Assets and Liabilities Carried at Fair Value on a Recurring Basis |
Assets and liabilities carried at fair value on a recurring basis at June 30, 2018 and December 31, 2017, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
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June 30, 2018 |
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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 |
$ |
— |
|
|
$ |
59,763 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
59,763 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2)
|
32,923 |
|
|
747 |
|
|
— |
|
|
— |
|
|
33,670 |
|
Corporate securities, trading loans and other |
— |
|
|
29,280 |
|
|
1,638 |
|
|
— |
|
|
30,918 |
|
Equity securities (3)
|
55,128 |
|
|
25,075 |
|
|
228 |
|
|
— |
|
|
80,431 |
|
Non-U.S. sovereign debt |
9,646 |
|
|
19,434 |
|
|
368 |
|
|
— |
|
|
29,448 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
19,341 |
|
|
— |
|
|
— |
|
|
19,341 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
8,089 |
|
|
1,523 |
|
|
— |
|
|
9,612 |
|
Total trading account assets (4)
|
97,697 |
|
|
101,966 |
|
|
3,757 |
|
|
— |
|
|
203,420 |
|
Derivative assets (3)
|
8,951 |
|
|
347,112 |
|
|
4,511 |
|
|
(315,364 |
) |
|
45,210 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
51,173 |
|
|
1,561 |
|
|
— |
|
|
— |
|
|
52,734 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
157,000 |
|
|
— |
|
|
— |
|
|
157,000 |
|
Agency-collateralized mortgage obligations |
— |
|
|
6,035 |
|
|
— |
|
|
— |
|
|
6,035 |
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Non-agency residential |
— |
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|
2,081 |
|
|
453 |
|
|
— |
|
|
2,534 |
|
Commercial |
— |
|
|
13,600 |
|
|
— |
|
|
— |
|
|
13,600 |
|
Non-U.S. securities |
747 |
|
|
5,915 |
|
|
3 |
|
|
— |
|
|
6,665 |
|
Other taxable securities |
— |
|
|
4,387 |
|
|
99 |
|
|
— |
|
|
4,486 |
|
Tax-exempt securities |
— |
|
|
19,064 |
|
|
1 |
|
|
— |
|
|
19,065 |
|
Total AFS debt securities |
51,920 |
|
|
209,643 |
|
|
556 |
|
|
— |
|
|
262,119 |
|
Other debt securities carried at fair value: |
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|
|
|
|
|
|
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Mortgage-backed securities: |
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|
|
|
|
|
|
|
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Non-agency residential |
— |
|
|
2,248 |
|
|
287 |
|
|
— |
|
|
2,535 |
|
Non-U.S. securities |
9,097 |
|
|
1,303 |
|
|
— |
|
|
— |
|
|
10,400 |
|
Other taxable securities |
— |
|
|
202 |
|
|
— |
|
|
— |
|
|
202 |
|
Total other debt securities carried at fair value |
9,097 |
|
|
3,753 |
|
|
287 |
|
|
— |
|
|
13,137 |
|
Loans and leases |
— |
|
|
5,734 |
|
|
493 |
|
|
— |
|
|
6,227 |
|
Loans held-for-sale |
— |
|
|
2,268 |
|
|
577 |
|
|
— |
|
|
2,845 |
|
Other assets (5)
|
16,861 |
|
|
1,838 |
|
|
3,184 |
|
|
— |
|
|
21,883 |
|
Total assets |
$ |
184,526 |
|
|
$ |
732,077 |
|
|
$ |
13,365 |
|
|
$ |
(315,364 |
) |
|
$ |
614,604 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
513 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
513 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
32,724 |
|
|
— |
|
|
— |
|
|
32,724 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
13,783 |
|
|
508 |
|
|
— |
|
|
— |
|
|
14,291 |
|
Equity securities (3)
|
37,221 |
|
|
3,966 |
|
|
— |
|
|
— |
|
|
41,187 |
|
Non-U.S. sovereign debt |
12,943 |
|
|
10,754 |
|
|
— |
|
|
— |
|
|
23,697 |
|
Corporate securities and other |
— |
|
|
7,818 |
|
|
35 |
|
|
— |
|
|
7,853 |
|
Total trading account liabilities |
63,947 |
|
|
23,046 |
|
|
35 |
|
|
— |
|
|
87,028 |
|
Derivative liabilities (3)
|
8,058 |
|
|
329,685 |
|
|
6,099 |
|
|
(310,237 |
) |
|
33,605 |
|
Short-term borrowings |
— |
|
|
3,396 |
|
|
— |
|
|
— |
|
|
3,396 |
|
Accrued expenses and other liabilities |
19,159 |
|
|
2,019 |
|
|
— |
|
|
— |
|
|
21,178 |
|
Long-term debt |
— |
|
|
27,152 |
|
|
1,225 |
|
|
— |
|
|
28,377 |
|
Total liabilities |
$ |
91,164 |
|
|
$ |
418,535 |
|
|
$ |
7,359 |
|
|
$ |
(310,237 |
) |
|
$ |
206,821 |
|
|
|
(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 $20.0 billion of GSE obligations.
