Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.7.0.1
Fair Value Measurements (Tables)
3 Months Ended
Mar. 31, 2017
Fair Value Disclosures [Abstract]  
Assets and Liabilities Carried at Fair Value on a Recurring Basis
Assets and liabilities carried at fair value on a recurring basis at March 31, 2017 and December 31, 2016, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
 
 
 
 
 
 
 
 
 
 
 
March 31, 2017
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting Adjustments (1)
 
Assets/Liabilities at Fair Value
Assets
 

 
 

 
 

 
 

 
 

Federal funds sold and securities borrowed or purchased under agreements to resell
$

 
$
58,545

 
$

 
$

 
$
58,545

Trading account assets:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities (2)
40,582

 
1,006

 

 

 
41,588

Corporate securities, trading loans and other
219

 
27,691

 
2,029

 

 
29,939

Equity securities
58,970

 
25,168

 
288

 

 
84,426

Non-U.S. sovereign debt
12,430

 
13,023

 
527

 

 
25,980

Mortgage trading loans, MBS and ABS:
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed (2)

 
18,442

 

 

 
18,442

Mortgage trading loans, ABS and other MBS

 
7,454

 
1,215

 

 
8,669

Total trading account assets (3)
112,201

 
92,784

 
4,059

 

 
209,044

Derivative assets (4)
8,218

 
521,097

 
4,152

 
(493,389
)
 
40,078

AFS debt securities:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities
49,013

 
1,545

 

 

 
50,558

Mortgage-backed securities:
 

 
 

 
 

 
 

 
 

Agency

 
189,043

 

 

 
189,043

Agency-collateralized mortgage obligations

 
7,877

 

 

 
7,877

Non-agency residential

 
1,943

 

 

 
1,943

Commercial

 
12,572

 

 

 
12,572

Non-U.S. securities
1,945

 
3,910

 
207

 

 
6,062

Other taxable securities

 
9,240

 
579

 

 
9,819

Tax-exempt securities

 
16,815

 
520

 

 
17,335

Total AFS debt securities
50,958

 
242,945

 
1,306

 

 
295,209

Other debt securities carried at fair value:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency-collateralized mortgage obligations

 
5

 

 

 
5

Non-agency residential

 
3,058

 
24

 

 
3,082

Non-U.S. securities
12,177

 
1,305

 

 

 
13,482

Other taxable securities

 
234

 

 

 
234

Total other debt securities carried at fair value
12,177

 
4,602

 
24

 

 
16,803

Loans and leases

 
6,826

 
702

 

 
7,528

Mortgage servicing rights

 

 
2,610

 

 
2,610

Loans held-for-sale

 
2,953

 
792

 

 
3,745

Customer and other receivables

 
250

 

 

 
250

Debt securities in assets of business held for sale
691

 

 

 

 
691

Other assets
12,971

 
1,437

 
231

 

 
14,639

Total assets
$
197,216

 
$
931,439

 
$
13,876

 
$
(493,389
)
 
$
649,142

Liabilities
 

 
 

 
 

 
 

 
 

Interest-bearing deposits in U.S. offices
$

 
$
598

 
$

 
$

 
$
598

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
36,437

 
226

 

 
36,663

Trading account liabilities:
 

 
 

 
 

 
 

 
 
U.S. Treasury and agency securities
18,392

 
91

 

 

 
18,483

Equity securities
30,203

 
3,064

 

 

 
33,267

Non-U.S. sovereign debt
13,547

 
3,723

 

 

 
17,270

Corporate securities and other
231

 
7,997

 
35

 

 
8,263

Total trading account liabilities
62,373

 
14,875

 
35

 

 
77,283

Derivative liabilities (4)
7,640

 
520,288

 
5,817

 
(497,317
)
 
36,428

Short-term borrowings

 
1,041

 

 

 
1,041

Accrued expenses and other liabilities
14,650

 
1,586

 
9

 

 
16,245

Long-term debt

 
27,957

 
1,660

 

 
29,617

Total liabilities
$
84,663

 
$
602,782

 
$
7,747

 
$
(497,317
)
 
