Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

ASSETS AND LIABILITIES MEASURED AT FAIR VALUE ON A RECURRING BASIS
									Netting
(In millions)	Level 1		(a)	Level 2		(a)	Level 3		adjustment		(b)	Net balance
September 30, 2015
Assets
Investment securities
Debt
U.S. corporate	$	-		$	19,853		$	3,046	$	-		$	22,899
State and municipal		-			4,259			81		-			4,340
Residential mortgage-backed		-			981			2		-			984
Commercial mortgage-backed		-			2,403			1		-			2,405
Asset-backed		-			59			38		-			97
Corporate ̶ non-U.S.		6			579			282		-			867
Government ̶ non-U.S.		14			1,238			-		-			1,252
U.S. government and federal agency		-			3,573			309		-			3,882
Equity
Available-for-sale		100			14			10		-			125
Trading		19			-			-		-			19
Derivatives(c)		-			7,465			67		(6,325)			1,207
Total	$	138		$	40,425		$	3,837	$	(6,325)		$	38,075
Liabilities
Derivatives	$	-		$	4,382		$	7	$	(4,378)		$	11
Other		-			19			-		-			19
Total	$	-		$	4,401		$	7	$	(4,378)		$	29

December 31, 2014
Assets
Investment securities
Debt
U.S. corporate	$	-		$	20,659		$	3,044	$	-		$	23,703
State and municipal		-			4,560			115		-			4,675
Residential mortgage-backed		-			1,676			16		-			1,692
Commercial mortgage-backed		-			3,054			9		-			3,063
Asset-backed		-			172			123		-			295
Corporate ̶ non-U.S.		-			680			336		-			1,016
Government ̶ non-U.S.		-			1,708			2		-			1,710
U.S. government and federal agency		-			1,747			266		-			2,013
Equity
Available-for-sale		108			15			9		-			132
Trading		21			-			-		-			21
Derivatives(c)		-			8,981			27		(7,378)			1,630
Total	$	129		$	43,252		$	3,947	$	(7,378)		$	39,950
Liabilities
Derivatives	$	-		$	4,218		$	9	$	(4,171)		$	56
Other		-			20			-		-			20
Total	$	-		$	4,238		$	9	$	(4,171)		$	76

(a) There were no securities transferred between Level 1 and Level 2 in the nine months ended September 30, 2015. There were $487 million of Government – non-U.S. and $13 million of Corporate – non-U.S. available-for-sale debt securities transferred from Level 1 to Level 2 in the twelve months ended December 31, 2014 primarily attributable to changes in market observable data.

(b) The netting of derivative receivables and payables (including the effects of any collateral posted or received) is permitted when a legally enforceable master netting agreement exists.

(c) The fair value of derivatives includes an adjustment for non-performance risk. The cumulative adjustment was a gain (loss) of $2 million and $15 million at September 30, 2015 and December 31, 2014, respectively. See Note 11 for additional information on the composition of our derivative portfolio.

Changes in level 3 instruments


CHANGES IN LEVEL 3 INSTRUMENTS FOR THE THREE MONTHS ENDED

																			Net
																			change in
			Net			Net													unrealized
			realized/			realized/													gains
			unrealized		unrealized														(losses)
			gains			gains													relating to
			(losses)		(losses)								Transfers		Transfers				instruments
	Balance at		included		included								into		out of		Balance at		still held at
(In millions)	July 1		in earnings(a)		in AOCI		Purchases		Sales		Settlements		Level 3(b)		Level 3(b)		September 30		September 30(c)

2015
Investment securities
Debt
U.S. corporate	$	3,019	$	5	$	(7)	$	74	$	(28)	$	(37)	$	35	$	(14)	$	3,046	$	-
State and municipal		101		-		1		-		-		(5)		-		(17)		81		-
RMBS		2		-		-		-		-		(1)		-		-		2		-
CMBS		2		-		-		-		-		-		-		-		1		-
ABS		76		(2)		-		-		-		-		-		(36)		38		-
Corporate – non-U.S.		283		-		-		-		-		(1)		-		-		282		-
Government – non-U.S.		2		-		-		-		-		-		-		(2)		-		-
U.S. government and
federal agency		293		-		16		-		-		-		-		-		309		-
Equity
Available-for-sale		6		-		(1)		-		-		-		6		-		10		-
Derivatives(d)(e)		71		1		-		1		-		-		-		-		72		-
Total	$	3,855	$	4	$	9	$	75	$	(28)	$	(44)	$	41	$	(69)	$	3,842	$	-

