Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2012

Fair Value Measurements [Abstract]

Fair values of the funds and the unfunded commitments for funds

March 31, 2012 in millions	Fair Value		Unfunded Commitments
INVESTMENT TYPE
Passive funds (a)	$	17	$	4
Co-managed funds (b)		25		3
Total	$	42	$	7

(a) We invest in passive funds, which are multi-investor private equity funds. These investments can never be redeemed. Instead, distributions are received through the liquidation of the underlying investments in the funds. Some funds have no restrictions on sale, while others require investors to remain in the fund until maturity. The funds will be liquidated over a period of one to seven years.

(b) We are a manager or co-manager of these funds. These investments can never be redeemed. Instead, distributions are received through the liquidation of the underlying investments in the funds. In addition, we receive management fees. We can sell or transfer our interest in any of these funds with the written consent of a majority of the fund’s investors. In one instance, the other co-manager of the fund must consent to the sale or transfer of our interest in the fund. The funds will mature over a period of three to six years.

Fair values of indirect funds and unfunded commitments for indirect funds

March 31, 2012 in millions	Fair Value		Unfunded Commitments
INVESTMENT TYPE
Private equity funds (a)	$	480	$	115
Hedge fund(b)		5		—
Total	$	485	$	115

(a) Consists of buyout, venture capital and fund of funds. These investments can never be redeemed. Instead, distributions are received through the liquidation of the underlying investments of the fund. An investment in any one of these funds can be sold only with the approval of the fund’s general partners. We estimate that the underlying investments of the funds will be liquidated over a period of one to ten years.

(b) Consists of a fund invested in long and short positions of “stressed and distressed” fixed income-oriented securities, with the goal of producing attractive risk-adjusted returns. The investments can be redeemed quarterly with 45 days notice. However, the fund’s general partners may impose quarterly redemption limits that may delay receipt of requested redemptions.

Fair value of assets and liabilities on recurring basis

March 31, 2012 in millions	Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A RECURRING BASIS
Short-term investments:
Securities purchased under resale agreements		—	$	292		—	$	292
Trading account assets:
U.S. Treasury, agencies and corporations		—		336		—		336
States and political subdivisions		—		122		—		122
Collateralized mortgage obligations		—		23		—		23
Other mortgage-backed securities		—		96	$	1		97
Other securities	$	11		25		—		36
Total trading account securities		11		602		1		614
Commercial loans		—		—		—		—
Total trading account assets		11		602		1		614
Securities available for sale:
States and political subdivisions		—		62		—		62
Collateralized mortgage obligations		—		13,845		—		13,845
Other mortgage-backed securities		—		714		—		714
Other securities		12		—		—		12
Total securities available for sale		12		14,621		—		14,633
Other investments:
Principal investments:
Direct		18		—		226		244
Indirect		—		—		485		485
Total principal investments		18		—		711		729
Equity and mezzanine investments:
Direct		—		—		15		15
Indirect		—		—		42		42
Total equity and mezzanine investments		—		—		57		57
Total other investments		18		—		768		786
Derivative assets:
Interest rate		—		1,686		36		1,722
Foreign exchange		73		21		—		94
Energy and commodity		—		271		—		271
Credit		—		29		6		35
Equity		—		3		—		3
Derivative assets		73		2,010		42		2,125
Netting adjustments(a)		—		—		—		(1,295)
Total derivative assets		73		2,010		42		830
Accrued income and other assets		1		117		—		118
Total assets on a recurring basis at fair value	$	115	$	17,642	$	811	$	17,273
LIABILITIES MEASURED ON A RECURRING BASIS
Federal funds purchased and securities sold under repurchase agreements:
Securities sold under repurchase agreements		—	$	394		—	$	394
Bank notes and other short-term borrowings:
Short positions	$	6		318		—		324
Derivative liabilities:
Interest rate		—		1,213		—		1,213
Foreign exchange		64		20		—		84
Energy and commodity		—		266	$	1		267
Credit		—		33		1		34
Equity		—		3		—		3
Derivative liabilities		64		1,535		2		1,601
Netting adjustments(a)		—		—		—		(847)
Total derivative liabilities		64		1,535		2		754
Accrued expense and other liabilities		—		8		—		8
Total liabilities on a recurring basis at fair value	$	70	$	2,255	$	2	$	1,480

(a) Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related collateral. Total derivative assets and liabilities include these netting adjustments.