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(3) |
During the six months ended June 30, 2018, for trading account assets and liabilities, $6.2 billion of equity securities assets and $2.7 billion of equity securities liabilities were transferred from Level 1 to Level 2 and $5.3 billion of equity securities assets and $2.4 billion of equity securities liabilities were transferred from Level 2 to Level 1 based on the liquidity of the positions. In addition, $967 million of derivative assets and $413 million of derivative liabilities were transferred from Level 1 to Level 2 and $1.5 billion of derivative assets and $1.0 billion of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
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(4) |
Includes securities with a fair value of $13.1 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.
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(5) |
Includes MSRs of $2.2 billion.
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December 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 |
$ |
— |
|
|
$ |
52,906 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,906 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2, 3)
|
38,720 |
|
|
1,922 |
|
|
— |
|
|
— |
|
|
40,642 |
|
Corporate securities, trading loans and other |
— |
|
|
28,714 |
|
|
1,864 |
|
|
— |
|
|
30,578 |
|
Equity securities (3)
|
60,747 |
|
|
23,958 |
|
|
235 |
|
|
— |
|
|
84,940 |
|
Non-U.S. sovereign debt (3)
|
6,545 |
|
|
15,839 |
|
|
556 |
|
|
— |
|
|
22,940 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
20,586 |
|
|
— |
|
|
— |
|
|
20,586 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
8,174 |
|
|
1,498 |
|
|
— |
|
|
9,672 |
|
Total trading account assets (4)
|
106,012 |
|
|
99,193 |
|
|
4,153 |
|
|
— |
|
|
209,358 |
|
Derivative assets (3)
|
6,305 |
|
|
341,178 |
|
|
4,067 |
|
|
(313,788 |
) |
|
37,762 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
51,915 |
|
|
1,608 |
|
|
— |
|
|
— |
|
|
53,523 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
192,929 |
|
|
— |
|
|
— |
|
|
192,929 |
|
Agency-collateralized mortgage obligations |
— |
|
|
6,804 |
|
|
— |
|
|
— |
|
|
6,804 |
|
Non-agency residential |
— |
|
|
2,669 |
|
|
— |
|
|
— |
|
|
2,669 |
|
Commercial |
— |
|
|
13,684 |
|
|
— |
|
|
— |
|
|
13,684 |
|
Non-U.S. securities |
772 |
|
|
5,880 |
|
|
25 |
|
|
— |
|
|
6,677 |
|
Other taxable securities |
— |
|
|
5,261 |
|
|
509 |
|
|
— |
|
|
5,770 |
|
Tax-exempt securities |
— |
|
|
20,106 |
|
|
469 |
|
|
— |
|
|
20,575 |
|
Total AFS debt securities |
52,687 |
|
|
248,941 |
|
|
1,003 |
|
|
— |
|
|
302,631 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Non-agency residential |
— |
|
|
2,764 |