2014
Investment securities
Debt
U.S. corporate	$	3,032	$	4	$	(1)	$	102	$	(56)	$	(90)	$	32	$	-	$	3,023	$	-
State and municipal		110		-		2		2		-		(1)		-		-		113		-
RMBS		66		-		-		-		-		(3)		-		(47)		16		-
CMBS		11		-		-		-		-		(1)		-		-		10		-
ABS		130		1		2		-		-		(4)		-		-		129		-
Corporate – non-U.S.		499		-		(1)		-		-		(23)		-		-		475		-
Government – non-U.S.		1		-		-		-		-		-		-		(1)		-		-
U.S. government and
federal agency		249		-		6		-		-		-		9		-		264		-
Retained interests		1		-		-		-		-		(1)		-		-		-		-
Equity
Available-for-sale		9		-		-		-		-		-		-		-		9		-
Derivatives(d)(e)		22		3		1		(1)		-		(1)		-		-		24		2
Total	$	4,130	$	8	$	9	$	103	$	(56)	$	(124)	$	41	$	(48)	$	4,063	$	2

(a) Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Statement of Earnings (Loss).

(b) Transfers in and out of Level 3 are considered to occur at the beginning of the period. Transfers out of Level 3 were primarily a result of increased use of quotes from independent pricing vendors based on recent trading activity.

(d) Represents derivative assets net of derivative liabilities and included cash accruals of $12 million and $9 million not reflected in the fair value hierarchy table for the three months ended September 30, 2015 and 2014, respectively.

(e) Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.


CHANGES IN LEVEL 3 INSTRUMENTS FOR THE NINE MONTHS ENDED

																			Net
																			change in
			Net			Net													unrealized
			realized/			realized/													gains
			unrealized		unrealized														(losses)
			gains			gains													relating to
			(losses)		(losses)								Transfers		Transfers				instruments
	Balance at		included		included								into		out of		Balance at		still held at
(In millions)	January 1		in earnings(a)		in AOCI		Purchases		Sales		Settlements		Level 3(b)		Level 3(b)		September 30		September 30(c)

2015
Investment securities
Debt
U.S. corporate	$	3,044	$	16	$	(93)	$	248	$	(83)	$	(93)	$	35	$	(27)	$	3,046	$	-
State and municipal		115		-		(3)		-		-		(15)		-		(17)		81		-
RMBS		16		5		(4)		-		(15)		(1)		-		-		2		-
CMBS		9		-		-		-		(7)		-		-		-		1		-
ABS		123		(16)		(5)		-		(12)		(3)		-		(49)		38		-
Corporate – non-U.S.		336		-		(4)		-		(49)		(1)		-		-		282		-
Government – non-U.S.		2		-		-		-		-		-		-		(2)		-		-
U.S. government and
federal agency		266		-		44		-		-		(1)		-		-		309		-
Equity
Available-for-sale		9		2		(3)		6		(5)		(4)		6		-		10		-
Derivatives(d)(e)		28		-		3		-		-		-		42		-		72		-
Total	$	3,948	$	7	$	(65)	$	254	$	(171)	$	(118)	$	83	$	(95)	$	3,842	$	-

2014
Investment securities
Debt
U.S. corporate	$	2,751	$	22	$	126	$	440	$	(212)	$	(158)	$	170	$	(116)	$	3,023	$	-
State and municipal		96		-		9		12		-		(4)		-		-		113		-
RMBS		86		1		-		-		(16)		(8)		-		(47)		16		-
CMBS		10		-		-		-		-		(2)		2		-		10		-
ABS		145		3		6		-		-		(15)		-		(10)		129		-
Corporate – non-U.S.		503		13		42		-		(54)		(24)		1		(6)		475		-
Government – non-U.S.		31		-		-		-		-		-		-		(31)		-		-
U.S. government and
federal agency		225		-		32		-		-		-		9		(2)		264		-
Retained interests		1		-		-		-		-		(1)		-		-		-		-
Equity
Available-for-sale		11		-		-		2		(2)		(2)		-		-		9		-
Derivatives(d)(e)		19		7		1		(1)		-		(1)		(1)		-		24		12
Total	$	3,878	$	46	$	216	$	453	$	(284)	$	(215)	$	181	$	(212)	$	4,063	$	12