$
197,875

(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $19.2 billion of GSE obligations.
(3) 
Includes securities with a fair value of $18.1 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
(4) 
During the three months ended March 31, 2017, $612 million of derivative assets and $400 million of derivative liabilities were transferred from Level 1 to Level 2 and $111 million of derivative assets and $123 million of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
 

 
 
 
 
 
 
 
 
 
 
 
December 31, 2016
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting Adjustments (1)
 
Assets/Liabilities at Fair Value
Assets
 

 
 

 
 

 
 

 
 

Federal funds sold and securities borrowed or purchased under agreements to resell
$

 
$
49,750

 
$

 
$

 
$
49,750

Trading account assets:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities (2)
34,587

 
1,927

 

 

 
36,514

Corporate securities, trading loans and other
171

 
22,861

 
2,777

 

 
25,809

Equity securities
50,169

 
21,601

 
281

 

 
72,051

Non-U.S. sovereign debt
9,578

 
9,940

 
510

 

 
20,028

Mortgage trading loans, MBS and ABS:
 
 
 
 
 
 
 
 
 
U.S. government-sponsored agency guaranteed (2)

 
15,799

 

 

 
15,799

Mortgage trading loans, ABS and other MBS

 
8,797

 
1,211

 

 
10,008

Total trading account assets (3)
94,505

 
80,925

 
4,779

 

 
180,209

Derivative assets (4)
7,337

 
619,848

 
3,931

 
(588,604
)
 
42,512

AFS debt securities:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities
46,787

 
1,465

 

 

 
48,252

Mortgage-backed securities:
 

 
 

 
 

 
 

 
 

Agency

 
189,486

 

 

 
189,486

Agency-collateralized mortgage obligations

 
8,330

 

 

 
8,330

Non-agency residential

 
2,013

 

 

 
2,013

Commercial

 
12,322

 

 

 
12,322

Non-U.S. securities
1,934

 
3,600

 
229

 

 
5,763

Other taxable securities

 
10,020

 
594

 

 
10,614

Tax-exempt securities

 
16,618

 
542

 

 
17,160

Total AFS debt securities
48,721

 
243,854

 
1,365

 

 
293,940

Other debt securities carried at fair value:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency-collateralized mortgage obligations

 
5

 

 

 
5

Non-agency residential

 
3,114

 
25

 

 
3,139

Non-U.S. securities
15,109

 
1,227

 

 

 
16,336

Other taxable securities

 
240

 

 

 
240

Total other debt securities carried at fair value
15,109

 
4,586

 
25

 

 
19,720

Loans and leases

 
6,365

 
720

 

 
7,085

Mortgage servicing rights

 

 
2,747

 

 
2,747

Loans held-for-sale

 
3,370

 
656

 

 
4,026

Debt securities in assets of business held for sale
619

 

 

 

 
619

Other assets
11,824

 
1,739

 
239

 

 
13,802

Total assets
$
178,115

 
$
1,010,437

 
$
14,462

 
$
(588,604
)
 
$
614,410

Liabilities
 

 
 

 
 

 
 

 
 

Interest-bearing deposits in U.S. offices
$

 
$
731

 
$

 
$

 
$
731

Federal funds purchased and securities loaned or sold under agreements to repurchase

 
35,407

 
359

 

 
35,766

Trading account liabilities:
 

 
 

 
 

 
 

 
 
U.S. Treasury and agency securities
15,854

 
197

 

 

 
16,051

Equity securities
25,884

 
3,014

 

 

 
28,898

Non-U.S. sovereign debt
9,409

 
2,103

 

 

 
11,512

Corporate securities and other
163

 
6,380

 
27

 

 
6,570

Total trading account liabilities
51,310

 
11,694

 
27

 

 
63,031

Derivative liabilities (4)
7,173

 
615,896

 
5,244

 
(588,833
)
 
39,480

Short-term borrowings

 
2,024

 

 

 
2,024

Accrued expenses and other liabilities
12,978

 
1,643

 
9

 

 
14,630

Long-term debt

 
28,523

 
1,514

 

 
30,037

Total liabilities
$
71,461

 
$
695,918

 
$
7,153

 
$
(588,833
)
 
