Fair Value Measurement (Tables)
|
6 Months Ended |
Jun. 30, 2013
|
Fair Value Disclosures [Abstract] |
|
Fair Values of Funds and Unfunded Commitments for Funds |
The following table presents the fair value of our indirect
investments and related unfunded commitments at June 30,
2013:
|
|
|
|
|
|
|
|
|
June 30, 2013
in millions
|
|
Fair Value |
|
|
Unfunded
Commitments |
|
|
|
INVESTMENT TYPE
|
|
|
|
|
|
|
|
|
Passive funds (a)
|
|
$ |
14 |
|
|
$ |
1 |
|
Co-managed funds (b)
|
|
|
18 |
|
|
|
— |
|
|
|
Total
|
|
$ |
32 |
|
|
$ |
1 |
|
|
|
|
|
|
|
|
|
|
|
|
(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 two to five years. |
|
Fair Value of Assets and Liabilities Measured on Recurring Basis |
Certain assets and liabilities are measured at fair value on a
recurring basis in accordance with GAAP. The following tables
present these assets and liabilities at June 30,
2013, December 31, 2012 and June 30, 2012.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2013
in millions
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
ASSETS MEASURED ON A RECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short-term investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities purchased under resale agreements
|
|
|
— |
|
|
$ |
334 |
|
|
|
— |
|
|
$ |
334 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury, agencies and corporations
|
|
|
— |
|
|
|
375 |
|
|
|
— |
|
|
|
375 |
|
States and political subdivisions
|
|
|
— |
|
|
|
28 |
|
|
|
— |
|
|
|
28 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
38 |
|
|
|
— |
|
|
|
38 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
67 |
|
|
|
— |
|
|
|
67 |
|
Other securities
|
|
$ |
3 |
|
|
|
71 |
|
|
|
— |
|
|
|
74 |
|
|
|
Total trading account securities
|
|
|
3 |
|
|
|
579 |
|
|
|
— |
|
|
|
582 |
|
Commercial loans
|
|
|
— |
|
|
|
10 |
|
|
|
— |
|
|
|
10 |
|
|
|
Total trading account assets
|
|
|
3 |
|
|
|
589 |
|
|
|
— |
|
|
|
592 |
|
Securities available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
States and political subdivisions
|
|
|
— |
|
|
|
44 |
|
|
|
— |
|
|
|
44 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
12,603 |
|
|
|
— |
|
|
|
12,603 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
584 |
|
|
|
— |
|
|
|
584 |
|
Other securities
|
|
|
22 |
|
|
|
— |
|
|
|
— |
|
|
|
22 |
|
|
|
Total securities available for sale
|
|
|
22 |
|
|
|
13,231 |
|
|
|
— |
|
|
|
13,253 |
|
Other investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
$ |
186 |
|
|
|
186 |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
426 |
|
|
|
426 |
|
|
|
Total principal investments
|
|
|
— |
|
|
|
— |
|
|
|
612 |
|
|
|
612 |
|
Equity and mezzanine investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
32 |
|
|
|
32 |
|
|
|
Total equity and mezzanine investments
|
|
|
— |
|
|
|
— |
|
|
|
32 |
|
|
|
32 |
|
|
|
Total other investments
|
|
|
— |
|
|
|
— |
|
|
|
644 |
|
|
|
644 |
|
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
1,203 |
|
|
|
25 |
|
|
|
1,228 |
|
Foreign exchange
|
|
|
85 |
|
|
|
15 |
|
|
|
— |
|
|
|
100 |
|
Energy and commodity
|
|
|
— |
|
|
|
117 |
|
|
|
2 |
|
|
|
119 |
|
Credit
|
|
|
— |
|
|
|
2 |
|
|
|
4 |
|
|
|
6 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative assets
|
|
|
85 |
|
|
|
1,337 |
|
|
|
31 |
|
|
|
1,453 |
|
Netting adjustments(a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(992) |
|
|
|
Total derivative assets
|
|
|
85 |
|
|
|
1,337 |
|
|
|
31 |
|
|
|
461 |
|
Accrued income and other assets
|
|
|
7 |
|
|
|
34 |
|
|
|
— |
|
|
|
41 |
|
|
|
Total assets on a recurring basis at fair value
|
|
$ |
117 |
|
|
$ |
15,525 |
|
|
$ |
675 |
|
|
$ |
15,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES MEASURED ON A RECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds purchased and securities sold under repurchase
agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities sold under repurchase agreements
|
|
|
— |
|
|
$ |
351 |
|
|
|
— |
|
|
$ |
351 |
|
Bank notes and other short-term borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short positions
|
