Fair Values of Assets and Liabilities

6 Months Ended

Jun. 30, 2013

We use fair value measurements to record fair value adjustments to certain assets and liabilities and to determine fair value disclosures. Trading assets (excluding derivatives), securities available for sale, derivatives, substantially all residential MHFS, certain commercial LHFS, certain loans held for investment, fair value MSRs and securities sold but not yet purchased (short sale liabilities) are recorded at fair value on a recurring basis. Additionally, from time to time, we may be required to record at fair value other assets on a nonrecurring basis, such as certain residential and commercial MHFS, certain LHFS, loans held for investment and certain other assets. These nonrecurring fair value adjustments typically involve application of lower-of-cost-or-market accounting or write-downs of individual assets.

See Note 1 in our 2012 Form 10-K for discussion of how we determine fair value. For descriptions of the valuation methodologies we use for assets and liabilities recorded at fair value on a recurring or nonrecurring basis and for estimating fair value for financial instruments not recorded at fair value, see Note 17 in our 2012 Form 10-K.

Fair Value Hierarchy We group our assets and liabilities measured at fair value in three levels, based on the markets in which the assets and liabilities are traded and the reliability of the assumptions used to determine fair value. These levels are:

Level 1 – Valuation is based upon quoted prices for identical instruments traded in active markets.
Level 2 – Valuation is based upon quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques for which all significant assumptions are observable in the market.
Level 3 – Valuation is generated from techniques that use significant assumptions not observable in the market. These unobservable assumptions reflect estimates of assumptions that market participants would use in pricing the asset or liability. Valuation techniques include use of option pricing models, discounted cash flow models and similar techniques.

Level 3 Asset and Liability Valuation Processes

We generally determine fair value of our Level 3 assets and liabilities by using internally developed models and, to a lesser extent, prices obtained from third-party pricing services or brokers (collectively, vendors). Our valuation processes vary depending on which approach is utilized.

INTERNAL MODEL VALUATIONS Our internally developed models primarily consist of discounted cash flow techniques. Use of such techniques requires determining relevant inputs, some of which are unobservable. Unobservable inputs are generally derived from historic performance of similar assets or determined from previous market trades in similar instruments. These unobservable inputs usually consist of discount rates, default rates, loss severity upon default, volatilities, correlations and prepayment rates, which are inherent within our Level 3 instruments. Such inputs can be correlated to similar portfolios with known historic experience or recent trades where particular unobservable inputs may be implied; but due to the nature of various inputs being reflected within a particular trade, the value of each input is considered unobservable. We attempt to correlate each unobservable input to historic experience and other third party data where available.

Internal valuation models are subject to review prescribed within our model risk management policies and procedures which includes model validation. The purpose of model validation includes ensuring the model is appropriate for its intended use and the appropriate controls exist to help mitigate risk of invalid valuations. Model validation assesses the adequacy and appropriateness of the model, including reviewing its key components such as inputs, processing components, logic or theory, output results and supporting model documentation. Validation also includes ensuring significant unobservable model inputs are appropriate given observable market transactions or other market data within the same or similar asset classes. This ensures modeled approaches are appropriate given similar product valuation techniques and are in line with their intended purpose.

We have ongoing monitoring procedures in place for our Level 3 assets and liabilities that use such internal valuation models. These procedures, which are designed to provide reasonable assurance that models continue to perform as expected after approved, include:

ongoing analysis and benchmarking to market transactions and other independent market data (including pricing vendors, if available);
back-testing of modeled fair values to actual realized transactions; and
review of modeled valuation results against expectations, including review of significant or unusual value fluctuations.

We update model inputs and methodologies periodically to reflect these monitoring procedures. Additionally, procedures and controls are in place to ensure existing models are subject to periodic reviews, and we perform full model revalidations as necessary.

All internal valuation models are subject to ongoing review by business-unit-level management. More complex models are subject to additional oversight by a corporate-level risk management department. Corporate oversight responsibilities include evaluating adequacy of business unit risk management programs, maintaining company-wide model validation policies and standards and reporting the results of these activities to management and our Enterprise Risk Management Committee (ERMC). The ERMC, which consists of senior executive management and reports on top risks to the Company's Board of Directors, monitors all company-wide risks, including credit risk, market risk, and reputational risk.

VENDOR-DEVELOPED VALUATIONS In certain limited circumstances we obtain pricing from third party vendors for the value of our Level 3 assets or liabilities. We have processes in place to approve such vendors to ensure information obtained and valuation techniques used are appropriate. Once these vendors are approved to provide pricing information, we monitor and review the results to ensure the fair values are reasonable and in line with market experience in similar asset classes. While the input amounts used by the pricing vendor in determining fair value are not provided, and therefore unavailable for our review, we do perform one or more of the following procedures to validate the prices received:

comparison to other pricing vendors (if available);
variance analysis of prices;
corroboration of pricing by reference to other independent market data such as market transactions and relevant benchmark indices;
review of pricing by Company personnel familiar with market liquidity and other market-related conditions; and
investigation of prices on a specific instrument-by-instrument basis.

Fair Value Measurements from Brokers or Third Party Pricing Services

For certain assets and liabilities, we obtain fair value measurements from brokers or third party pricing services and record the unadjusted fair value in our financial statements. The detail by level is shown in the table below. Fair value measurements obtained from brokers or third party pricing services that we have adjusted to determine the fair value recorded in our financial statements are not included in the following table.



					Brokers			Third party pricing services
(in millions)					Level 1	Level 2	Level 3	Level 1	Level 2	Level 3

June 30, 2013
Trading assets (excluding derivatives)				$	-	332	5	1,431	1,423	-
Securities available for sale:
	Securities of U.S. Treasury and federal agencies				-	-	-	520	5,863	-
	Securities of U.S. states and political subdivisions				-	-	-	-	37,050	68
	Mortgage-backed securities				-	749	1	-	143,074	286
	Other debt securities (1)				-	15,019	2,719	-	28,620	109
		Total debt securities			-	15,768	2,720	520	214,607	463
		Total marketable equity securities			-	-	-	8	805	-
			Total securities available for sale		-	15,768	2,720	528	215,412	463
Derivatives (trading and other assets)					-	6	-	-	519	2
Derivatives (liabilities)					-	31	-	-	517	-
Other liabilities					3	166	-	-	144	-


December 31, 2012
Trading assets (excluding derivatives)				$	-	406	8	1,314	1,016	-
Securities available for sale:
	Securities of U.S. Treasury and federal agencies				-	-	-	915	6,231	-
	Securities of U.S. states and political subdivisions				-	-	-	-	35,036	-
	Mortgage-backed securities				-	138	4	-	121,703	292
	Other debt securities (1)				-	1,516	12,465	-	28,314	149
		Total debt securities			-	1,654	12,469	915	191,284	441
		Total marketable equity securities			-	3	-	29	774	-
			Total securities available for sale		-	1,657	12,469	944	192,058	441
Derivatives (trading and other assets)					-	8	-	-	602	-
Derivatives (liabilities)					-	26	-	-	634	-
Other liabilities					-	121	-	-	104	-


(1)	Includes corporate debt securities, collateralized loan and other debt obligations, asset-backed securities, and other debt securities.

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following two tables present the balances of assets and liabilities measured at fair value on a recurring basis.



(in millions)							Level 1	Level 2	Level 3		Netting		Total
June 30, 2013
Trading assets (excluding derivatives)
	Securities of U.S. Treasury and federal agencies					$	6,849	3,466	-		-		10,315
	Securities of U.S. states and political subdivisions						-	2,354	40		-		2,394
	Collateralized loan and other debt obligations (1)						-	191	495		-		686
	Corporate debt securities						-	7,763	14		-		7,777
	Mortgage-backed securities						-	14,436	9		-		14,445
	Asset-backed securities						-	821	109		-		930
	Equity securities						4,085	112	-		-		4,197
		Total trading securities(2)					10,934	29,143	667		-		40,744
	Other trading assets						2,305	1,300	63		-		3,668
			Total trading assets (excluding derivatives)				13,239	30,443	730		-		44,412
Securities of U.S. Treasury and federal agencies							520	5,863	-		-		6,383
Securities of U.S. states and political subdivisions							-	37,131	3,759	(3)	-		40,890
Mortgage-backed securities:
	Federal agencies						-	110,561	-		-		110,561
	Residential						-	14,019	98		-		14,117
	Commercial						-	19,112	194		-		19,306
		Total mortgage-backed securities					-	143,692	292		-		143,984
Corporate debt securities							84	20,675	243		-		21,002
Collateralized loan and other debt obligations(4)							-	13,974	3,227	(3)	-		17,201
Asset-backed securities:
	Auto loans and leases						-	14	4,872	(3)	-		4,886
	Home equity loans						-	857	-		-		857
	Other asset-backed securities						-	7,715	2,948	(3)	-		10,663
		Total asset-backed securities					-	8,586	7,820		-		16,406
Other debt securities							-	816	-		-		816
			Total debt securities				604	230,737	15,341		-		246,682
Marketable equity securities:
	Perpetual preferred securities (5)						573	799	788	(3)	-		2,160
	Other marketable equity securities						583	14	-		-		597
			Total marketable equity securities				1,156	813	788		-		2,757
				Total securities available for sale			1,760	231,550	16,129		-		249,439
Mortgages held for sale							-	32,761	2,641		-		35,402
Loans held for sale							-	2	-		-		2
Loans							-	228	5,860		-		6,088
Mortgage servicing rights (residential)							-	-	14,185		-		14,185
Derivative assets:
	Interest rate contracts						31	61,357	424		-		61,812
	Commodity contracts						-	3,006	18		-		3,024
	Equity contracts						592	3,516	1,094		-		5,202
	Foreign exchange contracts						45	4,805	-		-		4,850
	Credit contracts						-	886	647		-		1,533
	Other derivative contracts						-	-	-		-		-
		Netting					-	-	-		(58,551)	(6)	(58,551)
			Total derivative assets (7)				668	73,570	2,183		(58,551)		17,870
Other assets							341	5	731		-		1,077
					Total assets recorded at fair value	$	16,008	368,559	42,459		(58,551)		368,475
Derivative liabilities:
	Interest rate contracts					$	(38)	(59,416)	(985)		-		(60,439)
	Commodity contracts						-	(3,038)	(30)		-		(3,068)
	Equity contracts						(301)	(3,741)	(1,067)		-		(5,109)
	Foreign exchange contracts						(39)	(4,084)	(29)		-		(4,152)
	Credit contracts						-	(904)	(1,446)		-		(2,350)
	Other derivative contracts						-	-	(36)		-		(36)
		Netting					-	-	-		63,998	(6)	63,998
			Total derivative liabilities (7)				(378)	(71,183)	(3,593)		63,998		(11,156)
Short sale liabilities:
	Securities of U.S. Treasury and federal agencies						(4,297)	(1,207)	-		-		(5,504)
	Securities of U.S. states and political subdivisions						-	(18)	-		-		(18)
	Corporate debt securities						-	(4,612)	-		-		(4,612)
	Equity securities						(1,617)	-	-		-		(1,617)
	Other securities						-	(233)	-		-		(233)
		Total short sale liabilities					(5,914)	(6,070)	-		-		(11,984)
Other liabilities							-	-	(43)		-		(43)
					Total liabilities recorded at fair value	$	(6,292)	(77,253)	(3,636)		63,998		(23,183)

