Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2013

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments at June 30, 2013 and December 31, 2012.



June 30, 2013	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	31,526	$	31,526	$	1,311	$	29,820	$	395
Securities purchased under resale agreements	1,399		1,399		—		1,399		—
Non-derivative trading assets	18,447		18,447		1,530		14,772		2,145
Derivatives	10,452		10,452		104		10,226		122
Securities	54,511		54,572		29,573		24,999		—
Commercial loans, net of allowance for credit losses	46,965		47,838		—		—		47,838
Commercial loans designated under fair value option and held for sale	3		3		—		3		—
Commercial loans held for sale	17		17		—		17		—
Consumer loans, net of allowance for credit losses	19,135		16,054		—		—		16,054
Consumer loans held for sale:
Residential mortgages	275		276		—		—		276
Other consumer	64		64		—		—		64
Financial liabilities:
Short-term financial liabilities	$	21,922	$	21,922	$	—	$	21,922	$	—
Deposits:
Without fixed maturities	100,648		100,648		—		100,648		—
Fixed maturities	3,137		3,160		—		3,160		—
Deposits designated under fair value option	7,950		7,950		—		5,288		2,662
Non-derivative trading liabilities	5,036		5,036		236		4,800		—
Derivatives	11,211		11,211		32		11,079		100
Long-term debt	14,308		14,649		—		14,649		—
Long-term debt designated under fair value option	6,626		6,626		—		6,168		458



December 31, 2012	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	15,074	$	15,074	$	1,359	$	13,279	$	436
Securities purchased under resale agreements	3,149		3,149		—		3,149		—
Non-derivative trading assets	25,491		25,491		2,484		20,061		2,946
Derivatives	11,986		11,986		30		11,785		171
Securities	69,336		69,547		43,421		26,126		—
Commercial loans, net of allowance for credit losses	43,833		45,153		—		—		45,153
Commercial loans designated under fair value option and held for sale	465		465		—		465		—
Commercial loans held for sale	16		16		—		16		—
Consumer loans, net of allowance for credit losses	18,778		15,173		—		—		15,173
Consumer loans held for sale:
Residential mortgages	472		485		—		—		485
Other consumer	65		65		—		—		65
Financial liabilities:
Short-term financial liabilities	$	15,421	$	15,421	$	—	$	15,421	$	—
Deposits:
Without fixed maturities	104,414		104,414		—		104,414		—
Fixed maturities	4,565		4,574		—		4,574		—
Deposits designated under fair value option	8,692		8,692		—		6,056		2,636
Non-derivative trading liabilities	5,974		5,974		207		5,767		—
Derivatives	15,202		15,202		21		15,054		127
Long-term debt	14,465		15,163		—		15,163		—
Long-term debt designated under fair value option	7,280		7,280		—		6,851		429

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis as of June 30, 2013 and December 31, 2012, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value.