$
185,699


(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $17.5 billion of GSE obligations.
(3) 
Includes securities with a fair value of $14.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
(4) 
During 2016, $2.3 billion of derivative assets and $2.4 billion of derivative liabilities were transferred from Level 1 to Level 2 and $2.0 billion of derivative assets and $1.8 billion of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2017 and 2016, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2017
 
 
 
 
 
Gross
 
 
 
 
 
(Dollars in millions)
Balance
January 1
2017
Total Realized/Unrealized Gains/(Losses) (2)
Gains
(Losses)
in OCI
(3)
Purchases
Sales
Issuances
Settlements
 
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
March 31
2017
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
Trading account assets:
 

 

 

 

 
 
 
 
 

 

 

 
Corporate securities, trading loans and other
$
2,777

$
84

$

$
199

$
(480
)
$

$
(127
)
 
$
75

$
(499
)
$
2,029

$
56

Equity securities
281

12


20

(17
)

(10
)
 
72

(70
)
288

8

Non-U.S. sovereign debt
510

19

10


(9
)

(6
)
 
3


527

19

Mortgage trading loans, ABS and other MBS
1,211

107


339

(375
)

(54
)
 
28

(41
)
1,215

74

Total trading account assets
4,779

222

10

558

(881
)

(197
)
 
178

(610
)
4,059

157

Net derivative assets (4)
(1,313
)
(474
)

200

(247
)

170

 
29

(30
)
(1,665
)
(489
)
AFS debt securities:
 

 

 

 

 

 

 

 
 

 

 

 
Non-U.S. securities
229


3

20



(45
)
 


207


Other taxable securities
594

3

4




(22
)
 


579


Tax-exempt securities
542


2


(56
)

(3
)
 
35


520


Total AFS debt securities
1,365

3

9

20

(56
)

(70
)
 
35


1,306


Other debt securities carried at fair value – Non-agency residential MBS
25

(1
)





 


24


Loans and leases (5, 6)
720

12





(30
)
 


702

12

Mortgage servicing rights (6, 7, 8)
2,747

(27
)


5

75

(190
)
(7) 


2,610

(117
)
Loans held-for-sale (5)
656

29

6


(136
)

(60
)
 
315

(18
)
792

22

Other assets
239

(6
)




(2
)
 


231

(6
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(359
)
1




(2
)
28

 

106

(226
)
1

Trading account liabilities – Corporate securities and other
(27
)
2



(10
)


 


(35
)
2

Accrued expenses and other liabilities (5)
(9
)






 


(9
)

Long-term debt (5)
(1,514
)
(83
)
7

11


(130
)
159

 
(178
)
68

(1,660
)
(83
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve, and periodic adjustments to the valuation model to reflect changes in the modeled relationships between inputs and projected cash flows, as well as changes in cash flow assumptions including cost to service.  
(3) 
Includes gains/losses in OCI related to unrealized gains/losses on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For additional information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.
(4) 
Net derivatives include derivative assets of $4.2 billion and derivative liabilities of $5.8 billion.
(5) 
Amounts represent instruments that are accounted for under the fair value option.
(6) 
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7) 
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
(8) 
MSRs include the $1.9 billion core MSR portfolio held in Consumer Banking, the $208 million non-core MSR portfolio held in All Other and the $481 million non-U.S. MSR portfolio held in Global Markets.

 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2016
 
 
 
 
 
Gross
 
 
 
 
(Dollars in millions)
Balance
January 1
2016
Total Realized/Unrealized Gains/(Losses) (2)
Gains
(Losses)
in OCI
(3)
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
March 31
2016
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
Trading account assets:
 

 

 

 
 
 
 

 
 

 

 
Corporate securities, trading loans and other
$
2,838

$
50

$
1

$
227

$
(147
)
$

$
(148
)
$
158

$
(25
)
$
2,954

$
33

Equity securities
407

60


10

(2
)

(62
)
4


417

7

Non-U.S. sovereign debt
521

42

49

3

(1
)

(42
)


572

41

Mortgage trading loans, ABS and other MBS
1,868

28

(2
)
194

(404
)