Includes collateralized debt obligations of $5 million.
Net gains (losses) from trading activities recognized in the income statement include $(646) million and $131 million in net unrealized gains (losses) on trading securities held at June 30, 2013 and 2012, respectively.
Balances consist of securities that are predominantly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity.
Includes collateralized debt obligations of $705 million.
Perpetual preferred securities include ARS and corporate preferred securities. See Note 7 for additional information.
Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.
Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively.

(continued from previous page)


(in millions)							Level 1	Level 2	Level 3		Netting		Total
December 31, 2012
Trading assets (excluding derivatives)
	Securities of U.S. Treasury and federal agencies					$	5,104	3,774	-		-		8,878
	Securities of U.S. states and political subdivisions						-	1,587	46		-		1,633
	Collateralized loan and other debt obligations (1)						-	-	742		-		742
	Corporate debt securities						-	6,664	52		-		6,716
	Mortgage-backed securities						-	13,380	6		-		13,386
	Asset-backed securities						-	722	138		-		860
	Equity securities						3,481	356	3		-		3,840
		Total trading securities(2)					8,585	26,483	987		-		36,055
	Other trading assets						2,150	887	76		-		3,113
			Total trading assets (excluding derivatives)				10,735	27,370	1,063		-		39,168
Securities of U.S. Treasury and federal agencies							915	6,231	-		-		7,146
Securities of U.S. states and political subdivisions							-	35,045	3,631	(3)	-		38,676
Mortgage-backed securities:
	Federal agencies						-	97,285	-		-		97,285
	Residential						-	15,837	94		-		15,931
	Commercial						-	19,765	203		-		19,968
		Total mortgage-backed securities					-	132,887	297		-		133,184
Corporate debt securities							125	20,934	274		-		21,333
Collateralized loan and other debt obligations (4)							-	-	13,188	(3)	-		13,188
Asset-backed securities:
	Auto loans and leases						-	7	5,921	(3)	-		5,928
	Home equity loans						-	867	51		-		918
	Other asset-backed securities						-	7,828	3,283	(3)	-		11,111
		Total asset-backed securities					-	8,702	9,255		-		17,957
Other debt securities							-	930	-		-		930
			Total debt securities				1,040	204,729	26,645		-		232,414
Marketable equity securities:
	Perpetual preferred securities (5)						629	753	794	(3)	-		2,176
	Other marketable equity securities						554	55	-		-		609
			Total marketable equity securities				1,183	808	794		-		2,785
				Total securities available for sale			2,223	205,537	27,439		-		235,199
Mortgages held for sale							-	39,055	3,250		-		42,305
Loans held for sale							-	6	-		-		6
Loans							-	185	6,021		-		6,206
Mortgage servicing rights (residential)							-	-	11,538		-		11,538
Derivative assets:
	Interest rate contracts						16	70,277	1,058		-		71,351
	Commodity contracts						-	3,386	70		-		3,456
	Equity contracts						432	2,747	604		-		3,783
	Foreign exchange contracts						19	5,481	24		-		5,524
	Credit contracts						-	1,160	650		-		1,810
	Other derivative contracts						-	-	-		-		-
		Netting					-	-	-		(62,108)	(6)	(62,108)
			Total derivative assets (7)				467	83,051	2,406		(62,108)		23,816
Other assets							136	123	162		-		421
					Total assets recorded at fair value	$	13,561	355,327	51,879		(62,108)		358,659
Derivative liabilities:
	Interest rate contracts					$	(52)	(68,244)	(399)		-		(68,695)
	Commodity contracts						-	(3,541)	(49)		-		(3,590)
	Equity contracts						(199)	(3,239)	(726)		-		(4,164)
	Foreign exchange contracts						(23)	(3,553)	(3)		-		(3,579)
	Credit contracts						-	(1,152)	(1,800)		-		(2,952)
	Other derivative contracts						-	-	(78)		-		(78)
		Netting					-	-	-		71,116	(6)	71,116
			Total derivative liabilities (7)				(274)	(79,729)	(3,055)		71,116		(11,942)
Short sale liabilities:
	Securities of U.S. Treasury and federal agencies						(4,225)	(875)	-		-		(5,100)
	Securities of U.S. states and political subdivisions						-	(9)	-		-		(9)
	Corporate debt securities						-	(3,941)	-		-		(3,941)
	Equity securities						(1,233)	(35)	-		-		(1,268)
	Other securities						-	(47)	-		-		(47)
		Total short sale liabilities					(5,458)	(4,907)	-		-		(10,365)
Other liabilities							-	(34)	(49)		-		(83)
					Total liabilities recorded at fair value	$	(5,732)	(84,670)	(3,104)		71,116		(22,390)

Includes collateralized debt obligations of $21 million.
Net gains from trading activities recognized in the income statement include $305 million in net unrealized gains on trading securities we held at December 31, 2012.
Balances consist of securities that are predominantly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity.
Includes collateralized debt obligations of $644 million.
Perpetual preferred securities include ARS and corporate preferred securities. See Note 7 for additional information.
Derivatives are reported net of cash collateral received and paid and, to the extent that the criteria of the accounting guidance covering the offsetting of amounts related to certain contracts are met, positions with the same counterparty are netted as part of a legally enforceable master netting agreement.
Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively.

Changes in Fair Value Levels

We monitor the availability of observable market data to assess the appropriate classification of financial instruments within the fair value hierarchy and transfer between Level 1, Level 2, and Level 3 accordingly. Observable market data includes but is not limited to quoted prices and market transactions. Changes in economic conditions or market liquidity generally will drive changes in availability of observable market data. Changes in availability of observable market data, which also may result in changing the valuation technique used, are generally the cause of transfers between Level 1, Level 2, and Level 3.

All current period transfers into and out of Level 1, Level 2, and Level 3 are provided within the following table. The amounts reported as transfers represent the fair value as of the beginning of the quarter in which the transfer occurred.


			Transfers Between Fair Value Levels
			Level 1		Level 2		Level 3 (1)
(in millions)			In	Out	In	Out	In	Out	Total
Quarter ended June 30, 2013
Trading securities		$	-	(246)	266	(1)	1	(20)	-
Securities available for sale			-	-	165	-	-	(165)	-
Mortgages held for sale			-	-	46	(81)	81	(46)	-
Loans			-	-	58	-	-	(58)	-
Net derivative assets and liabilities			-	-	70	-	-	(70)	-
	Total transfers	$	-	(246)	605	(82)	82	(359)	-
Quarter ended June 30, 2012
Trading securities		$	-	-	-	-	-	-	-
Securities available for sale (3)			-	-	3,943	(14)	14	(3,943)	-
Mortgages held for sale			-	-	64	(84)	84	(64)	-
Loans			-	-	-	-	-	-	-
Net derivative assets and liabilities			-	-	1	-	-	(1)	-
	Total transfers	$	-	-	4,008	(98)	98	(4,008)	-
Six months ended June 30, 2013
Trading securities (2)		$	-	(246)	468	(26)	26	(222)	-
Securities available for sale (2)			17	-	10,841	(17)	-	(10,841)	-
Mortgages held for sale			-	-	139	(178)	178	(139)	-
Loans			-	-	106	-	-	(106)	-
Net derivative assets and liabilities			-	-	49	-	-	(49)	-
	Total transfers	$	17	(246)	11,603	(221)	204	(11,357)	-
Six months ended June 30, 2012
Trading securities		$	-	-	10	(14)	14	(10)	-
Securities available for sale (3)			-	-	4,036	(57)	57	(4,036)	-
Mortgages held for sale			-	-	150	(171)	171	(150)	-
Loans			-	-	-	-	-	-	-
Net derivative assets and liabilities			-	-	13	8	(8)	(13)	-
	Total transfers	$	-	-	4,209	(234)	234	(4,209)	-

All transfers in and out of Level 3 are disclosed within the recurring level 3 rollforward table in this Note.
Consists of $202 million of collateralized loan obligations classified as trading assets and $10.6 billion classified as securities available for sale that we transferred from Level 3 to Level 2 in first quarter 2013 as a result of increased observable market data in the valuation of such instruments.
Includes $3.9 billion of securities of U.S. states and political subdivisions that we transferred from Level 3 to Level 2 during second quarter 2012 as a result of increased use of observable market data in the valuation of such instruments. This transfer was done in conjunction with a change in our valuation technique from an internal model based upon unobservable inputs to third party vendor pricing based upon market observable data.

