The Company is involved with various special purpose entities (“SPE”) in the normal course of business. In most cases, these entities are deemed to be VIEs.

The Company applies accounting guidance for consolidation of VIEs to certain entities in which equity investors do not have the characteristics of a controlling financial interest. Except for certain asset management entities, the primary beneficiary of a VIE is the party that both (1) has the power to direct the activities of a VIE that most significantly affect the VIE's economic performance and (2) has an obligation to absorb losses or the right to receive benefits that in either case could potentially be significant to the VIE. The Company consolidates entities of which it is the primary beneficiary.

The Company's variable interests in VIEs include debt and equity interests, commitments, guarantees, derivative instruments and certain fees. The Company's involvement with VIEs arises primarily from:

• Interests purchased in connection with market-making activities, securities held in its available for sale portfolio and retained interests held as a result of securitization activities, including re-securitization transactions.

• Guarantees issued and residual interests retained in connection with municipal bond securitizations.

• Loans made to and investments in VIEs that hold debt, equity, real estate or other assets.

• Structuring of credit-linked notes (“CLN”) or other asset-repackaged notes designed to meet the investment objectives of clients.

• Other structured transactions designed to provide tax-efficient yields to the Company or its clients.

The Company determines whether it is the primary beneficiary of a VIE upon its initial involvement with the VIE and reassesses whether it is the primary beneficiary on an ongoing basis as long as it has any continuing involvement with the VIE. This determination is based upon an analysis of the design of the VIE, including the VIE's structure and activities, the power to make significant economic decisions held by the Company and by other parties, and the variable interests owned by the Company and other parties.

The power to make the most significant economic decisions may take a number of different forms in different types of VIEs. The Company considers servicing or collateral management decisions as representing the power to make the most significant economic decisions in transactions such as securitizations or CDOs. As a result, the Company does not consolidate securitizations or CDOs for which it does not act as the servicer or collateral manager unless it holds certain other rights to replace the servicer or collateral manager or to require the liquidation of the entity. If the Company serves as servicer or collateral manager, or has certain other rights described in the previous sentence, the Company analyzes the interests in the VIE that it holds and consolidates only those VIEs for which it holds a potentially significant interest of the VIE.

The structure of securitization vehicles and CDOs is driven by several parties, including loan seller(s) in securitization transactions, the collateral manager in a CDO, one or more rating agencies, a financial guarantor in some transactions and the underwriter(s) of the transactions, who serve to reflect specific investor demand. In addition, subordinate investors, such as the “B-piece” buyer (i.e., investors in most subordinated bond classes) in commercial mortgage-backed securitizations or equity investors in CDOs, can influence whether specific loans are excluded from a CMBS transaction or investment criteria in a CDO.

For many transactions, such as re-securitization transactions, CLNs and other asset-repackaged notes, there are no significant economic decisions made on an ongoing basis. In these cases, the Company focuses its analysis on decisions made prior to the initial closing of the transaction and at the termination of the transaction. Based upon factors, which include an analysis of the nature of the assets, including whether the assets were issued in a transaction sponsored by the Company and the extent of the information available to the Company and to investors, the number, nature and involvement of investors, other rights held by the Company and investors, the standardization of the legal documentation and the level of the continuing involvement by the Company, including the amount and type of interests owned by the Company and by other investors, the Company concluded in most of these transactions that decisions made prior to the initial closing were shared between the Company and the initial investors. The Company focused its control decision on any right held by the Company or investors related to the termination of the VIE. Most re-securitization transactions, CLNs and other asset-repackaged notes have no such termination rights.

Except for consolidated VIEs included in other structured financings and managed real estate partnerships in the tables below, the Company accounts for the assets held by the entities primarily in Financial instruments owned and the liabilities of the entities as Other secured financings in the consolidated statements of financial condition. For consolidated VIEs included in other structured financings, the Company accounts for the assets held by the entities primarily in Premises, equipment and software costs, and Other assets in the consolidated statements of financial condition. For consolidated VIEs included in managed real estate partnerships, the Company accounts for the assets held by the entities primarily in Financial instruments owned—Investments in the consolidated statements of financial condition. Except for consolidated VIEs included in other structured financings, the assets and liabilities are measured at fair value, with changes in fair value reflected in earnings.

