Fair Value Measurements (Tables)

9 Months Ended

Sep. 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 September 30, 2013 and December 31, 2012.



September 30, 2013	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	31,495	$	31,495	$	1,512	$	29,917	$	66
Securities purchased under resale agreements	2,216		2,216		—		2,216		—
Non-derivative trading assets	20,941		20,941		2,277		16,593		2,071
Derivatives	6,045		6,045		14		5,962		69
Securities	49,598		49,651		28,010		21,641		—
Commercial loans, net of allowance for credit losses	48,196		49,619		—		—		49,619
Commercial loans designated under fair value option and held for sale	1		1		—		1		—
Commercial loans held for sale	41		41		—		41		—
Consumer loans, net of allowance for credit losses	18,919		15,848		—		—		15,848
Consumer loans held for sale:
Residential mortgages	130		126		—		—		126
Other consumer	64		64		—		—		64
Financial liabilities:
Short-term financial liabilities	$	19,584	$	19,584	$	—	$	19,518	$	66
Deposits:
Without fixed maturities	102,950		102,950		—		102,950		—
Fixed maturities	2,119		2,125		—		2,125		—
Deposits designated under fair value option	7,851		7,851		—		5,182		2,669
Non-derivative trading liabilities	4,470		4,470		457		4,013		—
Derivatives	7,377		7,377		15		7,304		58
Long-term debt	15,304		15,718		—		15,718		—
Long-term debt designated under fair value option	6,847		6,847		—		6,286		561



December 31, 2012	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	14,719	$	14,719	$	1,359	$	13,279	$	81
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	6,865		6,865		30		6,664		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	$	15,033	$	15,033	$	—	$	14,952	$	81
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	10,081		10,081		21		9,933		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 September 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
September 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	$	2,277	$	278	$	—	$	2,555	$	—		$	2,555
Obligations of U.S. States and political subdivisions	—		16		—		16		—			16
Collateralized debt obligations	—		—		245		245		—			245
Asset-backed securities:
Residential mortgages	—		163		—		163		—			163
Student Loans	—		74		—		74		—			74
Corporate and other domestic debt securities	—		3		1,513		1,516		—			1,516
Debt Securities issued by foreign entities:
Corporate	—		967		192		1,159		—			1,159
Government	—		4,481		121		4,602		—			4,602
Equity securities	—		24		—		24		—			24
Precious metals trading	—		10,587		—		10,587		—			10,587
Derivatives⁽²⁾:
Interest rate contracts	73		55,684		2		55,759		—			55,759
Foreign exchange contracts	1		14,114		136		14,251		—			14,251
Equity contracts	—		1,688		137		1,825		—			1,825
Precious metals contracts	107		1,175		1		1,283		—			1,283
Credit contracts	—		4,606		621		5,227		—			5,227
Derivatives netting	—		—		—		—		(72,300		)	(72,300		)
Total derivatives	181		77,267		897		78,345		(72,300		)	6,045
Securities available-for-sale:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	27,969		13,804		—		41,773		—			41,773
Obligations of U.S. states and political subdivisions	—		858		—		858		—			858
Asset-backed securities:
Residential mortgages	—		2		—		2		—			2
Commercial mortgages	—		135		—		135		—			135
Home equity	—		230		—		230		—			230
Other	—		103		—		103		—			103
Corporate and other domestic debt securities	—		—		—		—		—			—
Debt Securities issued by foreign entities:
Corporate	—		887		—		887		—			887
Government-backed	41		3,860		—		3,901		—			3,901
Equity securities	—		164		—		164		—			164
Loans⁽³⁾	—		1		—		1		—			1
Mortgage servicing rights⁽⁴⁾	—		—		224		224		—			224
Total assets	$	30,468	$	113,904	$	3,192	$	147,564	$	(72,300	)	$	75,264
Liabilities:
Deposits in domestic offices⁽⁵⁾	$	—	$	5,182	$	2,669	$	7,851	$	—		$	7,851
Trading liabilities, excluding derivatives	457		4,013		—		4,470		—			4,470
Derivatives⁽²⁾:
Interest rate contracts	104		55,596		2		55,702		—			55,702
Foreign exchange contracts	3		13,800		31		13,834		—			13,834
Equity contracts	—		1,232		175		1,407		—			1,407
Precious metals contracts	45		1,016		2		1,063		—			1,063
Credit contracts	—		4,888		408		5,296		—			5,296
Derivatives netting	—		—		—		—		(69,925		)	(69,925		)
Total derivatives	152		76,532		618		77,302		(69,925		)	7,377
Long-term debt⁽⁶⁾	—		6,286		561		6,847		—			6,847
Total liabilities	$	609	$	92,013	$	3,848	$	96,470	$	(69,925	)	$	26,545