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December 31, 2011 in millions	Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A RECURRING BASIS
Short term investments:
Securities purchased under resale agreements		—	$	236		—	$	236
Trading account assets:
U.S. Treasury, agencies and corporations		—		353		—		353
States and political subdivisions		—		81		—		81
Collateralized mortgage obligations		—		19		—		19
Other mortgage-backed securities		—		27	$	35		62
Other securities	$	79		29		—		108
Total trading account securities		79		509		35		623
Commercial loans		—		—		—		—
Total trading account assets		79		509		35		623
Securities available for sale:
States and political subdivisions		—		63		—		63
Collateralized mortgage obligations		—		15,162		—		15,162
Other mortgage-backed securities		—		778		—		778
Other securities		9		—		—		9
Total securities available for sale		9		16,003		—		16,012
Other investments:
Principal investments:
Direct		11		—		225		236
Indirect		—		—		473		473
Total principal investments		11		—		698		709
Equity and mezzanine investments:
Direct		—		—		15		15
Indirect		—		—		36		36
Total equity and mezzanine investments		—		—		51		51
Total other investments		11		—		749		760
Derivative assets:
Interest rate		—		1,915		38		1,953
Foreign exchange		86		65		—		151
Energy and commodity		—		253		—		253
Credit		—		30		7		37
Equity		—		3		—		3
Derivative assets		86		2,266		45		2,397
Netting adjustments (a)		—		—		—		(1,452)
Total derivative assets		86		2,266		45		945
Accrued income and other assets		7		105		—		112
Total assets on a recurring basis at fair value	$	192	$	19,119	$	829	$	18,688
LIABILITIES MEASURED ON A RECURRING BASIS
Federal funds purchased and securities sold under repurchase agreements:
Securities sold under repurchase agreements		—	$	292		—	$	292
Bank notes and other short-term borrowings:
Short positions		—		337		—		337
Derivative liabilities:
Interest rate		—		1,398		—		1,398
Foreign exchange	$	79		209		—		288
Energy and commodity		—		252	$	1		253
Credit		—		34		28		62
Equity		—		3		—		3
Derivative liabilities		79		1,896		29		2,004
Netting adjustments (a)		—		—		—		(978)
Total derivative liabilities		79		1,896		29		1,026
Accrued expense and other liabilities		23		22		—		45
Total liabilities on a recurring basis at fair value	$	102	$	2,547	$	29	$	1,700

(a) Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related collateral. Total derivative assets and liabilities include these netting adjustments.

Changes in Level 3 Fair Value Measurements

	Trading Account Assets						Other Investments												Derivative Instruments								(a)
	Other Mortgage-						Principal Investments						Equity and Mezzanine Investments
in millions	Backed Securities			Other Securities			Direct			Indirect			Direct			Indirect			Interest Rate			Energy and Commodity			Credit
Balance at December 31, 2011	$	35		$	—		$	225		$	473		$	15		$	36		$	38		$	(1)		$	(21)
Gains (losses) included in earnings		2	(b)		3	(b)		1	(c)		23	(c)		—	(c)		1	(c)		(5)	(b)		—	(b)		(5)	(b)
Purchases		—			—			1			10			—			3			1			—			—
Sales		(32)			—			(1)			(21)			—			—			(1)			—			—
Issuances		—			—			—			—			—			—			—			—			—
Settlements		—			(3)			—			—			—			(1)			—			—			31
Transfers into Level 3		—			—			—			—			—			3			4			—			—
Transfers out of Level 3		(4)			—			—			—			—			—			(1)			—			—
Balance at March 31, 2012	$	1			—		$	226		$	485		$	15		$	42		$	36			(1)		$	5
Unrealized gains (losses) included in earnings		—	(b)	$	3	(b)	$	1	(c)	$	19	(c)	$	6	(c)	$	4	(c)		—	(b)		—	(b)		—	(b)
Balance at December 31, 2010	$	1			21		$	372		$	526		$	20		$	30		$	75			1		$	11
Gains (losses) included in earnings		—	(b)	$	—	(b)		2	(c)		33	(c)		5	(c)		(1)	(c)		4	(b)		(1)	(b)		(1)	(b)
Purchases		—			—			28			14			—			2			—			—			(6)
Sales		—			—			(7)			(25)			—			—			(2)			—			—
Issuances		—			—			—			—			—			—			—			—			—
Settlements		—			(21)			—			—			—			(1)			—			—			—
Transfers into Level 3		—			—			—			—			—			—			7			—			—
Transfers out of Level 3		—			—			—			—			—			(3)			(3)			—			—
Balance at March 31, 2011	$	1			—		$	395		$	548		$	25		$	27		$	81			—		$	4
Unrealized gains (losses) included in earnings		—	(b)		—	(b)	$	2	(c)	$	24	(c)	$	10	(c)		(4)	(c)		—	(b)		—	(b)		—	(b)

(a) Amounts represent Level 3 derivative assets less Level 3 derivative liabilities.

(b) Realized and unrealized gains and losses on trading account assets and derivative instruments are reported in “investment banking and capital markets income (loss)” on the income statement.

(c) Realized and unrealized gains and losses on principal investments are reported in “net gains (losses) from principal investing” on the income statement. Realized and unrealized gains and losses on private equity and mezzanine investments are reported in “investment banking and capital markets income (loss)” on the income statement.