|
$ |
4 |
|
|
|
294 |
|
|
|
— |
|
|
|
298 |
|
Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
871 |
|
|
|
— |
|
|
|
871 |
|
Foreign exchange
|
|
|
78 |
|
|
|
15 |
|
|
|
— |
|
|
|
93 |
|
Energy and commodity
|
|
|
— |
|
|
|
113 |
|
|
$ |
1 |
|
|
|
114 |
|
Credit
|
|
|
— |
|
|
|
11 |
|
|
|
— |
|
|
|
11 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative liabilities
|
|
|
78 |
|
|
|
1,010 |
|
|
|
1 |
|
|
|
1,089 |
|
Netting adjustments(a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(633) |
|
|
|
Total derivative liabilities
|
|
|
78 |
|
|
|
1,010 |
|
|
|
1 |
|
|
|
456 |
|
Accrued expense and other liabilities
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
2 |
|
|
|
Total liabilities on a recurring basis at fair value
|
|
$ |
82 |
|
|
$ |
1,657 |
|
|
$ |
1 |
|
|
$ |
1,107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 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
|
|
|
— |
|
|
$ |
271 |
|
|
|
— |
|
|
$ |
271 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury, agencies and corporations
|
|
|
— |
|
|
|
383 |
|
|
|
— |
|
|
|
383 |
|
States and political subdivisions
|
|
|
— |
|
|
|
21 |
|
|
$ |
3 |
|
|
|
24 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
8 |
|
|
|
— |
|
|
|
8 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
4 |
|
|
|
— |
|
|
|
4 |
|
Other securities
|
|
$ |
2 |
|
|
|
175 |
|
|
|
— |
|
|
|
177 |
|
|
|
Total trading account securities
|
|
|
2 |
|
|
|
591 |
|
|
|
3 |
|
|
|
596 |
|
Commercial loans
|
|
|
— |
|
|
|
9 |
|
|
|
— |
|
|
|
9 |
|
|
|
Total trading account assets
|
|
|
2 |
|
|
|
600 |
|
|
|
3 |
|
|
|
605 |
|
Securities available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
States and political subdivisions
|
|
|
— |
|
|
|
49 |
|
|
|
— |
|
|
|
49 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
11,464 |
|
|
|
— |
|
|
|
11,464 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
538 |
|
|
|
— |
|
|
|
538 |
|
Other securities
|
|
|
43 |
|
|
|
— |
|
|
|
— |
|
|
|
43 |
|
|
|
Total securities available for sale
|
|
|
43 |
|
|
|
12,051 |
|
|
|
— |
|
|
|
12,094 |
|
Other investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
191 |
|
|
|
191 |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
436 |
|
|
|
436 |
|
|
|
Total principal investments
|
|
|
— |
|
|
|
— |
|
|
|
627 |
|
|
|
627 |
|
Equity and mezzanine investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
41 |
|
|
|
41 |
|
|
|
Total equity and mezzanine investments
|
|
|
— |
|
|
|
— |
|
|
|
41 |
|
|
|
41 |
|
|
|
Total other investments
|
|
|
— |
|
|
|
— |
|
|
|
668 |
|
|
|
668 |
|
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
1,705 |
|
|
|
19 |
|
|
|
1,724 |
|
Foreign exchange
|
|
|
54 |
|
|
|
21 |
|
|
|
— |
|
|
|
75 |
|
Energy and commodity
|
|
|
— |
|
|
|
154 |
|
|
|
2 |
|
|
|
156 |
|
Credit
|
|
|
— |
|
|
|
3 |
|
|
|
5 |
|
|
|
8 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative assets
|
|
|
54 |
|
|
|
1,883 |
|
|
|
26 |
|
|
|
1,963 |
|
Netting adjustments (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,270) |
|
|
|
Total derivative assets
|
|
|
54 |
|
|
|
1,883 |
|
|
|
26 |
|
|
|
693 |
|
Accrued income and other assets
|
|
|
— |
|
|
|
3 |
|
|
|
— |
|
|
|
3 |
|
|
|
Total assets on a recurring basis at fair value
|
|
$ |
99 |
|
|
$ |
14,808 |
|
|
$ |
697 |
|
|
$ |
14,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES MEASURED ON A RECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds purchased and securities sold under repurchase
agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities sold under repurchase agreements
|
|
|
— |
|
|
$ |
228 |
|
|
|
— |
|
|
$ |
228 |
|
Bank notes and other short-term borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short positions
|
|
|
— |
|
|
|
287 |
|
|
|
— |
|
|
|
287 |
|
Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
1,152 |
|
|
|
— |
|
|
|
1,152 |
|
Foreign exchange
|
|
$ |
55 |
|
|
|
20 |
|
|
|
— |
|
|
|
75 |
|
Energy and commodity
|
|
|
— |
|
|
|
149 |
|
|
$ |
1 |
|
|
|
150 |
|
Credit
|
|
|
— |
|
|
|
9 |
|
|
|
1 |
|
|
|