	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		66,602		8		66,708		—			66,708
Foreign exchange contracts	4		13,825		16		13,845		—			13,845
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		88,630		1,365		90,232		(83,367		)	6,865
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	$	133,451	$	4,479	$	184,072	$	(83,367	)	$	100,705
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		66,258		1		66,349		—			66,349
Foreign exchange contracts	25		13,770		11		13,806		—			13,806
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		88,738		789		89,661		(79,580		)	10,081
Long-term debt⁽⁶⁾	—		6,851		429		7,280		—			7,280
Total liabilities	$	341	$	107,412	$	3,854	$	111,607	$	(79,580	)	$	32,027


⁽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 $4.6 billion and $5.4 billion and trading derivative liabilities of $6.6 billion and $8.7 billion as of September 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 September 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.



	Jul. 1, 2013			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2013			Current Period Unrealized Gains (Losses)
	Jul. 1, 2013			Trading Revenue (Loss)			Other Revenue			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	227		$	21		$	—		$	—	$	—		$	(3	)	$	—		$	—		$	245		$	20
Corporate and other domestic debt securities	1,498			—			—			15		—			—			—			—			1,513			—
Corporate debt securities issued by foreign entities	285			6			—			—		—			(99		)	—			—			192			6
Government debt securities issued by foreign entities	135			(7		)	—			—		—			(7		)	—			—			121			(8		)
Equity securities	—			—			—			—		—			—			—			—			—			—
Derivatives, net⁽²⁾:
Interest rate contracts	(1		)	—			2			—		—			—			—			—			1			2
Foreign exchange contracts	104			6			—			—		—			(6		)	1			—			105			—
Equity contracts	(83		)	50			—			—		—			(5		)	4			(4		)	(38		)	47
Precious metals contracts	—			(1		)	—			—		—			—			—			—			(1		)	(1		)
Credit contracts	225			(26		)	—			—		—			14			—			—			213			(18		)
Mortgage servicing rights⁽⁴⁾	225			—			(1		)	—		—			—			—			—			224			(1		)
Total assets	$	2,615		$	49		$	1		$	15	$	—		$	(106	)	$	5		$	(4	)	$	2,575		$	47
Liabilities:
Deposits in domestic offices	$	(2,662	)	$	(26	)	$	—		$	—	$	(73	)	$	123		$	(110	)	$	79		(2,669		)	$	(11	)
Long-term debt	(458		)	(17		)	—			—		(156		)	46			—			24			(561		)	(25		)
Total liabilities	$	(3,120	)	$	(43	)	$	—		$	—	$	(229	)	$	169		$	(110	)	$	103		$	(3,230	)	$	(36	)



	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			Sep. 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			Sep. 30, 2013			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	466		$	139		$	—		$	236	$	—		$	(596	)	$	—		$	—		$	245		$	137
Corporate and other domestic debt securities	1,861			28			—			46		—			(422		)	—			—			1,513			28
Corporate debt securities issued by foreign entities	299			(8		)	—			—		—			(99		)	—			—			192			(8		)
Government debt securities issued by foreign entities	311			14			—			—		—			(204		)	—			—			121			2
Equity securities	9			(5		)	—			—		—			(4		)	—			—			—			(5		)
Derivatives, net⁽²⁾:
Interest rate contracts	7			—			(6		)	—		—			—			—			—			1			(7		)
Foreign exchange contracts	5			2			—			—		—			110			(12		)	—			105			107
Equity contracts	(7		)	30			—			—		—			(52		)	16			(25		)	(38		)	(28		)
Precious metals contracts	—			(1		)	—			—		—			—			—			—			(1		)	(1		)
Credit contracts	571			(186		)	—			—		—			(126		)	(46		)	—			213			(287		)
Mortgage servicing rights⁽⁴⁾	168			—			45			—		11			—			—			—			224			45
Total assets	$	3,690		$	13		$	39		$	282	$	11		$	(1,393	)	$	(42	)	$	(25	)	$	2,575		$	(17	)
Liabilities:
Deposits in domestic offices	$	(2,636	)	$	98		$	—		$	—	$	(558	)	$	326		$	(265	)	$	366		(2,669		)	$	(79	)
Long-term debt	(429		)	(33		)	—			—		(425		)	165			—			161			(561		)	(16		)
Total liabilities	$	(3,065	)	$	65		$	—		$	—	$	(983	)	$	491		$	(265	)	$	527		$	(3,230	)	$	(95	)



