us-gaap:FairValueByBalanceSheetGroupingTextBlock

ADOBE SYSTEMS INC

We measure certain financial assets and liabilities at fair value on a recurring basis. The fair value of these financial assets and liabilities was determined using the following inputs at August 28, 2009 (in thousands):


	Fair Value Measurements at Reporting Date Using
					Significant
			Quoted Prices in		Other		Significant
			Active Markets for		Observable		Unobservable
			Identical Assets		Inputs		Inputs
	Total		(Level 1)		(Level 2)		(Level 3)
Current assets:
Money market funds and overnight deposits⁽¹⁾	$	1,093,201	$	1,093,201	$	—	$	—
Fixed income available-for-sale securities⁽²⁾		1,424,393		—		1,424,393		—
Available-for-sale equity securities⁽³⁾		4,944		4,944		—		—

Total current assets		2,522,538		1,098,145		1,424,393		—

Non-current assets:
Investments of limited partnership⁽⁴⁾		34,705		—		—		34,705
Foreign currency derivatives⁽⁵⁾		4,688		—		4,688		—
Deferred compensation plan assets⁽⁴⁾:
Money market funds		770		770		—		—
Equity and fixed income mutual funds		7,754		—		7,754		—

Subtotal for deferred compensation plan assets		8,524		770		7,754		—

Total non-current assets		47,917		770		12,442		34,705

Total assets	$	2,570,455	$	1,098,915	$	1,436,835	$	34,705

Liabilities:
Foreign currency derivatives⁽⁶⁾	$	729	$	—	$	729	$	—

Total liabilities	$	729	$	—	$	729	$	—

AMERICAN ELECTRIC POWER CO INC

With the adoption of new accounting guidance, we are required to provide certain fair value disclosures which we previously were only required to provide in our annual report. The new accounting guidance did not change the method to calculate the amounts reported on the Condensed Consolidated Balance Sheets.

Fair Value Measurements of Long-term Debt

The fair values of Long-term Debt are based on quoted market prices, without credit enhancements, for the same or similar issues and the current interest rates offered for instruments with similar maturities. These instruments are not marked-to-market. The estimates presented are not necessarily indicative of the amounts that we could realize in a current market exchange.

The book values and fair values of Long-term Debt at September 30, 2009 and December 31, 2008 are summarized in the following table:


	September 30, 2009				December 31, 2008
	Book Value		Fair Value		Book Value		Fair Value
	(in millions)
Long-term Debt	$	17,253	$	18,251	$	15,983	$	15,113

Fair Value Measurements of Other Temporary Investments

Other Temporary Investments include marketable securities that we intend to hold for less than one year, investments by our protected cell captive insurance company and funds held by trustees primarily for the payment of debt.

We classify our investments in marketable securities in accordance with the provisions of “Investments – Debt and Equity Securities” accounting guidance. We do not have any investments classified as trading or held-to-maturity.

Available-for-sale securities reflected in Other Temporary Investments are carried at fair value with the unrealized gain or loss, net of tax, reported in AOCI. Held-to-maturity securities, if any, reflected in Other Temporary Investments are carried at amortized cost. The cost of securities sold is based on specific identification or weighted average cost method. The fair value of most investment securities is determined by currently available market prices. Where quoted market prices are not available, we use the market price of similar types of securities that are traded in the market to estimate fair value.

In evaluating potential impairment of equity securities with unrealized losses, we considered, among other criteria, the current fair value compared to cost, the length of time the security's fair value has been below cost, our intent and ability to retain the investment for a period of time sufficient to allow for any anticipated recovery in value and current economic conditions.

The following is a summary of Other Temporary Investments:

	September 30, 2009								December 31, 2008
	Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value		Cost		Gross Unrealized Gains		Gross Unrealized Losses		Estimated Fair Value
Other Temporary Investments	(in millions)
Cash (a)	$	167	$	-	$	-	$	167	$	243	$	-	$	-	$	243
Debt Securities		57		-		-		57		56		-		-		56
Equity Securities		18		17		-		35		27		11		10		28
Total Other Temporary Investments	$	242	$	17	$	-	$	259	$	326	$	11	$	10	$	327

(a)	Primarily represents amounts held for the payment of debt.

The following table provides the activity for our debt and equity securities within Other Temporary Investments for the three and nine months ended September 30, 2009:

							Gross Realized
	Proceeds From		Purchases		Gross Realized Gains		Losses on
	Investment Sales		of Investments		on Investment Sales		Investment Sales
	(in millions)
Three Months Ended	$	-	$	1	$	-	$	-
Nine Months Ended		-		2		-		-

In June 2009, we recorded $9 million ($6 million, net of tax) of other-than-temporary impairments of Other Temporary Investments for equity investments of our protected cell captive insurance company. At September 30, 2009, we had no Other Temporary Investments with an unrealized loss position. At December 31, 2008, the fair value of corporate equity securities with an unrealized loss position was $17 million and we had no investments in a continuous unrealized loss position for more than twelve months. At September 30, 2009, the fair value of debt securities are primarily debt based mutual funds with short and intermediate maturities.

Fair Value Measurements of Trust Assets for Decommissioning and SNF Disposal

I&M records securities held in trust funds for decommissioning nuclear facilities and for the disposal of SNF at fair value. I&M classifies securities in the trust funds as available-for-sale due to their long-term purpose. The assessment of whether an investment in a debt security has suffered an other-than-temporary impairment is based on whether the investor has the intent to sell or more likely than not will be required to sell the debt security before recovery of its amortized costs. The assessment of whether an investment in an equity security has suffered an other-than-temporary impairment, among other things, is based on whether the investor has the ability and intent to hold the investment to recover its value. Other-than-temporary impairments for investments in both debt and equity securities are considered realized losses as a result of securities being managed by an external investment management firm. The external investment management firm makes specific investment decisions regarding the equity and debt investments held in these trusts and generally intends to sell debt securities in an unrealized loss position as part of a tax optimization strategy. I&M records unrealized gains and other-than-temporary impairments from securities in these trust funds as adjustments to the regulatory liability account for the nuclear decommissioning trust funds and to regulatory assets or liabilities for the SNF disposal trust funds in accordance with their treatment in rates. The gains, losses or other-than-temporary impairments shown below did not affect earnings or AOCI. The trust assets are recorded by jurisdiction and may not be used for another jurisdictions’ liabilities. Regulatory approval is required to withdraw decommissioning funds.

The following is a summary of nuclear trust fund investments at September 30, 2009 and December 31, 2008:

	September 30, 2009										December 31, 2008
	Estimated Fair Value			Gross Unrealized Gains			Other-Than- Temporary Impairments				Estimated Fair Value			Gross Unrealized Gains			Other-Than- Temporary Impairments
	(in millions)
Cash		$	19		$	-		$	-			$	18		$	-		$	-
Debt Securities			780			35			(2	)			773			52			(3	)
Equity Securities			565			223			(135	)			469			89			(82	)
Spent Nuclear Fuel and Decommissioning Trusts		$	1,364		$	258		$	(137	)		$	1,260		$	141		$	(85	)

The following table provides the securities activity within the decommissioning and SNF trusts for the three and nine months ended September 30, 2009:

										Gross Realized
	Proceeds From			Purchases			Gross Realized Gains			Losses on
	Investment Sales			of Investments			on Investment Sales			Investment Sales
	(in millions)
Three Months Ended		$	113		$	129		$	1		$	-
Nine months Ended			524			571			10			(1	)

The adjusted cost of debt securities was $745 million and $721 million as of September 30, 2009 and December 31, 2008, respectively.

The fair value of debt securities held in the nuclear trust funds, summarized by contractual maturities, at September 30, 2009 was as follows:

	Fair Value of Debt Securities
	(in millions)
Within 1 year	$	27
1 year – 5 years		217
5 years – 10 years		241
After 10 years		295
Total	$	780

Fair Value Measurements of Financial Assets and Liabilities

As described in our 2008 Annual Report, the accounting guidance for “Fair Value Measurements and Disclosures” establishes a fair value hierarchy that prioritizes the inputs used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurement) and the lowest priority to unobservable inputs (Level 3 measurement). The Derivatives, Hedging and Fair Value Measurements note within the 2008 Annual Report should be read in conjunction with this report.

Exchange traded derivatives, namely futures contracts, are generally fair valued based on unadjusted quoted prices in active markets and are classified within Level 1. Level 2 inputs primarily consist of OTC broker quotes in moderately active or less active markets, as well as exchange traded contracts where there is insufficient market liquidity to warrant inclusion in Level 1. Where observable inputs are available for substantially the full term of the asset or liability, the instrument is categorized in Level 2. Certain OTC and bilaterally executed derivative instruments are executed in less active markets with a lower availability of pricing information. In addition, long-dated and illiquid complex or structured transactions and FTRs can introduce the need for internally developed modeling inputs based upon extrapolations and assumptions of observable market data to estimate fair value. When such inputs have a significant impact on the measurement of fair value, the instrument is categorized in Level 3. Valuation models utilize various inputs that include quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in inactive markets, market corroborated inputs (i.e. inputs derived principally from, or correlated to, observable market data) and other observable inputs for the asset or liability.

The following tables set forth by level, within the fair value hierarchy, our financial assets and liabilities that were accounted for at fair value on a recurring basis as of September 30, 2009 and December 31, 2008. As required by the accounting guidance for “Fair Value Measurements and Disclosures,” financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels. There have not been any significant changes in AEP’s valuation techniques.