|
|
— |
|
|
— |
|
|
2,764 |
|
Non-U.S. securities |
8,191 |
|
|
1,297 |
|
|
— |
|
|
— |
|
|
9,488 |
|
Other taxable securities |
— |
|
|
229 |
|
|
— |
|
|
— |
|
|
229 |
|
Total other debt securities carried at fair value |
8,191 |
|
|
4,295 |
|
|
— |
|
|
— |
|
|
12,486 |
|
Loans and leases |
— |
|
|
5,139 |
|
|
571 |
|
|
— |
|
|
5,710 |
|
Loans held-for-sale |
— |
|
|
1,466 |
|
|
690 |
|
|
— |
|
|
2,156 |
|
Other assets (5)
|
19,367 |
|
|
789 |
|
|
2,425 |
|
|
— |
|
|
22,581 |
|
Total assets |
$ |
192,562 |
|
|
$ |
753,907 |
|
|
$ |
12,909 |
|
|
$ |
(313,788 |
) |
|
$ |
645,590 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
449 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
449 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
36,182 |
|
|
— |
|
|
— |
|
|
36,182 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
17,266 |
|
|
734 |
|
|
— |
|
|
— |
|
|
18,000 |
|
Equity securities (3)
|
33,019 |
|
|
3,885 |
|
|
— |
|
|
— |
|
|
36,904 |
|
Non-U.S. sovereign debt (3)
|
11,976 |
|
|
7,382 |
|
|
— |
|
|
— |
|
|
19,358 |
|
Corporate securities and other |
— |
|
|
6,901 |
|
|
24 |
|
|
— |
|
|
6,925 |
|
Total trading account liabilities |
62,261 |
|
|
18,902 |
|
|
24 |
|
|
— |
|
|
81,187 |
|
Derivative liabilities (3)
|
6,029 |
|
|
334,261 |
|
|
5,781 |
|
|
(311,771 |
) |
|
34,300 |
|
Short-term borrowings |
— |
|
|
1,494 |
|
|
— |
|
|
— |
|
|
1,494 |
|
Accrued expenses and other liabilities |
21,887 |
|
|
945 |
|
|
8 |
|
|
— |
|
|
22,840 |
|
Long-term debt |
— |
|
|
29,923 |
|
|
1,863 |
|
|
— |
|
|
31,786 |
|
Total liabilities |
$ |
90,177 |
|
|
$ |
422,156 |
|
|
$ |
7,676 |
|
|
$ |
(311,771 |
) |
|
$ |
208,238 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(2) |
Includes $21.3 billion of GSE obligations.
|
|
|
(3) |
During 2017, for trading account assets and liabilities, $1.1 billion of U.S. Treasury and agency securities assets, $5.3 billion of equity securities assets, $3.1 billion of equity securities liabilities, $3.3 billion of non-U.S. sovereign debt assets and $1.5 billion of non-U.S. sovereign debt liabilities were transferred from Level 1 to Level 2 based on the liquidity of the positions. In addition, $14.1 billion of equity securities assets and $4.3 billion of equity securities liabilities were transferred from Level 2 to Level 1. Also in 2017, $4.2 billion of derivative assets and $3.0 billion of derivative liabilities were transferred from Level 1 to Level 2 and $758 million of derivative assets and $608 million of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
|
|
|
(4) |
Includes securities with a fair value of $16.8 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.
|
|
|
(5) |
Includes MSRs of $2.3 billion.
