Fair Value Election and Measurement (Tables)

6 Months Ended

Jun. 30, 2011

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present certain information regarding assets and liabilities measured at fair value on a recurring basis and the changes in fair value for those specific financial instruments in which fair value has been elected.


			Fair Value Measurements at June 30, 2011 Using
(Dollars in millions)	Assets/Liabilities		Quoted Prices In Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)

Assets
Trading assets
U.S. Treasury securities		$127		$127		$-		$-
Federal agency securities		504		-		504		-
U.S. states and political subdivisions		42		-		42		-
MBS - agency		271		-		271		-
MBS - private		2		-		-		2
CDO securities		44		-		2		42
ABS		37		-		32		5
Corporate and other debt securities		806		-		806		-
CP		129		-		129		-
Equity securities		91		-		78		13
Derivative contracts		2,952		212		2,740		-
Trading loans		1,581		-		1,581		-

Total trading assets		6,586		339		6,185		62


Securities AFS
U.S. Treasury securities		726		726		-		-
Federal agency securities		2,566		-		2,566		-
U.S. states and political subdivisions		516		-		448		68
MBS - agency		19,331		-		19,331		-
MBS - private		311		-		-		311
CDO securities		337		-		337		-
ABS		625		-		606		19
Corporate and other debt securities		56		-		51		5
Coke common stock		2,019		2,019		-		-
Other equity securities ²		729		-		132		597

Total securities AFS		27,216		2,745		23,471		1,000

LHFS
Residential loans		1,596		-		1,593		3
Corporate and other loans		329		-		329		-

Total LHFS		1,925		-		1,922		3

LHFI		449		-		-		449
MSRs		1,423		-		-		1,423
Other assets ¹		198		1		167		30

Liabilities
Trading liabilities
U.S. Treasury securities		509		509		-		-
Federal agency securities		1		-		1		-
Corporate and other debt securities		359		-		359		-
Equity securities		14		14		-		-
Derivative contracts		2,143		149		1,840		154

Total trading liabilities		3,026		672		2,200		154


Brokered deposits		1,140		-		1,140		-
Long-term debt		2,022		-		2,022		-
Other liabilities ¹		42		-		24		18

¹	These amounts include IRLCs and derivative financial instruments entered into by the Mortgage line of business to hedge its interest rate risk along with a derivative associated with the Company’s sale of Visa shares during the year ended December 31, 2009.

²	Includes $205 million of FHLB of Atlanta stock stated at par value and $391 million of Federal Reserve Bank stock stated at par value.

		00000000000000000		00000000000000000		00000000000000000		00000000000000000
			Fair Value Measurements at December 31, 2010 Using
(Dollars in millions)	Assets/Liabilities		Quoted Prices In Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)

Assets
Trading assets
U.S. Treasury securities		$187		$187		$-		$-
Federal agency securities		361		-		361		-
U.S. states and political subdivisions		123		-		123		-
MBS - agency		301		-		301		-
MBS - private		15		-		9		6
CDO securities		55		-		2		53
ABS		59		-		32		27
Corporate and other debt securities		743		-		743		-
CP		14		-		14		-
Equity securities		221		-		98		123
Derivative contracts		2,743		166		2,577		-
Trading loans		1,353		-		1,353		-

Total trading assets		6,175		353		5,613		209


Securities AFS
U.S. Treasury securities		5,516		5,516		-		-
Federal agency securities		1,895		-		1,895		-
U.S. states and political subdivisions		579		-		505		74
MBS - agency		14,358		-		14,358		-
MBS - private		347		-		-		347
CDO securities		50		-		50		-
ABS		808		-		788		20
Corporate and other debt securities		482		-		477		5
Coke common stock		1,973		1,973		-		-
Other equity securities ²		887		-		197		690

Total securities AFS		26,895		7,489		18,270		1,136

LHFS
Residential loans		2,847		-		2,845		2
Corporate and other loans		321		-		316		5

Total LHFS		3,168		-		3,161		7

LHFI		492		-		-		492
MSRs		1,439		-		-		1,439
Other assets ¹		241		-		223		18

Liabilities
Trading liabilities
U.S. Treasury securities		439		439		-		-
Corporate and other debt securities		398		-		398		-
Derivative contracts		1,841		120		1,576		145

Total trading liabilities		2,678		559		1,974		145


Brokered deposits		1,213		-		1,213		-
Long-term debt		2,837		-		2,837		-
Other liabilities ¹		114		-		72		42

These amounts include IRLCs and derivative financial instruments entered into by the Mortgage line of business to hedge its interest rate risk along with a derivative associated with the Company’s sale of Visa shares during the year ended December 31, 2009.