Assets and Liabilities Measured at Fair Value on a Recurring Basis as of September 30, 2009

	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Cash and Cash Equivalents (a)	$	799	$	-	$	-	$	78	$	877

Other Temporary Investments
Cash and Cash Equivalents (a)		142		-		-		25		167
Debt Securities (c)		57		-		-		-		57
Equity Securities (d)		35		-		-		-		35
Total Other Temporary Investments		234		-		-		25		259

Risk Management Assets
Risk Management Contracts (e)		21		2,195		116		(1,699)		633
Cash Flow Hedges (e)		3		24		-		(10)		17
Dedesignated Risk Management Contracts (f)		-		-		-		29		29
Total Risk Management Assets		24		2,219		116		(1,680)		679

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (g)		-		10		-		9		19
Debt Securities (h)		-		780		-		-		780
Equity Securities (d)		565		-		-		-		565
Total Spent Nuclear Fuel and Decommissioning Trusts		565		790		-		9		1,364

Total Assets	$	1,622	$	3,009	$	116	$	(1,568)	$	3,179

Liabilities:

Risk Management Liabilities
Risk Management Contracts (e)	$	23	$	1,993	$	12	$	(1,770)	$	258
Cash Flow Hedges (e)		5		33		-		(10)		28
Total Risk Management Liabilities	$	28	$	2,026	$	12	$	(1,780)	$	286

Assets and Liabilities Measured at Fair Value on a Recurring Basis as of December 31, 2008
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Cash and Cash Equivalents
Cash and Cash Equivalents (a)	$	304	$	-	$	-	$	60	$	364
Debt Securities (b)		-		47		-		-		47
Total Cash and Cash Equivalents		304		47		-		60		411

Other Temporary Investments
Cash and Cash Equivalents (a)		217		-		-		26		243
Debt Securities (c)		56		-		-		-		56
Equity Securities (d)		28		-		-		-		28
Total Other Temporary Investments		301		-		-		26		327

Risk Management Assets
Risk Management Contracts (e)		61		2,413		86		(2,022)		538
Cash Flow Hedges (e)		6		32		-		(4)		34
Dedesignated Risk Management Contracts (f)		-		-		-		39		39
Total Risk Management Assets		67		2,445		86		(1,987)		611

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (g)		-		6		-		12		18
Debt Securities (h)		-		773		-		-		773
Equity Securities (d)		469		-		-		-		469
Total Spent Nuclear Fuel and Decommissioning Trusts		469		779		-		12		1,260

Total Assets	$	1,141	$	3,271	$	86	$	(1,889)	$	2,609

Liabilities:

Risk Management Liabilities
Risk Management Contracts (e)	$	77	$	2,213	$	37	$	(2,054)	$	273
Cash Flow Hedges (e)		1		34		-		(4)		31
Total Risk Management Liabilities	$	78	$	2,247	$	37	$	(2,058)	$	304

(a)	Amounts in “Other” column primarily represent cash deposits in bank accounts with financial institutions or with third parties. Level 1 amounts primarily represent investments in money market funds.
(b)	Amount represents commercial paper investments with maturities of less than ninety days.
(c)	Amounts represent debt-based mutual funds.
(d)	Amount represents publicly traded equity securities and equity-based mutual funds.
(e)	Amounts in “Other” column primarily represent counterparty netting of risk management contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.”
(f)	“Dedesignated Risk Management Contracts” are contracts that were originally MTM but were subsequently elected as normal under the accounting guidance for “Derivatives and Hedging.” At the time of the normal election, the MTM value was frozen and no longer fair valued. This MTM value will be amortized into Utility Operations Revenues over the remaining life of the contracts.
(g)	Amounts in “Other” column primarily represent accrued interest receivables from financial institutions. Level 2 amounts primarily represent investments in money market funds.
(h)	Amounts represent corporate, municipal and treasury bonds.

The following tables set forth a reconciliation of changes in the fair value of net trading derivatives and other investments classified as Level 3 in the fair value hierarchy:

Three Months Ended September 30, 2009	Net Risk Management Assets (Liabilities)		Other Temporary Investments		Investments in Debt Securities
	(in millions)
Balance as of July 1, 2009	$	67	$	-	$	-
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)		(8)		-		-
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)		10		-		-
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income		-		-		-
Purchases, Issuances and Settlements (b)		-		-		-
Transfers in and/or out of Level 3 (c)		7		-		-
Changes in Fair Value Allocated to Regulated Jurisdictions (d)		28		-		-
Balance as of September 30, 2009	$	104	$	-	$	-

Nine Months Ended September 30, 2009	Net Risk Management Assets (Liabilities)		Other Temporary Investments		Investments in Debt Securities
	(in millions)
Balance as of January 1, 2009	$	49	$	-	$	-
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)		(21)		-		-
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)		51		-		-
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income		-		-		-
Purchases, Issuances and Settlements (b)		-		-		-
Transfers in and/or out of Level 3 (c)		(26)		-		-
Changes in Fair Value Allocated to Regulated Jurisdictions (d)		51		-		-
Balance as of September 30, 2009	$	104	$	-	$	-

Three Months Ended September 30, 2008	Net Risk Management Assets (Liabilities)		Other Temporary Investments		Investments in Debt Securities
	(in millions)
Balance as of July 1, 2008	$	(8)	$	-	$	-
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)		17		-		-
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)		(7)		-		-
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income		-		-		-
Purchases, Issuances and Settlements (b)		-		-		-
Transfers in and/or out of Level 3 (c)		(10)		-		-
Changes in Fair Value Allocated to Regulated Jurisdictions (d)		15		-		-
Balance as of September 30, 2008	$	7	$	-	$	-

Nine Months Ended September 30, 2008	Net Risk Management Assets (Liabilities)		Other Temporary Investments		Investments in Debt Securities
	(in millions)
Balance as of January 1, 2008	$	49	$	-	$	-
Realized (Gain) Loss Included in Net Income (or Changes in Net Assets) (a)		-		-		-
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)		4		-		-
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income		-		-		-
Purchases, Issuances and Settlements (b)		-		(118)		(17)
Transfers in and/or out of Level 3 (c)		(35)		118		17
Changes in Fair Value Allocated to Regulated Jurisdictions (d)		(11)		-		-
Balance as of September 30, 2008	$	7	$	-	$	-

(a)	Included in revenues on our Condensed Consolidated Statements of Income.
(b)	Includes principal amount of securities settled during the period.
(c)	“Transfers in and/or out of Level 3” represent existing assets or liabilities that were either previously categorized as a higher level for which the inputs to the model became unobservable or assets and liabilities that were previously classified as Level 3 for which the lowest significant input became observable during the period.
(d)	“Changes in Fair Value Allocated to Regulated Jurisdictions” relates to the net gains (losses) of those contracts that are not reflected on the Condensed Consolidated Statements of Income. These net gains (losses) are recorded as regulatory liabilities/assets.

AMETEK INC/

15. Financial Instruments

The estimated fair values of the Company’s financial instruments are compared below to the recorded amounts at September 30, 2009 and December 31, 2008. Cash, cash equivalents and marketable securities are recorded at fair value at September 30, 2009 and December 31, 2008 in the accompanying consolidated balance sheet.


	Asset (Liability)
	September 30, 2009						December 31, 2008
	Recorded						Recorded
	Amount			Fair Value			Amount			Fair Value
				(In thousands)
Fixed-income investments	$	8,907		$	8,907		$	8,248		$	8,248
Short-term borrowings		(4,553	)		(4,553	)		(16,028	)		(16,028	)
Long-term debt (including current portion)		(1,055,160	)		(1,100,142	)		(1,095,653	)		(1,095,653	)

The fair value of fixed-income investments is based on quoted market prices. The fair value of short-term borrowings approximates the carrying value. The Company’s long-term debt is all privately-held with no public market for this debt, therefore, the fair value of long-term debt was computed based on comparable current market data for similar debt instruments.

CABLEVISION SYSTEMS CORP /NY

NOTE 13. DISCLOSURES ABOUT THE FAIR VALUE OF FINANCIAL INSTRUMENTS

The following methods and assumptions were used to estimate fair value of each class of financial instruments for which it is practicable to estimate that value:

Cash and Cash Equivalents and Restricted Cash

The carrying amount approximates fair value due to the short-term maturity of these instruments.

Derivative Contracts and Liabilities Under Derivative Contracts

Derivative contracts are carried on the accompanying condensed consolidated balance sheets at fair value. See Note 11.

Investment Securities and Investment Securities Pledged as Collateral

Marketable securities are carried on the accompanying condensed consolidated balance sheets at their fair value based upon quoted market prices.

Bank Debt, Collateralized Indebtedness, Notes Payable, Senior Notes and Debentures and Senior Subordinated Notes

The fair values of each of the Company’s debt instruments are based on quoted market prices for the same or similar issues or on the current rates offered to the Company for instruments of the same remaining maturities.

Interest Rate Swap Agreements

Interest rate swap agreements are carried on the accompanying condensed consolidated balance sheets at fair value. See Note 11.

The carrying values and estimated fair values of the Company’s financial instruments, excluding those that are carried at fair value in the accompanying condensed consolidated balance sheets, are summarized as follows:

	September 30, 2009
	Carrying Amount		Estimated Fair Value
Note Receivable:
Cablevision senior notes receivable at CSC Holdings (a)	$	658,914	$	715,382
Debt instruments:
Bank debt (b)	$	5,341,250	$	5,358,995
Collateralized indebtedness	402,025		398,948
Senior notes and debentures	4,359,279		4,646,402
Senior subordinated notes	323,754		340,438
CSC Holdings total debt instruments	10,426,308		10,744,783
Senior notes and debentures	1,887,410		1,975,800
Cablevision total debt instruments	$	12,313,718	$	12,720,583

	December 31, 2008
	Carrying Amount		Estimated Fair Value
Note Receivable:
Cablevision senior notes receivable at CSC Holdings (a)	$	653,115	$	607,065
Debt instruments:
Bank debt (b)	$	5,653,750	$	5,538,250
Collateralized indebtedness	448,738		447,908
Senior notes and debentures	3,996,292		3,604,000
Senior subordinated notes	323,564		289,250
Notes payable	6,230		6,230
CSC Holdings total debt instruments	10,428,574		9,885,638
Senior notes and debentures	1,500,000		1,390,000
Cablevision total debt instruments	$	11,928,574	$	11,275,638

(a) Represents the fair value of the 8% senior notes due 2012 issued by Cablevision and contributed to CSC Holdings which in turn contributed such notes to Newsday Holdings LLC. These notes are eliminated at the consolidated Cablevision level.

(b) The carrying value of the portion of the Company’s bank debt that bears interest at variable rates approximates its fair value.

Fair value estimates related to the Company’s debt instruments and senior notes receivable presented above are made at a specific point in time, based on relevant market information and information about the financial instruments. These estimates are subjective in nature and involve uncertainties and matters of significant judgments and therefore cannot be determined with precision. Changes in assumptions could significantly affect the estimates.

Caterpillar Inc.

17.	Fair Value Disclosures

A.	Fair value measurements

	We adopted the accounting guidance on fair value measurements as of January 1, 2008. See Note 2 for additional information. This guidance defines fair value as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. This guidance also specifies a fair value hierarchy based upon the observability of inputs used in valuation techniques. Observable inputs (highest level) reflect market data obtained from independent sources, while unobservable inputs (lowest level) reflect internally developed market assumptions. In accordance with this guidance, fair value measurements are classified under the following hierarchy:
	§	Level 1 – Quoted prices for identical instruments in active markets.
	§	Level 2 – Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs or significant value-drivers are observable in active markets.
	§	Level 3 – Model-derived valuations in which one or more significant inputs or significant value-drivers are unobservable.
	When available, we use quoted market prices to determine fair value, and we classify such measurements within Level 1. In some cases where market prices are not available, we make use of observable market based inputs to calculate fair value, in which case the measurements are classified within Level 2. If quoted or observable market prices are not available, fair value is based upon internally developed models that use, where possible, current market-based parameters such as interest rates, yield curves and currency rates. These measurements are classified within Level 3. Fair value measurements are classified according to the lowest level input or value-driver that is significant to the valuation. A measurement may therefore be classified within Level 3 even though there may be significant inputs that are readily observable.

