third quarter of 2014.



Assets measured at fair value on a recurring basis at Sept. 30, 2014
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Available-for-sale securities:
U.S. Treasury	$	21,101		$	—		$	—		$	—		$	21,101
U.S. Government agencies	—			361			—			—			361
Sovereign debt	79			15,626			—			—			15,705
State and political subdivisions (b)	—			5,393			11			—			5,404
Agency RMBS	—			30,208			—			—			30,208
Non-agency RMBS	—			1,005			—			—			1,005
Other RMBS	—			1,859			—			—			1,859
Commercial MBS	—			2,024			—			—			2,024
Agency commercial MBS	—			2,887			—			—			2,887
Asset-backed CLOs	—			1,996			—			—			1,996
Other asset-backed securities	—			3,025			—			—			3,025
Equity securities	97			—			—			—			97
Money market funds (b)	789			—			—			—			789
Corporate bonds	—			1,670			—			—			1,670
Other debt securities	—			2,030			—			—			2,030
Foreign covered bonds	2,266			683			—			—			2,949
Non-agency RMBS (c)	—			2,449			—			—			2,449
Total available-for-sale securities	24,332			71,216			11			—			95,559
Trading assets:
Debt and equity instruments (b)	3,137			3,267			—			—			6,404
Derivative assets not designated as hedging:
Interest rate	3			15,570			18			(13,269		)	2,322
Foreign exchange	—			6,348			—			(3,708		)	2,640
Equity	120			285			6			(164		)	247
Total derivative assets not designated as hedging	123			22,203			24			(17,141		)	5,209
Total trading assets	3,260			25,470			24			(17,141		)	11,613
Other assets:
Derivative assets designated as hedging:
Interest rate	—			573			—			—			573
Foreign exchange	—			204			—			—			204
Total derivative assets designated as hedging	—			777			—			—			777
Other assets (d)	223			771			79			—			1,073
Total other assets	223			1,548			79			—			1,850
Subtotal assets of operations at fair value	27,815			98,234			114			(17,141		)	109,022
Percentage of assets prior to netting	22		%	78		%	—		%
Assets of consolidated investment management funds:
Trading assets	115			8,708			—			—			8,823
Other assets	578			161			—			—			739
Total assets of consolidated investment management funds	693			8,869			—			—			9,562
Total assets	$	28,508		$	107,103		$	114		$	(17,141	)	$	118,584
Percentage of assets prior to netting	21		%	79		%	—		%



Liabilities measured at fair value on a recurring basis at Sept. 30, 2014
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Trading liabilities:
Debt and equity instruments	$	1,160		$	318		$	—		$	—		$	1,478
Derivative liabilities not designated as hedging:
Interest rate	10			16,084			23			(13,450		)	2,667
Foreign exchange	—			6,180			—			(3,003		)	3,177
Equity and other contracts	56			535			3			(182		)	412
Total derivative liabilities not designated as hedging	66			22,799			26			(16,635		)	6,256
Total trading liabilities	1,226			23,117			26			(16,635		)	7,734
Long-term debt (b)	—			337			—			—			337
Other liabilities - derivative liabilities designated as hedging:
Interest rate	—			178			—			—			178
Foreign exchange	—			57			—			—			57
Total other liabilities - derivative liabilities designated as hedging	—			235			—			—			235
Subtotal liabilities of operations at fair value	1,226			23,689			26			(16,635		)	8,306
Percentage of liabilities prior to netting	5		%	95		%	—		%
Liabilities of consolidated investment management funds:
Trading liabilities	—			8,130			—			—			8,130
Other liabilities	1			9			—			—			10
Total liabilities of consolidated investment management funds	1			8,139			—			—			8,140
Total liabilities	$	1,227		$	31,828		$	26		$	(16,635	)	$	16,446
Percentage of liabilities prior to netting	4		%	96		%	—		%

(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 is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities, and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.


(b)	Includes certain interests in securitizations.