²	Includes $298 million of FHLB of Atlanta stock stated at par value and $391 million of Federal Reserve Bank stock stated at par value.

Fair Value Option Elected, Difference Between the Aggregate Fair Value and the Aggregate Unpaid Principal Balance

The following tables present the difference between the aggregate fair value and the aggregate unpaid principal balance of trading assets, LHFI, LHFS, brokered deposits, and long-term debt instruments for which the FVO has been elected. For LHFI and LHFS for which the FVO has been elected, the tables also include the difference between aggregate fair value and the aggregate unpaid principal balance of loans that are 90 days or more past due, as well as loans in nonaccrual status.


(Dollars in millions)	Aggregate Fair Value June 30, 2011		Aggregate Unpaid Principal Balance under FVO June 30, 2011		Fair Value Over/(Under) Unpaid Principal

Trading loans		$1,581		$1,558		$23
LHFS		1,917		1,886		31
Past due loans of 90 days or more		7		7		-
Nonaccrual loans		1		8		(7)
LHFI		419		470		(51)
Past due loans of 90 days or more		3		5		(2)
Nonaccrual loans		27		48		(21)
Brokered deposits		1,140		1,107		33
Long-term debt		2,022		1,901		121

(Dollars in millions)	Aggregate Fair Value December 31, 2010		Aggregate Unpaid Principal Balance under FVO December 31, 2010		Fair Value Over/(Under) Unpaid Principal

Trading loans		$1,353		$1,320		$33
LHFS		3,160		3,155		5
Past due loans of 90 days or more		2		2		-
Nonaccrual loans		6		25		(19)
LHFI		462		517		(55)
Past due loans of 90 days or more		2		4		(2)
Nonaccrual loans		28		54		(26)
Brokered deposits		1,213		1,188		25
Long-term debt		2,837		2,753		84

Change in Fair Value of Financial Instruments for which the FVO has been Elected

The following tables present the change in fair value during the three and six months ended June 30, 2011 and 2010 of financial instruments for which the FVO has been elected, as well as MSRs that are accounted for at fair value in accordance with applicable fair value accounting guidance. The tables do not reflect the change in fair value attributable to the related economic hedges the Company used to mitigate the market-related risks associated with the financial instruments. The changes in the fair value of economic hedges are also recognized in trading account profits and commissions, mortgage production related income/(loss), or mortgage servicing related income, as appropriate, and are designed to partially offset the change in fair value of the financial instruments referenced in the tables below. The Company’s economic hedging activities are deployed at both the instrument and portfolio level.


	Fair Value Gain/(Loss) for the Three Months Ended June 30, 2011, for Items Measured at Fair Value Pursuant to Election of the FVO								Fair Value Gain/(Loss) for the Six Months Ended June 30, 2011 for Items Measured at Fair Value Pursuant to Election of the FVO
(Dollars in millions)	Trading Account Profits/(Losses) and Commissions		Mortgage Production Related Income ²		Mortgage Servicing Related Income		Total Changes in Fair Values Included in Current- Period Earnings¹		Trading Account Profits/(Losses) and Commissions		Mortgage Production Related Income ²		Mortgage Servicing Related Income		Total Changes in Fair Values Included in Current Period Earnings¹

Assets
Trading assets		$5		$-		$-		$5		$12		$-		$-		$12
LHFS		(4)		119		-		115		(2)		149		-		147
LHFI		-		-		-		-		3		(4)		-		(1)
MSRs		-		2		(162)		(160)		-		4		(145)		(141)
Liabilities
Brokered deposits		8		-		-		8		(3)		-		-		(3)
Long-term debt		(21)		-		-		(21)		(38)		-		-		(38)

¹Changes in fair value for the three and six months ended June 30, 2011, exclude accrued interest for the periods then ended. Interest income or interest expense on trading assets, LHFS, LHFI, brokered deposits and long-term debt that have been elected to be carried at fair value are recorded in interest income or interest expense in the Consolidated Statements of Income/(Loss) based on their contractual coupons. Certain trading assets do not have a contractually stated coupon and, for these securities, the Company records interest income based on the effective yield calculated upon acquisition of the securities.