The guidance on fair value measurements expanded the definition of fair value to include the consideration of nonperformance risk. Nonperformance risk refers to the risk that an obligation (either by a counterparty or Caterpillar) will not be fulfilled. For our financial assets traded in an active market (Level 1 and certain Level 2), the nonperformance risk is included in the market price. For certain other financial assets and liabilities (Level 2 and 3), our fair value calculations have been adjusted accordingly.

Available-for-sale securities

Our available-for-sale securities, primarily at Cat Insurance, include a mix of equity and debt instruments (see Note 8 for additional information). Fair values for our U.S. treasury bonds and equity securities are based upon valuations for identical instruments in active markets. Fair values for other government bonds, corporate bonds and mortgage-backed debt securities are based upon models that take into consideration such market-based factors as recent sales, risk-free yield curves and prices of similarly rated bonds.

Derivative financial instruments

The fair value of interest rate swap derivatives is primarily based on models that utilize the appropriate market-based forward swap curves and zero-coupon interest rates to determine discounted cash flows. The fair value of foreign currency and commodity forward and option contracts is based on a valuation model that discounts cash flows resulting from the differential between the contract price and the market-based forward rate.

Securitized retained interests

The fair value of securitized retained interests is based upon a valuation model that calculates the present value of future expected cash flows using key assumptions for credit losses, prepayment rates and discount rates. These assumptions are based on our historical experience, market trends and anticipated performance relative to the particular assets securitized.

Guarantees

The fair value of guarantees is based upon the premium we would require to issue the same guarantee in a stand-alone arms-length transaction with an unrelated party. If quoted or observable market prices are not available, fair value is based upon internally developed models that utilize current market-based assumptions.

Assets and liabilities measured at fair value, primarily related to Financial Products, included in our Consolidated Statement of Financial Position as of September 30, 2009 and December 31, 2008 are summarized below:

(Millions of dollars)				September 30, 2009
				Level 1		Level 2		Level 3		Total Assets / Liabilities, at Fair Value
Assets
	Available-for-sale securities
		Government debt
			U.S. treasury bonds	$	14	$	—	$	—	$	14
			Other U.S. and non-U.S. government bonds		—		60		—		60

		Corporate bonds
			Corporate bonds		—		463		—		463
			Asset-backed securities		—		136		—		136

		Mortgage-backed debt securities
			U.S. governmental agency mortgage-backed securities		—		320		—		320
			Residential mortgage-backed securities		—		53		—		53
			Commercial mortgage-backed securities		—		162		—		162

		Equity securities
			Large capitalization value		100		—		—		100
			Smaller company growth		23		—		—		23
	Total available-for-sale securities				137		1,194		—		1,331

	Derivative financial instruments, net				—		297		—		297
	Securitized retained interests				—		—		99		99
	Total Assets			$	137	$	1,491	$	99	$	1,727

Liabilities
	Guarantees			$	—	$	—	$	15	$	15
	Total Liabilities			$	—	$	—	$	15	$	15

(Millions of dollars)		December 31, 2008
		Level 1		Level 2		Level 3		Total Assets / Liabilities, at Fair Value
Assets
	Available-for-sale securities	$	140	$	992	$	—	$	1,132
	Derivative financial instruments, net		—		625		—		625
	Securitized retained interests		—		—		52		52
	Total Assets	$	140	$	1,617	$	52	$	1,809

Liabilities
	Guarantees	$	—	$	—	$	14	$	14
	Total Liabilities	$	—	$	—	$	14	$	14

Below are roll-forwards of assets and liabilities measured at fair value using Level 3 inputs for the nine months ended September 30, 2009 and 2008. These instruments, primarily related to Cat Financial, were valued using pricing models that, in management's judgment, reflect the assumptions a marketplace participant would use.

(Millions of dollars)		Securitized Retained Interests			Guarantees
Balance at December 31, 2008		$	52		$	14
	Gains or losses included in earnings (realized and unrealized)		(31	)		—
	Changes in Accumulated other comprehensive income (loss)		3			—
	Purchases, issuances and settlements		75			1
Balance at September 30, 2009		$	99		$	15

(Millions of dollars)		Securitized Retained Interests			Guarantees
Balance at December 31, 2007		$	49		$	12
	Gains or losses included in earnings (realized and unrealized)		(7	)		—
	Changes in Accumulated other comprehensive income (loss)		(12	)		—
	Purchases, issuances and settlements		38			3
Balance at September 30, 2008		$	68		$	15

The amount of unrealized losses on securitized retained interests included in earnings for the nine months ended September 30, 2009 related to assets still held at September 30, 2009 was $28 million. The amount of unrealized losses on securitized retained interests included in earnings for the nine months ended September 30, 2008 related to assets still held at September 30, 2008 were $6 million. These losses were reported in Revenues of Financial Products in the Consolidated Statement of Results of Operations.

In addition to the amounts above, we had impaired loans of $212 million and $108 million as of September 30, 2009 and December 31, 2008, respectively. A loan is considered impaired when management determines that collection of contractual amounts due is not probable. In these cases, an allowance for loan losses is established based primarily on the fair value of associated collateral. As the collateral's fair value is based on observable market prices and/or current appraised values, the impaired loans are classified as Level 2 measurements.

B.	Fair values of financial instruments

In addition to the methods and assumptions we use to record the fair value of financial instruments as discussed in the Fair value measurements section above, we used the following methods and assumptions to estimate the fair value of our financial instruments. Effective April 1, 2009, we adopted the guidance on interim disclosures about fair value of financial instruments. See Note 2 for additional information.

Cash and short-term investments

Carrying amount approximated fair value.

Available-for-sale securities

Fair value for available-for-sale securities was estimated based on quoted market prices.

Finance receivables

Fair value was estimated by discounting the future cash flows using current rates, representative of receivables with similar remaining maturities.

Wholesale inventory receivables

Fair value was estimated by discounting the future cash flows using current rates, representative of receivables with similar remaining maturities.

Short-term borrowings

Carrying amount approximated fair value.

Long-term debt

Fair value for Machinery and Engines and Financial Products fixed rate debt was estimated based on quoted market prices. For Financial Products, floating rate notes and commercial paper carrying amounts approximated fair value. For deposit obligations, carrying value approximated fair value.

Please refer to the table below for the fair values of our financial instruments.

Fair Values of Financial Instruments
			September 30,						December 31,
			2009						2008
(Millions of dollars)			Carrying Amount			Fair Value			Carrying Amount			Fair Value			Reference
Asset (liability)
	Cash and short-term investments		$	4,188		$	4,188		$	2,736		$	2,736
	Available-for-sale securities			1,331			1,331			1,132			1,132		Note 8
	Finance receivables—net (excluding finance leases1)			13,191			12,665			14,367			13,483
	Wholesale inventory receivables—net (excluding finance leases1)			761			725			1,232			1,154
	Short-term borrowings			(4,523	)		(4,523	)		(7,209	)		(7,209	)
	Long-term debt (including amounts due within one year)
		Machinery and Engines		(5,902	)		(6,672	)		(6,192	)		(6,290	)
		Financial Products		(21,691	)		(22,391	)		(22,134	)		(21,259	)
	Foreign currency contracts—net			219			219			254			254		Note 4
	Interest rate swaps—net			74			74			371			371		Note 4
	Commodity contracts—net			4			4			—			—		Note 4
	Securitized retained interests			99			99			52			52		Note 15
	Guarantees			(15	)		(15	)		(14	)		(14	)	Note 10

Total excluded items have a net carrying value at September 30, 2009 and December 31, 2008 of $8,124 million and $8,951 million, respectively.

Citigroup Inc.

19. FAIR VALUE OF FINANCIAL INSTRUMENTS

Estimated Fair Value of Financial Instruments

The table below presents the carrying value and fair value of Citigroup's financial instruments. The disclosure excludes leases, affiliate investments, pension and benefit obligations and insurance policy claim reserves. In addition, contract-holder fund amounts exclude certain insurance contracts. Also as required, the disclosure excludes the effect of taxes, any premium or discount that could result from offering for sale at one time the entire holdings of a particular instrument, excess fair value associated with deposits with no fixed maturity and other expenses that would be incurred in a market transaction. In addition, the table excludes the values of non-financial assets and liabilities, as well as a wide range of franchise, relationship and intangible values (but includes mortgage servicing rights), which are integral to a full assessment of Citigroup's financial position and the value of its net assets.

The fair value represents management's best estimates based on a range of methodologies and assumptions. The carrying value of short-term financial instruments not accounted for at fair value, as well as receivables and payables arising in the ordinary course of business, approximates fair value because of the relatively short period of time between their origination and expected realization. Quoted market prices are used when available for investments and for both trading and end-user derivatives, as well as for liabilities, such as long-term debt, with quoted prices. For performing loans not accounted for at fair value, contractual cash flows are discounted at quoted secondary market rates or estimated market rates if available. Otherwise, sales of comparable loan portfolios or current market origination rates for loans with similar terms and risk characteristics are used. For loans with doubt as to collectability, expected cash flows are discounted using an appropriate rate considering the time of collection and the premium for the uncertainty of the flows. This method of estimating fair value does not incorporate the exit-price concept of fair value prescribed by ASC 820-10 (SFAS No. 157). The value of collateral is also considered. For liabilities such as long-term debt not accounted for at fair value and without quoted market prices, market borrowing rates of interest are used to discount contractual cash flows.

	September 30, 2009				December 31, 2008

*In billions of dollars*	Carrying value		Estimated fair value		Carrying value		Estimated fair value
Assets
Investments	$	261.9	$	261.7	$	256.0	$	251.9
Federal funds sold and securities borrowed or purchased under agreements to resell		197.4		197.4		184.1		184.1
Trading account assets		340.7		340.7		377.6		377.6
Loans(1)		582.7		573.6		660.9		642.7
Other financial assets(2)		344.9		344.7		316.6		316.6

	September 30, 2009				December 31, 2008

*In billions of dollars*	Carrying value		Estimated fair value		Carrying value		Estimated fair value
Liabilities
Deposits	$	832.6	$	832.3	$	774.2	$	772.9
Federal funds purchased and securities loaned or sold under agreements to repurchase		178.2		178.2		205.3		205.3
Trading account liabilities		130.5		130.5		165.8		165.8
Long-term debt		379.6		374.9		359.6		317.1
Other financial liabilities(3)		171.7		171.7		255.6		255.6

(1): The carrying value of loans is net of the Allowance for loan losses of $36.4 billion for September 30, 2009 and $29.6 billion for December 31, 2008. In addition, the carrying values exclude $3.1 billion and $3.7 billion of lease finance receivables at September 30, 2009 and December 31, 2008, respectively.
(2): Includes cash and due from banks, deposits with banks, brokerage receivables, reinsurance recoverable, mortgage servicing rights, and other financial instruments included in Other assets on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.
(3): Includes brokerage payables, short-term borrowings and other financial instruments included in Other Liabilities on the Consolidated Balance Sheet, for all of which the carrying value is a reasonable estimate of fair value.