The assets owned by many consolidated VIEs cannot be removed unilaterally by the Company and are not generally available to the Company. The related liabilities issued by many consolidated VIEs are non-recourse to the Company. In certain other consolidated VIEs, the Company has the unilateral right to remove assets or provides additional recourse through derivatives such as total return swaps, guarantees or other forms of involvement.

As part of the Company's Institutional Securities business segment's securitization and related activities, the Company has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Company (see Note 13).

The following tables present information at December 31, 2012 and December 31, 2011 about VIEs that the Company consolidates. Consolidated VIE assets and liabilities are presented after intercompany eliminations and include assets financed on a non-recourse basis:

		At December 31, 2012
		Mortgage and Asset-Backed Securitizations		Collateralized Debt Obligations		Managed Real Estate Partnerships		Other Structured Financings		Other

		(dollars in millions)
VIE assets	$	978	$	52	$	2,394	$	983	$	1,676
VIE liabilities	$	646	$	16	$	83	$	65	$	313

		At December 31, 2011
		Mortgage and Asset-Backed Securitizations		Collateralized Debt Obligations		Managed Real Estate Partnerships		Other Structured Financings		Other

		(dollars in millions)
VIE assets	$	2,414	$	102	$	2,207	$	918	$	1,937
VIE liabilities	$	1,699	$	69	$	102	$	2,576	$	556

In general, the Company's exposure to loss in consolidated VIEs is limited to losses that would be absorbed on the VIE's assets recognized in its financial statements, net of losses absorbed by third-party holders of the VIE's liabilities. At December 31, 2012 and December 31, 2011, managed real estate partnerships reflected nonredeemable noncontrolling interests in the Company's consolidated financial statements of $1,804 million and $1,653 million, respectively. The Company also had additional maximum exposure to losses of approximately $58 million and $200 million at December 31, 2012 and December 31, 2011, respectively. This additional exposure related primarily to certain derivatives (e.g., instead of purchasing senior securities, the Company has sold credit protection to synthetic CDOs through credit derivatives that are typically related to the most senior tranche of the CDO) and commitments, guarantees and other forms of involvement.

The following tables present information about certain non-consolidated VIEs in which the Company had variable interests at December 31, 2012 and December 31, 2011. The tables include all VIEs in which the Company has determined that its maximum exposure to loss is greater than specific thresholds or meets certain other criteria. Most of the VIEs included in the tables below are sponsored by unrelated parties; the Company's involvement generally is the result of the Company's secondary market-making activities and securities held in its available for sale portfolio (see Note 5):

			At December 31, 2012
			Mortgage and Asset-Backed Securitizations			Collateralized Debt Obligations		Municipal Tender Option Bonds		Other Structured Financings		Other

			(dollars in millions)
VIE assets that the Company does not consolidate
	(unpaid principal balance)(1)		$	251,689	$	13,178	$	3,390	$	1,811	$	14,029
Maximum exposure to loss:
	Debt and equity interests(2)		$	22,280	$	1,173	$	—	$	1,053	$	3,387
	Derivative and other contracts			154		51		2,158		—		562
	Commitments, guarantees and other			66		—		—		679		384
		Total maximum exposure to loss	$	22,500	$	1,224	$	2,158	$	1,732	$	4,333

Carrying value of exposure to loss—Assets:
	Debt and equity interests(2)		$	22,280	$	1,173	$	—	$	663	$	3,387
	Derivative and other contracts			156		8		4		—		174
		Total carrying value of exposure to loss—Assets	$	22,436	$	1,181	$	4	$	663	$	3,561

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	11	$	2	$	—	$	—	$	172
	Commitments, guarantees and other			—		—		—		12		—
		Total carrying value of exposure to loss—Liabilities	$	11	$	2	$	—	$	12	$	172

(1) Mortgage and asset-backed securitizations include VIE assets as follows: $18.3 billion of residential mortgages; $53.8 billion of commercial mortgages; $126.3 billion of U.S. agency collateralized mortgage obligations; and $53.3 billion of other consumer or commercial loans.