10 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative liabilities
|
|
|
55 |
|
|
|
1,330 |
|
|
|
2 |
|
|
|
1,387 |
|
Netting adjustments (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(803) |
|
|
|
Total derivative liabilities
|
|
|
55 |
|
|
|
1,330 |
|
|
|
2 |
|
|
|
584 |
|
Accrued expense and other liabilities
|
|
|
— |
|
|
|
49 |
|
|
|
— |
|
|
|
49 |
|
|
|
Total liabilities on a recurring basis at fair value
|
|
$ |
55 |
|
|
$ |
1,894 |
|
|
$ |
2 |
|
|
$ |
1,148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012
in millions
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
ASSETS MEASURED ON A RECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short term investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities purchased under resale agreements
|
|
|
— |
|
|
$ |
338 |
|
|
|
— |
|
|
$ |
338 |
|
Trading account assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury, agencies and corporations
|
|
|
— |
|
|
|
438 |
|
|
|
— |
|
|
|
438 |
|
States and political subdivisions
|
|
|
— |
|
|
|
27 |
|
|
$ |
57 |
|
|
|
84 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
16 |
|
|
|
— |
|
|
|
16 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
100 |
|
|
|
1 |
|
|
|
101 |
|
Other securities
|
|
$ |
3 |
|
|
|
37 |
|
|
|
— |
|
|
|
40 |
|
|
|
Total trading account securities
|
|
|
3 |
|
|
|
618 |
|
|
|
58 |
|
|
|
679 |
|
Commercial loans
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Total trading account assets
|
|
|
3 |
|
|
|
618 |
|
|
|
58 |
|
|
|
679 |
|
Securities available for sale:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
States and political subdivisions
|
|
|
— |
|
|
|
56 |
|
|
|
— |
|
|
|
56 |
|
Collateralized mortgage obligations
|
|
|
— |
|
|
|
12,477 |
|
|
|
— |
|
|
|
12,477 |
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
652 |
|
|
|
— |
|
|
|
652 |
|
Other securities
|
|
|
20 |
|
|
|
— |
|
|
|
— |
|
|
|
20 |
|
|
|
Total securities available for sale
|
|
|
20 |
|
|
|
13,185 |
|
|
|
— |
|
|
|
13,205 |
|
Other investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
11 |
|
|
|
— |
|
|
|
231 |
|
|
|
242 |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
482 |
|
|
|
482 |
|
|
|
Total principal investments
|
|
|
11 |
|
|
|
— |
|
|
|
713 |
|
|
|
724 |
|
Equity and mezzanine investments:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
18 |
|
|
|
18 |
|
Indirect
|
|
|
— |
|
|
|
— |
|
|
|
43 |
|
|
|
43 |
|
|
|
Total equity and mezzanine investments
|
|
|
— |
|
|
|
— |
|
|
|
61 |
|
|
|
61 |
|
|
|
Total other investments
|
|
|
11 |
|
|
|
— |
|
|
|
774 |
|
|
|
785 |
|
Derivative assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
1,824 |
|
|
|
35 |
|
|
|
1,859 |
|
Foreign exchange
|
|
|
81 |
|
|
|
26 |
|
|
|
— |
|
|
|
107 |
|
Energy and commodity
|
|
|
— |
|
|
|
209 |
|
|
|
— |
|
|
|
209 |
|
Credit
|
|
|
— |
|
|
|
19 |
|
|
|
6 |
|
|
|
25 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative assets
|
|
|
81 |
|
|
|
2,078 |
|
|
|
41 |
|
|
|
2,200 |
|
Netting adjustments (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,382) |
|
|
|
Total derivative assets
|
|
|
81 |
|
|
|
2,078 |
|
|
|
41 |
|
|
|
818 |
|
Accrued income and other assets
|
|
|
2 |
|
|
|
134 |
|
|
|
— |
|
|
|
136 |
|
|
|
Total assets on a recurring basis at fair value
|
|
$ |
117 |
|
|
$ |
16,353 |
|
|
$ |
873 |
|
|
$ |
15,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES MEASURED ON A RECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds purchased and securities sold under repurchase
agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Securities sold under repurchase agreements
|
|
|
— |
|
|
$ |
481 |
|
|
|
— |
|
|
$ |
481 |
|
Bank notes and other short-term borrowings:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Short positions
|
|
$ |
3 |
|
|
|
360 |
|
|
|
— |
|
|
|
363 |
|
Derivative liabilities:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
— |
|
|
|
1,310 |
|
|
|
— |
|
|
|
1,310 |
|
Foreign exchange
|
|
|
81 |
|
|
|
24 |
|
|
|
— |
|
|
|
105 |
|
Energy and commodity
|
|
|
— |
|
|
|
203 |
|
|
$ |
1 |
|
|
|
204 |
|
Credit
|