(73
)
31

(28
)
1,614

4

Total trading account assets
5,634

180

48

434

(554
)

(325
)
193

(53
)
5,557

85

Net derivative assets (4)
(441
)
403


89

(175
)

12

(116
)
(87
)
(315
)
257

AFS debt securities:
 

 

 

 
 
 
 

 

 

 

 
Non-agency residential MBS
106


5

135

(92
)

(4
)


150


Other taxable securities
757

1

(3
)



(16
)


739


Tax-exempt securities
569


(7
)
1



(1
)


562


Total AFS debt securities
1,432

1

(5
)
136

(92
)

(21
)


1,451


Other debt securities carried at fair value – Non-agency residential MBS
30

(1
)







29


Loans and leases (5, 6)
1,620

43


69


25

(35
)
5

(30
)
1,697

48

Mortgage servicing rights (6, 7, 8)
3,087

(380
)


(1
)
136

(211
)


2,631

(437
)
Loans held-for-sale (5)
787

73

27

20

(163
)

(34
)
13

(63
)
660

58

Other assets
374

(25
)

34



(10
)
2


375

(22
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(335
)
(3
)



(14
)
7



(345
)
(9
)
Trading account liabilities – Corporate securities and other
(21
)
1



(8
)




(28
)
1

Short-term borrowings (5)
(30
)
1





29





Accrued expenses and other liabilities (5)
(9
)








(9
)

Long-term debt (5)
(1,513
)
(91
)
(7
)
9


(169
)
56

(186
)
87

(1,814
)
(93
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve.
(3) 
Includes gains/losses in OCI related to unrealized gains/losses on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  For additional information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K. 
(4) 
Net derivatives include derivative assets of $5.5 billion and derivative liabilities of $5.8 billion.
(5) 
Amounts represent instruments that are accounted for under the fair value option.
(6) 
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7) 
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
(8) 
MSRs include the $1.8 billion core MSR portfolio held in Consumer Banking, the $343 million non-core MSR portfolio held in All Other and the $479 million non-U.S. MSR portfolio held in Global Markets.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2016
 
 
 
 
 
Gross
 
 
 
 
(Dollars in millions)
Balance
January 1
2016
Total Realized/Unrealized Gains/(Losses) (2)
Gains
(Losses)
in OCI
(3)
Purchases
Sales
Issuances
Settlements
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
March 31
2016
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
Trading account assets:
 

 

 

 
 
 
 

 
 

 

 
Corporate securities, trading loans and other
$
2,838

$
50

$
1

$
227

$
(147
)
$

$
(148
)
$
158

$
(25
)
$
2,954

$
33

Equity securities
407

60


10

(2
)

(62
)
4


417

7

Non-U.S. sovereign debt
521

42

49

3

(1
)

(42
)


572

41

Mortgage trading loans, ABS and other MBS
1,868

28

(2
)
194

(404
)

(73
)
31

(28
)
1,614

4

Total trading account assets
5,634

180

48

434

(554
)

(325
)
193

(53
)
5,557

85

Net derivative assets (4)
(441
)
403


89

(175
)

12

(116
)
(87
)
(315
)
257

AFS debt securities:
 

 

 

 
 
 
 

 

 

 

 
Non-agency residential MBS
106


5

135

(92
)

(4
)


150


Other taxable securities
757

1

(3
)



(16
)


739


Tax-exempt securities
569


(7
)
1



(1
)


562


Total AFS debt securities
1,432

1

(5
)
136

(92
)

(21
)


1,451


Other debt securities carried at fair value – Non-agency residential MBS
30

(1
)







29


Loans and leases (5, 6)
1,620

43


69


25

(35
)
5

(30
)
1,697

48

Mortgage servicing rights (6, 7, 8)
3,087

(380
)


(1
)
136

(211
)


2,631

(437
)
Loans held-for-sale (5)
787

73

27

20

(163
)

(34
)
13

(63
)
660

58

Other assets
374

(25
)

34



(10
)
2


375

(22
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(335
)
(3
)



(14
)
7



(345
)
(9
)
Trading account liabilities – Corporate securities and other
(21
)
1



(8
)