(2) Mortgage and asset-backed securitizations include VIE debt and equity interests as follows: $1.0 billion of residential mortgages; $1.5 billion of commercial mortgages; $14.8 billion of U.S. agency collateralized mortgage obligations; and $5.0 billion of other consumer or commercial loans.

			At December 31, 2011
			Mortgage and Asset-Backed Securitizations			Collateralized Debt Obligations		Municipal Tender Option Bonds		Other Structured Financings		Other

			(dollars in millions)
VIE assets that the Company does not consolidate
	(unpaid principal balance)(1)		$	231,110	$	7,593	$	6,833	$	1,944	$	20,997
Maximum exposure to loss:
	Debt and equity interests(2)		$	16,469	$	491	$	201	$	978	$	2,413
	Derivative and other contracts			103		843		4,141		—		1,209
	Commitments, guarantees and other			208		—		—		804		561
		Total maximum exposure to loss	$	16,780	$	1,334	$	4,342	$	1,782	$	4,183

Carrying value of exposure to loss—Assets:
	Debt and equity interests(2)		$	16,469	$	491	$	201	$	640	$	2,413
	Derivative and other contracts			101		657		24		—		338
		Total carrying value of exposure to loss—Assets	$	16,570	$	1,148	$	225	$	640	$	2,751

Carrying value of exposure to loss—Liabilities:
	Derivative and other contracts		$	13	$	159	$	—	$	—	$	114
	Commitments, guarantees and other			—		—		—		14		176
		Total carrying value of exposure to loss—Liabilities	$	13	$	159	$	—	$	14	$	290

(1) Mortgage and asset-backed securitizations include VIE assets as follows: $9.1 billion of residential mortgages; $81.7 billion of commercial mortgages; $121.6 billion of U.S. agency collateralized mortgage obligations; and $18.7 billion of other consumer or commercial loans. Prior-period amounts were adjusted to conform to the current period's presentation.

(2) Mortgage and asset-backed securitizations include VIE debt and equity interests as follows: $0.6 billion of residential mortgages; $1.1 billion of commercial mortgages; $13.5 billion of U.S. agency collateralized mortgage obligations; and $1.3 billion of other consumer or commercial loans. Prior-period amounts were adjusted to conform to the current period's presentation.

The Company's maximum exposure to loss often differs from the carrying value of the variable interests held by the Company. The maximum exposure to loss is dependent on the nature of the Company's variable interest in the VIEs and is limited to the notional amounts of certain liquidity facilities, other credit support, total return swaps, written put options, and the fair value of certain other derivatives and investments the Company has made in the VIEs. Liabilities issued by VIEs generally are non-recourse to the Company. Where notional amounts are utilized in quantifying maximum exposure related to derivatives, such amounts do not reflect fair value writedowns already recorded by the Company.

The Company's maximum exposure to loss does not include the offsetting benefit of any financial instruments that the Company may utilize to hedge these risks associated with the Company's variable interests. In addition, the Company's maximum exposure to loss is not reduced by the amount of collateral held as part of a transaction with the VIE or any party to the VIE directly against a specific exposure to loss.

Securitization transactions generally involve VIEs. Primarily as a result of its secondary market-making activities, the Company owned additional securities issued by securitization SPEs for which the maximum exposure to loss is less than specific thresholds. These additional securities totaled $3.6 billion at December 31, 2012. These securities were either retained in connection with transfers of assets by the Company, acquired in connection with secondary market-making activities or held in the Company's available for sale portfolio (see Note 5). Securities issued by securitization SPEs consist of $0.7 billion of securities backed primarily by residential mortgage loans, $1.1 billion of securities backed by U.S. agency collateralized mortgage obligations, $0.5 billion of securities backed by commercial mortgage loans, $0.6 billion of securities backed by collateralized debt obligations or collateralized loan obligations and $0.7 billion backed by other consumer loans, such as credit card receivables, automobile loans and student loans. The Company's primary risk exposure is to the securities issued by the SPE owned by the Company, with the risk highest on the most subordinate class of beneficial interests. These securities generally are included in Financial instruments owned—Corporate and other debt or Securities available for sale and are measured at fair value. The Company does not provide additional support in these transactions through contractual facilities, such as liquidity facilities, guarantees or similar derivatives. The Company's maximum exposure to loss generally equals the fair value of the securities owned.