(c)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(d)	Includes private equity investments and seed capital.



Assets measured at fair value on a recurring basis at Dec. 31, 2013
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Available-for-sale securities:
U.S. Treasury	$	12,852		$	—		$	—		$	—		$	12,852
U.S. Government agencies	—			948			—			—			948
Sovereign debt	40			11,314			—			—			11,354
State and political subdivisions (b)	—			6,663			11			—			6,674
Agency RMBS	—			25,321			—			—			25,321
Non-agency RMBS	—			1,142			—			—			1,142
Other RMBS	—			2,285			—			—			2,285
Commercial MBS	—			2,357			—			—			2,357
Agency commercial MBS	—			1,789			—			—			1,789
Asset-backed CLOs	—			1,562			—			—			1,562
Other asset-backed securities	—			2,891			—			—			2,891
Equity securities	19			—			—			—			19
Money market funds (b)	938			—			—			—			938
Corporate bonds	—			1,815			—			—			1,815
Other debt securities	—			1,796			—			—			1,796
Foreign covered bonds	2,238			633			—			—			2,871
Non-agency RMBS (c)	—			2,695			—			—			2,695
Total available-for-sale securities	16,087			63,211			11			—			79,309
Trading assets:
Debt and equity instruments (b)	4,559			4,338			1			—			8,898
Derivative assets not designated as hedging:
Interest rate	4			14,702			6			(13,231		)	1,481
Foreign exchange	—			3,609			1			(2,294		)	1,316
Equity	274			395			15			(281		)	403
Total derivative assets not designated as hedging	278			18,706			22			(15,806		)	3,200
Total trading assets	4,837			23,044			23			(15,806		)	12,098
Other assets:
Derivative assets designated as hedging:
Interest rate	—			1,206			—			—			1,206
Foreign exchange	—			76			—			—			76
Total derivative assets designated as hedging	—			1,282			—			—			1,282
Other assets (d)	148			193			105			—			446
Total other assets	148			1,475			105			—			1,728
Subtotal assets of operations at fair value	21,072			87,730			139			(15,806		)	93,135
Percentage of assets prior to netting	19		%	81		%	—		%
Assets of consolidated investment management funds:
Trading assets	61			10,336			—			—			10,397
Other assets	739			136			—			—			875
Total assets of consolidated investment management funds	800			10,472			—			—			11,272
Total assets	$	21,872		$	98,202		$	139		$	(15,806	)	$	104,407
Percentage of assets prior to netting	18		%	82		%	—		%



Liabilities measured at fair value on a recurring basis at Dec. 31, 2013
(dollar amounts in millions)	Level 1			Level 2			Level 3			Netting (a)			Total carrying value
Trading liabilities:
Debt and equity instruments	$	1,030		$	585		$	—		$	—		$	1,615
Derivative liabilities not designated as hedging:
Interest rate	3			15,178			31			(12,429		)	2,783
Foreign exchange	—			3,536			—			(1,711		)	1,825
Equity and other contracts	214			745			44			(281		)	722
Total derivative liabilities not designated as hedging	217			19,459			75			(14,421		)	5,330
Total trading liabilities	1,247			20,044			75			(14,421		)	6,945
Long-term debt (b)	—			321			—			—			321
Other liabilities - derivative liabilities designated as hedging:
Interest rate	—			167			—			—			167
Foreign exchange	—			336			—			—			336
Total other liabilities - derivative liabilities designated as hedging	—			503			—			—			503
Subtotal liabilities of operations at fair value	1,247			20,868			75			(14,421		)	7,769
Percentage of liabilities prior to netting	6		%	94		%	—		%
Liabilities of consolidated investment management funds:
Trading liabilities	16			10,069			—			—			10,085
Other liabilities	—			46			—			—			46
Total liabilities of consolidated investment management funds	16			10,115			—			—			10,131
Total liabilities	$	1,263		$	30,983		$	75		$	(14,421	)	$	17,900
Percentage of liabilities prior to netting	4		%	96		%	—		%

(a)


(b)	Includes certain interests in securitizations.