|
|
— |
|
|
|
23 |
|
|
|
1 |
|
|
|
24 |
|
Equity
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
Derivative liabilities
|
|
|
81 |
|
|
|
1,560 |
|
|
|
2 |
|
|
|
1,643 |
|
Netting adjustments (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(880) |
|
|
|
Total derivative liabilities
|
|
|
81 |
|
|
|
1,560 |
|
|
|
2 |
|
|
|
763 |
|
Accrued expense and other liabilities
|
|
|
— |
|
|
|
4 |
|
|
|
— |
|
|
|
4 |
|
|
|
Total liabilities on a recurring basis at fair value
|
|
$ |
84 |
|
|
$ |
2,405 |
|
|
$ |
2 |
|
|
$ |
1,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(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. |
|
Change in Fair Values of Level 3 Financial Instruments |
Changes in Level 3 Fair Value Measurements
The following table shows the change in the fair values of our
Level 3 financial instruments for the three and six months ended
June 30, 2013, and 2012. We mitigate the credit risk, interest
rate risk, and risk of loss related to many of these Level 3
instruments by using securities and derivative positions classified
as Level 1 or Level 2. Level 1 and Level 2 instruments are not
included in the following table. Therefore, the gains or losses
shown do not include the impact of our risk management
activities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in
millions |
|
Beginning
of Period
Balance
|
|
|
Gains
(Losses)
Included in
Earnings
|
|
|
|
|
Purchases |
|
|
Sales |
|
|
Settlements |
|
|
Transfers
into
Level 3
|
|
|
(e) |
|
Transfers
out of
Level 3
|
|
|
(e) |
|
End of
Period
Balance
|
|
|
(g) |
|
Unrealized
Gains
(Losses)
Included in
Earnings
|
|
|
|
|
Six months ended June 30, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other mortgage-backed securities
|
|
|
— |
|
|
$ |
4 |
|
|
(b) |
|
|
— |
|
|
$ |
(4) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
Other securities
|
|
|
— |
|
|
|
3 |
|
|
(b) |
|
|
— |
|
|
|
— |
|
|
$ |
(3) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
$ |
1 |
|
|
(b) |
State and political subdivisions
|
|
$ |
3 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
(3) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
191 |
|
|
|
(5) |
|
|
(c) |
|
$ |
4 |
|
|
|
(4) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
$ |
186 |
|
|
|
|
|
(11) |
|
|
(c) |
Indirect
|
|
|
436 |
|
|
|
19 |
|
|
(c) |
|
|
11 |
|
|
|
(40) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
426 |
|
|
|
|
|
4 |
|
|
(c) |
Equity and mezzanine investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
3 |
|
|
(c) |
Indirect
|
|
|
41 |
|
|
|
2 |
|
|
(c) |
|
|
— |
|
|
|
— |
|
|
|
(11) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
32 |
|
|
|
|
|
2 |
|
|
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
19 |
|
|
|
(3) |
|
|
(d) |
|
|
— |
|
|
|
(1) |
|
|
|
— |
|
|
$ |
39 |
|
|
(f) |
|
$ |
(29) |
|
|
(f) |
|
|
25 |
|
|
|
|
|
— |
|
|
|
Energy and commodity
|
|
|
1 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
1 |
|
|
|
|
|
— |
|
|
|
Credit
|
|
|
4 |
|
|
|
(3) |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
3 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
4 |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other mortgage-backed securities
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
Other securities
|
|
|
— |
|
|
$ |
2 |
|
|
(b) |
|
|
— |
|
|
|
— |
|
|
$ |
(2) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
State and political subdivisions
|
|
$ |
3 |
|
|
|
— |
|
|
|
|
|
— |
|
|
$ |
(3) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
191 |
|
|
|
(1) |
|
|
(c) |
|
|
— |
|
|
|
(4) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
$ |
186 |
|
|
|
|
$ |
(7) |
|
|
(c) |
Indirect
|
|
|
435 |
|
|
|
7 |
|
|
(c) |
|
$ |
5 |
|
|
|
(21) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
426 |
|
|
|
|
|
— |
|
|
|
Equity and mezzanine investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
— |
|
|
|
Indirect
|
|
|
39 |
|
|
|
2 |
|
|
(c) |
|
|
— |
|
|
|
— |
|
|
|
(9) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
32 |
|
|
|
|
|
2 |
|
|
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