The Company's transactions with VIEs primarily include securitizations, municipal tender option bond trusts, credit protection purchased through CLNs, other structured financings, collateralized loan and debt obligations, equity-linked notes, managed real estate partnerships and asset management investment funds. The Company's continuing involvement in VIEs that it does not consolidate can include ownership of retained interests in Company-sponsored transactions, interests purchased in the secondary market (both for Company-sponsored transactions and transactions sponsored by third parties), derivatives with securitization SPEs (primarily interest rate derivatives in commercial mortgage and residential mortgage securitizations and credit derivatives in which the Company has purchased protection in synthetic CDOs), and as servicer in residential mortgage securitizations in the U.S. and Europe and commercial mortgage securitizations in Europe. Such activities are further described below.

Securitization Activities. In a securitization transaction, the Company transfers assets (generally commercial or residential mortgage loans or U.S. agency securities) to an SPE, sells to investors most of the beneficial interests, such as notes or certificates, issued by the SPE, and in many cases, retains other beneficial interests. In many securitization transactions involving commercial mortgage loans, the Company transfers a portion of the assets to the SPE with unrelated parties transferring the remaining assets.

The purchase of the transferred assets by the SPE is financed through the sale of these interests. In some of these transactions, primarily involving residential mortgage loans in the U.S. and Europe and commercial mortgage loans in Europe, the Company serves as servicer for some or all of the transferred loans. In many securitizations, particularly involving residential mortgage loans, the Company also enters into derivative transactions, primarily interest rate swaps or interest rate caps, with the SPE.

Although not obligated, the Company generally makes a market in the securities issued by SPEs in these transactions. As a market maker, the Company offers to buy these securities from, and sell these securities to, investors. Securities purchased through these market-making activities are not considered to be retained interests, although these beneficial interests generally are included in Financial instruments owned—Corporate and other debt and are measured at fair value.

The Company enters into derivatives, generally interest rate swaps and interest rate caps with a senior payment priority in many securitization transactions. The risks associated with these and similar derivatives with SPEs are essentially the same as similar derivatives with non-SPE counterparties and are managed as part of the Company's overall exposure.

See Note 12 for further information on derivative instruments and hedging activities.

Available for Sale Securities. In its available for sale portfolio, the Company holds securities issued by VIEs not sponsored by the Company. These securities include government guaranteed securities issued in transactions sponsored by the federal mortgage agencies and the most senior securities issued by VIEs in which the securities are backed by student loans, automobile loans or commercial mortgage loans. See Note 5.

Municipal Tender Option Bond Trusts. In a municipal tender option bond transaction, the Company, generally on behalf of a client, transfers a municipal bond to a trust. The trust issues short-term securities that the Company, as the remarketing agent, sells to investors. The client retains a residual interest. The short-term securities are supported by a liquidity facility pursuant to which the investors may put their short-term interests. In some programs, the Company provides this liquidity facility; in most programs, a third-party provider will provide such liquidity facility. The Company may purchase short-term securities in its role either as remarketing agent or liquidity provider. The client can generally terminate the transaction at any time. The liquidity provider can generally terminate the transaction upon the occurrence of certain events. When the transaction is terminated, the municipal bond is generally sold or returned to the client. Any losses suffered by the liquidity provider upon the sale of the bond are the responsibility of the client. This obligation generally is collateralized. Liquidity facilities provided to municipal tender option bond trusts are classified as derivatives. The Company consolidates any municipal tender option bond trusts in which it holds the residual interest. No such trusts were consolidated at either December 31, 2012 or December 31, 2011.

