Assets and Liabilities Carried at Fair Value on a Recurring Basis |
Assets and liabilities carried at fair value on a recurring basis at September 30, 2017 and December 31, 2016, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
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September 30, 2017 |
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Fair Value Measurements |
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|
(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 |
$ |
— |
|
|
$ |
56,780 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
56,780 |
|
Trading account assets: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2)
|
32,688 |
|
|
589 |
|
|
— |
|
|
— |
|
|
33,277 |
|
Corporate securities, trading loans and other |
535 |
|
|
27,760 |
|
|
1,742 |
|
|
— |
|
|
30,037 |
|
Equity securities |
58,886 |
|
|
29,149 |
|
|
244 |
|
|
— |
|
|
88,279 |
|
Non-U.S. sovereign debt |
16,623 |
|
|
14,346 |
|
|
552 |
|
|
— |
|
|
31,521 |
|
Mortgage trading loans, MBS and ABS: |
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|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
18,973 |
|
|
— |
|
|
— |
|
|
18,973 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
6,980 |
|
|
1,252 |
|
|
— |
|
|
8,232 |
|
Total trading account assets (3)
|
108,732 |
|
|
97,797 |
|
|
3,790 |
|
|
— |
|
|
210,319 |
|
Derivative assets (4, 5)
|
6,756 |
|
|
360,066 |
|
|
3,878 |
|
|
(332,316 |
) |
|
38,384 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
48,591 |
|
|
1,677 |
|
|
— |
|
|
— |
|
|
50,268 |
|
Mortgage-backed securities: |
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|
|
|
|
|
|
|
|
|
|
|
|
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Agency |
— |
|
|
196,194 |
|
|
— |
|
|
— |
|
|
196,194 |
|
Agency-collateralized mortgage obligations |
— |
|
|
7,049 |
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|
— |
|
|
— |
|
|
7,049 |
|
Non-agency residential |
— |
|
|
2,657 |
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|
— |
|
|
— |
|
|
2,657 |
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Commercial |
— |
|
|
12,464 |
|
|
— |
|
|
— |
|
|
12,464 |
|
Non-U.S. securities |
774 |
|
|
4,630 |
|
|
36 |
|
|
— |
|
|
5,440 |
|
Other taxable securities |
— |
|
|
6,555 |
|
|
483 |
|
|
— |
|
|
7,038 |
|
Tax-exempt securities |
— |
|
|
18,725 |
|
|
467 |
|
|
— |
|
|
19,192 |
|
Total AFS debt securities |
49,365 |
|
|
249,951 |
|
|
986 |
|
|
— |
|
|
300,302 |
|
Other debt securities carried at fair value: |
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|
|
|
|
|
|
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Mortgage-backed securities: |
|
|
|
|
|
|
|
|
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Agency-collateralized mortgage obligations |
— |
|
|
5 |
|
|
— |
|
|
— |
|
|
5 |
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Non-agency residential |
— |
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|
3,036 |
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|
22 |
|
|
— |
|
|
3,058 |
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Non-U.S. securities |
11,911 |
|
|
1,349 |
|
|
— |
|
|
— |
|
|
13,260 |
|
Other taxable securities |
— |
|
|
239 |
|
|
— |
|
|
— |
|
|
239 |
|
Total other debt securities carried at fair value |
11,911 |
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|
4,629 |
|
|
22 |
|
|
— |
|
|
16,562 |
|
Loans and leases |
— |
|
|
5,667 |
|
|
618 |
|
|
— |
|
|
6,285 |
|
Mortgage servicing rights (6)
|
— |
|
|
— |
|
|
2,407 |
|
|
— |
|
|
2,407 |
|