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2013, are summarized as follows:



															Net unrealized
									Total net gains		Purchases,				gains (losses)
									(losses) included in		sales,				included in
										Other	issuances				income related
								Balance,		compre-	and	Transfers	Transfers	Balance,	to assets and
							beginning		Net	hensive	settlements,	into	out of	end of	liabilities held
(in millions)								of period	income	income	net (1)	Level 3	Level 3	period	at period end	(2)
Quarter ended June 30, 2013
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	36	(1)	-	5	-	-	40	-
	Collateralized loan and other debt obligations							505	25	-	(35)	-	-	495	(13)
	Corporate debt securities							29	-	-	(16)	1	-	14	(1)
	Mortgage-backed securities							5	1	-	3	-	-	9	-
	Asset-backed securities							143	(3)	-	(11)	-	(20)	109	(10)
	Equity securities							-	-	-	-	-	-	-	-
		Total trading securities						718	22	-	(54)	1	(20)	667	(24)
	Other trading assets							70	(7)	-	-	-	-	63	(2)
			Total trading assets
				(excluding derivatives)				788	15	-	(54)	1	(20)	730	(26)	(3)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						3,529	2	(58)	451	-	(165)	3,759	-
	Mortgage-backed securities:
		Residential						95	1	5	(3)	-	-	98	-
		Commercial						192	(4)	9	(3)	-	-	194	(3)
			Total mortgage-backed
				securities				287	(3)	14	(6)	-	-	292	(3)
	Corporate debt securities							281	2	(17)	(23)	-	-	243	-
	Collateralized loan and other debt obligations							2,938	(3)	22	270	-	-	3,227	-
	Asset-backed securities:
		Auto loans and leases						5,704	-	(34)	(798)	-	-	4,872	-
		Home equity loans						-	-	-	-	-	-	-	-
		Other asset-backed securities						3,436	(4)	5	(489)	-	-	2,948	(7)
			Total asset-backed securities					9,140	(4)	(29)	(1,287)	-	-	7,820	(7)
				Total debt securities				16,175	(6)	(68)	(595)	-	(165)	15,341	(10)	(4)
	Marketable equity securities:
		Perpetual preferred securities						807	2	2	(23)	-	-	788	-
		Other marketable equity securities						-	-	-	-	-	-	-	-
				Total marketable
					equity securities			807	2	2	(23)	-	-	788	-	(5)
					Total securities
						available for sale		16,982	(4)	(66)	(618)	-	(165)	16,129	(10)
Mortgages held for sale								3,187	34	-	(615)	81	(46)	2,641	(54)	(6)
Loans								5,975	(107)	-	50	-	(58)	5,860	(99)	(6)
Mortgage servicing rights								12,061	1,225	-	899	-	-	14,185	1,867	(6)
Net derivative assets and liabilities:
	Interest rate contracts							558	(1,251)	-	132	-	-	(561)	(707)
	Commodity contracts							(3)	(3)	-	(8)	-	2	(12)	20
	Equity contracts							(129)	10	-	218	-	(72)	27	(3)
	Foreign exchange contracts							(34)	(1)	-	6	-	-	(29)	9
	Credit contracts							(1,025)	-	-	226	-	-	(799)	30
	Other derivative contracts							(52)	15	-	1	-	-	(36)	-
		Total derivative contracts						(685)	(1,230)	-	575	-	(70)	(1,410)	(651)	(7)
Other assets								348	38	-	345	-	-	731	16	(3)
Short sale liabilities								(8)	-	-	8	-	-	-	-	(3)
Other liabilities (excluding derivatives)								(48)	5	-	-	-	-	(43)	4	(6)

See next page for detail.
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time.
Included in trading activities and other noninterest income in the income statement.
Included in debt securities available for sale in the income statement.
Included in equity investments in the income statement.
Included in mortgage banking and other noninterest income in the income statement.
Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.

The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2013.




(in millions)								Purchases	Sales	Issuances	Settlements	Net
Quarter ended June 30, 2013
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	46	(41)	-	-	5
	Collateralized loan and other debt obligations							270	(302)	-	(3)	(35)
	Corporate debt securities							8	(24)	-	-	(16)
	Mortgage-backed securities							4	(1)	-	-	3
	Asset-backed securities							6	(7)	-	(10)	(11)
	Equity securities							-	-	-	-	-
		Total trading securities						334	(375)	-	(13)	(54)
	Other trading assets							-	-	-	-	-
			Total trading assets
				(excluding derivatives)				334	(375)	-	(13)	(54)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						-	-	630	(179)	451
	Mortgage-backed securities:
		Residential						-	-	-	(3)	(3)
		Commercial						-	-	-	(3)	(3)
			Total mortgage-backed
				securities				-	-	-	(6)	(6)
	Corporate debt securities							-	-	-	(23)	(23)
	Collateralized loan and other debt obligations							371	-	-	(101)	270
	Asset-backed securities:
		Auto loans and leases						1	-	156	(955)	(798)
		Home equity loans						-	-	-	-	-
		Other asset-backed securities						11	(2)	306	(804)	(489)
			Total asset-backed securities					12	(2)	462	(1,759)	(1,287)
				Total debt securities				383	(2)	1,092	(2,068)	(595)
	Marketable equity securities:
		Perpetual preferred securities						-	(20)	-	(3)	(23)
		Other marketable equity securities						-	-	-	-	-
				Total marketable
					equity securities			-	(20)	-	(3)	(23)
					Total securities
						available for sale		383	(22)	1,092	(2,071)	(618)
Mortgages held for sale								101	(572)	-	(144)	(615)
Loans								21	-	115	(86)	50
Mortgage servicing rights								-	(161)	1,060	-	899
Net derivative assets and liabilities:
	Interest rate contracts							-	8	-	124	132
	Commodity contracts							1	(1)	-	(8)	(8)
	Equity contracts							170	(142)	-	190	218
	Foreign exchange contracts							-	-	-	6	6
	Credit contracts							8	(2)	-	220	226
	Other derivative contracts							-	-	-	1	1
		Total derivative contracts						179	(137)	-	533	575
Other assets								360	(1)	-	(14)	345
Short sale liabilities								8	-	-	-	8
Other liabilities (excluding derivatives)								-	-	(1)	1	-

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2012, are summarized as follows:



															Net unrealized
									Total net gains		Purchases,				gains (losses)
									(losses) included in		sales,				included in
										Other	issuances				income related
								Balance,		compre-	and	Transfers	Transfers	Balance,	to assets and
							beginning		Net	hensive	settlements,	into	out of	end of	liabilities held
(in millions)								of period	income	income	net (1)	Level 3	Level 3	period	at period end (2)
Quarter ended June 30, 2012
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	103	-	-	(45)	-	-	58	-
	Collateralized loan and other debt obligations							1,539	1	-	(267)	-	-	1,273	(11)
	Corporate debt securities							132	(2)	-	(74)	-	-	56	(1)
	Mortgage-backed securities							54	4	-	35	-	-	93	2
	Asset-backed securities							164	17	-	(2)	-	-	179	12
	Equity securities							3	1	-	(1)	-	-	3	-
		Total trading securities						1,995	21	-	(354)	-	-	1,662	2
	Other trading assets							108	(17)	-	-	-	-	91	(11)
			Total trading assets
				(excluding derivatives)				2,103	4	-	(354)	-	-	1,753	(9)	(3)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						12,514	(1)	30	863	-	(3,901)	9,505	(3)
	Mortgage-backed securities:
		Residential						58	11	10	(34)	1	(31)	15	-
		Commercial						232	1	(1)	(43)	-	-	189	(1)
			Total mortgage-backed
				securities				290	12	9	(77)	1	(31)	204	(1)
	Corporate debt securities							308	(2)	(16)	(4)	-	-	286	-
	Collateralized loan and other debt obligations							9,163	28	(6)	(38)	-	-	9,147	-
	Asset-backed securities:
		Auto loans and leases						6,913	2	(13)	(696)	-	-	6,206	-
		Home equity loans						257	4	(4)	(2)	13	(11)	257	(4)
		Other asset-backed securities						2,869	(26)	5	226	-	-	3,074	(16)
			Total asset-backed securities					10,039	(20)	(12)	(472)	13	(11)	9,537	(20)
				Total debt securities				32,314	17	5	272	14	(3,943)	28,679	(24)	(4)
	Marketable equity securities:
		Perpetual preferred securities						1,173	40	(32)	(254)	-	-	927	-
		Other marketable equity securities						3	1	-	(2)	-	-	2	-
				Total marketable
					equity securities			1,176	41	(32)	(256)	-	-	929	-	(5)
					Total securities
						available for sale		33,490	58	(27)	16	14	(3,943)	29,608	(24)
Mortgages held for sale								3,330	1	-	(23)	84	(64)	3,328	1	(6)
Loans								25	-	-	(1)	-	-	24	-	(6)
Mortgage servicing rights								13,578	(2,343)	-	846	-	-	12,081	(1,631)	(6)
Net derivative assets and liabilities:
	Interest rate contracts							335	2,528	-	(1,957)	-	-	906	778
	Commodity contracts							(14)	22	-	(4)	-	-	4	9
	Equity contracts							(180)	51	-	(140)	-	-	(269)	(505)
	Foreign exchange contracts							16	(25)	-	11	-	(1)	1	(15)
	Credit contracts							(1,753)	(60)	-	156	-	-	(1,657)	(7)
	Other derivative contracts							(66)	(40)	-	-	-	-	(106)	-
		Total derivative contracts						(1,662)	2,476	-	(1,934)	-	(1)	(1,121)	260	(7)
Other assets								228	7	-	(10)	-	-	225	5	(3)
Short sale liabilities								-	-	-	(9)	-	-	(9)	-	(3)
Other liabilities (excluding derivatives)								(42)	(3)	-	(200)	-	-	(245)	-	(6)