²For the three and six months ended June 30, 2011, income related to LHFS includes $46 million and $132 million, respectively, related to MSRs recognized upon the sale of loans reported at fair value. For the three and six months ended June 30, 2011, income related to MSRs includes $2 million and $4 million, respectively, of MSRs recognized upon the sale of loans reported at LOCOM. These MSRs are included in the table since the Company elected to report MSRs recognized in 2009 using the fair value method. Previously, MSRs were reported under the amortized cost method.


	Fair Value Gain/(Loss) for the Three Months Ended June 30, 2010, for Items Measured at Fair Value Pursuant to Election of the FVO								Fair Value Gain/(Loss) for the Six Months Ended June 30, 2010, for Items Measured at Fair Value Pursuant to Election of the FVO
(Dollars in millions)	Trading Account Profits/(Losses) and Commissions		Mortgage Production Related Income/(Loss)²		Mortgage Servicing Related Income		Total Changes in Fair Values Included in Current Period Earnings¹		Trading Account Profits/(Losses) and Commissions		Mortgage Production Related Income/(Loss)²		Mortgage Servicing Related Income		Total Changes in Fair Values Included in Current Period Earnings¹

Assets
Trading assets		($4)		$-		$-		($4)		($3)		$-		$-		($3)
LHFS		(4)		200		-		196		7		292		-		299
LHFI		(2)		8		-		6		(2)		8		-		6
MSRs		-		2		(411)		(409)		-		6		(520)		(514)
Liabilities
Brokered deposits		23		-		-		23		(8)		-		-		(8)
Long-term debt		(39)		-		-		(39)		(125)		-		-		(125)

¹Changes in fair value for the three and six months ended June 30, 2010, exclude accrued interest for the periods then ended. Interest income or interest expense on trading assets, LHFS, LHFI, brokered deposits and long-term debt that have been elected to be carried at fair value are recorded in interest income or interest expense in the Consolidated Statements of Income/(Loss) based on their contractual coupons. Certain trading assets do not have a contractually stated coupon and, for these securities, the Company records interest income based on the effective yield calculated upon acquisition of those securities.

²For the three and six months ended June 30, 2010, income related to LHFS, includes $65 million and $128 million, respectively, related to MSRs recognized upon the sale of loans reported at fair value. For the three and six months ended June 30, 2010, income related to MSRs includes $3 million and $6 million, respectively, of MSRs recognized upon the sale of loans reported at LOCOM. These MSRs are included in the table since the Company elected to report MSRs recognized in 2009 using the fair value method. Previously, MSRs were reported under the amortized cost method.

Reconciliation of the Beginning and Ending Balances for Fair Valued Assets and Liabilities Measured on a Recurring Basis Using Significant Unobservable Inputs

The following tables show a reconciliation of the beginning and ending balances for fair valued assets and liabilities measured on a recurring basis using significant unobservable inputs (other than MSRs which are disclosed in Note 5, “Goodwill and Other Intangible Assets”). Transfers into and out of the fair value hierarchy levels are assumed to be as of the end of the quarter in which the transfer occurred. None of the transfers into or out of level 3 have been the result of using alternative valuation approaches to estimate fair values.