Loans held-for-sale |
— |
|
|
2,353 |
|
|
775 |
|
|
— |
|
|
3,128 |
|
Customer and other receivables |
— |
|
|
230 |
|
|
— |
|
|
— |
|
|
230 |
|
Other assets |
17,991 |
|
|
1,083 |
|
|
267 |
|
|
— |
|
|
19,341 |
|
Total assets |
$ |
194,755 |
|
|
$ |
778,556 |
|
|
$ |
12,743 |
|
|
$ |
(332,316 |
) |
|
$ |
653,738 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
468 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
468 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
38,852 |
|
|
— |
|
|
— |
|
|
38,852 |
|
Trading account liabilities: |
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|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
20,390 |
|
|
366 |
|
|
— |
|
|
— |
|
|
20,756 |
|
Equity securities |
31,647 |
|
|
4,018 |
|
|
— |
|
|
— |
|
|
35,665 |
|
Non-U.S. sovereign debt |
16,606 |
|
|
4,118 |
|
|
— |
|
|
— |
|
|
20,724 |
|
Corporate securities and other |
211 |
|
|
9,053 |
|
|
25 |
|
|
— |
|
|
9,289 |
|
Total trading account liabilities |
68,854 |
|
|
17,555 |
|
|
25 |
|
|
— |
|
|
86,434 |
|
Derivative liabilities (4, 5)
|
6,589 |
|
|
349,863 |
|
|
5,901 |
|
|
(330,572 |
) |
|
31,781 |
|
Short-term borrowings |
— |
|
|
1,904 |
|
|
— |
|
|
— |
|
|
1,904 |
|
Accrued expenses and other liabilities |
21,121 |
|
|
1,239 |
|
|
9 |
|
|
— |
|
|
22,369 |
|
Long-term debt |
— |
|
|
28,007 |
|
|
1,890 |
|
|
— |
|
|
29,897 |
|
Total liabilities |
$ |
96,564 |
|
|
$ |
437,888 |
|
|
$ |
7,825 |
|
|
$ |
(330,572 |
) |
|
$ |
211,705 |
|
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|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
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(2) |
Includes $19.5 billion of GSE obligations.
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(3) |
Includes securities with a fair value of $15.3 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.
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(4) |
During the nine months ended September 30, 2017, $3.0 billion of derivative assets and $2.4 billion of derivative liabilities were transferred from Level 1 to Level 2 and $543 million of derivative assets and $496 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.
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(5) |
Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.
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(6) |
MSRs include the $1.7 billion core MSR portfolio held in Consumer Banking, the $162 million non-core MSR portfolio held in All Other and the $518 million non-U.S. MSR portfolio held in Global Markets.
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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 (5)
|
— |
|
|
— |
|
|
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.
|
|
|
(5) |
MSRs include the $2.1 billion core MSR portfolio held in Consumer Banking, the $212 million non-core MSR portfolio held in All Other and the $469 million non-U.S. MSR portfolio held in Global Markets.
|
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2016 |
|
|
|
|
|
Gross |
|
|
|
|
(Dollars in millions) |
Balance July 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 September 30
2016
|
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,654 |
|
$ |
57 |
|
$ |
— |
|
$ |
226 |
|
$ |
(245 |
) |
$ |
— |
|
$ |
(134 |
) |
$ |
202 |
|
$ |
(198 |
) |
$ |
2,562 |
|
$ |
20 |
|
Equity securities |
455 |
|
11 |
|
— |
|
10 |
|
(98 |
) |
— |
|
— |
|
27 |
|
(39 |
) |
366 |
|
5 |
|
Non-U.S. sovereign debt |
630 |
|
20 |
|
(7 |
) |
— |
|
— |
|
— |
|
(4 |
) |
— |