(c)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.


(d)	Includes private equity investments and seed capital.

Details Of Certain Items Measured At Fair Value On Recurring Basis Table



Details of certain items measured at fair value on a recurring basis	Sept. 30, 2014										Dec. 31, 2013
	Total carrying value (a)		Ratings								Total carrying value (a)		Ratings
			AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower					AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower
(dollar amounts in millions)			AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower					AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower
Non-agency RMBS, originated in:
2007	$	80	—	%	—	%	—	%	100	%	$	90	—	%	—	%	41	%	59	%
2006	152		—		—		—		100		156		—		—		—		100
2005	297		—		22		19		59		330		—		24		16		60
2004 and earlier	476		3		5		29		63		566		3		6		30		61
Total non-agency RMBS	$	1,005	1	%	9	%	19	%	71	%	$	1,142	1	%	10	%	23	%	66	%
Commercial MBS - Domestic, originated in:
2009-2014	$	584	84	%	16	%	—	%	—	%	$	466	81	%	19	%	—	%	—	%
2008	21		100		—		—		—		22		59		41		—		—
2007	366		66		20		14		—		457		69		20		11		—
2006	620		83		17		—		—		683		84		16		—		—
2005	341		100		—		—		—		486		100		—		—		—
2004 and earlier	16		100		—		—		—		153		93		7		—		—
Total commercial MBS - Domestic	$	1,948	83	%	14	%	3	%	—	%	$	2,267	84	%	14	%	2	%	—	%
Foreign covered bonds:
Canada	$	1,337	100	%	—	%	—	%	—	%	$	851	100	%	—	%	—	%	—	%
United Kingdom	665		100		—		—		—		803		100		—		—		—
Netherlands	254		100		—		—		—		298		100		—		—		—
Other	693		100		—		—		—		919		100		—		—		—
Total foreign covered bonds	$	2,949	100	%	—	%	—	%	—	%	$	2,871	100	%	—	%	—	%	—	%
European floating rate notes - available-for-sale:
United Kingdom	$	1,450	84	%	16	%	—	%	—	%	$	1,668	79	%	21	%	—	%	—	%
Netherlands	319		100		—		—		—		434		100		—		—		—
Ireland	152		—		—		—		100		165		10		—		—		90
Italy	—		—		—		—		—		104		—		100		—		—
Other	31		91		1		—		8		42		89		5		—		6
Total European floating rate notes - available-for-sale	$	1,952	80	%	12	%	—	%	8	%	$	2,413	75	%	19	%	—	%	6	%
Sovereign debt:
United Kingdom	$	5,077	100	%	—	%	—	%	—	%	$	4,709	100	%	—	%	—	%	—	%
France	3,856		100		—		—		—		1,568		100		—		—		—
Netherlands	1,783		100		—		—		—		2,105		100		—		—		—
Germany	1,582		100		—		—		—		2,182		100		—		—		—
Spain	917		—		—		100		—		137		—		—		100		—
Italy	906		—		—		100		—		171		—		—		100		—
Ireland	283		—		—		100		—		—		—		—		—		—
Other	1,301		90		2		8		—		482		100		—		—		—
Total sovereign debt	$	15,705	86	%	—	%	14	%	—	%	$	11,354	97	%	—	%	3	%	—	%
Non-agency RMBS (b), originated in:
2007	$	751	—	%	—	%	—	%	100	%	$	812	—	%	—	%	—	%	100	%
2006	701		—		—		1		99		780		—		—		1		99
2005	772		—		3		1		96		854		—		3		—		97
2004 and earlier	225		—		4		10		86		249		—		4		16		80
Total non-agency RMBS (b)	$	2,449	—	%	1	%	2	%	97	%	$	2,695	—	%	1	%	2	%	97	%


(a)	At Sept. 30, 2014 and Dec. 31, 2013, foreign covered bonds and sovereign debt were included in Level 1 and Level 2 in the valuation hierarchy. All other assets in the table are Level 2 assets in the valuation hierarchy.