Fair values vary from period to period based on changes in a wide range of factors, including interest rates, credit quality, and market perceptions of value and as existing assets and liabilities run off and new transactions are entered into.

The estimated fair values of loans reflect changes in credit status since the loans were made, changes in interest rates in the case of fixed-rate loans, and premium values at origination of certain loans. The carrying values (reduced by the Allowance for loan losses) exceeded the estimated fair values of Citigroup's loans, in aggregate, by $9.1 billion and $18.2 billion at September 30, 2009 and December 31, 2008, respectively. At September 30, 2009, the carrying values, net of allowances, exceeded the estimated fair values by $7 billion and $2 billion for consumer loans and corporate loans, respectively.

Citigroup has determined that it is not practicable to estimate the fair value on an ongoing basis of the loss sharing program with the United States Government because the program is a unique contract tailored to fit the specific portfolio of assets held by Citigroup, contains various public policy and other non-financial elements, and provides a significant Tier 1 Capital benefit.

CONSTELLATION ENERGY GROUP INC

Fair Value of Financial Instruments

We show the carrying amounts and fair values of financial instruments included in our Consolidated Balance Sheets in the following table:

At September 30, 2009		Carrying Amount		Fair Value


		(In millions)
Investments and other assets—Constellation Energy		$	1,393.5	$	1,392.1
Fixed-rate long-term debt:
	Constellation Energy (including BGE)		5,481.4		5,678.1
	BGE		2,238.5		2,320.7
Variable-rate long-term debt:
	Constellation Energy (including BGE)		695.9		695.9
	BGE		—		—

We use the following methods and assumptions for estimating fair value disclosures for financial instruments:

•

cash and cash equivalents, net accounts receivable, other current assets, certain current liabilities, short-term borrowings, current portion of long-term debt, and certain deferred credits and other liabilities: because of their short-term nature, the amounts reported in our Consolidated Balance Sheets approximate fair value,

•

investments and other assets: the fair value is based on quoted market prices where available, and

•

long-term debt: the fair value is based on quoted market prices where available or by discounting remaining cash flows at current market rates.

FLUOR CORP

(7) In April 2009, the FASB issued FSP SFAS No. 107-1 and APB 28-1, “Interim Disclosures about Fair Value of Financial Instruments” (ASC 825-10-50). ASC 825-10-50 amends SFAS No. 107, “Disclosures about Fair Value of Financial Instruments,” (ASC 825-10) to require disclosures about fair value of financial instruments for interim reporting periods of publicly traded companies as well as in annual financial statements. ASC 825-10-50 also amends Accounting Principles Board Opinion No. 28, “Interim Financial Reporting,” (ASC 270-10) to require those disclosures in summarized financial information at interim reporting periods. ASC 825-10-50 was effective for interim reporting periods ending after June 15, 2009. The company adopted this standard during the second quarter of 2009. The adoption of the provisions of ASC 825-10-50 did not have a material impact on the company’s financial position, results of operations or cash flows.

The estimated fair values of the company’s financial instruments that are not measured at fair value on a recurring basis are as follows as of September 30, 2009:

(in thousands)	Carrying Value		Fair Value

Assets:
Cash and cash equivalents(1)	$	1,236,392	$	1,236,392
Marketable securities(2)	597,288		597,288
Marketable securities, noncurrent(3)	659		659
Notes receivable, including noncurrent portion	28,938		28,938

Liabilities:
1.5% Convertible Senior Notes	$	118,577	$	221,739
5.625% Municipal Bonds	17,736		18,212

(1)	Consists of bank deposits with original maturities of 90 days or less.

(2)	Consists of held-to-maturity time deposits with original maturities greater than 90 days.

(3)	Consists of held-to-maturity time deposits with remaining maturities greater than 365 days as of September 30, 2009.

Fair values were determined as follows:

·	The carrying amounts of cash and cash equivalents, marketable securities and short-term notes receivable approximate fair value because of the short-term maturity of these instruments.

·	Notes receivable classified as noncurrent are carried at net realizable value which approximates fair value.

·	The fair value of the Convertible Senior Notes and Municipal Bonds are estimated based on quoted market prices for the same or similar issues or on the current rates offered to the company for debt of the same maturities.

General Electric Company

15. Financial Instruments
The following table provides information about the assets and liabilities not carried at fair value in our Statement of Financial Position. Consistent with FASB ASC 825, the table excludes financing leases and non-financial assets and liabilities. Apart from certain of our borrowings and certain marketable securities, few of the instruments identified below are actively traded and their fair values must often be determined using financial models. Realization of the fair value of these instruments depends upon market forces beyond our control, including marketplace liquidity. For a description on how we estimate fair value, see Note 29 to the consolidated financial statements in our 2008 Form 10K.

	At
	September 30, 2009						December 31, 2008
			Assets (liabilities)						Assets (liabilities)
			Carrying						Carrying
	Notional		amount		Estimated		Notional		amount		Estimated
(In millions)	amount		(net)		fair value		amount		(net)		fair value


GE
Assets
Investments and notes
receivable	$	(a)	$	443	$	434	$	(a)	$	554	$	511
Liabilities
Borrowings		(a)		(12,247)		(12,938)		(a)		(12,202)		(12,267)
GECS
Assets
Loans		(a)		291,774		273,017		(a)		305,376		292,797
Other commercial mortgages		(a)		1,172		1,194		(a)		1,501		1,427
Loans held for sale		(a)		1,864		1,898		(a)		3,640		3,670
Other financial instruments (b)		(a)		2,229		2,351		(a)		2,637		2,810
Liabilities
Borrowings(c)(d)		(a)		(508,353)		(509,465)		(a)		(514,601)		(495,541)
Investment contract benefits		(a)		(4,003)		(4,556)		(a)		(4,212)		(4,536)
Guaranteed investment
contracts		(a)		(9,241)		(9,156)		(a)		(10,828)		(10,677)
Insurance – credit life(e)		1,481		(74)		(49)		1,165		(44)		(31)

(a)        These financial instruments do not have notional amounts.
(b)        Principally cost method investments.
(c)        See Note 8.
(d)        Fair values exclude interest rate and currency derivatives designated as hedges of borrowings. Had they been included, the fair value of borrowings at September 30, 2009 and December 31, 2008 would have been reduced by $3,367 million and $3,776 million, respectively.
(e)        Net of reinsurance of $2,300 million and $3,103 million at September 30, 2009 and December 31, 2008, respectively.

Loan Commitments

	Notional amount at
	September 30,		December 31,
(in millions)	2009		2008

Ordinary course of business lending commitments (a)(b)	$	7,370	$	8,507
Unused revolving credit lines(c)
Commercial		30,259		26,300
Consumer – principally credit cards		245,764		252,867

(a)        Excluded investment commitments of $2,493 million and $3,501 million as of September 30, 2009 and December 31, 2008, respectively.
(b)        Included a $1,004 million and $1,067 million commitment as of September 30, 2009 and December 31, 2008, respectively, associated with a secured financing arrangement that can increase to a maximum of $4,943 million based on the asset volume under the arrangement.
(c)        Excluded inventory financing arrangement, which may be withdrawn at our option, of $13,234 million and $14,503 million as of September 30, 2009 and December 31, 2008, respectively.

General Electric Company

	At
	September 30, 2009						December 31, 2008
			Assets (liabilities)						Assets (liabilities)
			Carrying						Carrying
	Notional		amount		Estimated		Notional		amount		Estimated
(In millions)	amount		(net)		fair value		amount		(net)		fair value


GE
Assets
Investments and notes
receivable	$	(a)	$	443	$	434	$	(a)	$	554	$	511
Liabilities
Borrowings		(a)		(12,247)		(12,938)		(a)		(12,202)		(12,267)
GECS
Assets
Loans		(a)		291,774		273,017		(a)		305,376		292,797
Other commercial mortgages		(a)		1,172		1,194		(a)		1,501		1,427
Loans held for sale		(a)		1,864		1,898		(a)		3,640		3,670
Other financial instruments (b)		(a)		2,229		2,351		(a)		2,637		2,810
Liabilities
Borrowings(c)(d)		(a)		(508,353)		(509,465)		(a)		(514,601)		(495,541)
Investment contract benefits		(a)		(4,003)		(4,556)		(a)		(4,212)		(4,536)
Guaranteed investment
contracts		(a)		(9,241)		(9,156)		(a)		(10,828)		(10,677)
Insurance – credit life(e)		1,481		(74)		(49)		1,165		(44)		(31)

	Notional amount at
	September 30,		December 31,
(in millions)	2009		2008

Ordinary course of business lending commitments (a)(b)	$	7,370	$	8,507
Unused revolving credit lines(c)
Commercial		30,259		26,300
Consumer – principally credit cards		245,764		252,867

Halliburton Company

Note 9. Fair Value of Financial InstrumentsDuring the second quarter of 2009, we purchased $1.5 billion in United States Treasury securities with maturities that extend through September 2010. These securities are accounted for as available-for-sale and recorded at fair value in "Investments in marketable securities" on the condensed consolidated balance sheet at September 30, 2009.The fair value of $426 million and $412 million of our long-term debt at September 30, 2009 and December 31, 2008 was calculated based on the fair value of other actively-traded, Halliburton debt. The carrying amount of cash and equivalents, receivables, short-term notes payable, and accounts payable, as reflected in the condensed consolidated balance sheets, approximates fair market value due to the short maturities of these instruments. The following table presents the fair values of our other financial assets and liabilities and the basis for determining their fair values: Quoted prices in active Significant markets for observable inputs Carrying identical assets for similar assets orMillions of dollars Value Fair value or liabilities liabilities September 30, 2009 Marketable securities $ 1,515 $ 1,515 $ 1,515 $ - Long-term debt 4,573 5,304 4,878 426December 31, 2008 Long-term debt $ 2,612 $ 2,826 $ 2,414 $ 412

HCP, INC.