(28
)
1

Short-term borrowings (5)
(30
)
1





29





Accrued expenses and other liabilities (5)
(9
)








(9
)

Long-term debt (5)
(1,513
)
(91
)
(7
)
9


(169
)
56

(186
)
87

(1,814
)
(93
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve.
(3) 
Includes gains/losses in OCI related to unrealized gains/losses on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  For additional information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K. 
(4) 
Net derivatives include derivative assets of $5.5 billion and derivative liabilities of $5.8 billion.
(5) 
Amounts represent instruments that are accounted for under the fair value option.
(6) 
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7) 
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
(8) 
MSRs include the $1.8 billion core MSR portfolio held in Consumer Banking, the $343 million non-core MSR portfolio held in All Other and the $479 million non-U.S. MSR portfolio held in Global Markets.
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2017 and 2016, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
 
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Three Months Ended March 31, 2017
 
 
 
 
 
Gross
 
 
 
 
 
(Dollars in millions)
Balance
January 1
2017
Total Realized/Unrealized Gains/(Losses) (2)
Gains
(Losses)
in OCI
(3)
Purchases
Sales
Issuances
Settlements
 
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
March 31
2017
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
Trading account assets:
 

 

 

 

 
 
 
 
 

 

 

 
Corporate securities, trading loans and other
$
2,777

$
84

$

$
199

$
(480
)
$

$
(127
)
 
$
75

$
(499
)
$
2,029

$
56

Equity securities
281

12


20

(17
)

(10
)
 
72

(70
)
288

8

Non-U.S. sovereign debt
510

19

10


(9
)

(6
)
 
3


527

19

Mortgage trading loans, ABS and other MBS
1,211

107


339

(375
)

(54
)
 
28

(41
)
1,215

74

Total trading account assets
4,779

222

10

558

(881
)

(197
)
 
178

(610
)
4,059

157

Net derivative assets (4)
(1,313
)
(474
)

200

(247
)

170

 
29

(30
)
(1,665
)
(489
)
AFS debt securities:
 

 

 

 

 

 

 

 
 

 

 

 
Non-U.S. securities
229


3

20



(45
)
 


207


Other taxable securities
594

3

4




(22
)
 


579


Tax-exempt securities
542


2


(56
)

(3
)
 
35


520


Total AFS debt securities
1,365

3

9

20

(56
)

(70
)
 
35


1,306


Other debt securities carried at fair value – Non-agency residential MBS
25

(1
)





 


24


Loans and leases (5, 6)
720

12





(30
)
 


702

12

Mortgage servicing rights (6, 7, 8)
2,747

(27
)


5

75

(190
)
(7) 


2,610

(117
)
Loans held-for-sale (5)
656

29

6


(136
)

(60
)
 
315

(18
)
792

22

Other assets
239

(6
)




(2
)
 


231

(6
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(359
)
1




(2
)
28

 

106

(226
)
1

Trading account liabilities – Corporate securities and other
(27
)
2



(10
)


 


(35
)
2

Accrued expenses and other liabilities (5)
(9
)






 


(9
)

Long-term debt (5)
(1,514
)
(83
)
7

11


(130
)
159

 
(178
)
68

(1,660
)
(83
)
(1) 
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2) 
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits (losses); Net derivative assets - primarily trading account profits (losses) and mortgage banking income (loss); MSRs - primarily mortgage banking income (loss); Long-term debt - primarily trading account profits (losses). For MSRs, the amounts reflect the changes in modeled MSR fair value due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve, and periodic adjustments to the valuation model to reflect changes in the modeled relationships between inputs and projected cash flows, as well as changes in cash flow assumptions including cost to service.  
(3) 
Includes gains/losses in OCI related to unrealized gains/losses on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For additional information, see Note 1 – Summary of Significant Accounting Principles to the Consolidated Financial Statements of the Corporation's 2016 Annual Report on Form 10-K.
(4) 
Net derivatives include derivative assets of $4.2 billion and derivative liabilities of $5.8 billion.
(5) 
Amounts represent instruments that are accounted for under the fair value option.
(6)