Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.8.0.1
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 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 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.
 
 
 
 
 
 
 
 
 
 
 
September 30, 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
$

 
$
56,780

 
$

 
$

 
$
56,780

Trading account assets:
 

 
 

 
 

 
 

 
 

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:
 
 
 
 
 
 
 
 
 
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:
 

 
 

 
 

 
 

 
 

Agency

 
196,194

 

 

 
196,194

Agency-collateralized mortgage obligations

 
7,049

 

 

 
7,049

Non-agency residential

 
2,657

 

 

 
2,657

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:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Agency-collateralized mortgage obligations

 
5

 

 

 
5

Non-agency residential

 
3,036

 
22

 

 
3,058

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

 
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:
 

 
 

 
 

 
 

 
 
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

(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $19.5 billion of GSE obligations.
(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.
(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.
(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.
(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.
 
 
 
 
 
 
 
 
 
 
 
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.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
 
 
 
 
 
 
 
 
 
 
 
 
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