|
— |
|
639 |
|
19 |
|
Mortgage trading loans, ABS and other MBS |
1,286 |
|
102 |
|
— |
|
331 |
|
(441 |
) |
— |
|
(103 |
) |
15 |
|
(24 |
) |
1,166 |
|
62 |
|
Total trading account assets |
5,025 |
|
190 |
|
(7 |
) |
567 |
|
(784 |
) |
— |
|
(241 |
) |
244 |
|
(261 |
) |
4,733 |
|
106 |
|
Net derivative assets (4)
|
(648 |
) |
(131 |
) |
— |
|
114 |
|
(346 |
) |
— |
|
118 |
|
(53 |
) |
(41 |
) |
(987 |
) |
(198 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
134 |
|
— |
|
— |
|
189 |
|
— |
|
— |
|
(102 |
) |
6 |
|
— |
|
227 |
|
— |
|
Other taxable securities |
717 |
|
1 |
|
(1 |
) |
— |
|
— |
|
— |
|
(30 |
) |
— |
|
— |
|
687 |
|
— |
|
Tax-exempt securities |
559 |
|
— |
|
2 |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
— |
|
571 |
|
— |
|
Total AFS debt securities |
1,410 |
|
1 |
|
1 |
|
189 |
|
— |
|
— |
|
(132 |
) |
16 |
|
— |
|
1,485 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
28 |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
26 |
|
— |
|
Loans and leases (5, 6)
|
1,459 |
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
(54 |
) |
— |
|
(41 |
) |
1,355 |
|
(8 |
) |
Mortgage servicing rights (6, 7)
|
2,269 |
|
313 |
|
— |
|
— |
|
— |
|
101 |
|
(206 |
) |
— |
|
— |
|
2,477 |
|
262 |
|
Loans held-for-sale (5)
|
690 |
|
13 |
|
(4 |
) |
— |
|
(56 |
) |
— |
|
(25 |
) |
4 |
|
(35 |
) |
587 |
|
10 |
|
Other assets |
348 |
|
11 |
|
— |
|
4 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
363 |
|
17 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(313 |
) |
(17 |
) |
— |
|
— |
|
— |
|
— |
|
10 |
|
(19 |
) |
1 |
|
(338 |
) |
(17 |
) |
Trading account liabilities – Corporate securities and other |
(26 |
) |
2 |
|
— |
|
— |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
(26 |
) |
1 |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(2,156 |
) |
(22 |
) |
(23 |
) |
15 |
|
— |
|
(3 |
) |
363 |
|
(206 |
) |
98 |
|
(1,934 |
) |
(24 |
) |
|
|
(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 - 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 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 $4.9 billion and derivative liabilities of $5.9 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. |
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 and nine months ended September 30, 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 September 30, 2017 |
|
|
|
|
|
Gross |
|
|
|
|
(Dollars in millions) |
Balance
July 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 September 30 2017 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,777 |
|
$ |
77 |
|
$ |
— |
|
$ |
35 |
|
$ |
(79 |
) |
$ |
5 |
|
$ |
(208 |
) |
$ |
288 |
|
$ |
(153 |
) |
$ |
1,742 |
|
$ |
35 |
|
Equity securities |
229 |
|
8 |
|
— |
|
3 |
|
(3 |
) |
— |
|
— |
|
17 |
|
(10 |
) |
244 |
|
10 |
|
Non-U.S. sovereign debt |
506 |
|
33 |
|
18 |
|
— |
|
— |
|
— |
|
(5 |
) |
— |
|
— |
|
552 |
|
33 |
|
Mortgage trading loans, ABS and other MBS |
1,232 |
|
10 |
|
(1 |
) |
150 |
|
(157 |
) |
— |
|
(46 |
) |
83 |
|
(19 |
) |
1,252 |
|
(2 |
) |
Total trading account assets |
3,744 |
|
128 |
|
17 |
|
188 |
|
(239 |
) |
5 |
|
(259 |
) |
388 |
|
(182 |
) |
3,790 |
|
76 |
|
Net derivative assets (4)
|
(1,803 |
) |
(252 |
) |
— |
|
150 |
|
(367 |
) |
— |
|
278 |
|
7 |
|
(36 |
) |
(2,023 |
) |
(283 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
139 |
|
1 |
|
4 |
|
7 |
|
— |
|
— |
|
(115 |
) |
— |
|
— |
|
36 |
|
— |
|
Other taxable securities |
483 |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
483 |
|
— |
|