(b)	Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.

Fair Value Assets And Liabilities Measured On Recurring Basis Unobservable Input Reconciliation

The tables below include a roll forward of the balance sheet amounts for the three and nine months ended Sept. 30, 2014 and 2013 (including the change in fair value), for financial instruments classified in Level 3 of the valuation hierarchy.



Fair value measurements for assets using significant unobservable inputs for the three months ended Sept. 30, 2014
	Available-for-sale securities			Trading assets												Total assets
(in millions)	State and political subdivisions			Debt and equity instruments				Derivative assets			(a)	Other assets				Total assets
Fair value at June 30, 2014	$	11		$	1			$	22			$	98			$	132
Transfers out of Level 3	—			—				(10		)		—				(10		)
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)	—		(b)	—			(c)	13			(c)	(10		)	(d)	3
Sales and settlements:
Sales	—			—				—				(9		)		(9		)
Settlements	—			(1		)		(1		)		—				(2		)
Fair value at Sept. 30, 2014	$	11		$	—			$	24			$	79			$	114
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				$	—			$	16			$	—			$	16


(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 the three months ended Sept. 30, 2014
	Trading liabilities				Total liabilities
(in millions)	Derivative liabilities			(a)	Total liabilities
Fair value at June 30, 2014	$	51			$	51
Transfers out of Level 3	(2		)		(2		)
Total (gains) or losses for the period:
Included in earnings (or changes in net liabilities)	(23		)	(b)	(23		)
Fair value at Sept. 30, 2014	$	26			$	26
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	$	(12	)		$	(12	)


(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 the three months ended Sept. 30, 2013
	Available-for-sale securities				Trading assets														Assets of consolidated investment management funds
(in millions)	State and political subdivisions				Debt and equity instruments			Derivative assets			(a)	Other assets				Total assets of operations			Assets of consolidated investment management funds
Fair value at June 30, 2013	$	52			$	2		$	42			$	113			$	209		$	44
Transfers out of Level 3	—				—			(14		)		—				(14		)	—
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)	(1		)	(b)	1		(c)	(2		)	(c)	(2		)	(d)	(4		)	2			(e)
Sales	—				—			—				(10		)		(10		)	(46		)
Fair value at Sept. 30, 2013	$	51			$	3		$	26			$	101			$	181		$	—
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	)		$	—			$	(2	)	$	—


(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.


(e)	Reported in income from consolidated investment management funds.



Fair value measurements for liabilities using significant unobservable inputs for the three months ended Sept. 30, 2013
	Trading liabilities				Total liabilities
(in millions)	Derivative liabilities			(a)	Total liabilities
Fair value at June 30, 2013	$	117			$	117
Transfers out of Level 3	(13		)		(13		)
Total (gains) or losses for the period:
Included in earnings (or changes in net liabilities)	(5		)	(b)	(5		)
Settlements	(7		)		(7		)
Fair value at Sept. 30, 2013	$	92			$	92
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	$	(1	)		$	(1	)


(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 the nine months ended Sept. 30, 2014
	Available-for-sale securities			Trading assets												Total assets
(in millions)	State and political subdivisions			Debt and equity instruments				Derivative assets			(a)	Other assets				Total assets
Fair value at Dec. 31, 2013	$	11		$	1			$	22			$	105			$	139
Transfers out of Level 3	—			—				(12		)		—				(12		)
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)	—		(b)	—			(c)	15			(c)	(5		)	(d)	10
Purchases, sales and settlements:
Purchases	—			—				—				14				14
Sales	—			—				—				(35		)		(35		)
Settlements	—			(1		)		(1		)		—				(2		)
Fair value at Sept. 30, 2014	$	11		$	—			$	24			$	79			$	114
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				$	—			$	19			$	—			$	19