|
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
m debt.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements for the Six Months Ended June 30, 2017 (1)
|
|
|
|
|
Balance January 1
2017
|
Total Realized/Unrealized Gains (Losses) (2)
|
Gains (Losses) in OCI (3)
|
Gross |
Gross Transfers into
Level 3
|
Gross Transfers out of
Level 3
|
Balance June 30 2017 |
Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,777 |
|
$ |
148 |
|
$ |
— |
|
$ |
318 |
|
$ |
(600 |
) |
$ |
— |
|
$ |
(235 |
) |
$ |
218 |
|
$ |
(849 |
) |
$ |
1,777 |
|
$ |
57 |
|
Equity securities |
281 |
|
15 |
|
— |
|
42 |
|
(64 |
) |
— |
|
(10 |
) |
102 |
|
(137 |
) |
229 |
|
(1 |
) |
Non-U.S. sovereign debt |
510 |
|
31 |
|
(6 |
) |
26 |
|
(59 |
) |
— |
|
(68 |
) |
72 |
|
— |
|
506 |
|
27 |
|
Mortgage trading loans, ABS and other MBS |
1,211 |
|
185 |
|
(1 |
) |
597 |
|
(689 |
) |
— |
|
(123 |
) |
104 |
|
(52 |
) |
1,232 |
|
117 |
|
Total trading account assets |
4,779 |
|
379 |
|
(7 |
) |
983 |
|
(1,412 |
) |
— |
|
(436 |
) |
496 |
|
(1,038 |
) |
3,744 |
|
200 |
|
Net derivative assets (4)
|
(1,313 |
) |
(846 |
) |
— |
|
408 |
|
(476 |
) |
— |
|
444 |
|
29 |
|
(49 |
) |
(1,803 |
) |
(773 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
229 |
|
1 |
|
12 |
|
42 |
|
— |
|
— |
|
(145 |
) |
— |
|
— |
|
139 |
|
— |
|
Other taxable securities |
594 |
|
3 |
|
5 |
|
5 |
|
— |
|
— |
|
(30 |
) |
— |
|
(94 |
) |
483 |
|
— |
|
Tax-exempt securities |
542 |
|
— |
|
— |
|
— |
|
(56 |
) |
— |
|
(3 |
) |
35 |
|
— |
|
518 |
|
— |
|
Total AFS debt securities |
1,365 |
|
4 |
|
17 |
|
47 |
|
(56 |
) |
— |
|
(178 |
) |
35 |
|
(94 |
) |
1,140 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
25 |
|
(1 |
) |
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
23 |
|
— |
|
Loans and leases (5, 6)
|
720 |
|
18 |
|
— |
|
— |
|
— |
|
— |
|
(64 |
) |
— |
|
(7 |
) |
667 |
|
16 |
|
Loans held-for-sale (5)
|
656 |
|
71 |
|
(3 |
) |
2 |
|
(155 |
) |
— |
|
(188 |
) |
415 |
|
(32 |
) |
766 |
|
71 |
|
Other assets (6, 7)
|
2,986 |
|
(31 |
) |
12 |
|
2 |
|
6 |
|
138 |
|
(382 |
) |
64 |
|
— |
|
2,795 |
|
(194 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(359 |
) |
(5 |
) |
— |
|
— |
|
— |
|
(12 |
) |
36 |
|
(58 |
) |
263 |
|
(135 |
) |
(3 |
) |
Trading account liabilities – Corporate securities and other |
(27 |
) |
12 |
|
— |
|
4 |
|
(10 |
) |
(1 |
) |
— |
|
— |
|
— |
|
(22 |
) |
(1 |
) |
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,514 |
) |
(73 |
) |
(11 |
) |
18 |
|
— |
|
(150 |
) |
283 |
|
(286 |
) |
87 |
|
(1,646 |
) |
(38 |
) |
|
|
(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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily trading account profits. 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 unrealized gains (losses) in OCI 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 2017 Annual Report on Form 10-K.