27 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
$ |
25 |
|
|
(f) |
|
$ |
(27) |
|
|
(f) |
|
|
25 |
|
|
|
|
|
— |
|
|
|
Energy and commodity
|
|
|
4 |
|
|
|
(3) |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
1 |
|
|
|
|
|
— |
|
|
|
Credit
|
|
|
4 |
|
|
|
(2) |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
4 |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
in millions |
|
Beginning
of Period
Balance |
|
|
Gains
(Losses)
Included in
Earnings |
|
|
|
|
Purchases |
|
|
Sales |
|
|
Settlements |
|
|
Transfers
into
Level 3 |
|
|
(e) |
|
Transfers
out of
Level 3
|
|
|
(e) |
|
End of
Period
Balance |
|
|
(g) |
|
Unrealized
Gains
(Losses)
Included in
Earnings |
|
|
|
Six months ended June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other mortgage-backed securities
|
|
$ |
35 |
|
|
$ |
2 |
|
|
(b) |
|
|
— |
|
|
$ |
(32) |
|
|
|
— |
|
|
|
— |
|
|
|
|
$ |
(4) |
|
|
|
|
$ |
1 |
|
|
|
|
|
— |
|
State and political subdivisions
|
|
|
— |
|
|
|
(2) |
|
|
(b) |
|
|
— |
|
|
|
— |
|
|
$ |
2 |
|
|
$ |
57 |
|
|
|
|
|
— |
|
|
|
|
|
57 |
|
|
|
|
$ |
(2) |
(b) |
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
225 |
|
|
|
8 |
|
|
(c) |
|
$ |
10 |
|
|
|
(12) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
231 |
|
|
|
|
|
8 |
(c) |
Indirect
|
|
|
473 |
|
|
|
43 |
|
|
(c) |
|
|
20 |
|
|
|
(54) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
482 |
|
|
|
|
|
28 |
(c) |
Equity and mezzanine investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
15 |
|
|
|
3 |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
18 |
|
|
|
|
|
10 |
(c) |
Indirect
|
|
|
36 |
|
|
|
6 |
|
|
(c) |
|
|
4 |
|
|
|
— |
|
|
|
(3) |
|
|
$ |
— |
|
|
|
|
|
— |
|
|
|
|
|
43 |
|
|
|
|
|
6 |
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
38 |
|
|
|
(3) |
|
|
(d) |
|
|
1 |
|
|
|
(1) |
|
|
|
— |
|
|
|
4 |
|
|
|
|
|
(4) |
|
|
|
|
|
35 |
|
|
|
|
|
— |
|
Energy and commodity
|
|
|
(1) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
(1) |
|
|
|
|
|
— |
|
Credit
|
|
|
(21) |
|
|
|
(7) |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
33 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
5 |
|
|
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three months ended June 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other mortgage-backed securities
|
|
$ |
1 |
|
|
|
— |
|
|
(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
$ |
1 |
|
|
|
|
|
— |
|
State and political subdivisions
|
|
|
— |
|
|
$ |
(5) |
|
|
(b) |
|
|
— |
|
|
|
— |
|
|
$ |
5 |
|
|
$ |
57 |
|
|
|
|
|
— |
|
|
|
|
|
57 |
|
|
|
|
$ |
(5) |
(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
226 |
|
|
|
7 |
|
|
(c) |
|
$ |
9 |
|
|
$ |
(11) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
231 |
|
|
|
|
|
7 |
(c) |
Indirect
|
|
|
485 |
|
|
|
20 |
|
|
(c) |
|
|
10 |
|
|
|
(33) |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
482 |
|
|
|
|
|
9 |
(c) |
Equity and mezzanine investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Direct
|
|
|
15 |
|
|
|
3 |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
18 |
|
|
|
|
|
4 |
(c) |
Indirect
|
|
|
42 |
|
|
|
5 |
|
|
(c) |
|
|
1 |
|
|
|
— |
|
|
|
(2) |
|
|
|
(3) |
|
|
|
|
|
— |
|
|
|
|
|
43 |
|
|
|
|
|
2 |
(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative instruments(a)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate
|
|
|
36 |
|
|
|
2 |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
$ |
(3) |
|
|
|
|
|
35 |
|
|
|
|
|
— |
|
Energy and commodity
|
|
|
(1) |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
(1) |
|
|
|
|
|
— |
|
Credit
|
|
|
5 |
|
|
|
(2) |
|
|
(d) |
|
|
— |
|
|
|
— |
|
|
|
2 |
|
|
|
— |
|
|
|
|
|
— |
|
|
|
|
|
5 |
|
|
|
|
|
— |
|
|
|
(a) |
Amounts represent Level 3 derivative
assets less Level 3 derivative liabilities. |
(b) |
Realized and unrealized gains and
losses on trading account assets are reported in “other
income” on the income statement. |
(c) |
Realized and unrealized gains and
losses on principal investments and private equity and mezzanine
investments are reported in “net gains (losses) from