	Fair Value Measurements on a Recurring Basis
June 30, 2013	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	1,530	$	197	$	—	$	1,727	$	—		$	1,727
Collateralized debt obligations	—		75		227		302		—			302
Asset-backed securities:
Residential mortgages	—		167		—		167		—			167
Corporate and other domestic debt securities	—		2		1,498		1,500		—			1,500
Debt Securities issued by foreign entities:
Corporate	—		681		285		966		—			966
Government	—		4,229		135		4,364		—			4,364
Equity securities	—		24		—		24		—			24
Precious metals trading	—		9,397		—		9,397		—			9,397
Derivatives⁽²⁾:
Interest rate contracts	74		57,233		1		57,308		—			57,308
Foreign exchange contracts	5		15,972		175		16,152		—			16,152
Equity contracts	—		1,698		140		1,838		—			1,838
Precious metals contracts	768		2,881		—		3,649		—			3,649
Credit contracts	—		5,236		669		5,905		—			5,905
Derivatives netting	—		—		—		—		(74,400		)	(74,400		)
Total derivatives	847		83,020		985		84,852		(74,400		)	10,452
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	29,533		16,797		—		46,330		—			46,330
Obligations of U.S. states and political subdivisions	—		869		—		869		—			869
Asset-backed securities:
Residential mortgages	—		1		—		1		—			1
Commercial mortgages	—		166		—		166		—			166
Home equity	—		245		—		245		—			245
Other	—		104		—		104		—			104
Corporate and other domestic debt securities	—		24		—		24		—			24
Debt Securities issued by foreign entities:
Corporate	—		891		—		891		—			891
Government-backed	40		4,023		—		4,063		—			4,063
Equity securities	—		165		—		165		—			165
Loans⁽³⁾	—		3		—		3		—			3
Mortgage servicing rights⁽⁴⁾	—		—		225		225		—			225
Total assets	$	31,950	$	121,080	$	3,355	$	156,385	$	(74,400	)	$	81,985
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,288	$	2,662	$	7,950	$	—		$	7,950
Trading liabilities, excluding derivatives	236		4,800		—		5,036		—			5,036
Derivatives⁽²⁾:
Interest rate contracts	83		57,217		2		57,302		—			57,302
Foreign exchange contracts	4		15,522		71		15,597		—			15,597
Equity contracts	—		1,335		223		1,558		—			1,558
Precious metals contracts	148		1,960		—		2,108		—			2,108
Credit contracts	—		5,492		444		5,936		—			5,936
Derivatives netting	—		—		—		—		(71,290		)	(71,290		)
Total derivatives	235		81,526		740		82,501		(71,290		)	11,211
Long-term debt⁽⁶⁾	—		6,168		458		6,626		—			6,626
Total liabilities	$	471	$	97,782	$	3,860	$	102,113	$	(71,290	)	$	30,823



	Fair Value Measurements on a Recurring Basis
December 31, 2012	Level 1		Level 2		Level 3		Gross Balance		Netting⁽¹⁾			Net Balance
	(in millions)
Assets:
Trading Securities, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	2,484	$	369	$	—	$	2,853	$	—		$	2,853
Collateralized debt obligations	—		—		466		466		—			466
Asset-backed securities:
Residential mortgages	—		221		—		221		—			221
Corporate and other domestic debt securities	—		1,035		1,861		2,896		—			2,896
Debt Securities issued by foreign entities:
Corporate	—		468		299		767		—			767
Government	—		5,609		311		5,920		—			5,920
Equity securities	—		27		9		36		—			36
Precious metals trading	—		12,332		—		12,332		—			12,332
Derivatives⁽²⁾:
Interest rate contracts	98		71,717		8		71,823		—			71,823
Foreign exchange contracts	4		13,831		16		13,851		—			13,851
Equity contracts	—		1,593		166		1,759		—			1,759
Precious metals contracts	135		649		7		791		—			791
Credit contracts	—		5,961		1,168		7,129		—			7,129
Derivatives netting	—		—		—		—		(83,367		)	(83,367		)
Total derivatives	237		93,751		1,365		95,353		(83,367		)	11,986
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	43,379		17,316		—		60,695		—			60,695
Obligations of U.S. states and political subdivisions	—		912		—		912		—			912
Asset-backed securities:
Residential mortgages	—		1		—		1		—			1
Commercial mortgages	—		214		—		214		—			214
Home equity	—		258		—		258		—			258
Other	—		84		—		84		—			84
Corporate and other domestic debt securities	—		26		—		26		—			26
Debt Securities issued by foreign entities:
Corporate	—		831		—		831		—			831
Government-backed	42		4,480		—		4,522		—			4,522
Equity securities	—		173		—		173		—			173
Loans⁽³⁾	—		465		—		465		—			465
Mortgage servicing rights⁽⁴⁾	—		—		168		168		—			168
Total assets	$	46,142	$	138,572	$	4,479	$	189,193	$	(83,367	)	$	105,826
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	6,056	$	2,636	$	8,692	$	—		$	8,692
Trading liabilities, excluding derivatives	207		5,767		—		5,974		—			5,974
Derivatives⁽²⁾:
Interest rate contracts	90		71,567		1		71,658		—			71,658
Foreign exchange contracts	25		13,582		11		13,618		—			13,618
Equity contracts	—		1,244		173		1,417		—			1,417
Precious metals contracts	19		712		7		738		—			738
Credit contracts	—		6,754		597		7,351		—			7,351
Derivatives netting	—		—		—		—		(79,580		)	(79,580		)
Total derivatives	134		93,859		789		94,782		(79,580		)	15,202
Long-term debt⁽⁶⁾	—		6,851		429		7,280		—			7,280
Total liabilities	$	341	$	112,533	$	3,854	$	116,728	$	(79,580	)	$	37,148


⁽¹⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.