See next page for detail.
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time.
Included in trading activities and other noninterest income in the income statement.
Included in debt securities available for sale in the income statement.
Included in equity investments in the income statement.
Included in mortgage banking and other noninterest income in the income statement.
Included in mortgage banking, trading activities and other noninterest income in the income statement.




(in millions)								Purchases	Sales	Issuances	Settlements	Net
Quarter ended June 30, 2012
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	9	(54)	-	-	(45)
	Collateralized loan and other debt obligations							181	(448)	-	-	(267)
	Corporate debt securities							70	(144)	-	-	(74)
	Mortgage-backed securities							41	(6)	-	-	35
	Asset-backed securities							26	(16)	-	(12)	(2)
	Equity securities							1	(2)	-	-	(1)
		Total trading securities						328	(670)	-	(12)	(354)
	Other trading assets							-	-	-	-	-
			Total trading assets
				(excluding derivatives)				328	(670)	-	(12)	(354)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						978	(2)	312	(425)	863
	Mortgage-backed securities:
		Residential						1	(34)	-	(1)	(34)
		Commercial						10	-	-	(53)	(43)
			Total mortgage-backed
				securities				11	(34)	-	(54)	(77)
	Corporate debt securities							-	-	-	(4)	(4)
	Collateralized loan and other debt obligations							665	(185)	-	(518)	(38)
	Asset-backed securities:
		Auto loans and leases						205	-	147	(1,048)	(696)
		Home equity loans						-	(2)	-	-	(2)
		Other asset-backed securities						503	(68)	425	(634)	226
			Total asset-backed securities					708	(70)	572	(1,682)	(472)
				Total debt securities				2,362	(291)	884	(2,683)	272
	Marketable equity securities:
		Perpetual preferred securities						-	-	-	(254)	(254)
		Other marketable equity securities						-	(1)	-	(1)	(2)
				Total marketable
					equity securities			-	(1)	-	(255)	(256)
					Total securities
						available for sale		2,362	(292)	884	(2,938)	16
Mortgages held for sale								144	-	-	(167)	(23)
Loans								-	-	-	(1)	(1)
Mortgage servicing rights								-	(293)	1,139	-	846
Net derivative assets and liabilities:
	Interest rate contracts							-	1	-	(1,958)	(1,957)
	Commodity contracts							(5)	7	-	(6)	(4)
	Equity contracts							(11)	(17)	-	(112)	(140)
	Foreign exchange contracts							-	-	-	11	11
	Credit contracts							(6)	3	-	159	156
	Other derivative contracts							-	-	-	-	-
		Total derivative contracts						(22)	(6)	-	(1,906)	(1,934)
Other assets								14	-	-	(24)	(10)
Short sale liabilities								-	(9)	-	-	(9)
Other liabilities (excluding derivatives)								-	8	(208)	-	(200)

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2013, are summarized as follows:



															Net unrealized
									Total net gains		Purchases,				gains (losses)
									(losses) included in		sales,				included in
										Other	issuances				income related
								Balance,		compre-	and	Transfers	Transfers	Balance,	to assets and
							beginning		Net	hensive	settlements,	into	out of	end of	liabilities held
(in millions)								of period	income	income	net (1)	Level 3	Level 3	period	at period end (2)
Six months ended June 30, 2013
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	46	2	-	(8)	-	-	40	-
	Collateralized loan and other debt obligations							742	64	-	(109)	-	(202)	495	(11)
	Corporate debt securities							52	2	-	(41)	1	-	14	-
	Mortgage-backed securities							6	1	-	2	-	-	9	1
	Asset-backed securities							138	2	-	(36)	25	(20)	109	(9)
	Equity securities							3	-	-	(3)	-	-	-	-
		Total trading securities						987	71	-	(195)	26	(222)	667	(19)
	Other trading assets							76	(13)	-	-	-	-	63	(4)
			Total trading assets
				(excluding derivatives)				1,063	58	-	(195)	26	(222)	730	(23)	(3)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						3,631	4	(67)	356	-	(165)	3,759	-
	Mortgage-backed securities:
		Residential						94	(3)	11	(3)	-	(1)	98	-
		Commercial						203	(7)	17	(8)	-	(11)	194	(3)
			Total mortgage-backed
				securities				297	(10)	28	(11)	-	(12)	292	(3)
	Corporate debt securities							274	4	(9)	(23)	-	(3)	243	-
	Collateralized loan and other debt obligations							13,188	(4)	91	565	-	(10,613)	3,227	-
	Asset-backed securities:
		Auto loans and leases						5,921	-	(25)	(1,024)	-	-	4,872	-
		Home equity loans						51	3	(1)	(5)	-	(48)	-	-
		Other asset-backed securities						3,283	24	-	(359)	-	-	2,948	(7)
			Total asset-backed securities					9,255	27	(26)	(1,388)	-	(48)	7,820	(7)
				Total debt securities				26,645	21	17	(501)	-	(10,841)	15,341	(10)	(4)
	Marketable equity securities:
		Perpetual preferred securities						794	3	23	(32)	-	-	788	-
		Other marketable equity securities						-	-	-	-	-	-	-	-
				Total marketable
					equity securities			794	3	23	(32)	-	-	788	-	(5)
					Total securities
						available for sale		27,439	24	40	(533)	-	(10,841)	16,129	(10)
Mortgages held for sale								3,250	27	-	(675)	178	(139)	2,641	(62)	(6)
Loans								6,021	(154)	-	99	-	(106)	5,860	(137)	(6)
Mortgage servicing rights								11,538	1,236	-	1,411	-	-	14,185	2,628	(6)
Net derivative assets and liabilities:
	Interest rate contracts							659	(983)	-	(237)	-	-	(561)	(710)
	Commodity contracts							21	7	-	(31)	-	(9)	(12)	26
	Equity contracts							(122)	(29)	-	218	-	(40)	27	(31)
	Foreign exchange contracts							21	(54)	-	4	-	-	(29)	(46)
	Credit contracts							(1,150)	(13)	-	364	-	-	(799)	37
	Other derivative contracts							(78)	41	-	1	-	-	(36)	-
		Total derivative contracts						(649)	(1,031)	-	319	-	(49)	(1,410)	(724)	(7)
Other assets								162	36	-	533	-	-	731	39	(3)
Short sale liabilities								-	-	-	-	-	-	-	-	(3)
Other liabilities (excluding derivatives)								(49)	6	-	-	-	-	(43)	4	(6)

See next page for detail.
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time.
Included in trading activities and other noninterest income in the income statement.
Included in debt securities available for sale in the income statement.
Included in equity investments in the income statement.
Included in mortgage banking and other noninterest income in the income statement.
Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement.




(in millions)								Purchases	Sales	Issuances	Settlements	Net
Six months ended June 30, 2013
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	123	(131)	-	-	(8)
	Collateralized loan and other debt obligations							519	(625)	-	(3)	(109)
	Corporate debt securities							66	(107)	-	-	(41)
	Mortgage-backed securities							4	(2)	-	-	2
	Asset-backed securities							12	(27)	-	(21)	(36)
	Equity securities							-	(3)	-	-	(3)
		Total trading securities						724	(895)	-	(24)	(195)
	Other trading assets							-	-	-	-	-
			Total trading assets
				(excluding derivatives)				724	(895)	-	(24)	(195)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						-	(67)	705	(282)	356
	Mortgage-backed securities:
		Residential						-	-	-	(3)	(3)
		Commercial						-	(1)	-	(7)	(8)
			Total mortgage-backed
				securities				-	(1)	-	(10)	(11)
	Corporate debt securities							-	-	-	(23)	(23)
	Collateralized loan and other debt obligations							773	(14)	-	(194)	565
	Asset-backed securities:
		Auto loans and leases						352	-	304	(1,680)	(1,024)
		Home equity loans						-	(5)	-	-	(5)
		Other asset-backed securities						522	(36)	608	(1,453)	(359)
			Total asset-backed securities					874	(41)	912	(3,133)	(1,388)
				Total debt securities				1,647	(123)	1,617	(3,642)	(501)
	Marketable equity securities:
		Perpetual preferred securities						-	(20)	-	(12)	(32)
		Other marketable equity securities						-	-	-	-	-
				Total marketable
					equity securities			-	(20)	-	(12)	(32)
					Total securities
						available for sale		1,647	(143)	1,617	(3,654)	(533)
Mortgages held for sale								203	(572)	-	(306)	(675)
Loans								22	-	232	(155)	99
Mortgage servicing rights								-	(584)	1,995	-	1,411
Net derivative assets and liabilities:
	Interest rate contracts							-	9	-	(246)	(237)
	Commodity contracts							2	(2)	-	(31)	(31)
	Equity contracts							269	(209)	-	158	218
	Foreign exchange contracts							-	-	-	4	4
	Credit contracts							5	(1)	-	360	364
	Other derivative contracts							-	-	-	1	1
		Total derivative contracts						276	(203)	-	246	319
Other assets								557	(1)	-	(23)	533
Short sale liabilities								8	(8)	-	-	-
Other liabilities (excluding derivatives)								-	-	(4)	4	-