|
|
|
(4) |
Net derivative assets include derivative assets of $4.0 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 primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage |
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 six months ended June 30, 2018 and 2017, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements for the Three Months Ended June 30, 2018 (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance
April 1
2018
|
Total Realized/Unrealized Gains (Losses) (2)
|
Gains (Losses) in OCI (3)
|
Gross |
Gross Transfers into
Level 3
|
Gross Transfers out of
Level 3
|
Balance June 30 2018 |
Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,716 |
|
$ |
(37 |
) |
$ |
(1 |
) |
$ |
81 |
|
$ |
(75 |
) |
$ |
— |
|
$ |
(74 |
) |
$ |
145 |
|
$ |
(117 |
) |
$ |
1,638 |
|
$ |
(67 |
) |
Equity securities |
212 |
|
1 |
|
— |
|
2 |
|
(4 |
) |
— |
|
(4 |
) |
29 |
|
(8 |
) |
228 |
|
(3 |
) |
Non-U.S. sovereign debt |
401 |
|
13 |
|
(44 |
) |
7 |
|
— |
|
— |
|
— |
|
8 |
|
(17 |
) |
368 |
|
13 |
|
Mortgage trading loans, ABS and other MBS |
1,372 |
|
42 |
|
— |
|
192 |
|
(256 |
) |
— |
|
(38 |
) |
256 |
|
(45 |
) |
1,523 |
|
32 |
|
Total trading account assets |
3,701 |
|
19 |
|
(45 |
) |
282 |
|
(335 |
) |
— |
|
(116 |
) |
438 |
|
(187 |
) |
3,757 |
|
(25 |
) |
Net derivative assets (4)
|
(1,138 |
) |
(239 |
) |
— |
|
195 |
|
(591 |
) |
— |
|
175 |
|
(4 |
) |
14 |
|
(1,588 |
) |
(251 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
8 |
|
(14 |
) |
— |
|
— |
|
— |
|
— |
|
459 |
|
— |
|
453 |
|
— |
|
Non-U.S. securities |
23 |
|
— |
|
(1 |
) |
— |
|
(10 |
) |
— |
|
(12 |
) |
3 |
|
— |
|
3 |
|
— |
|
Other taxable securities |
43 |
|
1 |
|
(2 |
) |
— |
|
— |
|
— |
|
(3 |
) |
60 |
|
— |
|
99 |
|
— |
|
Tax-exempt securities |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
— |
|
1 |
|
— |
|
Total AFS debt securities |
66 |
|
9 |
|
(17 |
) |
— |
|
(10 |
) |
— |
|
(15 |
) |
523 |
|
— |
|
556 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
— |
|
(4 |
) |
— |
|
— |
|
(7 |
) |
— |
|
— |
|
298 |
|
— |
|
287 |
|
5 |
|
Loans and leases (5, 6)
|
526 |
|
(4 |
) |
— |
|
— |
|
(5 |
) |
— |
|
(24 |
) |
— |
|
— |
|
493 |
|
(4 |
) |
Loans held-for-sale (5)
|
685 |
|
(12 |
) |
(27 |
) |
— |
|
— |
|
— |
|
(37 |
) |
— |
|
(32 |
) |
577 |
|
(16 |
) |
Other assets (6, 7)
|
3,295 |
|
76 |
|
— |
|
2 |
|
(8 |
) |
23 |
|
(169 |
) |
— |
|
(35 |
) |
3,184 |
|
8 |
|
Trading account liabilities – Corporate securities and other |
(26 |
) |
1 |
|
— |
|
— |
|
(9 |
) |
(1 |
) |
— |
|
— |
|
— |
|
(35 |
) |
1 |
|
Accrued expenses and other liabilities (5)
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
— |
|
— |
|
— |
|
— |
|
Long-term debt (5)
|
(1,351 |
) |
63 |
|
2 |
|
4 |
|
— |
|
(53 |
) |
151 |
|
(114 |
) |
73 |
|
(1,225 |
) |
66 |
|
|
|
(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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - trading account profits. 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 unrealized gains (losses) in OCI 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 2017 Annual Report on Form 10-K.