(18) Disclosures About Fair Value of Financial Instruments

The carrying values of cash and cash equivalents, restricted cash, receivables, payables, and accrued liabilities are reasonable estimates of fair value because of the short-term maturities of these instruments. Fair values for loans receivable, bank line of credit, bridge and term loans, mortgage and other secured debt, and other debt are estimates based on rates currently prevailing for similar instruments of similar maturities. The estimated fair values of the interest-rate swaps and warrants were determined based on observable market assumptions and standardized derivative pricing models. The fair values of the senior unsecured notes and marketable equity and debt securities were determined based on market quotes.

	September 30, 2009						December 31, 2008
	Carrying Value			Fair Value			Carrying Value		Fair Value
	(in thousands)
Loans receivable, net	$	1,674,329		$	1,662,685		$	1,076,392	$	981,128
Marketable debt securities	201,163			201,163			228,660		228,660
Marketable equity securities	3,931			3,931			3,845		3,845
Warrants	1,468			1,468			1,460		1,460
Bank line of credit	—			—			150,000		150,000
Bridge and term loans	200,000			200,000			520,000		520,000
Senior unsecured notes	3,520,577			3,520,482			3,523,513		2,384,488
Mortgage and other secured debt	1,863,404			1,836,879			1,641,734		1,538,057
Other debt	99,487			99,487			102,209		102,209
Interest-rate swap assets	3,327			3,327			—		—
Interest-rate swap liabilities	(4,101		)	(4,101		)	2,324		2,324

International Business Machines Corporation

4. Fair Value of Financial Instruments: Cash and cash equivalents, debt and marketable equity securities and derivative financial instruments are recognized and measured at fair value in the company’s consolidated financial statements. Notes and other accounts receivable and other investments are financial assets with carrying values that approximate fair value. Accounts payable, other accrued expenses and short-term debt are financial liabilities with carrying values that approximate fair value. In the absence of quoted prices in active markets, considerable judgment is required in developing estimates of fair value. Estimates are not necessarily indicative of the amounts the company could realize in a current market transaction. The following methods and assumptions are used to estimate fair values:

Loans and Long-term Receivables

Estimates of fair value are based on discounted future cash flows using current interest rates offered for similar loans to clients with similar credit ratings for the same remaining maturities.

Long-term Debt

Fair value of publicly-traded long-term debt is based on quoted market prices for the identical liability when traded as an asset in an active market. For other long-term debt for which a quoted market price is not available, an expected present value technique that uses rates currently available to the company for debt with similar terms and remaining maturities is used to estimate fair value. The carrying amount of long-term debt is $20,583 million and $22,689 million and the estimated fair value is $22,338 million and $23,351 million at September 30, 2009 and December 31, 2008, respectively.

Sempra Energy

NOTE 8. FAIR VALUE MEASUREMENTS
Fair Value of Financial Instruments
The fair values of certain of our financial instruments (cash, temporary investments, accounts and notes receivable, dividends and accounts payable, short-term debt and customer deposits) approximate their carrying amounts. The following table provides the carrying amounts and fair values of the remaining financial instruments at September 30, 2009 and December 31, 2008:

FAIR VALUE OF FINANCIAL INSTRUMENTS
(Dollars in millions)
		September 30, 2009				December 31, 2008
		Carrying		Fair		Carrying		Fair
		Amount		Value		Amount		Value
Sempra Energy Consolidated:
Investments in affordable housing partnerships (1)		$	37	$	57	$	43	$	63
Total long-term debt (2)			7,478		8,173		6,962		7,013
Due to unconsolidated affiliates			102		106		102		101
Preferred stock of subsidiaries			179		152		179		149
SDG&E:
Total long-term debt (3)		$	2,601	$	2,780	$	2,146	$	2,073
Contingently redeemable preferred stock			79		73		79		71
PE and SoCalGas:
Total long-term debt (4)		$	1,372	$	1,463	$	1,372	$	1,333

PE:
Preferred stock		$	80	$	61	$	80	$	59
Preferred stock of subsidiary			20		18		20		19
		$	100	$	79	$	100	$	78
SoCalGas:
Preferred stock		$	22	$	19	$	22	$	20
(1)	We discuss our investments in affordable housing partnerships in Note 4 of the Notes to Consolidated Financial Statements in the Annual Report.
(2)	Before reductions for unamortized discount of $11 million at September 30, 2009 and $8 million at December 31, 2008.
(3)	Before reductions for unamortized discount of $4 million at September 30, 2009 and $2 million at December 31, 2008.
(4)	Before reductions for unamortized discount of $2 million at September 30, 2009 and $2 million at December 31, 2008.

Sempra Energy based the fair values of investments in affordable housing partnerships on the present value of estimated future cash flows, discounted at rates available for similar investments. Sempra Energy estimated the fair values of debt incurred to acquire affordable housing partnerships based on the present value of the future cash flows, discounted at rates available for similar notes with comparable maturities.
All entities based the fair values of the long-term debt and preferred stock on their quoted market prices or quoted market prices for similar securities.

Starwood Hotel & Resorts Worldwide Inc

Note 8. Fair Value

The following table represents the Company’s fair value hierarchy for its financial assets and liabilities measured at fair value on a recurring basis as of September 30, 2009 (in millions):


	Level 1		Level 2		Level 3		Total
Assets:
Interest rate swaps	$	—	$	8	$	—	$	8
Retained Interests		—		—		7		7

	$	—	$	8	$	7	$	15
Liabilities:
Forward contracts	$	—	$	1	$	—	$	1

The forward contracts are over the counter contracts that do not trade on a public exchange. The fair values of the contracts are based on inputs such as foreign currency spot rates and forward points that are readily available on public markets, and as such, are classified as Level 2. The Company considered both its credit risk, as well as its counterparties’ credit risk in determining fair value and no adjustment was made as it was deemed insignificant based on the short duration of the contracts and the Company’s rate of short-term debt.

The interest rate swaps are valued using an income approach. Expected future cash flows are converted to a present value amount based on market expectations of the yield curve on floating interest rates, which is readily available on public markets.

The Company estimates the fair value of its Retained Interests using a discounted cash flow model with unobservable inputs, which is considered Level 3. See Note 7 for the assumptions used to calculate the estimated fair value and sensitivity analysis based on changes in assumptions.

The following table presents a reconciliation of the Company’s Retained Interests measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2009 (in millions):


Balance at June 30, 2009	$	10
Total losses (realized/unrealized)
Included in earnings		(6	)
Included in other comprehensive income		1
Purchases, issuances, and settlements		2
Transfers in and/or out of Level 3		—

Balance at September 30, 2009	$	7


Balance at December 31, 2008	$	19
Total losses (realized/unrealized)
Included in earnings		(19	)
Included in other comprehensive income		1
Purchases, issuances, and settlements		6
Transfers in and/or out of Level 3		—

Balance at September 30, 2009	$	7

WELLS FARGO & CO/MN

12. FAIR VALUES OF ASSETS AND LIABILITIES

We use fair value measurements to record fair value adjustments to certain assets and liabilities and to determine fair value disclosures. Trading assets, securities available for sale, derivatives, prime residential mortgages held for sale (MHFS), certain commercial loans held for sale (LHFS), residential MSRs, principal investments 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 nonprime 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.

We adopted new guidance impacting FASB ASC 820-10 effective January 1, 2009, which addresses measuring fair value in situations where markets are inactive and transactions are not orderly. Under the Fair Value Measurement and Disclosures topic of the Codification, transaction or quoted prices for assets or liabilities in inactive markets may require adjustment due to the uncertainty of whether the underlying transactions are orderly. Prior to our adoption of the new provisions for measuring fair value, we primarily used unadjusted independent vendor or broker quoted prices to measure fair value for substantially all securities available for sale. In connection with the change in guidance for fair value measurement, we developed policies and procedures to determine when the level and volume of activity for our assets and liabilities requiring fair value measurements has significantly declined relative to normal conditions. For such items that use price quotes, such as certain security classes within securities available for sale, the degree of market inactivity and distressed transactions was analyzed to determine the appropriate adjustment to the price quotes. The security classes where we considered the market to be less orderly included non-agency residential mortgage-backed securities, commercial mortgage-backed securities, collateralized debt obligations, home equity asset-backed securities, auto asset-backed securities and credit card-backed securities. The methodology used to adjust the quotes involved weighting the price quotes and results of internal pricing techniques such as the net present value of future expected cash flows (with observable inputs, where available) discounted at a rate of return market participants require. The significant inputs utilized in the internal pricing techniques, which were estimated by type of underlying collateral, included credit loss assumptions, estimated prepayment speeds and appropriate discount rates. The more active and orderly markets for particular security classes were determined to be, the more weighting assigned to price quotes. The less active and orderly markets were determined to be, the less weighting assigned to price quotes. For the impact of the new fair value measurement provisions contained in FASB ASC 820-10, see Note 1 in this Report.

Under the fair value option accounting guidance included in FASB ASC 825-10, we elected to measure MHFS at fair value prospectively for new prime residential MHFS originations, for which an active secondary market and readily available market prices existed to reliably support fair value pricing models used for these loans. We also elected to remeasure at fair value certain of our other interests held related to residential loan sales and securitizations. We believe the election for MHFS and other interests held (which are now hedged with free-standing derivatives (economic hedges) along with our MSRs) 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.

Fair Value Hierarchy

In accordance with the Fair Value Measurements and Disclosures topic of the Codification, we group our assets and liabilities 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 model-based 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.

In the determination of the classification of financial instruments in Level 2 or Level 3 of the fair value hierarchy, we consider all available information, including observable market data, indications of market liquidity and orderliness, and our understanding of the valuation techniques and significant inputs used. For securities in inactive markets, we use a predetermined percentage to evaluate the impact of fair value adjustments derived from weighting both external and internal indications of value to determine if the instrument is classified as Level 2 or Level 3. Based upon the specific facts and circumstances of each instrument or instrument category, judgments are made regarding the significance of the Level 3 inputs to the instruments’ fair value measurement in its entirety. If Level 3 inputs are considered significant, the instrument is classified as Level 3.

Upon the acquisition of Wachovia, we elected to measure at fair value certain portfolios of LHFS that we intend to hold for trading purposes and that may be economically hedged with derivative instruments. In addition, we elected to measure at fair value certain letters of credit that are hedged with derivative instruments to better reflect the economics of the transactions. These letters of credit are included in trading account assets or liabilities.

Determination of Fair Value

In accordance with the Fair Value Measurements and Disclosures topic of the Codification, we base our fair values on the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. It is our policy to maximize the use of observable inputs and minimize the use of unobservable inputs when developing fair value measurements, as prescribed in the fair value hierarchy contained in FASB ASC 820-10.