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the six months ended June 30, 2012, are summarized as follows:



															Net unrealized
									Total net gains		Purchases,				gains (losses)
									(losses) included in		sales,				included in
										Other	issuances				income related
								Balance,		compre-	and	Transfers	Transfers	Balance,	to assets and
							beginning		Net	hensive	settlements,	into	out of	end of	liabilities held
(in millions)								of period	income	income	net (1)	Level 3	Level 3	period	at period end	(2)
Six months ended June 30, 2012
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	53	-	-	5	-	-	58	(1)
	Collateralized loan and other debt obligations							1,582	18	-	(327)	-	-	1,273	(16)
	Corporate debt securities							97	(2)	-	(39)	-	-	56	(2)
	Mortgage-backed securities							108	3	-	(8)	-	(10)	93	(2)
	Asset-backed securities							190	28	-	(53)	14	-	179	16
	Equity securities							4	1	-	(2)	-	-	3	-
		Total trading securities						2,034	48	-	(424)	14	(10)	1,662	(5)
	Other trading assets							115	(24)	-	-	-	-	91	(11)
			Total trading assets
				(excluding derivatives)				2,149	24	-	(424)	14	(10)	1,753	(16)	(3)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						11,516	(5)	194	1,701	-	(3,901)	9,505	(10)
	Mortgage-backed securities:
		Residential						61	11	11	(35)	28	(61)	15	(1)
		Commercial						232	(14)	21	(50)	-	-	189	(17)
			Total mortgage-backed
				securities				293	(3)	32	(85)	28	(61)	204	(18)
	Corporate debt securities							295	3	(5)	(8)	1	-	286	-
	Collateralized loan and other debt obligations							8,599	85	177	286	-	-	9,147	-
	Asset-backed securities:
		Auto loans and leases						6,641	3	7	(445)	-	-	6,206	-
		Home equity loans						282	11	14	(3)	27	(74)	257	(4)
		Other asset-backed securities						2,863	(23)	62	171	1	-	3,074	(21)
			Total asset-backed securities					9,786	(9)	83	(277)	28	(74)	9,537	(25)
				Total debt securities				30,489	71	481	1,617	57	(4,036)	28,679	(53)	(4)
	Marketable equity securities:
		Perpetual preferred securities						1,344	71	(24)	(464)	-	-	927	-
		Other marketable equity securities						23	1	(15)	(7)	-	-	2	-
				Total marketable
					equity securities			1,367	72	(39)	(471)	-	-	929	-	(5)
					Total securities
						available for sale		31,856	143	442	1,146	57	(4,036)	29,608	(53)
Mortgages held for sale								3,410	(34)	-	(69)	171	(150)	3,328	(30)	(6)
Loans								23	-	-	1	-	-	24	-	(6)
Mortgage servicing rights								12,603	(3,144)	-	2,622	-	-	12,081	(1,789)	(6)
Net derivative assets and liabilities:
	Interest rate contracts							609	3,686	-	(3,389)	-	-	906	776
	Commodity contracts							-	23	-	(11)	(8)	-	4	13
	Equity contracts							(75)	(44)	-	(137)	-	(13)	(269)	(629)
	Foreign exchange contracts							(7)	2	-	6	-	-	1	8
	Credit contracts							(1,998)	111	-	230	-	-	(1,657)	56
	Other derivative contracts							(117)	11	-	-	-	-	(106)	-
		Total derivative contracts						(1,588)	3,789	-	(3,301)	(8)	(13)	(1,121)	224	(7)
Other assets								244	4	-	(23)	-	-	225	(2)	(3)
Short sale liabilities								-	-	-	(9)	-	-	(9)	-	(3)
Other liabilities (excluding derivatives)								(44)	(2)	-	(199)	-	-	(245)	-	(6)

See next page for detail.
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time.
Included in trading activities and other noninterest income in the income statement.
Included in debt securities available for sale in the income statement.
Included in equity investments in the income statement.
Included in mortgage banking and other noninterest income in the income statement.
Included in mortgage banking, trading activities and other noninterest income in the income statement.




(in millions)								Purchases	Sales	Issuances	Settlements	Net
Six months ended June 30, 2012
Trading assets
	(excluding derivatives):
	Securities of U.S. states and
		political subdivisions					$	68	(63)	-	-	5
	Collateralized loan and other debt obligations							371	(698)	-	-	(327)
	Corporate debt securities							151	(190)	-	-	(39)
	Mortgage-backed securities							44	(52)	-	-	(8)
	Asset-backed securities							98	(127)	-	(24)	(53)
	Equity securities							1	(3)	-	-	(2)
		Total trading securities						733	(1,133)	-	(24)	(424)
			Total trading assets
				(excluding derivatives)				733	(1,133)	-	(24)	(424)
Securities available for sale:
	Securities of U.S. states and
		political subdivisions						1,560	(2)	900	(757)	1,701
	Mortgage-backed securities:
		Residential						1	(34)	-	(2)	(35)
		Commercial						10	-	-	(60)	(50)
			Total mortgage-backed
				securities				11	(34)	-	(62)	(85)
	Corporate debt securities							-	-	-	(8)	(8)
	Collateralized loan and other debt obligations							1,215	(185)	-	(744)	286
	Asset-backed securities:
		Auto loans and leases						2,040	-	310	(2,795)	(445)
		Home equity loans						-	(2)	-	(1)	(3)
		Other asset-backed securities						902	(94)	760	(1,397)	171
			Total asset-backed securities					2,942	(96)	1,070	(4,193)	(277)
				Total debt securities				5,728	(317)	1,970	(5,764)	1,617
	Marketable equity securities:
		Perpetual preferred securities						-	-	-	(464)	(464)
		Other marketable equity securities						-	(5)	-	(2)	(7)
				Total marketable
					equity securities			-	(5)	-	(466)	(471)
					Total securities
						available for sale		5,728	(322)	1,970	(6,230)	1,146
Mortgages held for sale								255	-	-	(324)	(69)
Loans								2	-	-	(1)	1
Mortgage servicing rights								-	(293)	2,915	-	2,622
Net derivative assets and liabilities:
	Interest rate contracts							-	-	-	(3,389)	(3,389)
	Commodity contracts							-	-	-	(11)	(11)
	Equity contracts							104	(182)	-	(59)	(137)
	Foreign exchange contracts							-	-	-	6	6
	Credit contracts							(5)	2	-	233	230
	Other derivative contracts							-	-	-	-	-
		Total derivative contracts						99	(180)	-	(3,220)	(3,301)
Other assets								17	-	-	(40)	(23)
Short sale liabilities								-	(9)	-	-	(9)
Other liabilities (excluding derivatives)								(1)	10	(208)	-	(199)

The following table provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities measured at fair value on a recurring basis for which we use an internal model.

The significant unobservable inputs for Level 3 assets and liabilities that are valued using fair values obtained from third party vendors are not included in the table as the specific inputs applied are not provided by the vendor (see discussion regarding vendor-developed valuations within the “Level 3 Asset and Liabilities Valuation Processes” section previously within this Note). In addition, the table excludes the valuation techniques and significant unobservable inputs for certain classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 assets and liabilities. We made this determination based upon an evaluation of each class which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs.