	Jul. 1, 2012			Total Gains and (Losses) Included in⁽¹⁾						Purch- ases			Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2012			Current Period Unrealized Gains (Losses)
	Jul. 1, 2012			Trading Revenue (Loss)			Other Revenue			Purch- ases			Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2012			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	658		$	44		$	—		$	20		$	—		$	(84	)	$	40		$	—		$	678		$	30
Corporate and other domestic debt securities	1,599			24			—			—			—			(5		)	—			—			1,618			24
Corporate debt securities issued by foreign entities	688			41			—			(1		)	—			(4		)	—			—			724			35
Equity securities	12			1			—			—			—			(1		)	—			—			12			1
Derivatives, net⁽²⁾:
Interest rate contracts	12			—			2			—			—			—			—			—			14			1
Foreign exchange contracts	(25		)	(12		)	—			—			(1		)	9			—			32			3			20
Equity contracts	(46		)	84			—			—			—			(6		)	1			(2		)	31			71
Precious metals contracts	—			1			—			—			—			—			—			—			1			1
Credit contracts	921			(227		)	—			—			—			(7		)	(16		)	(370		)	301			(250		)
Mortgage servicing rights⁽⁴⁾	187			—			(20		)	—			6			—			—			—			173			(19		)
Total assets	$	4,006		$	(44	)	$	(18	)	$	19		$	5		$	(98	)	$	25		$	(340	)	$	3,555		$	(86	)
Liabilities:
Deposits in domestic offices	$	(2,908	)	$	(81	)	$	—		$	—		$	(119	)	$	94		$	2		$	132		(2,880		)	$	(79	)
Long-term debt	(287		)	(22		)	—			—			(59		)	2			—			45			(321		)	(20		)
Total liabilities	$	(3,195	)	$	(103	)	$	—		$	—		$	(178	)	$	96		$	2		$	177		$	(3,201	)	$	(99	)



	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			Sep. 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			Sep. 30, 2012			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:
Collateralized debt obligations	$	703		$	101		$	—		$	45	$	—		$	(211	)	$	40		$	—		$	678		$	79
Corporate and other domestic debt securities	1,679			42			—			101		—			(204		)	—			—			1,618			32
Corporate debt securities issued by foreign entities	253			107			—			388		—			(24		)	—			—			724			101
Equity securities	13			—			—			—		—			(1		)	—			—			12			—
Derivatives, net⁽²⁾:
Interest rate contracts	9			—			5			—		—			—			—			—			14			4
Foreign exchange contracts	(1		)	(31		)	—			—		(6		)	11			(3		)	33			3			1
Equity contracts	(83		)	147			—			—		—			(35		)	—			2			31			93
Precious metals contracts	—			1			—			—		—			—			—			—			1			1
Credit contracts	1,353			(615		)	—			—		—			(51		)	(16		)	(370		)	301			(605		)
Loans⁽³⁾	11			—			—			—		—			—			—			(11		)	—			(12		)
Mortgage servicing rights⁽⁴⁾	220			—			(67		)	—		20			—			—			—			173			(66		)
Total assets	$	4,157		$	(248	)	$	(62	)	$	534	$	14		$	(515	)	$	21		$	(346	)	$	3,555		$	(372	)
Liabilities:
Deposits in domestic offices	$	(2,867	)	$	(158	)	$	—		$	—	$	(675	)	$	254		$	(41	)	$	607		(2,880		)	$	(129	)
Long-term debt	(86		)	(13		)	—			—		(280		)	7			(7		)	58			(321		)	(16		)
Total liabilities	$	(2,953	)	$	(171	)	$	—		$	—	$	(955	)	$	261		$	(48	)	$	665		$	(3,201	)	$	(145	)


⁽¹⁾	Includes realized and unrealized gains and losses.


⁽²⁾	Level 3 net derivatives included derivative assets of $897 million and derivative liabilities of $618 million as of September 30, 2013 and derivative assets of $1.8 billion and derivative liabilities of $1.4 billion as of September 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 September 30, 2013 and December 31, 2012.