⁽²⁾	Includes trading derivative assets of $9.0 billion and $10.5 billion and trading derivative liabilities of $10.3 billion and $13.8 billion as of June 30, 2013 and December 31, 2012, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives.


⁽³⁾	Includes leveraged acquisition finance and other commercial loans held for sale or risk-managed on a fair value basis for which we have elected to apply the fair value option. See Note 7, “Loans Held for Sale,” for further information.


⁽⁴⁾	See Note 8, “Intangible Assets,” for additional information.


⁽⁵⁾	Represents structured deposits risk-managed on a fair value basis for which we have elected to apply the fair value option.


⁽⁶⁾	Includes structured notes and own debt issuances which we have elected to measure on a fair value basis.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during the three months ended June 30, 2013 and 2012. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Apr. 1, 2013			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	Apr. 1, 2013			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	481		$	83		$	—		$	216	$	—		$	(553	)	$	—		$	—		$	227		$	56
Corporate and other domestic debt securities	1,524			21			—			16		—			(63		)	—			—			1,498			21
Corporate debt securities issued by foreign entities	294			(9		)	—			—		—			—			—			—			285			(9		)
Government debt securities issued by foreign entities	143			(7		)	—			—		—			(1		)	—			—			135			(9		)
Equity securities	11			(7		)	—			—		—			(4		)	—			—			—			(7		)
Derivatives⁽²⁾:
Interest rate contracts	6			(1		)	(6		)	—		—			—			—			—			(1		)	(7		)
Foreign exchange contracts	134			(18		)	—			—		—			(6		)	(6		)	—			104			(28		)
Equity contracts	34			(81		)	—			—		—			(27		)	6			(15		)	(83		)	(92		)
Credit contracts	364			(105		)	—			—		—			(34		)	—			—			225			(82		)
Mortgage servicing rights⁽⁴⁾	190			—			30			—		5			—			—			—			225			30
Total assets	$	3,181		$	(124	)	$	24		$	232	$	5		$	(688	)	$	—		$	(15	)	$	2,615		$	(127	)
Liabilities:
Deposits in domestic offices	$	(2,876	)	$	154		$	—		$	—	$	(81	)	$	110		$	(177	)	$	208		(2,662		)	$	175
Long-term debt	(618		)	15			—			—		(59		)	68			—			136			(458		)	18
Total liabilities	$	(3,494	)	$	169		$	—		$	—	$	(140	)	$	178		$	(177	)	$	344		$	(3,120	)	$	193



	Jan. 1, 2013			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	Jan. 1, 2013			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	466		$	118		$	—		$	237	$	—		$	(594	)	$	—		$	—		$	227		$	87
Corporate and other domestic debt securities	1,861			28			—			31		—			(422		)	—			—			1,498			24
Corporate debt securities issued by foreign entities	299			(14		)	—			—		—			—			—			—			285			(14		)
Government debt securities issued by foreign entities	311			15			—			—		—			(191		)	—			—			135			10
Equity securities	9			(5		)	—			—		—			(4		)	—			—			—			(5		)
Derivatives⁽²⁾:
Interest rate contracts	7			(1		)	(7		)	—		—			—			—			—			(1		)	(8		)
Foreign exchange contracts	5			(4		)	—			—		—			116			(13		)	—			104			106
Equity contracts	(7		)	(20		)	—			—		—			(48		)	13			(21		)	(83		)	(73		)
Credit contracts	571			(155		)	—			—		—			(145		)	(46		)	—			225			(274		)
Mortgage servicing rights⁽⁴⁾	168			—			46			—		11			—			—			—			225			51
Total assets	$	3,690		$	(38	)	$	39		$	268	$	11		$	(1,288	)	$	(46	)	$	(21	)	$	2,615		$	(96	)
Liabilities:
Deposits in domestic offices	$	(2,636	)	$	113		$	—		$	—	$	(485	)	$	219		$	(160	)	$	287		(2,662		)	$	149
Long-term debt	(429		)	(16		)	—			—		(270		)	119			—			138			(458		)	7
Total liabilities	$	(3,065	)	$	97		$	—		$	—	$	(755	)	$	338		$	(160	)	$	425		$	(3,120	)	$	156