				Fair Value				Significant	Range of				Weighted
($ in millions, except cost to service amounts)				Level 3			Valuation Technique(s)	Unobservable Input	Inputs			Average (1)
June 30, 2013
Trading and available for sale securities:
	Securities of U.S. states and
	political subdivisions:
		Government, healthcare and
			other revenue bonds	$	3,229		Discounted cash flow	Discount rate	0.4	-	5.4	%	1.4
					68		Vendor priced
		Auction rate securities and other municipal bonds			502		Discounted cash flow	Discount rate	3.2	-	14.3		5.4
								Weighted average life	2.8	-	7.0	yrs	3.3
	Collateralized loan and other debt obligations(2)				1,023		Market comparable pricing	Comparability adjustment	(20.3)	-	22.5	%	1.1
					2,699		Vendor priced
	Asset-backed securities:
		Auto loans and leases			4,872		Discounted cash flow	Default rate	1.6	-	9.0		3.0
								Discount rate	0.5	-	1.2		1.0
								Loss severity	50.0	-	66.3		53.3
								Prepayment rate	0.6	-	1.5		0.8
		Other asset-backed securities:
			Dealer floor plan		1,409		Discounted cash flow	Discount rate	0.6	-	2.2		1.7
			Diversified payment rights (3)		604		Discounted cash flow	Discount rate	1.5	-	3.3		2.4
			Other commercial and consumer		935	(4)	Discounted cash flow	Discount rate	0.0	-	12.9		1.6
								Weighted average life	1.1	-	6.9	yrs	2.2
					109		Vendor priced
	Marketable equity securities: perpetual
	preferred				788	(5)	Discounted cash flow	Discount rate	4.9	-	9.7	%	6.5
								Weighted average life	1.0	-	7.0	yrs	5.5
Mortgages held for sale (residential)					2,641		Discounted cash flow	Default rate	0.6	-	17.9	%	3.3
								Discount rate	3.6	-	7.7		5.6
								Loss severity	1.3	-	33.1		23.2
								Prepayment rate	1.0	-	9.6		5.3
Loans					5,860	(6)	Discounted cash flow	Discount rate	2.4	-	3.6		3.2
								Prepayment rate	1.7	-	40.7		12.0
								Utilization rate	0.0	-	2.0		0.8
Mortgage servicing rights (residential)					14,185		Discounted cash flow	Cost to service per loan (7)	$ 88	-	826		200
								Discount rate	5.6	-	10.8	%	7.6
								Prepayment rate (8)	6.5	-	20.5		11.4
Net derivative assets and (liabilities):
	Interest rate contracts				45		Discounted cash flow	Default rate	0.0	-	15.0		5.0
								Loss severity	50.0	-	57.9		50.0
								Prepayment rate	11.0	-	16.0		16.0
	Interest rate contracts: derivative loan
		commitments			(606)	(9)	Discounted cash flow	Fall-out factor	1.0	-	99.0		17.3
								Initial-value servicing	(5.3)	-	109.7	bps	71.4
	Equity contracts				27		Option model	Correlation factor	18.0	-	87.8	%	73.6
								Volatility factor	10.8	-	68.2		25.1
	Credit contracts				(803)		Market comparable pricing	Comparability adjustment	(31.4)	-	34.2		0.5
					4		Option model	Credit spread	0.1	-	14.0		1.2
								Loss severity	16.5	-	87.5		45.5

Insignificant Level 3 assets,
	net of liabilities				1,232	(10)
		Total level 3 assets, net of liabilities		$	38,823	(11)

Weighted averages are calculated using outstanding unpaid principal balance for cash instruments such as loans and securities, and notional amounts for derivative instruments.
Includes $710 million of collateralized debt obligations.
Securities backed by specified sources of current and future receivables generated from foreign originators.
Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain.
Consists of auction rate preferred equity securities with no maturity date that are callable by the issuer.
Consists predominantly of reverse mortgage loans securitized with GNMA which were accounted for as secured borrowing transactions.
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $88 - $312.
Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.
Total derivative loan commitments were a net liability of $615 million, of which $606 million were classified as level 3 at June 30, 2013.
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, asset-backed securities backed by home equity loans, other marketable equity securities, other assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts and other derivative contracts.
Consists of total Level 3 assets of $42.5 billion and total Level 3 liabilities of $3.6 billion, before netting of derivative balances.


				Fair Value				Significant	Range of				Weighted
($ in millions, except cost to service amounts)				Level 3			Valuation Technique(s)	Unobservable Input	Inputs				Average (1)
December 31, 2012
Trading and available for sale securities:
	Securities of U.S. states and
	political subdivisions:
		Government, healthcare and
			other revenue bonds	$	3,081		Discounted cash flow	Discount rate	0.5	-	4.8	%	1.8

		Auction rate securities and other municipal bonds			596		Discounted cash flow	Discount rate	2.0	-	12.9		4.4
								Weighted average life	3.0	-	7.5	yrs	3.4
	Collateralized loan and other debt obligations(2)				1,423		Market comparable pricing	Comparability adjustment	(22.5)	-	24.7	%	3.5
					12,507		Vendor priced
	Asset-backed securities:
		Auto loans and leases			5,921		Discounted cash flow	Default rate	2.1	-	9.7		3.2
								Discount rate	0.6	-	1.6		1.0
								Loss severity	50.0	-	66.6		51.8
								Prepayment rate	0.6	-	0.9		0.7
		Other asset-backed securities:
			Dealer floor plan		1,030		Discounted cash flow	Discount rate	0.5	-	2.2		1.9
			Diversified payment rights (3)		639		Discounted cash flow	Discount rate	1.0	-	2.9		1.8
			Other commercial and consumer		1,665	(4)	Discounted cash flow	Discount rate	0.6	-	6.8		2.7
								Weighted average life	1.0	-	7.5	yrs	2.9
					87		Vendor priced
	Marketable equity securities: perpetual
		preferred			794	(5)	Discounted cash flow	Discount rate	4.3	-	9.3	%	6.3
								Weighted average life	1.0	-	7.0	yrs	5.3
Mortgages held for sale (residential)					3,250		Discounted cash flow	Default rate	0.6	-	14.8	%	5.5
								Discount rate	3.4	-	7.5		5.4
								Loss severity	1.3	-	35.3		26.4
								Prepayment rate	1.0	-	11.0		6.2
Loans					6,021	(6)	Discounted cash flow	Discount rate	2.4	-	2.8		2.6
								Prepayment rate	1.6	-	44.4		11.6
								Utilization rate	0.0	-	2.0		0.8
Mortgage servicing rights (residential)					11,538		Discounted cash flow	Cost to service per loan (7)	$ 90	-	854		219
								Discount rate	6.7	-	10.9	%	7.4
								Prepayment rate (8)	7.3	-	23.7		15.7
Net derivative assets and (liabilities):
	Interest rate contracts				162		Discounted cash flow	Default rate	0.0	-	20.0		5.4
								Loss severity	45.8	-	83.2		51.6
								Prepayment rate	7.4	-	15.6		14.9
	Interest rate contracts: derivative loan
		commitments			497		Discounted cash flow	Fall-out factor	1.0	-	99.0		22.9
								Initial-value servicing	(13.7)	-	137.2	bps	85.6
	Equity contracts				(122)		Option model	Correlation factor	(43.6)	-	94.5	%	50.3
								Volatility factor	3.0	-	68.9		26.5
	Credit contracts				(1,157)		Market comparable pricing	Comparability adjustment	(34.4)	-	30.5		0.1
					8		Option model	Credit spread	0.1	-	14.0		2.0
								Loss severity	16.5	-	87.5		52.3

Insignificant Level 3 assets,
	net of liabilities				835	(9)
		Total level 3 assets, net of liabilities		$	48,775	(10)

Weighted averages are calculated using outstanding unpaid principal balance for cash instruments such as loans and securities, and notional amounts for derivative instruments.
Includes $665 million of collateralized debt obligations.
Securities backed by specified sources of current and future receivables generated from foreign originators.
Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain.
Consists of auction rate preferred equity securities with no maturity date that are callable by the issuer.
Consists predominantly of reverse mortgage loans securitized with GNMA which were accounted for as secured borrowing transactions.
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $90 - $437.
Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior.
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, asset-backed securities backed by home equity loans, other marketable equity securities, other assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts and other derivative contracts.
Consists of total Level 3 assets of $51.9 billion and total Level 3 liabilities of $3.1 billion, before netting of derivative balances.

The valuation techniques used for our Level 3 assets and liabilities, as presented in the previous table, are described as follows:

Discounted cash flow - Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in the fair value amount.
Option model - Option model valuation techniques are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return.
Market comparable pricing - Market comparable pricing valuation techniques are used to determine the fair value of certain instruments by incorporating known inputs such as recent transaction prices, pending transactions, or prices of other similar investments which require significant adjustment to reflect differences in instrument characteristics.
Vendor-priced – Prices obtained from third party pricing vendors or brokers that are used to record the fair value of the asset or liability, of which the related valuation technique and significant unobservable inputs are not provided.

Significant unobservable inputs presented in the previous table are those we consider significant to the fair value of the Level 3 asset or liability. We consider unobservable inputs to be significant, if by their exclusion, the fair value of the Level 3 asset or liability would be impacted by a predetermined percentage change or based on qualitative factors such as nature of the instrument, type of valuation technique used, and the significance of the unobservable inputs relative to other inputs used within the valuation. Following is a description of the significant unobservable inputs provided in the table.

Comparability adjustment – is an adjustment made to observed market data such as a transaction price in order to reflect dissimilarities in underlying collateral, issuer, rating, or other factors used within a market valuation approach, expressed as a percentage of an observed price.
Correlation factor - is the likelihood of one instrument changing in price relative to another based on an established relationship expressed as a percentage of relative change in price over a period over time.
Cost to service - is the expected cost per loan of servicing a portfolio of loans which includes estimates for unreimbursed expenses (including delinquency and foreclosure costs) that may occur as a result of servicing such loan portfolios.
Credit spread – is the portion of the interest rate in excess of a benchmark interest rate, such as LIBOR or U.S. Treasury rates, that when applied to an investment captures changes in the obligor's creditworthiness.
Default rate – is an estimate of the likelihood of not collecting contractual amounts owed expressed as a constant default rate (CDR).
Discount rate – is a rate of return used to present value the future expected cash flow to arrive at the fair value of an instrument. The discount rate consists of a benchmark rate component and a risk premium component. The benchmark rate component, for example, LIBOR or U.S. Treasury rates, is generally observable within the market and is necessary to appropriately reflect the time value of money. The risk premium component reflects the amount of compensation market participants require due to the uncertainty inherent in the instruments' cash flows resulting from risks such as credit and liquidity.
Fall-out factor - is the expected percentage of loans associated with our interest rate lock commitment portfolio that are likely of not funding.
Initial-value servicing - is the estimated value of the underlying loan, including the value attributable to the embedded servicing right, expressed in basis points of outstanding unpaid principal balance.
Loss severity – is the percentage of contractual cash flows lost in the event of a default.
Prepayment rate – is the estimated rate at which forecasted prepayments of principal of the related loan or debt instrument are expected to occur, expressed as a constant prepayment rate (CPR).
Utilization rate – is the estimated rate in which incremental portions of existing reverse mortgage credit lines are expected to be drawn by borrowers, expressed as an annualized rate.
Volatility factor – is the extent of change in price an item is estimated to fluctuate over a specified period of time expressed as a percentage of relative change in price over a period over time.