Credit Protection Purchased through CLNs. In a CLN transaction, the Company transfers assets (generally high-quality securities or money market investments) to an SPE, enters into a derivative transaction in which the SPE writes protection on an unrelated reference asset or group of assets, through a credit default swap, a total return swap or similar instrument, and sells to investors the securities issued by the SPE. In some transactions, the Company may also enter into interest rate or currency swaps with the SPE. Upon the occurrence of a credit event related to the reference asset, the SPE will deliver collateral securities as the payment to the Company. The Company is generally exposed to price changes on the collateral securities in the event of a credit event and subsequent sale. These transactions are designed to provide investors with exposure to certain credit risk on the reference asset. In some transactions, the assets and liabilities of the SPE are recognized in the Company's consolidated financial statements. In other transactions, the transfer of the collateral securities is accounted for as a sale of assets, and the SPE is not consolidated. The structure of the transaction determines the accounting treatment. CLNs are included in Other in the above VIE tables.

The derivatives in CLN transactions consist of total return swaps, credit default swaps or similar contracts in which the Company has purchased protection on a reference asset or group of assets. Payments by the SPE are collateralized. The risks associated with these and similar derivatives with SPEs are essentially the same as similar derivatives with non-SPE counterparties and are managed as part of the Company's overall exposure.

Other Structured Financings. The Company primarily invests in equity interests issued by entities that develop and own low-income communities (including low-income housing projects) and entities that construct and own facilities that will generate energy from renewable resources. The equity interests entitle the Company to its share of tax credits and tax losses generated by these projects. In addition, the Company has issued guarantees to investors in certain low-income housing funds. The guarantees are designed to return an investor's contribution to a fund and the investor's share of tax losses and tax credits expected to be generated by the fund. The Company is also involved with entities designed to provide tax-efficient yields to the Company or its clients.

Collateralized Loan and Debt Obligations. A collateralized loan obligation or a CDO is an SPE that purchases a pool of assets, consisting of corporate loans, corporate bonds, asset-backed securities or synthetic exposures on similar assets through derivatives, and issues multiple tranches of debt and equity securities to investors.

Equity-Linked Notes. In an equity-linked note transaction included in the tables above, the Company typically transfers to an SPE either (1) a note issued by the Company, the payments on which are linked to the performance of a specific equity security, equity index or other index or (2) debt securities issued by other companies and a derivative contract, the terms of which will relate to the performance of a specific equity security, equity index or other index. These transactions are designed to provide investors with exposure to certain risks related to the specific equity security, equity index or other index. Equity-linked notes are included in Other in the above VIE tables.

Managed Real Estate Partnerships. The Company sponsors funds that invest in real estate assets. Certain of these funds are classified as VIEs primarily because the Company has provided financial support through lending facilities and other means. The Company also serves as the general partner for these funds and owns limited partnership interests in them. These funds were consolidated at December 31, 2012 and December 31, 2011.

Asset Management Investment Funds. The tables above do not include certain investments made by the Company held by entities qualifying for accounting purposes as investment companies.

The following tables present information at December 31, 2012 regarding transactions with SPEs in which the Company, acting as principal, transferred financial assets with continuing involvement and received sales treatment:

				At December 31, 2012
				Residential Mortgage Loans		Commercial Mortgage Loans		U.S. Agency Collateralized Mortgage Obligations		Credit-Linked Notes and Other



				(dollars in millions)
SPE assets (unpaid principal balance)(1)			$	36,750	$	70,824	$	17,787	$	14,701
Retained interests (fair value):
	Investment grade		$	1	$	77	$	1,468	$	—
	Non-investment grade			54		109		—		1,503
		Total retained interests (fair value)	$	55	$	186	$	1,468	$	1,503
Interests purchased in the secondary market (fair value):
	Investment grade		$	11	$	124	$	99	$	389
	Non-investment grade			113		34		—		31
		Total interests purchased in the secondary market (fair value)	$	124	$	158	$	99	$	420
Derivative assets (fair value)			$	2	$	948	$	—	$	177
Derivative liabilities (fair value)			$	22	$	—	$	—	$	303