principal investing” on the income statement. |
(d) |
Realized and unrealized gains and
losses on derivative instruments are reported in “corporate
services income” and “other income” on the income
statement. |
(e) |
Our policy is to recognize transfers
into and transfers out of Level 3 as of the end of the reporting
period. |
(f) |
Transfers from Level 2 to Level 3
were the result of Level 3 unobservable inputs becoming significant
to certain derivatives previously classified as Level 2. Transfers
from Level 3 to Level 2 were the result of Level 3 unobservable
inputs becoming less significant to certain derivatives previously
classified as Level 3. |
(g) |
There were no issuances for the
six-month periods ended
June 30, 2013 and 2012. |
|
Assets Measured at Fair Value on Nonrecurring Basis |
Assets Measured at Fair Value on a Nonrecurring Basis
Certain assets and liabilities are measured at fair value on a
nonrecurring basis in accordance with GAAP. The adjustments to fair
value generally result from the application of accounting guidance
that requires assets and liabilities to be recorded at the lower of
cost or fair value, or assessed for impairment. The following table
presents our assets measured at fair value on a nonrecurring basis
at June 30, 2013, December 31, 2012, and
June 30, 2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2013 |
|
in millions |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
ASSETS MEASURED ON A NONRECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
— |
|
|
|
— |
|
|
$ |
22 |
|
|
$ |
22 |
|
Loans held for sale (a)
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Accrued income and other assets
|
|
|
— |
|
|
|
— |
|
|
|
16 |
|
|
|
16 |
|
|
|
Total assets on a nonrecurring basis at fair value
|
|
|
— |
|
|
|
— |
|
|
$ |
38 |
|
|
$ |
38 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
|
in millions |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
ASSETS MEASURED ON A NONRECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
— |
|
|
|
— |
|
|
$ |
25 |
|
|
$ |
25 |
|
Loans held for sale
|
|
|
— |
|
|
|
— |
|
|
|
9 |
|
|
|
9 |
|
Accrued income and other assets
|
|
|
— |
|
|
$ |
2 |
|
|
|
20 |
|
|
|
22 |
|
|
|
Total assets on a nonrecurring basis at fair value
|
|
|
— |
|
|
$ |
2 |
|
|
$ |
54 |
|
|
$ |
56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012 |
|
in millions |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
ASSETS MEASURED ON A NONRECURRING BASIS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
— |
|
|
|
— |
|
|
$ |
81 |
|
|
$ |
81 |
|
Loans held for sale
|
|
|
— |
|
|
|
— |
|
|
|
15 |
|
|
|
15 |
|
Accrued income and other assets
|
|
|
— |
|
|
$ |
17 |
|
|
|
25 |
|
|
|
42 |
|
|
|
Total assets on a nonrecurring basis at fair value
|
|
|
— |
|
|
$ |
17 |
|
|
$ |
121 |
|
|
$ |
138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
During the first half of 2013, we
transferred $2 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 |
The range and weighted-average of the significant unobservable
inputs used to fair value our material Level 3 recurring and
nonrecurring assets at June 30, 2013, December 31,
2012, and June 30, 2012, along with the valuation techniques
used, are shown in the following table:
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2013
dollars in millions
|
|
Fair Value of
Level 3 Assets |
|
|
Valuation Technique |
|
Significant
Unobservable Input
|
|
Range
(Weighted-Average)
|
|
|
|
|
|
|
|
|
Recurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments — principal investments — direct:
|
|
$ |
186 |
|
|
Individual analysis of the condition
of each investment
|
|
|
|
|
|
|
Debt instruments
|
|
|
|
|
|
|
|
EBITDA multiple |
|
|
5.80 - 6.00% (6.00%) |
|
Equity instruments of private companies
|
|
|
|
|
|
|
|
EBITDA multiple (where applicable) |
|
|
4.50 - 6.00% (5.80%) |
|
|
|
|
|
|
|
|
|
Revenue multiple (where applicable) |
|
|
1.00 - 4.80% (4.30%) |
|
|
|
|
|
|
|
|
Nonrecurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
22 |
|
|
Fair value of underlying collateral |