	Fair Value Measurements Using Significant Unobservable Inputs
(Dollars in millions)	Beginning balance April 1, 2011		Included in earnings			OCI			Sales		Settlements		Transfers to/from other balance sheet line items		Transfers into Level 3		Transfers out of Level 3		Fair value June 30, 2011		Change in unrealized gains/(losses) included in earnings for the three months ended June 30, 2011 related to financial assets still held at June 30, 2011

Assets
Trading assets
MBS - private		$2		$-			$-			$-		$-		$-		$-		$-		$2		$-
CDO securities		42		-			-			-		-		-		-		-		42		-
ABS		5		-			-			-		-		-		-		-		5		-
Equity securities		56		4			-			-		(47)		-		-		-		13		-

Total trading assets		105		4	¹		-			-		(47)		-		-		-		62		-


Securities AFS
U.S. states and political subdivisions		73		-			-			-		(5)		-		-		-		68		-
MBS - private		338		(1)			(7)			-		(19)		-		-		-		311		1
ABS		20		-			-			-		(1)		-		-		-		19		-
Corporate and other debt securities		5		-			-			-		-		-		-		-		5		-
Other equity securities		690		-			-			-		(93)		-		-		-		597		-

Total securities AFS		1,126		(1	) ²		(7)			-		(118)		-		-		-		1,000		1	²

LHFS		17		1	³		-			(12)		-		(7)		5		(1)		3		-
LHFI		457		1	⁴		-			-		(11)		2		-		-		449		(1)	⁴
Other assets/(liabilities), net		(2)		48			-			-		6		(40)		-		-		12		-

Liabilities
Derivative contracts		(161)		1			6	⁵		-		-		-		-		-		(154)		-
(Dollars in millions)	Beginning balance January 1, 2011		Included in earnings			OCI			Sales		Settlements		Transfers to/from other balance sheet line items		Transfers into Level 3		Transfers out of Level 3		Fair value June 30, 2011		Change in unrealized gains/(losses) included in earnings for the six months ended June 30, 2011 related to financial assets still held at June 30, 2011

Assets
Trading assets
MBS - private		$6		$2			$-			($5)		($1)		$-		$-		$-		$2		$-
CDO securities		53		31			-			(21)		(1)		(20)		-		-		42		15
ABS		27		9			-			(31)		-		-		-		-		5		2
Equity securities		123		12			-			-		(122)		-		-		-		13		-

Total trading assets		209		54	¹		-			(57)		(124)		(20)		-		-		62		17	¹


Securities AFS
U.S. states and political subdivisions		74		1			-			-		(7)		-		-		-		68		-
MBS - private		347		(3)			9			-		(42)		-		-		-		311		(3)
ABS		20		-			1			-		(2)		-		-		-		19		-
Corporate and other debt securities		5		-			-			-		-		-		-		-		5		-
Other equity securities		690		-			-			-		(93)		-		-		-		597		-

Total securities AFS		1,136		(2)	²		10			-		(144)		-		-		-		1,000		(3)	²

LHFS
Residential loans		2		-			-			(14)		(1)		2		16		(2)		3		-
Corporate and other loans		5		(1)	⁶		-			-		-		(4)		-		-		-		-
LHFI		492		-			-			-		(34)		(9)		-		-		449		(3)	⁴
Other assets/(liabilities), net		(24)		84			-			-		6		(54)		-		-		12		-

Liabilities
Derivative contracts		(145)		1			(10)	⁵		-		-		-		-		-		(154)		-

¹ Amounts included in earnings are recorded in trading account profits and commissions.

² Amounts included in earnings are recorded in net securities gains.

³ Amounts included in earnings are net of issuances, fair value changes, and expirations and are recorded in mortgage production related income/(loss).

⁴ Amounts are generally included in mortgage production related income/(loss), however, the mark on certain fair value loans is included in trading account profits and commissions.

⁵ Amount recorded in OCI is the effective portion of the cash flow hedges related to the Company’s probable forecasted sale of its shares of Coke common stock as discussed in Note 11, “Derivative Financial Instruments.”

⁶ Amounts included in earnings are recorded in other noninterest income.