Tax-exempt securities |
518 |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
(7 |
) |
— |
|
(45 |
) |
467 |
|
— |
|
Total AFS debt securities |
1,140 |
|
1 |
|
6 |
|
7 |
|
— |
|
— |
|
(123 |
) |
— |
|
(45 |
) |
986 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
23 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
22 |
|
— |
|
Loans and leases (5, 6)
|
667 |
|
2 |
|
— |
|
2 |
|
(24 |
) |
— |
|
(29 |
) |
— |
|
— |
|
618 |
|
2 |
|
Mortgage servicing rights (6, 7)
|
2,501 |
|
54 |
|
— |
|
— |
|
(28 |
) |
69 |
|
(189 |
) |
— |
|
— |
|
2,407 |
|
(20 |
) |
Loans held-for-sale (5)
|
766 |
|
38 |
|
10 |
|
— |
|
(4 |
) |
— |
|
(93 |
) |
58 |
|
— |
|
775 |
|
27 |
|
Other assets |
294 |
|
70 |
|
(43 |
) |
— |
|
(52 |
) |
— |
|
(2 |
) |
— |
|
— |
|
267 |
|
28 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(135 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
135 |
|
— |
|
— |
|
— |
|
— |
|
Trading account liabilities – Corporate securities and other |
(22 |
) |
1 |
|
— |
|
— |
|
(3 |
) |
(1 |
) |
— |
|
— |
|
— |
|
(25 |
) |
— |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,646 |
) |
(87 |
) |
(7 |
) |
63 |
|
— |
|
(129 |
) |
115 |
|
(244 |
) |
45 |
|
(1,890 |
) |
(87 |
) |
|
|
(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 - primarily 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 - 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 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 $3.9 billion and derivative liabilities of $5.9 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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 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 September 30 2017 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,777 |
|
$ |
225 |
|
$ |
— |
|
$ |
353 |
|
$ |
(679 |
) |
$ |
5 |
|
$ |
(443 |
) |
$ |
506 |
|
$ |
(1,002 |
) |
$ |
1,742 |
|
$ |
72 |
|
Equity securities |
281 |
|
23 |
|
— |
|
45 |
|
(67 |
) |
— |
|
(10 |
) |
119 |
|
(147 |
) |
244 |
|
11 |
|
Non-U.S. sovereign debt |
510 |
|
64 |
|
12 |
|
26 |
|
(59 |
) |
— |
|
(73 |
) |
72 |
|
— |
|
552 |
|
60 |
|
Mortgage trading loans, ABS and other MBS |
1,211 |
|
195 |
|
(2 |
) |
747 |
|
(846 |
) |
— |
|
(169 |
) |
187 |
|
(71 |
) |
1,252 |
|
107 |
|
Total trading account assets |
4,779 |
|
507 |
|
10 |
|
1,171 |
|
(1,651 |
) |
5 |
|
(695 |
) |
884 |
|
(1,220 |
) |
3,790 |
|
250 |
|
Net derivative assets (4)
|
(1,313 |
) |
(1,098 |
) |
— |
|
558 |
|
(843 |
) |
— |
|
722 |
|
36 |
|
(85 |
) |
(2,023 |
) |
(561 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
229 |
|
2 |
|
16 |
|
49 |
|
— |
|
— |
|
(260 |
) |
— |
|
— |
|
36 |
|
— |
|
Other taxable securities |
594 |
|
3 |
|
6 |
|
5 |
|
— |
|
— |
|
(31 |
) |
— |
|
(94 |
) |
483 |
|
— |
|
Tax-exempt securities |
542 |
|
— |
|
1 |
|
— |
|
(56 |
) |
— |
|
(10 |
) |
35 |
|
(45 |
) |
467 |
|
— |
|
Total AFS debt securities |
1,365 |
|
5 |
|
23 |
|
54 |
|
(56 |
) |
— |
|
(301 |
) |
35 |
|
(139 |
) |
986 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
25 |
|
(1 |
) |
— |
|
— |
|
— |
|
— |
|
(2 |
) |
— |
|
— |
|
22 |
|
— |
|
Loans and leases (5, 6)
|
720 |
|
20 |
|
— |
|
2 |
|
(24 |
) |
— |
|
(93 |
) |
— |
|
(7 |
) |
618 |
|
18 |
|
Mortgage servicing rights (6, 7)
|
2,747 |
|
40 |
|
— |
|
— |
|
(22 |
) |
207 |
|
(565 |
) |
— |
|
— |
|
2,407 |
|
(202 |
) |
Loans held-for-sale (5)
|
656 |
|
109 |
|
7 |
|
2 |
|
(159 |
) |
— |
|
(281 |
) |
473 |
|
(32 |
) |
775 |
|
60 |
|
Other assets |
239 |
|
53 |
|
(31 |
) |
2 |
|
(52 |
) |
— |
|
(8 |
) |
64 |
|
— |
|
267 |
|