	Apr. 1, 2012			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2012			Current Period Unrealized Gains (Losses)
	Apr. 1, 2012			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Jun. 30, 2012			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	661		$	18		$	—		$	24	$	—		$	(45	)	$	—		$	—	$	658		$	16
Corporate and other domestic debt securities	1,753			(2		)	—			19		—			(171		)	—			—		1,599			(6		)
Corporate debt securities issued by foreign entities	294			25			—			389		—			(20		)	—			—		688			25
Equity securities	13			(1		)	—			—		—			—			—			—		12			(1		)
Derivatives⁽²⁾:
Interest rate contracts	9			—			3			—		—			—			—			—		12			3
Foreign exchange contracts	(5		)	(18		)	—			—		(5		)	2			—			1		(25		)	(17		)
Equity contracts	(53		)	13			—			—		—			(10		)	(1		)	5		(46		)	(1		)
Credit contracts	984			(13		)	—			—		—			(50		)	—			—		921			(22		)
Mortgage servicing rights⁽⁴⁾	228			—			(47		)	—		6			—			—			—		187			(46		)
Total assets	$	3,884		$	22		$	(44	)	$	432	$	1		$	(294	)	$	(1	)	$	6	$	4,006		$	(49	)
Liabilities:
Deposits in domestic offices	$	(2,964	)	$	(21	)	$	—		$	—	$	(269	)	$	79		$	(46	)	$	313	(2,908		)	$	(14	)
Long-term debt	(160		)	10			—			—		(132		)	1			(7		)	1		(287		)	5
Total liabilities	$	(3,124	)	$	(11	)	$	—		$	—	$	(401	)	$	80		$	(53	)	$	314	$	(3,195	)	$	(9	)



	Jan. 1, 2012			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2012			Current Period Unrealized Gains (Losses)
	Jan. 1, 2012			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Jun. 30, 2012			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	703		$	57		$	—		$	25	$	—		$	(127	)	$	—		$	—		$	658		$	49
Corporate and other domestic debt securities	1,679			18			—			101		—			(199		)	—			—			1,599			8
Corporate debt securities issued by foreign entities	253			66			—			389		—			(20		)	—			—			688			66
Equity securities	13			(1		)	—			—		—			—			—			—			12			(1		)
Derivatives⁽²⁾:
Interest rate contracts	9			—			3			—		—			—			—			—			12			3
Foreign exchange contracts	(1		)	(19		)	—			—		(5		)	2			(3		)	1			(25		)	(19		)
Equity contracts	(83		)	63			—			—		—			(29		)	(1		)	4			(46		)	22
Credit contracts	1,353			(388		)	—			—		—			(44		)	—			—			921			(355		)
Loans⁽³⁾	11			—			—			—		—			—			—			(11		)	—			(12		)
Mortgage servicing rights⁽⁴⁾	220			—			(47		)	—		14			—			—			—			187			(47		)
Total assets	$	4,157		$	(204	)	$	(44	)	$	515	$	9		$	(417	)	$	(4	)	$	(6	)	$	4,006		$	(286	)
Liabilities:
Deposits in domestic offices	$	(2,867	)	$	(77	)	$	—		$	—	$	(556	)	$	160		$	(43	)	$	475		(2,908		)	$	(50	)
Long-term debt	(86		)	9			—			—		(221		)	5			(7		)	13			(287		)	4
Total liabilities	$	(2,953	)	$	(68	)	$	—		$	—	$	(777	)	$	165		$	(50	)	$	488		$	(3,195	)	$	(46	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $1.0 billion and derivative liabilities of $740 million as of June 30, 2013 and derivative assets of $2.4 billion and derivative liabilities of $2.2 billion as of June 30, 2012.