|
|
|
(4) |
Net derivative assets include derivative assets of $4.5 billion and derivative liabilities of $6.1 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 primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
Transfers into Level 3, primarily due to decreased price observability, during the three months ended June 30, 2018 included $438 million of trading account assets, $523 million of AFS debt securities, $298 million of other debt securities carried at fair value and $114 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Transfers out of Level 3, primarily due to increased price observability, during the three months ended June 30, 2018 included $187 million of trading account assets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements for the Three Months Ended June 30, 2017 (1)
|
|
|
|
|
Balance April 1
2017
|
Total Realized/Unrealized Gains (Losses) (2)
|
Gains (Losses) in OCI (3)
|
Gross |
Gross Transfers into
Level 3
|
Gross Transfers out of
Level 3
|
Balance June 30
2017
|
Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,029 |
|
$ |
64 |
|
$ |
— |
|
$ |
119 |
|
$ |
(120 |
) |
$ |
— |
|
$ |
(108 |
) |
$ |
143 |
|
$ |
(350 |
) |
$ |
1,777 |
|
$ |
30 |
|
Equity securities |
288 |
|
3 |
|
— |
|
22 |
|
(47 |
) |
— |
|
— |
|
30 |
|
(67 |
) |
229 |
|
— |
|
Non-U.S. sovereign debt |
527 |
|
12 |
|
(16 |
) |
26 |
|
(50 |
) |
— |
|
(62 |
) |
69 |
|
— |
|
506 |
|
12 |
|
Mortgage trading loans, ABS and other MBS |
1,215 |
|
78 |
|
(1 |
) |
258 |
|
(314 |
) |
— |
|
(69 |
) |
76 |
|
(11 |
) |
1,232 |
|
53 |
|
Total trading account assets |
4,059 |
|
157 |
|
(17 |
) |
425 |
|
(531 |
) |
— |
|
(239 |
) |
318 |
|
(428 |
) |
3,744 |
|
95 |
|
Net derivative assets (4)
|
(1,665 |
) |
(372 |
) |
— |
|
208 |
|
(229 |
) |
— |
|
274 |
|
— |
|
(19 |
) |
(1,803 |
) |
(368 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
207 |
|
1 |
|
9 |
|
22 |
|
— |
|
— |
|
(100 |
) |
— |
|
— |
|
139 |
|
— |
|
Other taxable securities |
579 |
|
— |
|
1 |
|
5 |
|
— |
|
— |
|
(8 |
) |
— |
|
(94 |
) |
483 |
|
— |
|
Tax-exempt securities |
520 |
|
— |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
518 |
|
— |
|
Total AFS debt securities |
1,306 |
|
1 |
|
8 |
|
27 |
|
— |
|
— |
|
(108 |
) |
— |
|
(94 |
) |
1,140 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
24 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
23 |
|
— |
|
Loans and leases (5, 6)
|
702 |
|
6 |
|
— |
|
— |
|
— |
|
— |
|
(34 |
) |
— |
|
(7 |
) |
667 |
|
6 |
|
Loans held-for-sale (5)
|
792 |
|
42 |
|
(9 |
) |
2 |
|
(19 |
) |
— |
|
(128 |
) |
100 |
|
(14 |
) |
766 |
|
26 |
|
Other assets (6, 7)
|
2,841 |
|
2 |
|
12 |
|
2 |
|
1 |
|
63 |
|
(190 |
) |
64 |
|
— |
|
2,795 |
|
(71 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(226 |
) |
(6 |
) |
— |
|
— |
|
— |
|
(10 |
) |
8 |
|
(58 |
) |
157 |
|
(135 |
) |
(6 |
) |
Trading account liabilities – Corporate securities and other |
(35 |
) |
10 |
|
— |
|
4 |
|
— |
|
(1 |
) |
— |
|
— |
|
— |
|
(22 |
) |
(1 |
) |
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,660 |
) |
10 |
|
(18 |
) |
7 |
|
— |
|
(20 |
) |
124 |
|
(108 |
) |
19 |
|
(1,646 |
) |
10 |
|
|
|
(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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - trading account profits. 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 unrealized gains (losses) in OCI 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 2017 Annual Report on Form 10-K.