Assets Measured at Fair Value on a Nonrecurring Basis

	March 31, 2012								December 31, 2011
in millions	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A NONRECURRING BASIS
Impaired loans		—		—	$	101	$	101		—		—	$	149	$	149
Loans held for sale (a)		—		—		25		25		—		—		15		15
Direct financing leases and operating lease assets held for sale		—		—		—		—		—		—		—		—
Goodwill and other intangible assets		—		—		—		—		—		—		—		—
Accrued income and other assets		—	$	30		16		46		—	$	19		25		44
Total assets on a nonrecurring basis at fair value		—	$	30	$	142	$	172		—	$	19	$	189	$	208

(a) During the first quarter of 2012, we transferred $23 million of commercial and consumer loans and leases from held-for-sale status to the held-to-maturity portfolio at their current fair value.

Quantitative Information about Level 3 Fair Value Measurements

March 31, 2012	Fair Value of			Significant	Range
dollars in millions	Level 3 Assets		Valuation Technique	Unobservable Input	(Weighted-Average)
Recurring
Other investments	$	216	Individual analysis of the condition
— principal investments — direct:			of each investment
Debt instruments				EBITDA multiple	5.3 - 6.5% (5.9%)
Equity instruments of private companies				EBITDA multiple (where applicable)	5.5 - 12.0% (4.8%)
				Revenue multiple (where applicable)	0.2 - 4.7% (0.7%)
Nonrecurring
Impaired loans		101	Fair value of underlying collateral	Discount	0.00 - 100.00% (31%)
Goodwill		917	Discounted cash flow and market data	Earnings multiple of peers	8.30 - 11.90 (10.01)
				Equity multiple of peers	1.21 - 1.32 (1.27)
				Control premium	N/A (32.00%)
				Weighted-average cost of capital	N/A (15.00%)
Mortgage servicing assets		226	Discounted cash flow	Prepayment speed	0.00 - 25.00% (12.60%)
				Expected credit losses	2.00 - 3.00% (2.51%)
				Residual cash flows discount rate	7.00 - 15.00% (9.50%)
				Value assigned to escrow funds	0.75 - 3.75% (2.00%)
				Servicing cost	700 - 16,000 (2,548)
				Loan assumption rate	0.00 - 3.00% (2.14%)
				Percentage late	0.00 - 2.00% (0.22%)

Fair Value Disclosures of Financial Instruments

	March 31, 2012														December 31, 2011
			Fair Value
in millions	Carrying Amount		Level 1		Level 2		Level 3		Netting Adjustment				Total		Carrying Amount		Fair  Value
ASSETS
Cash and short-term investments (a)	$	4,021	$	3,729	$	292	$	—		—			$	4,021	$	4,213	$	4,213
Trading account assets (e)		614		11		602		1		—				614		623		623
Securities available for sale (e)		14,633		12		14,621		—		—				14,633		16,012		16,012
Held-to-maturity securities (b)		3,019		—		3,052		—		—				3,052		2,109		2,133
Other investments (e)		1,188		18		402		768		—				1,188		1,163		1,163
Loans, net of allowance (c)		48,282		—		—		47,348		—				47,348		48,571		47,561
Loans held for sale (e)		511		—		—		511		—				511		728		728
Mortgage servicing assets (d)		183		—		—		226		—				226		173		245
Derivative assets (e)		830		73		2,010		42	$	(1,295	)	(f)		830		945		945
LIABILITIES
Deposits with no stated maturity (a)	$	50,805	$	—	$	50,805	$	—		—			$	50,805	$	51,014	$	51,014
Time deposits (d)		10,689		857		10,096		—		—				10,953		10,942		11,253
Short-term borrowings (a)		2,170		6		2,164		—		—				2,170		2,048		2,048
Long-term debt (d)		8,898		3,885		5,246		—		—				9,131		9,520		9,792
Derivative liabilities (e)		754		64		1,535		2	$	(847	)	(f)		754		1,026		1,026

Valuation Methods and Assumptions

(a) Fair value equals or approximates carrying amount. The fair value of deposits with no stated maturity does not take into consideration the value ascribed to core deposit intangibles.

(b) Fair values of held-to-maturity securities are determined by using models that are based on security-specific details, as well as relevant industry and economic factors. The most significant of these inputs are quoted market prices, interest rate spreads on relevant benchmark securities and certain prepayment assumptions. We review the valuations derived from the models to ensure they are reasonable and consistent with the values placed on similar securities traded in the secondary markets.

(c) The fair value of loans is based on the present value of the expected cash flows. The projected cash flows are based on the contractual terms of the loans, adjusted for prepayments and use of a discount rate based on the relative risk of the cash flows, taking into account the loan type, maturity of the loan, liquidity risk, servicing costs, and a required return on debt and capital. In addition, an incremental liquidity discount is applied to certain loans, using historical sales of loans during periods of similar economic conditions as a benchmark. The fair value of loans includes lease financing receivables at their aggregate carrying amount, which is equivalent to their fair value.

(d) Fair values of mortgage servicing assets, time deposits and long-term debt are based on discounted cash flows utilizing relevant market inputs.

(e) Information pertaining to our methodology for measuring the fair values of these assets and liabilities is included in the sections entitled “Qualitative Disclosures of Valuation Techniques” and “Assets Measured at Fair Value on a Nonrecurring Basis” in this note.

(f) Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related collateral. Total derivative assets and liabilities include these netting adjustments.