|
Discount |
|
|
0.00 - 100.00% (34.00%) |
|
|
|
Goodwill
|
|
|
979 |
|
|
Discounted cash flow and market data |
|
Earnings multiple of peers |
|
|
9.70 - 14.20 (11.25) |
|
|
|
|
|
|
|
|
|
Equity multiple of peers |
|
|
.95 - 1.17 (1.09) |
|
|
|
|
|
|
|
|
|
Control premium |
|
|
N/A (30.00%) |
|
|
|
|
|
|
|
|
|
Weighted-average cost of capital |
|
|
N/A (13.00%) |
|
|
|
|
|
|
|
|
|
December 31, 2012
dollars in millions
|
|
Fair Value
of
Level 3 Assets |
|
|
Valuation Technique |
|
Significant
Unobservable Input
|
|
Range
(Weighted-Average)
|
|
|
|
|
|
|
|
|
Recurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments — principal investments — direct:
|
|
$ |
181 |
|
|
Individual analysis of the condition
of each investment
|
|
|
|
|
|
|
Debt instruments
|
|
|
|
|
|
|
|
EBITDA multiple |
|
|
5.50 - 6.00% (5.90%) |
|
Equity instruments of private companies
|
|
|
|
|
|
|
|
EBITDA multiple (where applicable) |
|
|
5.00 - 8.50% (6.10%) |
|
|
|
|
|
|
|
|
|
Revenue multiple (where applicable) |
|
|
0.30 - 5.70% (4.80%) |
|
|
|
|
|
|
|
|
Nonrecurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
25 |
|
|
Fair value of underlying collateral |
|
Discount |
|
|
0.00 - 100.00% (45.00%) |
|
|
|
Goodwill
|
|
|
979 |
|
|
Discounted cash flow and market data |
|
Earnings multiple of peers |
|
|
9.70 - 14.20 (11.25) |
|
|
|
|
|
|
|
|
|
Equity multiple of peers |
|
|
.95 - 1.17 (1.09) |
|
|
|
|
|
|
|
|
|
Control premium |
|
|
N/A (30.00%) |
|
|
|
|
|
|
|
|
|
Weighted-average cost of capital |
|
|
N/A (13.00%) |
|
|
|
|
|
|
|
|
|
June 30, 2012
dollars in millions
|
|
Fair Value
of
Level 3 Assets |
|
|
Valuation Technique |
|
Significant
Unobservable Input
|
|
Range
(Weighted-Average)
|
|
|
|
|
|
|
|
|
Recurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other investments — principal investments — direct:
|
|
$ |
220 |
|
|
Individual analysis of the condition
of each investment
|
|
|
|
|
|
|
Debt instruments
|
|
|
|
|
|
|
|
EBITDA multiple |
|
|
4.8 - 8.2% (6.1%) |
|
Equity instruments of private companies
|
|
|
|
|
|
|
|
EBITDA multiple (where applicable) |
|
|
5.50 - 12.00% (6.3%) |
|
|
|
|
|
|
|
|
|
Revenue multiple (where applicable) |
|
|
0.20 - 4.4% (2.8%) |
|
|
|
|
|
|
|
|
Nonrecurring
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Impaired loans
|
|
|
81 |
|
|
Fair value of underlying collateral |
|
Discount |
|
|
0.00 - 100.00% (32.00%) |
|
|
|
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%) |
|
|
|
Fair Value Disclosures of Financial Instruments |
Fair Value Disclosures of Financial Instruments
The levels in the fair value hierarchy ascribed to our financial
instruments and the related carrying amounts at June 30,
2013, December 31, 2012, and June 30, 2012 are shown
in the following table.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2013 |
|
|
|
|
|
|
Fair Value |
|
in millions |
|
Carrying
Amount |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Netting
Adjustment
|
|
|
Total |
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and short-term investments (a)
|
|
$ |
4,278 |
|
|
$ |
3,944 |
|
|
$ |
334 |
|
|
|
— |
|
|
|
— |
|
|
$ |
4,278 |
|
Trading account assets (e)
|
|
|
592 |
|
|
|
3 |
|
|
|
589 |
|
|
|
— |
|
|
|
— |
|
|
|
592 |
|
Securities available for sale (e)
|
|
|
13,253 |
|
|
|
22 |
|
|
|
13,231 |
|
|
|
— |
|
|
|
— |
|
|
|
13,253 |
|
Held-to-maturity securities
(b)
|
|
|
4,750 |
|
|
|
— |
|
|
|
4,716 |
|
|
|
— |
|
|
|
— |
|
|
|
4,716 |
|
Other investments (e)
|
|
|
1,037 |
|
|
|
— |
|
|
|
393 |
|
|
$ |
644 |
|
|
|
— |
|
|
|
1,037 |
|
Loans, net of allowance (c)
|
|
|
52,405 |
|
|
|
— |
|
|
|
— |
|
|
|
51,019 |
|
|
|
— |
|
|
|
51,019 |
|
Loans held for sale (e)
|
|
|
402 |
|
|
|
— |
|
|
|
— |
|
|
|
402 |
|
|
|
— |
|
|
|
402 |
|
Mortgage servicing assets (d)
|
|
|
330 |
|
|
|
— |
|
|
|
— |
|
|
|
387 |
|
|
|
— |
|
|
|
387 |
|
Derivative assets (e)
|
|
|
461 |
|
|
|
85 |
|
|
|
1,337 |
|
|
|
31 |
|
|
$ |
(992) |
(f) |
|
|
461 |
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits with no stated maturity (a)
|
|
$ |
60,170 |
|
|