|
|
|
(4) |
Net derivative assets include derivative assets of $4.0 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 primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
Transfers into Level 3, primarily due to decreased price observability, during the three months ended June 30, 2017 included $318 million of trading account assets, $100 million of LHFS and $108 million of long-term debt. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Transfers out of Level 3, primarily due to increased price observability, during the three months ended June 30, 2017 included $428 million of trading account assets and $157 million of federal funds purchased and securities loaned or sold under agreements to repurchase.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements for the Six Months Ended June 30, 2018 (1)
|
|
|
|
(Dollars in millions) |
Balance
January 1
2018
|
Total Realized/Unrealized Gains (Losses) (2)
|
Gains (Losses) in OCI (3)
|
Gross |
Gross Transfers into
Level 3
|
Gross Transfers out of
Level 3
|
Balance June 30 2018 |
Change in Unrealized Gains (Losses) Related to Financial Instruments Still Held (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,864 |
|
$ |
(28 |
) |
$ |
(1 |
) |
$ |
274 |
|
$ |
(211 |
) |
$ |
— |
|
$ |
(213 |
) |
$ |
248 |
|
$ |
(295 |
) |
$ |
1,638 |
|
$ |
(76 |
) |
Equity securities |
235 |
|
9 |
|
— |
|
8 |
|
(11 |
) |
— |
|
(4 |
) |
30 |
|
(39 |
) |
228 |
|
9 |
|
Non-U.S. sovereign debt |
556 |
|
29 |
|
(42 |
) |
7 |
|
(50 |
) |
— |
|
(8 |
) |
8 |
|
(132 |
) |
368 |
|
28 |
|
Mortgage trading loans, ABS and other MBS |
1,498 |
|
141 |
|
3 |
|
317 |
|
(576 |
) |
— |
|
(107 |
) |
350 |
|
(103 |
) |
1,523 |
|
81 |
|
Total trading account assets |
4,153 |
|
151 |
|
(40 |
) |
606 |
|
(848 |
) |
— |
|
(332 |
) |
636 |
|
(569 |
) |
3,757 |
|
42 |
|
Net derivative assets (4)
|
(1,714 |
) |
256 |
|
— |
|
348 |
|
(853 |
) |
— |
|
377 |
|
67 |
|
(69 |
) |
(1,588 |
) |
325 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
8 |
|
(14 |
) |
— |
|
— |
|
— |
|
— |
|
459 |
|
— |
|
453 |
|
— |
|
Non-U.S. securities |
25 |
|
— |
|
(1 |
) |
— |
|
(10 |
) |
— |
|
(14 |
) |
3 |
|
— |
|
3 |
|
— |
|
Other taxable securities |
509 |
|
2 |
|
(2 |
) |
— |
|
— |
|
— |
|
(10 |
) |
60 |
|
(460 |
) |
99 |
|
— |
|
Tax-exempt securities |
469 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
(469 |
) |
1 |
|
— |
|
Total AFS debt securities (5)
|
1,003 |
|
10 |
|
(17 |
) |
— |
|
(10 |
) |
— |
|
(24 |
) |
523 |
|
(929 |
) |
556 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
— |
|
(4 |
) |
— |
|
— |
|
(7 |
) |
— |
|
— |
|
298 |
|
— |
|
287 |
|
5 |
|
Loans and leases (6, 7)
|
571 |
|
(20 |
) |
— |
|
— |
|
(9 |
) |
— |
|
(49 |
) |
— |
|
— |
|
493 |
|
(19 |
) |
Loans held-for-sale (6)
|
690 |
|
12 |
|
(27 |
) |
12 |
|
— |
|
— |
|
(78 |
) |
— |
|
(32 |
) |
577 |
|
5 |
|
Other assets (5, 7, 8)
|
2,425 |
|
268 |
|
— |
|
2 |
|
(46 |
) |
52 |
|
(411 |
) |
929 |
|
(35 |
) |
3,184 |
|
145 |
|
Trading account liabilities – Corporate securities and other |
(24 |
) |
2 |
|
— |
|
— |
|
(11 |
) |
(2 |
) |
— |
|
— |
|
— |
|
(35 |
) |
1 |
|
Accrued expenses and other liabilities (6)
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
— |
|
— |
|
— |
|
— |
|
Long-term debt (6)
|
(1,863 |
) |
86 |
|
3 |
|
9 |
|
— |
|
(120 |
) |
323 |
|
(147 |
) |
484 |
|
(1,225 |
) |
51 |
|
|
|
(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 - predominantly trading account profits; Net derivative assets - primarily trading account profits and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily trading account profits. 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 unrealized gains (losses) in OCI 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 2017 Annual Report on Form 10-K.
|
|
|
(4) |
Net derivative assets include derivative assets of $4.5 billion and derivative liabilities of $6.1 billion.
|
|
|
(5) |
Transfer relates to the reclassification of certain securities. |
|
|
(6) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(7) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(8) |
Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage |
|