As of September 30, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	245		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1% - 5%
				Conditional default rates	6% - 7%
				Loss severity rates	90% -95%
Corporate and other domestic debt securities	1,513		Discounted cash flows	Spread volatility on collateral assets	1% - 3%
				Correlation between insurance claim shortfall and collateral value	80%
Corporate and government debt securities issued by foreign entities	313		Discounted cash flows	Correlations of default among a portfolio of credit names of embedded credit derivatives	36% - 37%
Interest rate derivative contracts	1		Market comparable adjusted for probability to fund	Probability to fund for rate lock commitments	10% - 99%
Foreign exchange derivative contracts⁽¹⁾	105		Option pricing model	Implied volatility of currency pairs	10% - 14%
Equity derivative contracts⁽¹⁾	(38	)	Option pricing model	Equity / Equity Index volatility	7% - 81%
				Equity / Equity and Equity / Index correlation	51% - 60%
Credit derivative contracts	213		Option pricing model	Correlation of defaults of a portfolio of reference credit names	37% - 52%
				Issuer by issuer correlation of defaults	83% - 95%
Mortgage servicing rights	224		Option adjusted discounted cash flows	Constant prepayment rates	6% - 23%
				Option adjusted spread	8% - 19%
				Estimated annualized costs to service	$91 - $333 per account
Deposits in domestic offices (structured deposits) ⁽¹⁾⁽²⁾	(2,669	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 14%
				Equity / Equity Index volatility	7% - 81%
				Equity / Equity and Equity / Index correlation	51% - 60%
Long-term debt (structured notes) ⁽¹⁾⁽²⁾	(561	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 14%
				Equity / Equity Index volatility	7% - 81%
				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 September 30, 2013 and December 31, 2012. The gains (losses) during the three and nine months ended September 30, 2013 and 2012 are also included.



	Non-Recurring Fair Value Measurements as of September 30, 2013								Total Gains (Losses) For the Three Months Ended September 30 2013			Total Gains (Losses) For the Nine Months Ended September 30 2013
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	31	$	63	$	94	$	(14	)	$	(4	)
Impaired commercial loans⁽²⁾	—		—		69		69		19			17
Consumer loans⁽³⁾	—		437		—		437		(20		)	(38		)
Real estate owned⁽⁴⁾	16		—		—		16		(2		)	—
Total assets at fair value on a non-recurring basis	$	16	$	468	$	132	$	616	$	(17	)	$	(25	)



	Non-Recurring Fair Value Measurements as of December 31, 2012								Total Gains (Losses) For the Three Months Ended September 30 2012			Total Gains (Losses) For the Nine Months Ended September 30 2012
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	10	$	67	$	77	$	3		$	(4	)
Impaired commercial loans⁽²⁾	—		—		155		155		(4		)	(27		)
Consumer loans⁽³⁾	—		712		—		712		(20		)	(58		)
Real estate owned⁽⁴⁾	24		—		—		24		1			3
Total assets at fair value on a non-recurring basis	$	24	$	722	$	222	$	968	$	(20	)	$	(86	)

⁽¹⁾

As of September 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 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⁾	Represents residential mortgage loans held for investment whose carrying amount was reduced during the periods presented based on the fair value of the underlying collateral.


⁽⁴⁾	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 September 30, 2013 and December 31, 2012.



As of September 30, 2013
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Residential mortgage loans held for sale	$	63	Valuation of third party appraisal on underlying collateral	Loss severity rates	-% - 100%
Impaired commercial loans	69		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

The following tables provide additional information relating to asset-backed securities and collateralized debt obligations as of September 30, 2013:

Trading residential mortgage asset-backed securities:



			Alt-A				Subprime
Rating of Securities:⁽¹⁾	Collateral Type:		Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Residential mortgages		$	90	$	—	$	69	$	—	$	159
CCC-Unrated	Residential mortgages		—		—		4		—		4
			$	90	$	—	$	73	$	—	$	163

Other trading asset-backed securities and collateralized debt obligations:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3
		(in millions)
AAA -A	Student loans	$	74	$	—
BBB -B	Collateralized debt obligations	—		245
		$	74	$	245

Available-for-sale securities backed by collateral:



		Commercial Mortgages				Alt-A
Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Level 2		Level 3		Total
		(in millions)
AAA -A	Commercial mortgages	$	135	$	—	$	—	$	—	$	135
	Home equity	—		—		100		—		100
	Total AAA -A	135		—		100		—		235
BBB -B	Other	—		—		103		—		103
	Total BBB -B	—		—		103		—		103
CCC -Unrated	Residential mortgages	—		—		2		—		2
	Home equity	—		—		130		—		130
	Total CCC -Unrated	—		—		132		—		132
		$	135	$	—	$	335	$	—	$	470


⁽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. Ratings for collateralized debt obligations represent the ratings associated with the underlying collateral.

- 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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