(a) Earnings effects are primarily included in the “Revenues from services” and “Interest” captions in the Statement of Earnings (Loss).

(d) Represents derivative assets net of derivative liabilities and included cash accruals of $12 million and $9 million not reflected in the fair value hierarchy table for the nine months ended September 30, 2015 and 2014, respectively.

(e) Gains (losses) included in net realized/unrealized gains (losses) included in earnings were offset by the earnings effects from the underlying items that were economically hedged. See Note 11.

Non-recurring fair value amounts (as measured at the time of the adjustment) for those assets remeasured to fair value on a non-recurring basis

	Remeasured during				Remeasured during
	the nine months ended				the year ended
	September 30, 2015				December 31, 2014
(In millions)	Level 2		Level 3		Level 2		Level 3

Financing receivables and financing receivables held for sale	$	-	$	18,152	$	1	$	584
Cost and equity method investments		1		2,336		-		334
Long-lived assets, including real estate		3		296		102		718
Total	$	4	$	20,785	$	103	$	1,636

	Three months ended September 30				Nine months ended September 30
(In millions)		2015	2014		2015		2014

Financing receivables and financing receivables held for sale	$	(46)	$	(31)	$	(2,199)	$	(135)
Cost and equity method investments		(279)		(80)		(1,741)		(274)
Long-lived assets, including real estate		(85)		(262)		(125)		(312)
Total	$	(410)	$	(373)	$	(4,064)	$	(721)

Significant Unobservable Inputs Used For Level Three Recurring And Nonrecurring Measurements [Table Text Block]

LEVEL 3 MEASUREMENTS - SIGNIFICANT UNOBSERVABLE INPUTS
					Range
(Dollars in millions)	Fair value		Valuation technique	Unobservable inputs	(weighted average)

September 30, 2015
Recurring fair value measurements
Investment securities - Debt
U.S. corporate	$	863	Income approach	Discount rate(a)	2.2%-15.3% (7.4%)
Asset-backed		38	Income approach	Discount rate(a)	5.0%-10.0% (9.1%)
Corporate ̶ non-U.S.		226	Income approach	Discount rate(a)	6.5%-14.0% (7.4%)


Non-recurring fair value measurements
Financing receivables and financing receivables held for sale	$	18,015	Income approach	Discount rate(a)	5.6%-8.0% (6.7%)

Cost and equity method investments		2,134	Income approach,	Discount rate(a)	9.0%-14.5% (11.8%)
			Market comparables	Price to book multiple	0.4X-0.7X (0.6X)

Long-lived assets, including real estate		198	Income approach	Discount rate(a)	1.7%-9.8% (6.2%)



December 31, 2014
Recurring fair value measurements
Investment securities - Debt
U.S. corporate	$	917	Income approach	Discount rate(a)	1.5%-14.8% (6.6%)
State and municipal		17	Income approach	Discount rate(a)	4.9%-4.9% (4.9%)
Asset-backed		102	Income approach	Discount rate(a)	4.3%-9.0% (5.6%)
Corporate ̶ non-U.S.		278	Income approach	Discount rate(a)	3.3%-14.0% (6.5%)


Non-recurring fair value measurements
Cost and equity method investments		309	Income approach	Discount rate(a)	8.0%-10.0% (9.4%)
			Market comparables	EBITDA multiple	1.8X-5.2X (4.8X)

Long-lived assets, including real estate		664	Income approach	Discount rate(a)	2.0%-10.8% (6.7%)

(a) Discount rates are determined based on inputs that market participants would use when pricing investments, including credit and liquidity risk. An increase in the discount rate would result in a decrease in the fair value.