(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 the nine months ended Sept. 30, 2014
	Trading liabilities				Total liabilities
(in millions)	Derivative liabilities			(a)	Total liabilities
Fair value at Dec. 31, 2013	$	75			$	75
Transfers out of Level 3	(39		)		(39		)
Total (gains) or losses for the period:
Included in earnings (or changes in net liabilities)	(13		)	(b)	(13		)
Purchases	3				3
Fair value at Sept 30, 2014	$	26			$	26
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	$	1			$	1


(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 the nine months ended Sept. 30, 2013
	Available-for-sale securities			Trading assets															Assets of consolidated investment management funds
(in millions)	State and political subdivisions			Debt and equity instruments				Derivative assets			(a)	Other assets				Total assets of operations			Assets of consolidated investment management funds
Fair value at Dec. 31, 2012	$	45		$	48			$	58			$	120			$	271		$	44
Transfers out of Level 3	—			—				(19		)		—				(19		)	—
Total gains or (losses) for the period:
Included in earnings (or changes in net assets)	6		(b)	4			(c)	(13		)	(c)	(2		)	(d)	(5		)	2			(e)
Purchases and sales:
Purchases	—			—				—				3				3			—
Sales	—			(49		)		—				(20		)		(69		)	(46		)
Fair value at Sept. 30, 2013	$	51		$	3			$	26			$	101			$	181		$	—
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				$	—			$	(13	)		$	—			$	(13	)	$	—


(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.


(e)	Reported in income from consolidated investment management funds.



Fair value measurements for liabilities using significant unobservable inputs for the nine months ended Sept 30, 2013
	Trading liabilities				Total liabilities
(in millions)	Derivative liabilities			(a)	Total liabilities
Fair value at Dec. 31, 2012	$	224			$	224
Transfers out of Level 3	(17		)		(17		)
Total (gains) or losses for the period:
Included in earnings (or changes in net liabilities)	(110		)	(b)	(110		)
Settlements	(5		)		(5		)
Fair value at Sept 30, 2013	$	92			$	92
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	$	27			$	27


(a)	Derivative liabilities are reported on a gross basis.


(b)	Reported in foreign exchange and other trading revenue.

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 Sept. 30, 2014 and Dec. 31, 2013, for which a nonrecurring change in fair value has been recorded during the quarters ended Sept. 30, 2014 and Dec. 31, 2013.



Assets measured at fair value on a nonrecurring basis at Sept. 30, 2014							Total carrying value
(in millions)	Level 1		Level 2		Level 3		Total carrying value
Loans (a)	$	—	$	114	$	5	$	119
Other assets (b)	—		10		—		10
Total assets at fair value on a nonrecurring basis	$	—	$	124	$	5	$	129



Assets measured at fair value on a nonrecurring basis at Dec. 31, 2013							Total carrying value
(in millions)	Level 1		Level 2		Level 3		Total carrying value
Loans (a)	$	—	$	128	$	9	$	137
Other assets (b)	—		15		—		15
Total assets at fair value on a nonrecurring basis	$	—	$	143	$	9	$	152


(a)	During the quarters ended Sept. 30, 2014 and Dec. 31, 2013, the fair value of these loans decreased less than $1 million and $1 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.

Fair Value Inputs, Assets, Quantitative Information

The following tables present the unobservable inputs used in the valuation of assets and liabilities classified as Level 3 within the fair value hierarchy.