Weighted average life – is the weighted average number of years an investment is expected to remain outstanding, based on its expected cash flows reflecting the estimated date the issuer will call or extend the maturity of the instrument or otherwise reflecting an estimate of the timing of an instrument's cash flows whose timing is not contractually fixed.

Significant Recurring Level 3 Fair Value Asset and Liability Input Sensitivity

We generally use discounted cash flow or similar internal modeling techniques to determine the fair value of our Level 3 assets and liabilities. Use of these techniques requires determination of relevant inputs and assumptions, some of which represent significant unobservable inputs as indicated in the preceding table. Accordingly, changes in these unobservable inputs may have a significant impact on fair value.

Certain of these unobservable inputs will (in isolation) have a directionally consistent impact on the fair value of the instrument for a given change in that input. Alternatively, the fair value of the instrument may move in an opposite direction for a given change in another input. Where multiple inputs are used within the valuation technique of an asset or liability, a change in one input in a certain direction may be offset by an opposite change in another input having a potentially muted impact to the overall fair value of that particular instrument. Additionally, a change in one unobservable input may result in a change to another unobservable input (that is, changes in certain inputs are interrelated to one another), which may counteract or magnify the fair value impact.

SECURITIES, LOANS and MORTGAGES HELD FOR SALE The fair values of predominantly all Level 3 trading securities, mortgages held for sale, loans and securities available for sale have consistent inputs, valuation techniques and correlation to changes in underlying inputs. The internal models used to determine fair value for these Level 3 instruments use certain significant unobservable inputs within a discounted cash flow or market comparable pricing valuation technique. Such inputs include discount rate, prepayment rate, default rate, loss severity, utilization rate and weighted average life.

These Level 3 assets would decrease (increase) in value based upon an increase (decrease) in discount rate, default rate, loss severity, or weighted average life inputs. Conversely, the fair value of these Level 3 assets would generally increase (decrease) in value if the prepayment rate input were to increase (decrease) or if the utilization rate input were to increase (decrease).

Generally, a change in the assumption used for default rate is accompanied by a directionally similar change in the risk premium component of the discount rate (specifically, the portion related to credit risk) and a directionally opposite change in the assumption used for prepayment rates. Unobservable inputs for loss severity, utilization rate and weighted average life do not increase or decrease based on movements in the other significant unobservable inputs for these Level 3 assets.

DERIVATIVE INSTRUMENTS Level 3 derivative instruments are valued using market comparable pricing, option pricing and discounted cash flow valuation techniques. We utilize certain unobservable inputs within these techniques to determine the fair value of the Level 3 derivative instruments. The significant unobservable inputs consist of credit spread, a comparability adjustment, prepayment rate, default rate, loss severity, initial value servicing, fall-out factor, volatility factor, and correlation factor.

Level 3 derivative assets (liabilities) would decrease (increase) in value upon an increase (decrease) in default rate, fall-out factor, credit spread or loss severity inputs. Conversely, Level 3 derivative assets (liabilities) would increase (decrease) in value upon an increase (decrease) in prepayment rate, initial-value servicing or volatility factor inputs. The correlation factor and comparability adjustment inputs may have a positive or negative impact on the fair value of these derivative instruments depending on the change in value of the item the correlation factor and comparability adjustment is referencing. The correlation factor and comparability adjustment is considered independent from movements in other significant unobservable inputs for derivative instruments.

Generally, for derivative instruments for which we are subject to changes in the value of the underlying referenced instrument, change in the assumption used for default rate is accompanied by directionally similar change in the risk premium component of the discount rate (specifically, the portion related to credit risk) and a directionally opposite change in the assumption used for prepayment rates. Unobservable inputs for loss severity, fall-out factor, initial-value servicing, and volatility do not increase or decrease based on movements in other significant unobservable inputs for these Level 3 instruments.

MORTGAGE SERVICING RIGHTS We use a discounted cash flow valuation technique to determine the fair value of Level 3 mortgage servicing rights. These models utilize certain significant unobservable inputs including prepayment rate, discount rate and costs to service. An increase in any of these unobservable inputs will reduce the fair value of the mortgage servicing rights and alternatively, a decrease in any one of these inputs would result in the mortgage servicing rights increasing in value. Generally, a change in the assumption used for the default rate is accompanied by a directionally similar change in the assumption used for cost to service and a directionally opposite change in the assumption used for prepayment. The sensitivity of our residential MSRs is discussed further in Note 7.

Assets and Liabilities Recorded at Fair Value on a Nonrecurring Basis

We may be required, from time to time, to measure certain assets at fair value on a nonrecurring basis in accordance with GAAP. These adjustments to fair value usually result from application of LOCOM accounting or write-downs of individual assets. For assets measured at fair value on a nonrecurring basis in the first half of 2013, and year ended December 31, 2012, that were still held in the balance sheet at each respective period end, the following table provides the fair value hierarchy and the fair value of the related individual assets or portfolios at period end.



				June 30, 2013				December 31, 2012
(in millions)				Level 1	Level 2	Level 3	Total	Level 1	Level 2	Level 3	Total
Mortgages held for sale (LOCOM) (1)			$	-	1,552	988	2,540	-	1,509	1,045	2,554
Loans held for sale				-	-	-	-	-	4	-	4
Loans:
	Commercial			-	384	4	388	-	1,507	-	1,507
	Consumer			-	2,932	6	2,938	-	5,889	4	5,893
		Total loans (2)		-	3,316	10	3,326	-	7,396	4	7,400
Other assets (3)				-	382	105	487	-	989	144	1,133

Predominantly real estate 1-4 family first mortgage loans.
Represents carrying value of loans for which adjustments are based on the appraised value of the collateral.
Includes the fair value of foreclosed real estate and other collateral owned that were measured at fair value subsequent to their initial classification as foreclosed assets.

The following table presents the increase (decrease) in value of certain assets that are measured at fair value on a nonrecurring basis for which a fair value adjustment has been recognized in the periods presented.



				Six months ended June 30,
(in millions)					2013	2012
Mortgages held for sale (LOCOM)				$	(23)	38
Loans held for sale					-	1
Loans:
	Commercial				(195)	(471)
	Consumer(1)				(1,380)	(2,153)
		Total loans			(1,575)	(2,624)
Other assets (2)					(151)	(179)
			Total	$	(1,749)	(2,764)

Represents write-downs of loans based on the appraised value of the collateral.
Includes the losses on foreclosed real estate and other collateral owned that were measured at fair value subsequent to their initial classification as foreclosed assets.

The table below provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities measured at fair value on a nonrecurring basis for which we use an internal model.

We have excluded from the table classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 nonrecurring measurements. We made this determination based upon an evaluation of each class which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs.



			Fair Value			Significant		Range				Weighted
($ in millions)			Level 3		Valuation Technique(s) (1)	Unobservable Inputs (1)		of inputs				Average (2)
June 30, 2013
Residential mortgages held for sale
	(LOCOM)	$	988	(3)	Discounted cash flow	Default rate	(4)	1.3	-	5.5	%	2.8	%
						Discount rate		4.3	-	12.2		11.3
						Loss severity		1.9	-	50.5		5.1
						Prepayment rate	(5)	1.0	-	100.0		66.7
Insignificant level 3 assets			115
	Total		1,103

December 31, 2012
Residential mortgages held for sale		$	1,045	(3)	Discounted cash flow	Default rate	(4)	2.9	-	21.2	%	7.9	%
	(LOCOM)					Discount rate		4.1	-	11.9		10.9
						Loss severity		2.0	-	45.0		6.0
						Prepayment rate	(5)	1.0	-	100.0		66.7
Insignificant level 3 assets			148
	Total		1,193

Refer to the narrative following the recurring quantitative Level 3 table of this Note for a definition of the valuation technique(s) and significant unobservable inputs.
Weighted averages are calculated using outstanding unpaid principal balance of the loans.
Consists of approximately $909 million and $942 million government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitization, at June 30, 2013 and December 31, 2012, respectively and $79 million and $103 million of other mortgage loans which are not government insured/guaranteed at June 30, 2013 and December 31, 2012, respectively.
Applies only to non-government insured/guaranteed loans.
Includes the impact on prepayment rate of expected defaults for the government insured/guaranteed loans, which impacts the frequency and timing of early resolution of loans.

Alternative Investments

The following table summarizes our investments in various types of funds, which are included in trading assets, securities available for sale and other assets. We use the funds' net asset values (NAVs) per share as a practical expedient to measure fair value on recurring and nonrecurring bases. The fair values presented in the table are based upon the funds' NAVs or an equivalent measure.