				At December 31, 2012
				Level 1		Level 2		Level 3		Total

				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	1,476	$	70	$	1,546
	Non-investment grade			—		84		1,582		1,666
		Total retained interests (fair value)	$	—	$	1,560	$	1,652	$	3,212
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	617	$	6	$	623
	Non-investment grade			—		139		39		178
		Total interests purchased in the secondary market (fair value)	$	—	$	756	$	45	$	801
Derivative assets (fair value)			$	—	$	774	$	353	$	1,127
Derivative liabilities (fair value)			$	—	$	295	$	30	$	325

The following tables present information at December 31, 2011 regarding transactions with SPEs in which the Company, acting as principal, transferred assets with continuing involvement and received sales treatment:

				At December 31, 2011
				Residential Mortgage Loans		Commercial Mortgage Loans		U.S. Agency Collateralized Mortgage Obligations		Credit-Linked Notes and Other



				(dollars in millions)
SPE assets (unpaid principal balance)(1)			$	41,977	$	85,333	$	33,728	$	14,315
Retained interests (fair value):
	Investment grade		$	14	$	22	$	1,151	$	2
	Non-investment grade			106		44		—		1,545
		Total retained interests (fair value)	$	120	$	66	$	1,151	$	1,547
Interests purchased in the secondary market (fair value):
	Investment grade		$	45	$	164	$	20	$	411
	Non-investment grade			149		82		—		11
		Total interests purchased in the secondary market (fair value)	$	194	$	246	$	20	$	422
Derivative assets (fair value)			$	18	$	1,200	$	—	$	223
Derivative liabilities (fair value)			$	30	$	31	$	—	$	510

				At December 31, 2011
				Level 1		Level 2		Level 3		Total

				(dollars in millions)
Retained interests (fair value):
	Investment grade		$	—	$	1,186	$	3	$	1,189
	Non-investment grade			—		74		1,621		1,695
		Total retained interests (fair value)	$	—	$	1,260	$	1,624	$	2,884
Interests purchased in the secondary market (fair value):
	Investment grade		$	—	$	638	$	2	$	640
	Non-investment grade			—		126		116		242
		Total interests purchased in the secondary market (fair value)	$	—	$	764	$	118	$	882
Derivative assets (fair value)			$	—	$	869	$	572	$	1,441
Derivative liabilities (fair value)			$	—	$	541	$	30	$	571

Transferred assets are carried at fair value prior to securitization, and any changes in fair value are recognized in the consolidated statements of income. The Company may act as underwriter of the beneficial interests issued by securitization vehicles. Investment banking underwriting net revenues are recognized in connection with these transactions. The Company may retain interests in the securitized financial assets as one or more tranches of the securitization. These retained interests are included in the consolidated statements of financial condition at fair value. Any changes in the fair value of such retained interests are recognized in the consolidated statements of income.

Net gains on sales of assets in securitization transactions at the time of the sale were not material in 2012, 2011 and 2010.

During 2012, 2011 and 2010, the Company received proceeds from new securitization transactions of $17.0 billion, $22.6 billion and $25.6 billion, respectively. During 2012, 2011 and 2010, the Company received proceeds from cash flows from retained interests in securitization transactions of $4.3 billion, $6.5 billion and $7.1 billion, respectively.

The Company has provided, or otherwise agreed to be responsible for, representations and warranties regarding certain assets transferred in securitization transactions sponsored by the Company (see Note 13).

In order to be treated as a sale of assets for accounting purposes, a transaction must meet all of the criteria stipulated in the accounting guidance for the transfer of financial assets. If the transfer fails to meet these criteria, that transfer of financial assets is treated as a failed sale. In such case for transfers to VIEs and securitizations, the Company continues to recognize the assets in Financial instruments owned, and the Company recognizes the associated liabilities in Other secured financings in the consolidated statements of financial condition.