⁽³⁾	Includes Level 3 corporate lending activities risk-managed on a fair value basis for which we have elected the fair value option.


⁽⁴⁾	See Note 8, “Intangible Assets,” for additional information.

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements as of June 30, 2013 and December 31, 2012.



As of June 30, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	227		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	-% - 5%
				Conditional default rates	5% - 10%
				Loss severity rates	70% -95%
Corporate and other domestic debt securities	1,498		Discounted cash flows	Spread volatility on collateral assets	1% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Corporate and government debt securities issued by foreign entities	420		Discounted cash flows	Correlations of default among a portfolio of credit names of embedded credit derivatives	46% - 47%
Interest rate derivative contracts	(1	)	Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	8% - 100%
Foreign exchange derivative contracts⁽¹⁾	104		Option pricing model	Implied volatility of currency pairs	1% - 40%
Equity derivative contracts⁽¹⁾	(83	)	Option pricing model	Equity / Equity Index volatility	12% - 49%
				Equity / Equity and Equity / Index correlation	51% - 60%
Credit derivative contracts	225		Option pricing model	Correlation of defaults of a portfolio of reference credit names	47% - 53%
				Issuer by issuer correlation of defaults	83% - 95%
Mortgage servicing rights	225		Option adjusted discounted cash flows	Constant prepayment rates	6% - 26%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $256 per account
Deposits in domestic offices (structured deposits) ⁽¹⁾⁽²⁾	(2,662	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	1% - 40%
				Equity / Equity Index volatility	12% - 49%
				Equity / Equity and Equity / Index correlation	51% - 60%
Long-term debt (structured notes) ⁽¹⁾⁽²⁾	(458	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	1% - 40%
				Equity / Equity Index volatility	12% - 49%
				Equity / Equity and Equity / Index correlation	51% - 60%



As of December 31, 2012
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	466		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	-% - 6%
				Conditional default rates	4% - 14%
				Loss severity rates	50% - 100%
Corporate and other domestic debt securities	1,861		Discounted cash flows	Spread volatility on collateral assets	2% - 4%
				Correlation between insurance claim shortfall and collateral value	80%
Corporate and government debt securities issued by foreign entities	610		Discounted cash flows	Correlations of default among a portfolio of credit names of embedded credit derivatives	29%
Equity securities (investments in hedge funds)	9		Net asset value of hedge funds	Range of fair value adjustments to reflect restrictions on timing and amount of redemption and realization risks	30% - 100%
Interest rate derivative contracts	7		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	8% - 100%
Foreign exchange derivative contracts⁽¹⁾	5		Option pricing model	Implied volatility of currency pairs	2% - 21%
Equity derivative contracts⁽¹⁾	(7	)	Option pricing model	Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%
Credit derivative contracts	571		Option pricing model	Correlation of defaults of a portfolio of reference credit names	32% - 45%
				Industry by industry correlation of defaults	44% - 67%
Mortgage servicing rights	168		Option adjusted discounted cash flows	Constant prepayment rates	9% - 45%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$98 - $263 per account
Deposits in domestic offices (structured deposits) ⁽¹⁾⁽²⁾	(2,636	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	2% - 21%
				Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%
Long-term debt (structured notes) ⁽¹⁾⁽²⁾	(429	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	2% - 21%
				Equity / Equity Index volatility	6% - 104%
				Equity / Equity and Equity / Index correlation	56% - 64%


⁽¹⁾	We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign currency derivatives in the table.


⁽²⁾	Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs.

Fair Value Hierarchy Level within Which Fair Value of Financial and Non-Financial Assets has been Recorded

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded as of June 30, 2013 and December 31, 2012. The gains (losses) during the three and six months ended June 30, 2013 and 2012 are also included.