21 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(359 |
) |
(5 |
) |
— |
|
— |
|
— |
|
(12 |
) |
171 |
|
(58 |
) |
263 |
|
— |
|
(5 |
) |
Trading account liabilities – Corporate securities and other |
(27 |
) |
13 |
|
— |
|
4 |
|
(13 |
) |
(2 |
) |
— |
|
— |
|
— |
|
(25 |
) |
(1 |
) |
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,514 |
) |
(160 |
) |
(18 |
) |
81 |
|
— |
|
(279 |
) |
398 |
|
(530 |
) |
132 |
|
(1,890 |
) |
(158 |
) |
|
|
(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 - primarily 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 - 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 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 $3.9 billion and derivative liabilities of $5.9 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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 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 September 30
2016
|
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,838 |
|
$ |
118 |
|
$ |
2 |
|
$ |
925 |
|
$ |
(638 |
) |
$ |
— |
|
$ |
(479 |
) |
$ |
432 |
|
$ |
(636 |
) |
$ |
2,562 |
|
$ |
11 |
|
Equity securities |
407 |
|
93 |
|
— |
|
53 |
|
(135 |
) |
— |
|
(72 |
) |
60 |
|
(40 |
) |
366 |
|
(19 |
) |
Non-U.S. sovereign debt |
521 |
|
112 |
|
91 |
|
3 |
|
(1 |
) |
— |
|
(87 |
) |
— |
|
— |
|
639 |
|
110 |
|
Mortgage trading loans, ABS and other MBS |
1,868 |
|
197 |
|
(2 |
) |
681 |
|
(1,264 |
) |
— |
|
(270 |
) |
91 |
|
(135 |
) |
1,166 |
|
110 |
|
Total trading account assets |
5,634 |
|
520 |
|
91 |
|
1,662 |
|
(2,038 |
) |
— |
|
(908 |
) |
583 |
|
(811 |
) |
4,733 |
|
212 |
|
Net derivative assets (4)
|
(441 |
) |
356 |
|
— |
|
313 |
|
(965 |
) |
— |
|
7 |
|
(177 |
) |
(80 |
) |
(987 |
) |
(108 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
106 |
|
— |
|
3 |
|
385 |
|
(92 |
) |
— |
|
(181 |
) |
6 |
|
— |
|
227 |
|
— |
|
Other taxable securities |
757 |
|
3 |
|
(7 |
) |
— |
|
— |
|
— |
|
(66 |
) |
— |
|
— |
|
687 |
|
— |
|
Tax-exempt securities |
569 |
|
— |
|
(8 |
) |
1 |
|
— |
|
— |
|
(1 |
) |
10 |
|
— |
|
571 |
|
— |
|
Total AFS debt securities |
1,432 |
|
3 |
|
(12 |
) |
386 |
|
(92 |
) |
— |
|
(248 |
) |
16 |
|
— |
|
1,485 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
30 |
|
(4 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
26 |
|
— |
|
Loans and leases (5, 6)
|
1,620 |
|
(13 |
) |
— |
|
69 |
|
— |
|
50 |
|
(143 |
) |
6 |
|
(234 |
) |
1,355 |
|
(3 |
) |
Mortgage servicing rights (6, 7)
|
3,087 |
|
(295 |
) |
— |
|
— |
|
— |
|
307 |
|
(622 |
) |
— |
|
— |
|
2,477 |
|
(457 |
) |
Loans held-for-sale (5)
|
787 |
|
97 |
|
51 |
|
20 |
|
(236 |
) |
— |
|
(77 |
) |
43 |
|
(98 |
) |
587 |
|
76 |
|
Other assets |
374 |
|
(27 |
) |
— |
|
38 |
|
— |
|
— |
|
(24 |
) |
2 |
|
— |
|
363 |
|
(15 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(335 |
) |
12 |
|
— |
|
— |
|
— |
|
(14 |
) |
17 |
|
(19 |
) |
1 |
|
(338 |
) |
(21 |
) |
Trading account liabilities – Corporate securities and other |
(21 |
) |
4 |
|
— |
|
1 |
|
(10 |
) |
— |
|
— |
|
— |
|
— |
|
(26 |
) |
3 |
|
Short-term borrowings (5)
|
(30 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
— |
|
— |
|
— |
|
— |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,513 |
) |
(192 |
) |
(41 |
) |
44 |
|
— |
|
(326 |
) |
496 |
|
(751 |
) |
349 |
|
(1,934 |
) |
(208 |
) |
|
|
(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 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 $4.9 billion and derivative liabilities of $5.9 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. |
|