						Redemption
			Fair	Unfunded	Redemption	notice
(in millions)			value	commitments	frequency	period
June 30, 2013
Offshore funds		$	439	-	Daily - Quarterly	1 - 180 days
Funds of funds			-	-	-	-
Hedge funds			4	-	Monthly - Semi Annually	5 - 95 days
Private equity funds			758	196	N/A	N/A
Venture capital funds			80	16	N/A	N/A
	Total	$	1,281	212
December 31, 2012
Offshore funds		$	379	-	Daily - Annually	1 - 180 days
Funds of funds			1	-	Quarterly	90 days
Hedge funds			2	-	Daily - Annually	5 - 95 days
Private equity funds			807	195	N/A	N/A
Venture capital funds			82	21	N/A	N/A
	Total	$	1,271	216

N/A - Not applicable

Offshore funds primarily invest in investment grade European fixed-income securities. Redemption restrictions are in place for these investments with a fair value of $216 million and $189 million at June 30, 2013 and December 31, 2012, respectively, due to lock-up provisions that will remain in effect until February 2016.

Private equity funds invest in equity and debt securities issued by private and publicly-held companies in connection with leveraged buyouts, recapitalizations and expansion opportunities. Substantially all of these investments do not allow redemptions. Alternatively, we receive distributions as the underlying assets of the funds liquidate, which we expect to occur over the next twelve years.

Venture capital funds invest in domestic and foreign companies in a variety of industries, including information technology, financial services and healthcare. These investments can never be redeemed with the funds. Instead, we receive distributions as the underlying assets of the fund liquidate, which we expect to occur over the next five years.

Fair Value Option

We measure MHFS at fair value for prime MHFS originations for which an active secondary market and readily available market prices exist to reliably support fair value pricing models used for these loans. Loan origination fees on these loans are recorded when earned, and related direct loan origination costs are recognized when incurred. We also measure at fair value certain of our other interests held related to residential loan sales and securitizations. We believe fair value measurement for prime MHFS and other interests held, which we hedge with free-standing derivatives (economic hedges) along with our MSRs measured at fair value, reduces certain timing differences and better matches changes in the value of these assets with changes in the value of derivatives used as economic hedges for these assets.

We elected to measure certain LHFS portfolios at fair value in conjunction with customer accommodation activities, to better align the measurement basis of the assets held with our management objectives given the trading nature of these portfolios. In addition, we elected to measure at fair value certain letters of credit and nonmarketable equity securities that are hedged with derivative instruments to better reflect the economics of the transactions. The letters of credit are included in trading account assets or liabilities, and the nonmarketable equity securities are included in other assets.

Loans that we measure at fair value consist predominantly of reverse mortgage loans previously transferred under a GNMA reverse mortgage securitization program accounted for as a secured borrowing. Before the transfer, they were classified as MHFS measured at fair value and, as such, remain carried on our balance sheet under the fair value option.

Similarly, we may elect fair value option for the assets and liabilities of certain consolidated VIEs. This option is generally elected for newly consolidated VIEs for which predominantly all of our interests, prior to consolidation, are carried at fair value with changes in fair value recorded to earnings. Accordingly, such an election allows us to continue fair value accounting through earnings for those interests and eliminate income statement mismatch otherwise caused by differences in the measurement basis of the consolidated VIEs assets and liabilities.

The following table reflects the differences between fair value carrying amount of certain assets and liabilities for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity.



			June 30, 2013				December 31, 2012
					Fair value				Fair value
					carrying				carrying
					amount				amount
					less				less
		Fair value		Aggregate	aggregate		Fair value	Aggregate	aggregate
			carrying	unpaid	unpaid		carrying	unpaid	unpaid
(in millions)			amount	principal	principal		amount	principal	principal
Mortgages held for sale:
	Total loans	$	35,402	36,098	(696)	(1)	42,305	41,183	1,122	(1)
	Nonaccrual loans		269	473	(204)		309	655	(346)
	Loans 90 days or more past due and still accruing		41	52	(11)		49	64	(15)
Loans held for sale:
	Total loans		2	9	(7)		6	10	(4)
	Nonaccrual loans		2	9	(7)		2	6	(4)
Loans:
	Total loans		6,088	5,706	382		6,206	5,669	537
	Nonaccrual loans		117	118	(1)		89	89	-
Other assets (2)			595	n/a	n/a		-	n/a	n/a
Long-term debt			-	(199)	199	(3)	(1)	(1,157)	1,156	(3)

The difference between fair value carrying amount and aggregate unpaid principal includes changes in fair value recorded at and subsequent to funding, gains and losses on the related loan commitment prior to funding, and premiums on acquired loans.
Consists of nonmarketable equity investments carried at fair value. See Note 6 for more information.
Represents collateralized, non-recourse debt securities issued by certain of our consolidated securitization VIEs that are held by third party investors. To the extent cash flows from the underlying collateral are not sufficient to pay the unpaid principal amount of the debt, those third party investors absorb losses.

The assets and liabilities accounted for under the fair value option are initially measured at fair value. Gains and losses from initial measurement and subsequent changes in fair value are recognized in earnings. The changes in fair value related to initial measurement and subsequent changes in fair value included in earnings for these assets and liabilities measured at fair value are shown, by income statement line item, below.



	2013				2012
			Net gains			Net gains
	Mortgage		(losses)		Mortgage	(losses)
	banking		from	Other	banking	from	Other
	noninterest		trading	noninterest	noninterest	trading	noninterest
(in millions)		income	activities	income	income	activities	income
Quarter ended June 30,
Mortgages held for sale	$	61	-	-	2,526	-	-
Loans held for sale		-	-	-	-	-	6
Loans		-	-	(107)	-	-	(15)
Other assets		-	-	25	-	-	-
Long-term debt		-	-	-	-	-	(4)
Other interests held		-	(6)	-	-	(15)	(8)

Six months ended June 30,
Mortgages held for sale	$	1,034	-	-	4,321	-	1
Loans held for sale		-	-	-	-	-	19
Loans		-	-	(154)	-	-	27
Other assets		-	-	39	-	-	-
Long-term debt		-	-	-	-	-	(4)
Other interests held		-	(13)	6	-	(24)	15

For performing loans, instrument-specific credit risk gains or losses were derived principally by determining the change in fair value of the loans due to changes in the observable or implied credit spread. Credit spread is the market yield on the loans less the relevant risk-free benchmark interest rate. In recent years spreads have been significantly affected by the lack of liquidity in the secondary market for mortgage loans. For nonperforming loans, we attribute all changes in fair value to instrument-specific credit risk. The following table shows the estimated gains and losses from earnings attributable to instrument-specific credit risk related to assets accounted for under the fair value option.



			Quarter ended June 30,			Six months ended June 30,
(in millions)				2013	2012	2013	2012
Gains (losses) attributable to instrument-specific credit risk:
	Mortgages held for sale		$	88	(52)	125	(91)
	Loans held for sale			-	6	-	19
		Total	$	88	(46)	125	(72)

Disclosures about Fair Value of Financial Instruments

The table below is a summary of fair value estimates for financial instruments, excluding financial instruments recorded at fair value on a recurring basis as they are included within the Assets and Liabilities Recorded at Fair Value on a Recurring Basis table included earlier in this Note. The carrying amounts in the following table are recorded in the balance sheet under the indicated captions.

We have not included assets and liabilities that are not financial instruments in our disclosure, such as the value of the long-term relationships with our deposit, credit card and trust customers, amortized MSRs, premises and equipment, goodwill and other intangibles, deferred taxes and other liabilities. The total of the fair value calculations presented does not represent, and should not be construed to represent, the underlying value of the Company.



					Estimated fair value
(in millions)				Carrying amount	Level 1	Level 2	Level 3	Total
June 30, 2013

Financial assets
	Cash and due from banks (1)		$	17,939	17,939	-	-	17,939
	Federal funds sold, securities purchased under resale
		agreements and other short-term investments (1)		148,665	3,834	144,831	-	148,665
	Mortgages held for sale (2)			3,383	-	2,395	988	3,383
	Loans held for sale (2)			188	-	181	13	194
	Loans, net (3)			768,071	-	57,917	715,379	773,296
	Nonmarketable equity investments (cost method)			6,519	-	1	8,086	8,087
Financial liabilities
	Deposits			1,021,585	-	971,375	50,682	1,022,057
	Short-term borrowings (1)			56,983	-	56,983	-	56,983
	Long-term debt (4)			123,364	-	114,926	11,033	125,959
December 31, 2012

Financial assets
	Cash and due from banks (1)		$	21,860	21,860	-	-	21,860
	Federal funds sold, securities purchased under resale
		agreements and other short-term investments (1)		137,313	5,046	132,267	-	137,313
	Mortgages held for sale (2)			4,844	-	3,808	1,045	4,853
	Loans held for sale (2)			104	-	83	29	112
	Loans, net (3)			763,968	-	56,237	716,114	772,351
	Nonmarketable equity investments (cost method)			6,799	-	2	8,229	8,231
Financial liabilities
	Deposits			1,002,835	-	946,922	57,020	1,003,942
	Short-term borrowings (1)			57,175	-	57,175	-	57,175
	Long-term debt (4)			127,366	-	119,220	11,063	130,283

Amounts consist of financial instruments in which carrying value approximates fair value.
Balance reflects MHFS and LHFS, as applicable, other than those MHFS and LHFS for which election of the fair value option was made.
Loans exclude balances for which the fair value option was elected and also exclude lease financing with a carrying amount of $11.8 billion and $12.4 billion at June 30, 2013 and December 31, 2012, respectively.
The carrying amount and fair value exclude balances for which the fair value option was elected and obligations under capital leases of $11 million and $12 million at June 30, 2013 and December 31, 2012, respectively.

Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in the table above. A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the related allowance. This amounted to $608 million and $586 million at June 30, 2013 and December 31, 2012, respectively.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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