In instances where there is limited or no observable market data, fair value measurements for assets and liabilities are based primarily upon our own estimates or combination of our own estimates and independent vendor or broker pricing, and the measurements are often calculated based on current pricing policy, the economic and competitive environment, the characteristics of the asset or liability and other such factors. Therefore, the results cannot be determined with precision and may not be realized in an actual sale or immediate settlement of the asset or liability. Additionally, there may be inherent weaknesses in any calculation technique, and changes in the underlying assumptions used, including discount rates and estimates of future cash flows, that could significantly affect the results of current or future values.

We incorporate lack of liquidity into our fair value measurement based on the type of asset measured and the valuation methodology used. For example, for residential mortgage loans held for sale and certain securities where the significant inputs have become unobservable due to the illiquid markets and vendor or broker pricing is not used, we use a discounted cash flow technique to measure fair value. This technique incorporates forecasting of expected cash flows discounted at an appropriate market discount rate to reflect the lack of liquidity in the market that a market participant would consider. For other securities where vendor or broker pricing is used, we use either unadjusted broker quotes or vendor prices or vendor or broker prices adjusted by weighting them with internal discounted cash flow techniques to measure fair value. These unadjusted vendor or broker prices inherently reflect any lack of liquidity in the market as the fair value measurement represents an exit price from a market participant viewpoint.

As required by FASB ASC 825-10, Financial Instruments, following are descriptions of the valuation methodologies used for assets and liabilities recorded at fair value and for estimating fair value for financial instruments not recorded at fair value.

Assets

Short-term financial assets

Short-term financial assets include cash and due from banks, federal funds sold and securities purchased under resale agreements and due from customers on acceptances. These assets are carried at historical cost. The carrying amount is a reasonable estimate of fair value because of the relatively short time between the origination of the instrument and its expected realization.

Trading assets (excluding derivatives) and Securities available for sale

Trading assets and securities available for sale are recorded at fair value on a recurring basis. Fair value measurement is based upon quoted prices, if available. Such instruments are classified within Level 1 of the fair value hierarchy. Examples include exchange-traded equity securities and some highly liquid government securities such as U.S. Treasuries. When instruments are traded in secondary markets and quoted market prices do not exist for such securities, we generally rely on internal valuation techniques or on prices obtained from independent pricing services or brokers (collectively, vendors) or combination thereof.

Trading securities are mostly valued using trader prices that are subject to independent price verification procedures. The majority of fair values derived using internal valuation techniques are verified against multiple pricing sources, including prices obtained from independent vendors. Vendors compile prices from various sources and often apply matrix pricing for similar securities when no price is observable. We review pricing methodologies provided by the vendors in order to determine if observable market information is being used, versus unobservable inputs. When evaluating the appropriateness of an internal trader price compared to vendor prices, considerations include the range and quality of vendor prices. Vendor prices are used to ensure the reasonableness of a trader price; however valuing financial instruments involves judgments acquired from knowledge of a particular market and is not perfunctory. If a trader asserts that a vendor price is not reflective of market value, justification for using the trader price, including recent sales activity where possible, must be provided to and approved by the appropriate levels of management.

Similarly, while securities available for sale traded in secondary markets are typically valued using unadjusted vendor prices or vendor prices adjusted by weighting them with internal discounted cash flow techniques, these prices are reviewed and, if deemed inappropriate by a trader who has the most knowledge of a particular market, can be adjusted. Securities measured with these internal valuation techniques are generally classified as Level 2 of the hierarchy and often involve using quoted market prices for similar securities, pricing models, discounted cash flow analyses using significant inputs observable in the market where available or combination of multiple valuation techniques. Examples include certain residential and commercial mortgage-backed securities, municipal bonds, U.S. government and agency mortgage-backed securities, and corporate debt securities.

Security fair value measurements using significant inputs that are unobservable in the market due to limited activity or a less liquid market are classified as Level 3 in the fair value hierarchy. Such measurements include securities valued using internal models or combination of multiple valuation techniques such as weighting of internal models and vendor or broker pricing, where the unobservable inputs are significant to the overall fair value measurement. Securities classified as Level 3 include certain residential and commercial mortgage-backed securities, asset-backed securities collateralized by auto leases and cash reserves, collateralized debt obligations (CDOs) and collateralized loan obligations (CLOs), and certain residual and retained interests in residential mortgage loan securitizations. CDOs are valued using the prices of similar instruments, the pricing of completed or pending third party transactions or the pricing of the underlying collateral within the CDO. Where prices are not readily available, management’s best estimate is used.

Mortgages held for sale (MHFS)

We elected to carry our new prime residential MHFS portfolio at fair value in accordance with fair value option accounting guidance. The remaining MHFS are carried at the lower of cost or market value. Fair value is based on independent quoted market prices, where available, or the prices for other mortgage whole loans with similar characteristics. As necessary, these prices are adjusted for typical securitization activities, including servicing value, portfolio composition, market conditions and liquidity. Most of our MHFS are classified as Level 2. For the portion where market pricing data is not available, we use a discounted cash flow model to estimate fair value and, accordingly, classify as Level 3.

Loans held for sale (LHFS)

Loans held for sale are carried at the lower of cost or market value, or at fair value for certain portfolios that we intend to hold for trading purposes. The fair value of LHFS is based on what secondary markets are currently offering for portfolios with similar characteristics. As such, we classify those loans subjected to nonrecurring fair value adjustments as Level 2.

Loans

For the carrying value of loans, including PCI loans, see Note 1 (Summary of Significant Accounting Policies — Loans) to Financial Statements in the 2008 Form 10-K. We do not record loans at fair value on a recurring basis. As such, valuation techniques discussed herein for loans are primarily for estimating fair value for financial instruments in accordance with FASB ASC 825-10. However, from time to time, we record nonrecurring fair value adjustments to loans to reflect (1) partial write-downs that are based on the observable market price or current appraised value of the collateral, or (2) the full charge-off of the loan carrying value.

The fair value estimates for financial instruments differentiate loans based on their financial characteristics, such as product classification, loan category, pricing features and remaining maturity. Prepayment and credit loss estimates are evaluated by product and loan rate.

The fair value of commercial and commercial real estate and foreign loans is calculated by discounting contractual cash flows, adjusted for credit loss estimates, using discount rates that reflect our current pricing for loans with similar characteristics and remaining maturity.

For real estate 1-4 family first and junior lien mortgages, fair value is calculated by discounting contractual cash flows, adjusted for prepayment and credit loss estimates, using discount rates based on current industry pricing (where readily available) or our own estimate of an appropriate risk-adjusted discount rate for loans of similar size, type, remaining maturity and repricing characteristics.

For credit card loans, the portfolio’s yield is equal to our current pricing and, therefore, the fair value is equal to book value adjusted for estimates of credit losses inherent in the portfolio at the balance sheet date.

For all other consumer loans, the fair value is generally calculated by discounting the contractual cash flows, adjusted for prepayment and credit loss estimates, based on the current rates we offer for loans with similar characteristics.

Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in the table on page 128. These instruments generate ongoing fees at our current pricing levels, which are recognized over the term of the commitment period. In situations where the credit quality of the counterparty to a commitment has declined, we record a reserve. A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the related reserve. This amounted to $704 million at September 30, 2009, and $719 million at December 31, 2008. Certain letters of credit that are hedged with derivative instruments are carried at fair value in trading assets or liabilities. For those letters of credit fair value is calculated based on readily quotable credit default spreads, using a market risk credit default swap model.

Derivatives

Quoted market prices are available and used for our exchange-traded derivatives, such as certain interest rate futures and option contracts, which we classify as Level 1. However, substantially all of our derivatives are traded in over-the-counter (OTC) markets where quoted market prices are not readily available. OTC derivatives are valued using internal valuation techniques. Valuation techniques and inputs to internally-developed models depend on the type of derivative and nature of the underlying rate, price or index upon which the derivative’s value is based. Key inputs can include yield curves, credit curves, foreign-exchange rates, prepayment rates, volatility measurements and correlation of such inputs. Where model inputs can be observed in a liquid market and the model does not require significant judgment, such derivatives are typically classified as Level 2 of the fair value hierarchy. Examples of derivatives classified as Level 2 include generic interest rate swaps, foreign currency swaps, commodity swaps, and option contracts. When instruments are traded in less liquid markets and significant inputs are unobservable, such derivatives are classified as Level 3. Examples of derivatives classified as Level 3 include complex and highly structured derivatives, credit default swaps, interest rate lock commitments written for our residential mortgage loans that we intend to sell and long dated equity options where volatility is not observable. Additionally, significant judgments are required when classifying financial instruments within the fair value hierarchy, particularly between Level 2 and 3, as is the case for certain derivatives.

Mortgage servicing rights and certain other interests held in securitizations

Mortgage servicing rights (MSRs) and certain other interests held in securitizations (e.g., interest-only strips) do not trade in an active market with readily observable prices. Accordingly, we determine the fair value of MSRs using a valuation model that calculates the present value of estimated future net servicing income. The model incorporates assumptions that market participants use in estimating future net servicing income, including estimates of prepayment speeds (including housing price volatility), discount rate, cost to service (including delinquency and foreclosure costs), escrow account earnings, contractual servicing fee income, ancillary income and late fees. Commercial MSRs are carried at lower of cost or market value, and therefore can be subject to fair value measurements on a nonrecurring basis. For other interests held in securitizations (such as interest-only strips) we use a valuation model that calculates the present value of estimated future cash flows. The model incorporates our own estimates of assumptions market participants use in determining the fair value, including estimates of prepayment speeds, discount rates, defaults and contractual fee income. Interest-only strips are recorded as trading assets. Fair value measurements of our MSRs and interest-only strips use significant unobservable inputs and, accordingly, we classify as Level 3.

Foreclosed assets

Foreclosed assets include foreclosed properties securing residential, auto and Government National Mortgage Association loans. Foreclosed assets are adjusted to fair value less costs to sell upon transfer of the loans to foreclosed assets. Subsequently, foreclosed assets are carried at the lower of carrying value or fair value less costs to sell. Fair value is generally based upon independent market prices or appraised values of the collateral and, accordingly, we classify foreclosed assets as Level 2.

