Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.10.0.1
Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2018
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 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.
 
 
 
 
 
 
 
 
 
 
 
June 30, 2018
 
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
$

 
$
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

Non-agency residential

 
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:
 
 
 
 
 
 
 
 
 
Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
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.
(2) 
Includes $20.0 billion of GSE obligations.
(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.
(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.
(5) 
Includes MSRs of $2.2 billion.
 
 
 
 
 
 
 
 
 
 
 
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.
 
 
 
 
 
 
 
 
 
 
 
 
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
Fair Value, Liabilities 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 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