The assets transferred to many unconsolidated VIEs in transactions accounted for as failed sales cannot be removed unilaterally by the Company and are not generally available to the Company. The related liabilities issued by many unconsolidated VIEs are non-recourse to the Company. In certain other failed sale transactions, the Company has the unilateral right to remove assets or provide additional recourse through derivatives such as total return swaps, guarantees or other forms of involvement.

The following table presents information about the carrying value (equal to fair value) of assets and liabilities resulting from transfers of financial assets treated by the Company as secured financings:

		At December 31, 2012				At December 31, 2011
		Carrying Value of				Carrying Value of
		Assets		Liabilities		Assets		Liabilities

		(dollars in millions)
Commercial mortgage loans	$	—	$	—	$	121	$	121
Credit-linked notes		283		222		383		339
Equity-linked transactions		422		405		1,243		1,214
Other		29		28		75		74

Mortgage Servicing Rights. The Company may retain servicing rights to certain mortgage loans that are sold. These transactions create an asset referred to as MSRs, which totaled approximately $7 million and $133 million at December 31, 2012 and December 31, 2011, respectively, and are included within Intangible assets and carried at fair value in the consolidated statements of financial condition. On April 2, 2012, the Company sold MSRs which totaled approximately $84 million and approximately $119 million at April 2, 2012 and December 31, 2011, respectively (see Notes 1 and 25).

SPE Mortgage Servicing Activities. The Company services residential mortgage loans in the U.S. and in Europe and commercial mortgage loans in Europe owned by SPEs, including SPEs sponsored by the Company and SPEs not sponsored by the Company. The Company generally holds retained interests in Company-sponsored SPEs. In some cases, as part of its market-making activities, the Company may own some beneficial interests issued by both Company-sponsored and non-Company sponsored SPEs.

The Company provides no credit support as part of its servicing activities. The Company is required to make servicing advances to the extent that it believes that such advances will be reimbursed. Reimbursement of servicing advances is a senior obligation of the SPE, senior to the most senior beneficial interests outstanding. Outstanding advances are included in Other assets and are recorded at cost, net of allowances. Advances at December 31, 2012 and December 31, 2011 totaled approximately $49 million and $1,296 million, respectively, net of allowances of $0 million and $14 million at December 31, 2012 and December 31, 2011, respectively. The decline in servicing advances is largely the result of the sale of MSRs discussed above.

The following tables present information about the Company's mortgage servicing activities for SPEs to which the Company transferred loans at December 31, 2012 and December 31, 2011:

		At December 31, 2012
		Residential Mortgage Unconsolidated SPEs			Residential Mortgage Consolidated SPEs		Commercial Mortgage Unconsolidated SPEs		Commercial Mortgage Consolidated SPEs

			(dollars in millions)
Assets serviced (unpaid principal balance)		$	821	$	1,141	$	4,760	$	—
Amounts past due 90 days or greater
	(unpaid principal balance)(1)	$	86	$	43	$	—	$	—
Percentage of amounts past due 90 days
	or greater(1)		10.4%		3.8%		—		—
Credit losses		$	3	$	2	$	—	$	—

(1) Amounts include loans that are at least 90 days contractually delinquent, loans for which the borrower has filed for bankruptcy, loans in foreclosure and real estate owned.

		At December 31, 2011
		Residential Mortgage Unconsolidated SPEs			Residential Mortgage Consolidated SPEs		Commercial Mortgage Unconsolidated SPEs		Commercial Mortgage Consolidated SPEs

			(dollars in millions)
Assets serviced (unpaid principal balance)		$	9,821	$	2,180	$	5,750	$	1,596
Amounts past due 90 days or greater
	(unpaid principal balance)(1)	$	3,087	$	354	$	—	$	—
Percentage of amounts past due 90 days
	or greater(1)		31.4%		16.2%		—		—
Credit losses		$	631	$	81	$	—	$	—

(1) Amounts include loans that are at least 90 days contractually delinquent, loans for which the borrower has filed for bankruptcy, loans in foreclosure and real estate owned.