	Fair Value Measurements Using Significant Unobservable Inputs
(Dollars in millions)	Beginning balance April 1, 2010		Included in earnings			Other comprehensive income			Purchases, sales, issuances, settlements, maturities paydowns, net		Transfers to/from other balance sheet line items		Transfers into Level 3		Transfers out of Level 3		Fair value June 30, 2010		Change in unrealized gains/(losses) included in earnings for the three months ended June 30, 2010 related to financial assets still held at 2010
Assets
Trading assets
U.S. states and political subdivisions		$6		$-			$-			$3		$-		$-		$-		$9		$-
MBS - private		5		(1)			-			(1)		-		-		-		3		(1)
CDO securities		159		6			-			(48)		-		-		-		117		4
ABS		51		(1)			-			(2)		-		-		-		48		(1)
Equity securities		145		(2)			-			(23)		-		-		-		120		(4)
Derivative contracts		22		-			106	⁵		-		-		-		-		128		-

Total trading assets		388		2	¹		106			(71)		-		-		-		425		(2)	¹


Securities AFS
U.S. states and political subdivisions		131		-			(2)			(4)		-		-		-		125		-
MBS - private		369		(1)			17			(20)		-		-		-		365		(1)
ABS		108		-			1			(1)		-		-		-		108		-
Corporate and other debt securities		5		-			-			-		-		-		-		5		-
Other equity securities		705		-			-			-		-		-		-		705		-

Total securities AFS		1,318		(1)	²		16			(25)		-		-		-		1,308		(1)	²

LHFS
Residential loans		152		6	³		-			(51)		(6)		4		(1)		104		2	³
Corporate and other loans		9		(2)	⁶		-			(2)		-		-		-		5		(2)	⁶
LHFI		422		5	⁴		-			(12)		(4)		-		-		411		4	⁴
Other assets/(liabilities), net		(10)		119	³		-			6		(62)		-		-		53		-
(Dollars in millions)	Beginning balance January 1, 2010		Included in earnings			Other comprehensive income			Purchases, sales, issuances, settlements, maturities paydowns, net		Transfers to/ from other balance sheet line items		Transfers into Level 3		Transfers out of Level 3		Fair value June 30, 2010		Change in unrealized gains/(losses) included in earnings for the six months ended June 30, 2010 related to financial assets still held at June 30, 2010
Assets
Trading assets
U.S. states and political subdivisions		$7		$-			$-			$2		$-		$-		$-		$9		$-
MBS - private		6		(1)			-			(2)		-		-		-		3		(1)
CDO securities		175		17			-			(75)		-		-		-		117		11
ABS		51		3			-			(6)		-		-		-		48		1
Equity securities		151		4			-			(35)		-		-		-		120		-
Derivative contracts		-		7			121	⁵		-		-		-		-		128		-

Total trading assets		390		30	¹		121			(116)		-		-		-		425		11	¹


Securities AFS
U.S. states and political subdivisions		132		-			(2)			(5)		-		-		-		125		-
MBS - private		378		(2)			34			(45)		-		-		-		365		(2)
ABS		102		1			(7)			12		-		-		-		108		-
Corporate and other debt securities		5		-			-			-		-		-		-		5		-
Other equity securities		705		-			-			-		-		-		-		705		-

Total securities AFS		1,322		(1)	²		25			(38)		-		-		-		1,308		(2)	²

LHFS
Residential loans		142		5	³		-			(70)		4		24		(1)		104		(6)	³
Corporate and other loans		9		(2)	⁶		-			(2)		-		-		-		5		(2)	⁶
LHFI		449		5	⁴		-			(25)		(17)		-		(1)		411		6	⁴
Other assets/(liabilities), net		(35)		211	³		-			6		(129)		-		-		53		-

Liabilities
Derivative contracts		(46)		-			46	⁵		-		-		-		-		-		-

¹ Amounts included in earnings are recorded in trading account profits/(losses) and commissions.

² Amounts included in earnings are recorded in net securities gains/(losses).

³ Amounts included in earnings are net of issuances, fair value changes, and expirations and are recorded in mortgage production related income/(loss).

⁴ Amounts are generally included in mortgage production related income, however, the mark on certain fair value loans is included in trading account profits/(losses) and commissions.

⁵ Amount recorded in other comprehensive income is the effective portion of the cash flow hedges related to the Company’s probable forecasted sale of its shares of Coke stock as discussed in Note 10, “Derivative

Financial Instruments.”