Nonmarketable equity investments

Nonmarketable equity investments are recorded under the cost or equity method of accounting. Nonmarketable equity securities that fall within the scope of the American Institute of Certified Public Accountants (AICPA) Investment Company Audit Guide are carried at fair value (principal investments). There are generally restrictions on the sale and/or liquidation of these investments, including federal bank stock. Federal bank stock carrying value approximates fair value. We use facts and circumstances available to estimate the fair value of our nonmarketable equity investments. We typically consider our access to and need for capital (including recent or projected financing activity), qualitative assessments of the viability of the investee, evaluation of the financial statements of the investee and prospects for its future. Principal investments, including certain public equity and non-public securities and certain investments in private equity funds, are recorded at fair value with realized and unrealized gains and losses included in gains and losses on equity investments in the income statement, and are included in other assets in the balance sheet. Public equity investments are valued using quoted market prices and discounts are only applied when there are trading restrictions that are an attribute of the investment. Investments in non-public securities are recorded at our estimate of fair value using metrics such as security prices of comparable public companies, acquisition prices for similar companies and original investment purchase price multiples, while also incorporating a portfolio company’s financial performance and specific factors. For investments in private equity funds, we use the net asset value (NAV) provided by the fund sponsor as an appropriate measure of fair value. In some cases, such NAVs require adjustments based on certain unobservable inputs.

Liabilities

Deposit liabilities

Deposit liabilities are carried at historical cost. The Financial Instruments topic of the Codification states that the fair value of deposits with no stated maturity, such as noninterest-bearing demand deposits, interest-bearing checking, and market rate and other savings, is equal to the amount payable on demand at the measurement date. The fair value of other time deposits is calculated based on the discounted value of contractual cash flows. The discount rate is estimated using the rates currently offered for like wholesale deposits with similar remaining maturities.

Short-term financial liabilities

Short-term financial liabilities are carried at historical cost and include federal funds purchased and securities sold under repurchase agreements, commercial paper and other short-term borrowings. The carrying amount is a reasonable estimate of fair value because of the relatively short time between the origination of the instrument and its expected realization.

Other liabilities

Other liabilities recorded at fair value on a recurring basis, excluding derivative liabilities (see the “Derivatives” section for derivative liabilities), includes short sale liabilities and repurchase obligations (due to standard representations and warranties) under our residential mortgage loan contracts. Short sale liabilities are classified as either Level 1 or Level 2, generally dependent upon whether the underlying securities have readily obtained quoted prices in active exchange markets. The value of the repurchase obligations is determined using a cash flow valuation technique consistent with what market participants would use in estimating the fair value. Key assumptions in the valuation process are estimates for repurchase demands and losses subsequent to repurchase. Such assumptions are unobservable and, accordingly, we classify repurchase obligations as Level 3.

Long-term debt

Long-term debt is carried at amortized cost. However, we are required to estimate the fair value of long-term debt in accordance with FASB ASC 825-10. Generally, the discounted cash flow method is used to estimate the fair value of our long-term debt. Contractual cash flows are discounted using rates currently offered for new notes with similar remaining maturities and, as such, these discount rates include our current spread levels. The fair value estimates generated are corroborated against observable market prices. For foreign-currency denominated debt, we estimate fair value based upon observable market prices for the instruments.

The table below presents the balances of assets and liabilities measured at fair value on a recurring basis.



(in millions)	Level 1			Level 2			Level 3			Netting (1)			Total

Balance at December 31, 2008
Trading assets (excluding derivatives)	$	911			16,045			3,495			—			20,451
Derivatives (trading assets)		331			174,355			7,897			(148,150	)		34,433
Securities of U.S. Treasury and federal agencies		3,177			72			—			—			3,249
Securities of U.S. states and political subdivisions		1			11,754			903			—			12,658
Mortgage-backed securities:
Federal agencies		—			66,430			4			—			66,434
Residential		—			21,320			3,510			—			24,830
Commercial		—			8,192			286			—			8,478

Total mortgage-backed securities		—			95,942			3,800			—			99,742

Corporate debt securities		—			6,642			282			—			6,924
Collateralized debt obligations		—			2			2,083			—			2,085
Other		—			7,976			12,799			—			20,775

Total debt securities		3,178			122,388			19,867			—			145,433

Marketable equity securities:
Perpetual preferred securities		886			1,065			2,775			—			4,726
Other marketable equity securities		1,099			261			50			—			1,410

Total marketable equity securities		1,985			1,326			2,825			—			6,136

Total securities available for sale		5,163			123,714			22,692			—			151,569

Mortgages held for sale		—			14,036			4,718			—			18,754
Loans held for sale		—			398			—			—			398
Mortgage servicing rights (residential)		—			—			14,714			—			14,714
Other assets (2)		3,975			21,751			2,041			(20,540	)		7,227

Total	$	10,380			350,299			55,557			(168,690	)		247,546

Other liabilities (3)	$	(4,815	)		(187,098	)		(9,308	)		182,435			(18,786	)


Balance at September 30, 2009

Trading assets (excluding derivatives)	$	2,950			17,562			2,493			—			23,005
Derivatives (trading assets)		366			91,842			5,792			(77,807	)		20,193
Securities of U.S. Treasury and federal agencies		1,228			1,268			—			—			2,496
Securities of U.S. states and political subdivisions		4			12,664			962			—			13,630
Mortgage-backed securities:
Federal agencies		—			87,503			—			—			87,503
Residential		—			31,686			2,406			—			34,092
Commercial		—			9,404			1,860			—			11,264

Total mortgage-backed securities		—			128,593			4,266			—			132,859

Corporate debt securities		—			8,957			245			—			9,202
Collateralized debt obligations		—			—			3,263			—			3,263
Other		—			3,289			13,170			—			16,459

Total debt securities		1,232			154,771			21,906			—			177,909

Marketable equity securities:
Perpetual preferred securities		775			809			2,489			—			4,073
Other marketable equity securities		1,475			344			13			—			1,832

Total marketable equity securities		2,250			1,153			2,502			—			5,905

Total securities available for sale		3,482			155,924			24,408			—			183,814

Mortgages held for sale		—			29,561			3,874			—			33,435
Loans held for sale		—			201			—			—			201
Mortgage servicing rights (residential)		—			—			14,500			—			14,500
Other assets (2)		2,357			15,084			1,888			(8,832	)		10,497

Total	$	9,155			310,174			52,955			(86,639	)		285,645

Other liabilities (3)	$	(7,064	)		(103,755	)		(7,855	)		95,208			(23,466	)


(1)		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.
(2)		Derivative assets other than trading and principal investments are included in this category.
(3)		Derivative liabilities are included in this category.

The changes in Level 3 assets and liabilities measured at fair value on a recurring basis are summarized as follows:



																			Net unrealized
				Total net gains						Purchases,									gains (losses)
				(losses) included in						sales,			Net						included in net
							Other			issuances			transfers						income related
	Balance,						compre-			and			into and/			Balance,			to assets and
	beginning			Net			hensive			settlements,			or out of			end			liabilities held
(in millions)	of period			income			income			net			Level 3		(1)	of period			at period end		(2)

Quarter ended September 30, 2008
Trading assets (excluding derivatives)	$	547			(90	)		—			(4	)		—			453			(72	)(3)
Securities available for sale:
Securities of U.S. states and political subdivisions		443			(2	)		(18	)		(22	)		—			401			—
Mortgage-backed securities:
Federal agencies		7			—			—			—			—			7			—
Residential		450			(29	)		(65	)		(10	)		439			785			(26	)
Commercial		—			(23	)		(19	)		(4	)		343			297			—

Total mortgage-backed securities		457			(52	)		(84	)		(14	)		782			1,089			(26	)

Corporate debt securities		—			—			—			101			—			101			—
Collateralized debt obligations		—			(118	)		(68	)		169			836			819			—
Other		7,703			(9	)		151			858			(1,162	)		7,541			—

Total debt securities		8,603			(181	)		(19	)		1,092			456			9,951			(26	)

Marketable equity securities:
Perpetual preferred securities		—			—			—			—			—			—			—
Other marketable equity securities		1			—			—			—			—			1			—

Total marketable equity securities		1			—			—			—			—			1			—

Total securities available for sale	$	8,604			(181	)		(19	)		1,092			456			9,952			(26	)

Mortgages held for sale	$	5,276			14			—			(76	)		(59	)		5,155			12	(4)
Mortgage servicing rights (residential)		19,333			(1,057	)		—			908			—			19,184			(546	)(4)
Net derivative assets and liabilities		(47	)		(41	)		1			(24	)		—			(111	)		(105	)(4)
Other assets (excluding derivatives)		—			—			—			—			—			—			—
Other liabilities (excluding derivatives)		(357	)		(83	)		—			28			—			(412	)		(82	)


Quarter ended September 30, 2009

Trading assets (excluding derivatives)	$	2,475			149			—			(138	)		7			2,493			100	(3)
Securities available for sale:
Securities of U.S. states and political subdivisions		905			2			32			1			22			962			3
Mortgage-backed securities:
Federal agencies		—			—			—			—			—			—			—
Residential		5,913			(25	)		216			(135	)		(3,563	)		2,406			(51	)
Commercial		2,615			(1	)		181			(28	)		(907	)		1,860			(44	)

Total mortgage-backed securities		8,528			(26	)		397			(163	)		(4,470	)		4,266			(95	)

Corporate debt securities		286			—			(12	)		18			(47	)		245			—
Collateralized debt obligations		2,748			17			369			129			—			3,263			(16	)
Other		15,718			44			238			(428	)		(2,402	)		13,170			(33	)

Total debt securities		28,185			37			1,024			(443	)		(6,897	)		21,906			(141	)

Marketable equity securities:
Perpetual preferred securities		2,716			10			54			(322	)		31			2,489			—
Other marketable equity securities		127			—			(3	)		(32	)		(79	)		13			—

Total marketable equity securities		2,843			10			51			(354	)		(48	)		2,502			—

Total securities available for sale	$	31,028			47			1,075			(797	)		(6,945	)		24,408			(141	)

Mortgages held for sale	$	4,099			(64	)		—			(191	)		30			3,874			(67	)(4)
Mortgage servicing rights (residential)		15,690			(2,707	)		—			1,517			—			14,500			(2,078	)(4)
Net derivative assets and liabilities		(206	)		1,085			(1	)		(952	)		(288	)		(362	)		274	(4)
Other assets (excluding derivatives)		1,226			(9	)		—			7			—			1,224			(13	)(4)
Other liabilities (excluding derivatives)		(852	)		(137	)		—			(40	)		(8	)		(1,037	)		(144	)


(1)		The amounts presented as transfers into and out of Level 3 represent fair value as of the beginning of the period presented.
(2)		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.
(3)		Included in other noninterest income in the income statement.
(4)		Included in mortgage banking in the income statement.



