Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 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 March 31, 2013:

March 31, 2013 in millions	Fair Value		Unfunded Commitments
INVESTMENT TYPE
Passive funds (a)	$	17	$	1
Co-managed funds (b)		22		1
Total	$	39	$	2

(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 March 31, 2013, December 31, 2012 and March 31, 2012.

March 31, 2013 in millions	Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A RECURRING BASIS
Short-term investments:
Securities purchased under resale agreements		—	$	311		—	$	311
Trading account assets:
U.S. Treasury, agencies and corporations		—		496		—		496
States and political subdivisions		—		46	$	3		49
Collateralized mortgage obligations		—		23		—		23
Other mortgage-backed securities		—		80		—		80
Other securities	$	5		41		—		46
Total trading account securities		5		686		3		694
Commercial loans		—		7		—		7
Total trading account assets		5		693		3		701
Securities available for sale:
States and political subdivisions		—		48		—		48
Collateralized mortgage obligations		—		12,918		—		12,918
Other mortgage-backed securities		—		487		—		487
Other securities		43		—		—		43
Total securities available for sale		43		13,453		—		13,496
Other investments:
Principal investments:
Direct		—		—		191		191
Indirect		—		—		435		435
Total principal investments		—		—		626		626
Equity and mezzanine investments:
Direct		—		—		—		—
Indirect		—		—		39		39
Total equity and mezzanine investments		—		—		39		39
Total other investments		—		—		665		665
Derivative assets:
Interest rate		—		1,499		27		1,526
Foreign exchange		57		14		—		71
Energy and commodity		—		115		5		120
Credit		—		2		5		7
Equity		—		—		—		—
Derivative assets		57		1,630		37		1,724
Netting adjustments(a)		—		—		—		(1,115)
Total derivative assets		57		1,630		37		609
Accrued income and other assets		2		95		—		97
Total assets on a recurring basis at fair value	$	107	$	16,182	$	705	$	15,879
LIABILITIES MEASURED ON A RECURRING BASIS
Federal funds purchased and securities sold under repurchase agreements:
Securities sold under repurchase agreements		—	$	494		—	$	494
Bank notes and other short-term borrowings:
Short positions	$	3		373		—		376
Derivative liabilities:
Interest rate		—		1,027		—		1,027
Foreign exchange		54		14		—		68
Energy and commodity		—		113	$	1		114
Credit		—		10		1		11
Equity		—		—		—		—
Derivative liabilities		54		1,164		2		1,220
Netting adjustments(a)		—		—		—		(696)
Total derivative liabilities		54		1,164		2		524
Accrued expense and other liabilities		—		1		—		1
Total liabilities on a recurring basis at fair value	$	57	$	2,032	$	2	$	1,395

(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.

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.

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 months ended March 31, 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
March 31, 2013
Trading account assets
Other mortgage-backed securities		—	$	4	(b)		—	$	(4)		—		—			—			—			—
Other securities		—		1	(b)		—		—	$	(1)		—			—			—		$	1	(b)
State and political subdivisions	$	3		—			—		—				—			—		$	3			—
Other investments
Principal investments
Direct		191		(4)	(c)	$	4		—		—		—			—			191			(4)	(c)
Indirect		436		12	(c)		6		(19)		—		—			—			435			4	(c)
Equity and mezzanine investments
Direct		—		—			—		—		—		—			—			—			—
Indirect		41		—			—		—		(2)		—			—			39			—
Derivative instruments(a)
Interest rate		19		(3)	(d)		—		(1)		—	$	14	(f)	$	(2)			27			—
Energy and commodity		1		3	(d)		—		—		—		—			—			4			—
Credit		4		(1)	(d)		—		—		1		—			—			4			—
March 31, 2012
Trading account assets
Other mortgage-backed securities	$	35	$	2	(b)		—	$	(32)		—		—		$	(4)		$	1			—
Other securities		—		3	(b)		—		—	$	(3)		—			—			—		$	3	(b)
Other investments
Principal investments
Direct		225		1	(c)	$	1		(1)		—		—			—			226			1	(c)
Indirect		473		23	(c)		10		(21)		—		—			—			485			19	(c)
Equity and mezzanine investments
Direct		15		—			—		—		—		—			—			15			6	(c)
Indirect		36		1	(c)		3		—		(1)	$	3			—			42			4	(c)
Derivative instruments(a)
Interest rate		38		(5)	(d)		1		(1)		—		4			(1)			36			—
Energy and commodity		(1)		—			—		—		—		—			—			(1)			—
Credit		(21)		(5)	(d)		—		—		31		—			—			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.