⁶ Amounts included in earnings are recorded in other noninterest income.

Change in Carrying Value of Assets Measured at Fair Value on a Non-Recurring Basis

The following tables present the change in carrying value of those assets measured at fair value on a non-recurring basis, for which impairment was recognized. The table does not reflect the change in fair value attributable to any related economic hedges the Company may have used to mitigate the interest rate risk associated with LHFS. The Company’s economic hedging activities for LHFS are deployed at the portfolio level.


			Fair Value Measurement at June 30, 2011 Using
(Dollars in millions)	Net Carrying Value		Quoted Prices in Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Valuation Allowance

LHFS		$128		$-		$61		$67		$-
LHFI		118		-		-		118		(45)
OREO		483		-		370		113		(120)
Other Assets		13		-		6		7		(10)

			Fair Value Measurement at December 31, 2010, Using
(Dollars in millions)	Net Carrying Value		Quoted Prices in Active Markets for Identical Assets/Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Valuation Allowance

LHFS		$333		$-		$142		$191		$-
LHFI		85		-		-		85		(15)
OREO		596		-		553		43		(116)
Affordable Housing		357		-		-		357		-
Other Assets		130		-		90		40		(20)

Carrying Amounts and Fair Values of the Company's Financial Instruments

The carrying amounts and fair values of the Company’s financial instruments at June 30, 2011 and December 31, 2010 were as follows:

June 30, 2011

December 31, 2010

(Dollars in millions)

Carrying
Amount

Fair
Value

Carrying
Amount

Fair
Value

Financial assets

Cash and cash equivalents

$6,787

(a)

$5,378

(a)

Trading assets

6,586

(b)

6,175

(b)

Securities AFS

27,216

(b)

26,895

(b)

LHFS

2,052

2,053

(c)

3,501

(c)

LHFI

114,913

115,975

Interest/credit adjustment on LHFI

(2,744)

(3,109)

(2,974)

(3,823)

LHFI, as adjusted for interest/credit risk

112,169

111,804

(d)

113,001

112,152

(d)

Market risk/liquidity adjustment on LHFI

(4,303)

(3,962)

LHFI, fully adjusted

$112,169

$107,501

(d)

$113,001

$108,190

(d)

Financial liabilities

Consumer and commercial deposits

$121,671

$122,025

(e)

$120,025

$120,368

(e)

Brokered deposits

2,345

2,373

(f)

2,365

2,381

(f)

Foreign deposits

905

(f)

654

(f)

Short-term borrowings

5,983

5,979

(f)

5,821

5,815

(f)

Long-term debt

13,693

13,404

(f)

13,648

13,191

(f)

Trading liabilities

3,026

(b)

2,678

(b)

The following methods and assumptions were used by the Company in estimating the fair value of financial instruments:

(a)

Cash and cash equivalents are valued at their carrying amounts reported in the balance sheet, which are reasonable estimates of fair value due to the relatively short period to maturity of the instruments.

(b)

Securities AFS, trading assets, and trading liabilities that are classified as level 1 are valued based on quoted market prices. For those instruments classified as level 2 or level 3, refer to the respective valuation discussions within this footnote.

(c)

LHFS are generally valued based on observable current market prices or, if quoted market prices are not available, on quoted market prices of similar instruments. In instances when significant valuation assumptions are not readily observable in the market, instruments are valued based on the best available data in order to approximate fair value. This data may be internally-developed and considers risk premiums that a market participant would require under then-current market conditions. Refer to the LHFS section within this footnote for further discussion of the LHFS carried at fair value.

(d)

LHFI fair values are based on a hypothetical exit price, which does not represent the estimated intrinsic value of the loan if held for investment. The assumptions used are expected to approximate those that a market participant purchasing the loans would use to value the loans, including a market risk premium and liquidity discount. Estimating the fair value of the loan portfolio when loan sales and trading markets are illiquid, or for certain loan types, nonexistent, requires significant judgment. Therefore, the estimated fair value can vary significantly depending on a market participant’s ultimate considerations and assumptions. The final value yields a market participant’s expected return on investment that is indicative of the current market conditions, but it does not take into consideration the Company’s estimated value from continuing to hold these loans or its lack of willingness to transact at these estimated values.