																			Net unrealized
				Total net gains						Purchases,									gains (losses)
				(losses) included in						sales,			Net						included in net
							Other			issuances			transfers						income related
	Balance,						compre-			and			into and/			Balance,			to assets and
	beginning			Net			hensive			settlements,			or out of			end			liabilities held
(in millions)	of period			income			income			net			Level 3		(1)	of period			at period end		(2)

Nine months ended September 30, 2008
Trading assets (excluding derivatives)	$	418			23			—			12			—			453			93	(3)
Securities available for sale:
Securities of U.S. states and political subdivisions		168			(2	)		(36	)		(7	)		278			401			—
Mortgage-backed securities:
Federal agencies		—			—			—			—			7			7			—
Residential		486			(106	)		(90	)		51			444			785			(94	)
Commercial		—			(23	)		(19	)		(4	)		343			297			—

Total mortgage-backed securities		486			(129	)		(109	)		47			794			1,089			(94	)

Corporate debt securities		—			—			—			101			—			101			—
Collateralized debt obligations		—			(118	)		(68	)		169			836			819			—
Other		4,726			(9	)		(146	)		2,689			281			7,541			—

Total debt securities		5,380			(258	)		(359	)		2,999			2,189			9,951			(94	)

Marketable equity securities:
Perpetual preferred securities		—			—			—			—			—			—			—
Other marketable equity securities		1			—			—			—			—			1			—

Total marketable equity securities		1			—			—			—			—			1			—

Total securities available for sale	$	5,381			(258	)		(359	)		2,999			2,189			9,952			(94	)

Mortgages held for sale	$	146			(34	)		—			714			4,329			5,155			(33	)(4)
Mortgage servicing rights (residential)		16,763			(143	)		—			2,564			—			19,184			1,796	(4)(5)
Net derivative assets and liabilities		6			(531	)		1			413			—			(111	)		(113	)(4)
Other assets (excluding derivatives)		—			—			—			—			—			—			—
Other liabilities (excluding derivatives)		(280	)		(184	)		—			52			—			(412	)		(184	)


Nine months ended September 30, 2009

Trading assets (excluding derivatives)	$	3,495			191			—			(1,536	)		343			2,493			252	(3)
Securities available for sale:
Securities of U.S. states and political subdivisions		903			20			45			47			(53	)		962			(6	)
Mortgage-backed securities:
Federal agencies		4			—			—			—			(4	)		—			—
Residential		3,510			(55	)		1,100			(723	)		(1,426	)		2,406			(202	)
Commercial		286			(119	)		928			21			744			1,860			(55	)

Total mortgage-backed securities		3,800			(174	)		2,028			(702	)		(686	)		4,266			(257	)

Corporate debt securities		282			2			44			(5	)		(78	)		245			—
Collateralized debt obligations		2,083			72			558			233			317			3,263			(71	)
Other		12,799			73			1,302			1,229			(2,233	)		13,170			(87	)

Total debt securities		19,867			(7	)		3,977			802			(2,733	)		21,906			(421	)

Marketable equity securities:
Perpetual preferred securities		2,775			96			169			(556	)		5			2,489			(1	)
Other marketable equity securities		50			—			(4	)		30			(63	)		13			—

Total marketable equity securities		2,825			96			165			(526	)		(58	)		2,502			(1	)

Total securities available for sale	$	22,692			89			4,142			276			(2,791	)		24,408			(422	)

Mortgages held for sale	$	4,718			(66	)		—			(662	)		(116	)		3,874			(77	)(4)
Mortgage servicing rights (residential)		14,714			(5,293	)		—			5,079			—			14,500			(2,586	)(4)
Net derivative assets and liabilities		37			1,079			(1	)		(1,454	)		(23	)		(362	)		(252	)(4)
Other assets (excluding derivatives)		1,231			(42	)		—			35			—			1,224			(40	)(4)
Other liabilities (excluding derivatives)		(638	)		(315	)		—			(74	)		(10	)		(1,037	)		(318	)


(1)		The amounts presented as transfers into and out of Level 3 represent fair value as of the beginning of the period presented.
(2)		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.
(3)		Included in other noninterest income in the income statement.
(4)		Included in mortgage banking in the income statement.
(5)		Represents total unrealized gains of $1,788 million, net of losses of $8 million related to sales, in the first nine months of 2008.

For certain assets and liabilities, we obtain fair value measurements from independent brokers or independent 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 independent brokers or independent third party pricing services that we have adjusted to determine the fair value recorded in our financial statements are not included in the table below.



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

December 31, 2008

Trading assets (excluding derivatives)	$	190		3,272		12		917		1,944		110
Derivatives (trading and other assets)		3,419		106		106		605		4,635		—
Securities available for sale		181		8,916		1,681		3,944		109,170		8
Loans held for sale		—		1		—		—		353		—
Other liabilities		1,105		175		128		2,208		5,171		1


September 30, 2009

Trading assets (excluding derivatives)	$	572		3,590		—		28		2,948		38
Derivatives (trading and other assets)		—		9		46		—		2,841		2
Securities available for sale		496		2,104		441		1,666		117,275		777
Loans held for sale		—		—		—		—		2		—
Derivatives (liabilities)		—		—		70		—		2,912		4
Other liabilities		296		732		—		10		2,817		46

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 lower-of-cost-or-market accounting or write-downs of individual assets. For assets measured at fair value on a nonrecurring basis during the nine months ended September 30, 2009, and year ended December 31, 2008, that were still held in the balance sheet at each respective period end, the following table provides the fair value hierarchy and the carrying value of the related individual assets or portfolios at quarter end.



	Carrying value at period end
(in millions)	Level 1		Level 2		Level 3		Total

December 31, 2008

Mortgages held for sale	$	—		521		534		1,055
Loans held for sale		—		338		—		338
Loans (1)		—		1,487		107		1,594
Private equity investments		134		—		18		152
Foreclosed assets (2)		—		274		55		329
Operating lease assets		—		186		—		186


September 30, 2009

Mortgages held for sale	$	—		1,058		703		1,761
Loans held for sale		—		489		—		489
Loans (1)		—		4,383		251		4,634
Private equity investments		—		—		39		39
Foreclosed assets (2)		—		237		44		281
Operating lease assets		—		127		—		127


(1)		Represents carrying value of loans for which adjustments are based on the appraised value of the collateral. The carrying value of loans fully charged-off, which includes unsecured lines and loans, is zero.
(2)		Represents 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 included in the income statement, relating to assets held at period end.



	Nine months ended Sept. 30					,
(in millions)	2009			2008

Mortgages held for sale	$	(12	)		(153	)
Loans held for sale		143			(25	)
Loans (1)		(9,692	)		(4,167	)
Private equity investments		(89	)		(29	)
Foreclosed assets (2)		(125	)		(136	)
Operating lease assets		(12	)		(6	)

Total	$	(9,787	)		(4,516	)


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

Fair Value Option

The following table reflects the differences between fair value carrying amount of MHFS for which we have elected the fair value option and the aggregate unpaid principal amount we are contractually entitled to receive at maturity.

Sept. 30, 2009

Dec. 31, 2008

Fair value

Fair value

carrying

carrying

amount

amount

less

less

Fair value

Aggregate

aggregate

Fair value

Aggregate

aggregate

carrying

unpaid

carrying

unpaid

(in millions)

amount

principal

amount

principal

Mortgages held for sale reported at fair value:

Total loans

33,435

33,144

291

(1)

18,754

18,862

(108

)(1)

Nonaccrual loans

277

566

(289

)

152

344

(192

)

Loans 90 days or more past due and still accruing

(10

)

Loans held for sale reported at fair value:

Total loans

201

194

398

760

(362

)

Nonaccrual loans

)

(16

)


(1)		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.

The assets 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 values related to initial measurement and subsequent changes in fair value included in earnings for these assets measured at fair value are shown, by income statement line item, below.



	2009						2008
	Mortgages		Loans		Other		Mortgages		Other
	held		held		interests		held		interests
(in millions)	for sale		for sale		held		for sale		held

Quarter ended September 30,
Mortgage banking noninterest income:
Net gains on mortgage loan origination/sales activities (1)	$	1,541		—		—		595		—
Other noninterest income		—		1		4		—		(88	)

Nine months ended September 30,
Mortgage banking noninterest income:
Net gains on mortgage loan origination/sales activities (1)	$	3,834		—		—		1,444		—
Other noninterest income		—		93		83		—		27


(1)		Includes changes in fair value of servicing associated with MHFS.

Interest income on MHFS measured at fair value is calculated based on the note rate of the loan and is recorded in interest income in the income statement.

For MHFS that are accounted for under the fair value option, the estimated amount of losses included in earnings attributable to instrument-specific credit risk was $82 million and $200 million for the third quarter and nine months ended September 30, 2009, respectively, and $57 million and $195 million for the third quarter and nine months ended September 30, 2008, respectively. 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. Since the second half of 2007, spreads have been significantly impacted 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.

Disclosures about Fair Value of Financial Instruments

The table below is a summary of fair value estimates for financial instruments, excluding short-term financial assets and liabilities because carrying amounts approximate fair value, and excluding financial instruments recorded at fair value on a recurring basis. The carrying amounts in the following table are recorded in the balance sheet under the indicated captions.

In accordance with FASB ASC 825-10, 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.

The carrying amount of loans at December 31, 2008, in the table below includes $443,480 million acquired from Wachovia. Under the purchase method of accounting, these loans were recorded at fair value upon acquisition, and accordingly, the carrying value and fair value at December 31, 2008 were the same. Although the purchase accounting adjustments for the acquired Wachovia loans included a write-down on PCI loans, the carrying amount was also increased to reflect the decline in interest rates at the time of acquisition in relation to the previous contractual rates on the loans. A decline in interest rates increases the fair value of loans in relation to the carrying amount except when the carrying amount has already been increased to reflect the reduction in interest rates, as was the case for Wachovia’s loan portfolio as of December 31, 2008.

Sept. 30, 2009

Dec. 31, 2008

Carrying

Estimated

Carrying

Estimated

(in millions)

amount

fair value

amount

fair value

Financial assets

Mortgages held for sale (1)

2,103

1,334

1,333

Loans held for sale (2)

5,645

5,761

5,830

5,876

Loans, net

775,924

753,821

843,817

829,603

Nonmarketable equity investments (cost method)

8,934

9,002

9,146

9,262

Financial liabilities

Deposits

796,748

797,389

781,402

781,964

Long-term debt (3)

214,216

214,684

267,055

266,023


(1)		Balance excludes mortgages held for sale for which the fair value option under ASC 825-10 was elected, and therefore includes nonprime residential and commercial mortgages held for sale.
(2)		Balance excludes loans held for sale for which the fair value option under ASC 825-10 was elected.
(3)		The carrying amount and fair value exclude obligations under capital leases of $76 million at September 30, 2009, and $103 million at December 31, 2008.

The carrying amount and estimated fair value for loans at September 30, 2009, were lower than at December 31, 2008, primarily because total loans outstanding declined in the first nine months of 2009.