	Non-Recurring Fair Value Measurements as of June 30, 2013								Total Gains (Losses) For the Three Months Ended Jun. 30 2013			Total Gains (Losses) For the Six Months Ended Jun. 30 2013
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) For the Six Months Ended Jun. 30 2013
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	134	$	68	$	202	$	—		$	3
Impaired commercial loans⁽²⁾	—		—		129		129		(1		)	(2		)
Impaired consumer loans⁽²⁾	—		249		45		294		(11		)	(31		)
Real estate owned⁽³⁾	22		—		—		22		—			2
Total assets at fair value on a non-recurring basis	$	22	$	383	$	242	$	647	$	(12	)	$	(28	)



	Non-Recurring Fair Value Measurements as of December 31, 2012								Total Gains (Losses) For the Three Months Ended Jun. 30 2012			Total Gains (Losses) For the Six Months Ended Jun. 30 2012
	Level 1		Level 2		Level 3		Total					Total Gains (Losses) For the Six Months Ended Jun. 30 2012
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	10	$	67	$	77	$	(4	)	$	(6	)
Impaired commercial loans⁽²⁾	—		—		155		155		(12		)	(23		)
Impaired consumer loans⁽²⁾	—		600		118		718		(35		)	(60		)
Real estate owned⁽³⁾	24		—		—		24		—			2
Total assets at fair value on a non-recurring basis	$	24	$	610	$	340	$	974	$	(51	)	$	(87	)

⁽¹⁾

As of June 30, 2013 and December 31, 2012, the fair value of the loans held for sale was below cost. Certain residential mortgage loans held for sale have been classified as a Level 3 fair value measurement within the fair value hierarchy as the underlying real estate properties which determine fair value are illiquid assets as a result of market conditions and significant inputs in estimating fair value were unobservable. Additionally, the fair value of these properties is affected by, among other things, the location, the payment history and the completeness of the loan documentation.

⁽²⁾

Certain commercial and consumer loans have undergone troubled debt restructurings and are considered impaired. As a matter of practical expedient, we measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽³⁾	Real estate owned are required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value unadjusted for transaction costs.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following table presents quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy as of June 30, 2013 and December 31, 2012.



As of June 30, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	68	Valuation of third party appraisal on underlying collateral	Loss severity rates	-% - 100%
Impaired commercial loans	129		Valuation of third party appraisal on underlying collateral	Loss severity rates	-% - 81%



As of December 31, 2012
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	67	Valuation of third party appraisal on underlying collateral	Loss severity rates	-% - 100%
Impaired commercial loans	155		Valuation of third party appraisal on underlying collateral	Loss severity rates	1% - 79%

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

Additional information relating to asset-backed securities and collateralized debt obligations as of June 30, 2013 is presented in the following tables:

Trading asset-backed securities and related collateral:



		Prime				Alt-A				Subprime
Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages	$	—	$	—	$	91	$	—	$	71	$	—	$	162
CCC-Unrated	Residential mortgages	—		—		—		—		5		—		5
		$	—	$	—	$	91	$	—	$	76	$	—	$	167

Trading collateralized debt obligations and related collateral:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3
		(in millions)
AAA -A	Student loans	$	74	$	—
BBB -B	Corporate loans	—		—
	Other	—		228
	Total BBB -B	—		228
		$	74	$	228

Available-for-sale securities backed by collateral:



		Commercial Mortgages				Prime				Alt-A				Subprime
Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages	$	165	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	165
	Home equity	—		—		—		—		106		—		—		—		106
	Total AAA -A	165		—		—		—		106		—		—		—		271
BBB -B	Home equity	—		—		—		—		79		—		—		—		79
	Other	—		—		—		—		104		—		—		—		104
	Total BBB -B	—		—		—		—		183		—		—		—		183
CCC -Unrated	Residential mortgages	—		—		—		—		1		—		—		—		1
	Home equity	—		—		—		—		61		—		—		—		61
	Total CCC -Unrated	—		—		—		—		62		—		—		—		62
		$	165	$	—	$	—	$	—	$	351	$	—	$	—	$	—	$	516


⁽¹⁾	We utilize Standard & Poor's ("S&P") as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), 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); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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