The Company estimated fair value based on estimated future cash flows discounted, initially, at current origination rates for loans with similar terms and credit quality, which derived an estimated value of 100% and 99% on the loan portfolio’s net carrying value as of June 30, 2011 and December 31, 2010, respectively. The value derived from origination rates likely does not represent an exit price; therefore, an incremental market risk and liquidity discount was subtracted from the initial value as of June 30, 2011 and December 31, 2010, respectively. The discounted value is a function of a market participant’s required yield in the current environment and is not a reflection of the expected cumulative losses on the loans. Loan prepayments are used to adjust future cash flows based on historical experience and prepayment model forecasts. The value of related accrued interest on loans approximates fair value; however, it is not included in the carrying amount or fair value of loans. The value of long-term customer relationships is not permitted under current U.S. GAAP to be included in the estimated fair value.

(e)

Deposit liabilities with no defined maturity such as demand deposits, NOW/money market accounts, and savings accounts have a fair value equal to the amount payable on demand at the reporting date (i.e., their carrying amounts). Fair values for CDs are estimated using a discounted cash flow calculation that applies current interest rates to a schedule of aggregated expected maturities. The assumptions used in the discounted cash flow analysis are expected to approximate those that market participants would use in valuing deposits. The value of long-term relationships with depositors is not taken into account in estimating fair values.

(f)

Fair values for foreign deposits, certain brokered deposits, short-term borrowings, and certain long-term debt are based on quoted market prices for similar instruments or estimated using discounted cash flow analysis and the Company’s current incremental borrowing rates for similar types of instruments. For brokered deposits and long-term debt that the Company carries at fair value, refer to the respective valuation sections within this footnote.

- Definition

Tabular disclosure of the total amount of gains or losses for the period which are included in earnings or resulted in a change to net assets which gains or losses have arisen from the use of significant unobservable inputs (Level 3) to measure the fair value of assets and liabilities. Such gains or losses are attributable to the change in unrealized gains or losses relating to those assets and liabilities so valued which are still held at the reporting date and which change are also considered for disclosure; it may be expected that a description of where those unrealized gains or losses are reported in the statement of income or the statement of financial position would also be disclosed.

+ References+ Details

- Definition

Tabular disclosure of assets and liabilities by class, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). The disclosures that may be required or desired include: (a) the fair value measurements recorded during the period and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

+ 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.

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+ Details

- Definition

Tabular disclosure of the fair value measurement of assets and liabilities which includes [financial] instruments measured at fair value that are classified in stockholders' equity. Such assets and liabilities may be measured on a recurring or nonrecurring basis. The disclosures which may be required or desired include: (1) for assets and liabilities measured on a recurring basis, disclosure may include: (a) the fair value measurements at the reporting date; (b) the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets or liabilities (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3); (c) for fair value measurements using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (i) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (ii) purchases, sales, issuances, and settlements (net); (iii) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs); (d) the amount of the total gains or losses for the period in subparagraph (c) (i) above included in earnings (or changes in net assets) that are attributable to the change in unrealized gains or losses relating to those assets and liabilities still held at the reporting date and a description of where those unrealized gains or losses are reported in the statement of income (or activities); (e) the valuation technique(s) used to measure fair value and a discussion of changes in valuation techniques, if any, during the period and (2) for assets and liabilities that are measured at fair value on a nonrecurring basis (for example, impaired assets) disclosure may include, in addition to (a) above: (a) the reasons for the fair value measurements recorded; (b) the same as (b) above; (c) for fair value measurements using significant unobservable inputs (Level 3), a description of the inputs and the information used to develop the inputs; and (d) the valuation technique(s) used to measure fair value and a discussion of changes, if any, in the valuation technique(s) used to measure similar assets and/or liabilities in prior periods. Where the quoted price in an active market for the identical liability is not available, the Level 1 input is the quoted price of an identical liability when traded as an asset.

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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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-Number 159
-Paragraph 17
-LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. This reference is included to help users transition from the previous accounting hierarchy and will be removed from future versions of this taxonomy.

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