(g) There were no issuances for the three-month periods ended March 31, 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 March 31, 2013, December 31, 2012, and March 31, 2012:

	March 31, 2013
in millions	Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A NONRECURRING BASIS
Impaired loans		—		—	$	18	$	18
Loans held for sale (a)		—		—		12		12
Accrued income and other assets		—	$	2		14		16
Total assets on a nonrecurring basis at fair value		—	$	2	$	44	$	46
	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 (a)		—		—		9		9
Accrued income and other assets		—	$	2		20		22
Total assets on a nonrecurring basis at fair value		—	$	2	$	54	$	56
	March 31, 2012
in millions	Level 1		Level 2		Level 3		Total
ASSETS MEASURED ON A NONRECURRING BASIS
Impaired loans		—		—	$	101	$	101
Loans held for sale (a)		—		—		25		25
Accrued income and other assets		—	$	30		16		46
Total assets on a nonrecurring basis at fair value		—	$	30	$	142	$	172

(a) During the first quarter of 2013, we transferred $1 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 March 31, 2013, December 31, 2012, and March 31, 2012, along with the valuation techniques used, are shown in the following table:

March 31, 2013 dollars in millions	Fair Value of Level 3 Assets		Valuation Technique	Significant Unobservable Input	Range (Weighted-Average)
Recurring
Other investments	$	191	Individual analysis of the condition of each investment
— principal investments — direct:
Debt instruments				EBITDA multiple	5.50 - 6.00% (5.90%)
Equity instruments of private companies				EBITDA multiple (where applicable)	5.00 - 6.00% (5.80%)
				Revenue multiple (where applicable)	0.30 - 5.30% (4.05%)
Nonrecurring
Impaired loans		18	Fair value of underlying collateral	Discount	0.00 - 100.00% (38.00%)
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	$	181	Individual analysis of the condition of each investment
— principal investments — direct:
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%)
March 31, 2012 dollars in millions	Fair Value of Level 3 Assets		Valuation Technique	Significant Unobservable Input	Range (Weighted-Average)
Recurring
Other investments	$	216	Individual analysis of the condition of each investment
— principal investments — direct:
Debt instruments				EBITDA multiple	5.30 - 6.50% (5.90%)
Equity instruments of private companies				EBITDA multiple (where applicable)	5.50 - 12.00% (6.37%)
				Revenue multiple (where applicable)	0.20 - 4.70% (2.93%)
Nonrecurring
Impaired loans		101	Fair value of underlying collateral	Discount	0.00 - 100.00% (31.00%)
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 March 31, 2013, December 31, 2012, and March 31, 2012 are shown in the following table.

	March 31, 2013
			Fair Value
in millions	Carrying Amount		Level 1		Level 2		Level 3		Netting Adjustment			Total
ASSETS
Cash and short-term investments (a)	$	3,702	$	3,391	$	311		—		—		$	3,702
Trading account assets (e)		701		5		693	$	3		—			701
Securities available for sale (e)		13,496		43		13,453		—		—			13,496
Held-to-maturity securities (b)		3,721		—		3,779		—		—			3,779
Other investments (e)		1,059		—		394		665		—			1,059
Loans, net of allowance (c)		51,681		—		—		50,926		—			50,926
Loans held for sale (e)		434		—		—		434		—			434
Mortgage servicing assets (d)		201		—		—		244		—			244
Derivative assets (e)		609		57		1,630		37	$	(1,115	)  (f)		609
LIABILITIES
Deposits with no stated maturity (a)	$	56,810		—	$	56,810		—		—		$	56,810
Time deposits (d)		7,844	$	522		7,460		—		—			7,982
Short-term borrowings (a)		2,328		3		2,325		—		—			2,328
Long-term debt (d)		7,785		2,781		5,482		—		—			8,263
Derivative liabilities (e)		524		54		1,164	$	2	$	(696	)  (f)		524
	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
	March 31, 2012
			Fair Value
in millions	Carrying Amount		Level 1		Level 2		Level 3		Netting     Adjustment			Total
ASSETS
Cash and short-term investments (a)	$	4,021	$	3,729	$	292		—		—		$	4,021
Trading account assets (e)		614		11		602	$	1		—			614
Securities available for sale (e)		14,633		12		14,621		—		—			14,633
Held-to-maturity securities (b)		3,019		—		3,052		—		—			3,052
Other investments (e)		1,188		18		402		768		—			1,188
Loans, net of allowance (c)		48,282		—		—		47,348		—			47,348
Loans held for sale (e)		511		—		—		511		—			511
Mortgage servicing assets (d)		183		—		—		226		—			226
Derivative assets (e)		830		73		2,010		42	$	(1,295	)  (f)		830
LIABILITIES
Deposits with no stated maturity (a)	$	50,805		—	$	50,805		—		—		$	50,805
Time deposits (d)		10,689	$	857		10,096		—		—			10,953
Short-term borrowings (a)		2,170		6		2,164		—		—			2,170
Long-term debt (d)		8,898		3,885		5,246		—		—			9,131
Derivative liabilities (e)		754		64		1,535	$	2	$	(847	)  (f)		754

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.