|
— |
|
|
$ |
60,170 |
|
|
|
— |
|
|
|
— |
|
|
$ |
60,170 |
|
Time deposits (d)
|
|
|
7,551 |
|
|
|
545 |
|
|
|
7,127 |
|
|
|
— |
|
|
|
— |
|
|
|
7,672 |
|
Short-term borrowings (a)
|
|
|
1,945 |
|
|
$ |
4 |
|
|
|
1,941 |
|
|
|
— |
|
|
|
— |
|
|
|
1,945 |
|
Long-term debt (d)
|
|
|
6,666 |
|
|
|
6,247 |
|
|
|
784 |
|
|
|
— |
|
|
|
— |
|
|
|
7,031 |
|
Derivative liabilities (e)
|
|
|
456 |
|
|
|
78 |
|
|
|
1,010 |
|
|
$ |
1 |
|
|
$ |
(633) |
(f) |
|
|
456 |
|
|
|
|
|
|
|
December 31, 2012 |
|
|
|
|
|
|
Fair Value |
|
in millions |
|
Carrying
Amount |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Netting
Adjustment
|
|
|
Total |
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and short-term investments (a)
|
|
$ |
4,525 |
|
|
$ |
4,254 |
|
|
$ |
271 |
|
|
|
— |
|
|
|
— |
|
|
$ |
4,525 |
|
Trading account assets (e)
|
|
|
605 |
|
|
|
2 |
|
|
|
600 |
|
|
$ |
3 |
|
|
|
— |
|
|
|
605 |
|
Securities available for sale (e)
|
|
|
12,094 |
|
|
|
43 |
|
|
|
12,051 |
|
|
|
— |
|
|
|
— |
|
|
|
12,094 |
|
Held-to-maturity securities
(b)
|
|
|
3,931 |
|
|
|
— |
|
|
|
3,992 |
|
|
|
— |
|
|
|
— |
|
|
|
3,992 |
|
Other investments (e)
|
|
|
1,064 |
|
|
|
— |
|
|
|
396 |
|
|
|
668 |
|
|
|
— |
|
|
|
1,064 |
|
Loans, net of allowance (c)
|
|
|
51,934 |
|
|
|
— |
|
|
|
— |
|
|
|
51,046 |
|
|
|
— |
|
|
|
51,046 |
|
Loans held for sale (e)
|
|
|
599 |
|
|
|
— |
|
|
|
— |
|
|
|
599 |
|
|
|
— |
|
|
|
599 |
|
Mortgage servicing assets (d)
|
|
|
204 |
|
|
|
— |
|
|
|
— |
|
|
|
238 |
|
|
|
— |
|
|
|
238 |
|
Derivative assets (e)
|
|
|
693 |
|
|
|
54 |
|
|
|
1,883 |
|
|
|
26 |
|
|
$ |
(1,270) |
(f) |
|
|
693 |
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits with no stated maturity (a)
|
|
$ |
58,132 |
|
|
|
— |
|
|
$ |
58,132 |
|
|
|
— |
|
|
|
— |
|
|
$ |
58,132 |
|
Time deposits (d)
|
|
|
7,861 |
|
|
$ |
408 |
|
|
|
7,612 |
|
|
|
— |
|
|
|
— |
|
|
|
8,020 |
|
Short-term borrowings (a)
|
|
|
1,896 |
|
|
|
— |
|
|
|
1,896 |
|
|
|
— |
|
|
|
— |
|
|
|
1,896 |
|
Long-term debt (d)
|
|
|
6,847 |
|
|
|
2,807 |
|
|
|
4,585 |
|
|
|
— |
|
|
|
— |
|
|
|
7,392 |
|
Derivative liabilities (e)
|
|
|
584 |
|
|
|
54 |
|
|
|
1,331 |
|
|
$ |
2 |
|
|
$ |
(803) |
(f) |
|
|
584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2012 |
|
|
|
|
|
|
Fair Value |
|
in millions |
|
Carrying
Amount |
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Netting
Adjustment
|
|
|
Total |
|
|
|
ASSETS
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash and short-term investments (a)
|
|
$ |
2,933 |
|
|
$ |
2,595 |
|
|
$ |
338 |
|
|
|
— |
|
|
|
— |
|
|
$ |
2,933 |
|
Trading account assets (e)
|
|
|
679 |
|
|
|
3 |
|
|
|
618 |
|
|
$ |
58 |
|
|
|
— |
|
|
|
679 |
|
Securities available for sale (e)
|
|
|
13,205 |
|
|
|
20 |
|
|
|
13,185 |
|
|
|
— |
|
|
|
— |
|
|
|
13,205 |
|
Held-to-maturity securities
(b)
|
|
|
4,352 |
|
|
|
— |
|
|
|
4,396 |
|
|
|
— |
|
|
|
— |
|
|
|
4,396 |
|
Other investments (e)
|
|
|
1,186 |
|
|
|
11 |
|
|
|
401 |
|
|
|
774 |
|
|
|
— |
|
|
|
1,186 |
|
Loans, net of allowance (c)
|
|
|
48,717 |
|
|
|
— |
|
|
|
— |
|
|
|
47,912 |
|
|
|
— |
|
|
|
47,912 |
|
Loans held for sale (e)
|
|
|
656 |
|
|
|
— |
|
|
|
— |
|
|
|
656 |
|
|
|
— |
|
|
|
656 |
|
Mortgage servicing assets (d)
|
|
|
186 |
|
|
|
— |
|
|
|
— |
|
|
|
237 |
|
|
|
— |
|
|
|
237 |
|
Derivative assets (e)
|
|
|
818 |
|
|
|
81 |
|
|
|
2,078 |
|
|
|
41 |
|
|
$ |
(1,382) |
(f) |
|
|
818 |
|
|
|
|
|
|
|
|
LIABILITIES
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Deposits with no stated maturity (a)
|
|
$ |
52,495 |
|
|
|
— |
|
|
$ |
52,495 |
|
|
|
— |
|
|
|
— |
|
|
$ |
52,495 |
|
Time deposits (d)
|
|
|
9,672 |
|
|
$ |
617 |
|
|
|
9,271 |
|
|
|
— |
|
|
|
— |
|
|
|
9,888 |
|
Short-term borrowings (a)
|
|
|
2,078 |
|
|
|
3 |
|
|
|
2,075 |
|
|
|
— |
|
|
|
— |
|
|
|
2,078 |
|
Long-term debt (d)
|
|
|
7,521 |
|
|
|
3,890 |
|
|
|
3,955 |
|
|
|
— |
|
|
|
— |
|
|
|
7,845 |
|
Derivative liabilities (e)
|
|
|
763 |
|
|
|
81 |
|
|
|
1,560 |
|
|
$ |
2 |
|
|
$ |
(880) |
(f) |
|
|
763 |
|
|
|
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. |
|