Quantitative information about Level 3 fair value measurements of assets
(dollars in millions)	Fair value at Sept. 30, 2014			Valuation techniques	Unobservable input	Range
Measured on a recurring basis:
Available-for-sale securities:
State and political subdivisions		$	11	Discounted cash flow	Expected credit loss	4	%
Trading assets:
Derivative assets:
Interest rate contracts:
Structured foreign exchange swaptions		18		Option pricing model (a)	Correlation risk	0%-25%
					Long-term foreign exchange volatility	11%-18%
Equity:
Equity options		6		Option pricing model (a)	Long-term equity volatility	21%-25%
Measured on a nonrecurring basis:
Loans		5		Discounted cash flows	Timing of sale	0-12 months
					Cap rate	8	%
					Cost to complete/sell	0%-40%

Fair Value Inputs, Liabilities, Quantitative information



Quantitative information about Level 3 fair value measurements of liabilities
(dollars in millions)	Fair value at Sept. 30, 2014			Valuation techniques	Unobservable input	Range
Measured on a recurring basis:
Trading liabilities:
Derivative liabilities:
Interest rate contracts:
Structured foreign exchange swaptions		$	23	Option pricing model (a)	Correlation risk	0%-25%
					Long-term foreign exchange volatility	11%-18%
Equity:
Equity options		3		Option pricing model (a)	Long-term equity volatility	21%-22%


(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.

Fair Value by Balance Sheet Grouping

The following tables present the estimated fair value and the carrying amount of financial instruments not carried at fair value on the consolidated balance sheet at Sept. 30, 2014 and Dec. 31, 2013, by caption on the consolidated balance sheet and by ASC 820 valuation hierarchy (as described above).



Summary of financial instruments	Sept. 30, 2014
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	92,317	$	—	$	92,317	$	92,317
Interest-bearing deposits with banks	—		30,354		—		30,354		30,341
Federal funds sold and securities purchased under resale agreements	—		17,375		—		17,375		17,375
Securities held-to-maturity	4,149		16,018		—		20,167		20,137
Loans	—		55,242		—		55,242		55,164
Other financial assets	6,410		1,081		—		7,491		7,491
Total	$	10,559	$	212,387	$	—	$	222,946	$	222,825
Liabilities:
Noninterest-bearing deposits	$	—	$	101,105	$	—	$	101,105	$	101,105
Interest-bearing deposits	—		162,737		—		162,737		163,791
Federal funds purchased and securities sold under repurchase agreements	—		9,687		—		9,687		9,687
Payables to customers and broker-dealers	—		20,155		—		20,155		20,155
Borrowings	—		986		—		986		986
Long-term debt	—		21,669		—		21,669		21,246
Total	$	—	$	316,339	$	—	$	316,339	$	316,970



Summary of financial instruments	Dec. 31, 2013
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	104,359	$	—	$	104,359	$	104,359
Interest-bearing deposits with banks	—		35,323		—		35,323		35,300
Federal funds sold and securities purchased under resale agreements	—		9,161		—		9,161		9,161
Securities held-to-maturity	3,268		16,175		—		19,443		19,743
Loans	—		49,316		—		49,316		49,180
Other financial assets	6,460		1,141		—		7,601		7,601
Total	$	9,728	$	215,475	$	—	$	225,203	$	225,344
Liabilities:
Noninterest-bearing deposits	$	—	$	95,475	$	—	$	95,475	$	95,475
Interest-bearing deposits	—		165,253		—		165,253		165,654
Federal funds purchased and securities sold under repurchase agreements	—		9,648		—		9,648		9,648
Payables to customers and broker-dealers	—		15,707		—		15,707		15,707
Borrowings	—		919		—		919		919
Long-term debt	—		19,965		—		19,965		19,543
Total	$	—	$	306,967	$	—	$	306,967	$	306,946

Summary Of Hedged Financial Instruments Disclosure

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)					Gain		(Loss)
Sept. 30, 2014
Interest-bearing deposits with banks	$	292	$	292	$	20	$	—
Securities available-for-sale	6,772		6,971		227		(129		)
Long-term debt	17,534		17,300		344		(49		)
Dec. 31, 2013
Interest-bearing deposits with banks	$	1,396	$	1,396	$	30	$	(19	)
Securities available-for-sale	5,914		6,647		721		(95		)
Long-term debt	15,036		14,755		483		(72		)

- Definition

Tabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.

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