Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.10.0.1
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2018 and 2017, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
 
 
 
 
 
 
 
 
 
 
 
December 31, 2018
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting Adjustments (1)
 
Assets/Liabilities at Fair Value
Assets
 

 
 

 
 

 
 

 
 

Time deposits placed and other short-term investments
$
1,214

 
$

 
$

 
$

 
$
1,214

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

 
56,399

 

 

 
56,399

Trading account assets:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities (2)
53,131

 
1,593

 

 

 
54,724

Corporate securities, trading loans and other

 
24,630

 
1,558

 

 
26,188

Equity securities
53,840

 
23,163

 
276

 

 
77,279

Non-U.S. sovereign debt
5,818

 
19,210

 
465

 

 
25,493

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

 
19,586

 

 

 
19,586

Mortgage trading loans, ABS and other MBS

 
9,443

 
1,635

 

 
11,078

Total trading account assets (3)
112,789

 
97,625

 
3,934

 

 
214,348

Derivative assets
9,967

 
315,413

 
3,466

 
(285,121
)
 
43,725

AFS debt securities:
 

 
 

 
 

 
 

 
 

U.S. Treasury and agency securities
53,663

 
1,260

 

 

 
54,923

Mortgage-backed securities:
 

 
 

 
 

 
 

 
 

Agency

 
121,826

 

 

 
121,826

Agency-collateralized mortgage obligations

 
5,530

 

 

 
5,530

Non-agency residential

 
1,320

 
597

 

 
1,917

Commercial

 
14,078

 

 

 
14,078

Non-U.S. securities

 
9,304

 
2

 

 
9,306

Other taxable securities

 
4,403

 
7

 

 
4,410

Tax-exempt securities

 
17,376

 

 

 
17,376

Total AFS debt securities
53,663

 
175,097

 
606

 

 
229,366

Other debt securities carried at fair value:
 
 
 
 
 
 
 
 
 
U.S. Treasury and agency securities
1,282

 

 

 

 
1,282

Mortgage-backed securities:
 
 
 
 
 
 
 
 
 
Non-agency residential

 
1,434

 
172

 

 
1,606

Non-U.S. securities
490

 
5,354

 

 

 
5,844

Other taxable securities

 
3

 

 

 
3

Total other debt securities carried at fair value
1,772

 
6,791

 
172

 

 
8,735

Loans and leases

 
4,011

 
338

 

 
4,349

Loans held-for-sale

 
2,400

 
542

 

 
2,942

Other assets (4)
15,032

 
1,775

 
2,932

 

 
19,739

Total assets (5)
$
194,437

 
$
659,511

 
$
11,990

 
$
(285,121
)
 
$
580,817

Liabilities
 

 
 

 
 

 
 

 
 

Interest-bearing deposits in U.S. offices
$

 
$
492

 
$

 
$

 
$
492

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

 
28,875

 

 

 
28,875

Trading account liabilities:
 

 
 

 
 

 
 

 
 
U.S. Treasury and agency securities
7,894

 
761

 

 

 
8,655

Equity securities
33,739

 
4,070

 

 

 
37,809

Non-U.S. sovereign debt
7,452

 
9,182

 

 

 
16,634

Corporate securities and other

 
5,104

 
18

 

 
5,122

Total trading account liabilities
49,085

 
19,117

 
18

 

 
68,220

Derivative liabilities
9,931

 
303,441

 
4,401

 
(279,882
)
 
37,891

Short-term borrowings

 
1,648

 

 

 
1,648

Accrued expenses and other liabilities
18,096

 
1,979

 

 

 
20,075

Long-term debt

 
26,820

 
817

 

 
27,637

Total liabilities (5)
$
77,112

 
$
382,372

 
$
5,236

 
$
(279,882
)
 
$
184,838

(1) 
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2) 
Includes $20.2 billion of GSE obligations.
(3) 
Includes securities with a fair value of $16.6 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) 
Includes MSRs of $2.0 billion which are classified as Level 3 assets.
(5) 
Total recurring Level 3 assets were 0.51 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.25 percent of total consolidated liabilities.
 
 
 
 
 
 
 
 
 
 
 
December 31, 2017
 
Fair Value Measurements
 
 
 
 
(Dollars in millions)
Level 1
 
Level 2
 
Level 3
 
Netting Adjustments (1)
 
Assets/Liabilities at Fair Value
Assets
 

 
 

 
 

 
 

 
 

Time deposits placed and other short-term investments
$
2,234

 
$

 
$

 
$

 
$
2,234

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)
38,720

 
1,922

 

 

 
40,642

Corporate securities, trading loans and other

 
28,714

 
1,864

 

 
30,578

Equity securities
60,747

 
23,958

 
235

 

 
84,940

Non-U.S. sovereign debt
6,545

 
15,839

 
556

 

 
22,940

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

 
20,586

 

 

 
20,586

Mortgage trading loans, ABS and other MBS

 
8,174

 
1,498

 

 
9,672

Total trading account assets (3)
106,012

 
99,193

 
4,153

 

 
209,358

Derivative assets
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:
 
 
 
 
 
 
 
 
 
Non-agency residential

 
2,769

 

 

 
2,769

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 (4)
19,367

 
789

 
2,425

 

 
22,581

Total assets (5)
$
194,796

 
$
753,907

 
$
12,909

 
$
(313,788
)
 
$
647,824

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
33,019

 
3,885

 

 

 
36,904

Non-U.S. sovereign debt
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
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 (5)
$
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) 
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.
(4) 
Includes MSRs of $2.3 billion which are classified as Level 3 assets.
(5) 
Total recurring Level 3 assets were 0.57 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.38 percent of total consolidated liabilities.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2017 (1)
 
 
 
 
Balance
January 1
2017
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2017
Change in Unrealized Gains (Losses) in Net Income 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

$
229

$

$
547

$
(702
)
$
5

$
(666
)
$
728

$
(1,054
)
$
1,864

$
2

Equity securities
281

18


55

(70
)

(10
)
146

(185
)
235

(1
)
Non-U.S. sovereign debt
510

74

(8
)
53

(59
)

(73
)
72

(13
)
556

70

Mortgage trading loans, ABS and other MBS
1,211

165

(2
)
1,210

(990
)

(233
)
218

(81
)
1,498

72

Total trading account assets
4,779

486

(10
)
1,865

(1,821
)
5

(982
)
1,164

(1,333
)
4,153

143

Net derivative assets (4)
(1,313
)
(984
)

664

(979
)

949

48

(99
)
(1,714
)
(409
)
AFS debt securities:
 

 

 

 
 
 
 

 

 

 

 
Non-U.S. securities
229

2

16

49



(271
)


25


Other taxable securities
594

4

8

5



(42
)
34

(94
)
509


Tax-exempt securities
542

1

3

14

(70
)

(11
)
35

(45
)
469


Total AFS debt securities
1,365

7

27

68

(70
)

(324
)
69

(139
)
1,003


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

(1
)


(21
)

(3
)




Loans and leases (5)
720

15


3

(34
)

(126
)

(7
)
571

11

Loans held-for-sale (5, 6)
656

100

(3
)
3

(189
)

(346
)
501

(32
)
690

14

Other assets (6, 7)
2,986

144

(57
)
2

(214
)
258

(758
)
64


2,425

(226
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(359
)
(5
)



(12
)
171

(58
)
263



Trading account liabilities – Corporate securities and other
(27
)
14


8

(17
)
(2
)



(24
)
2

Accrued expenses and other liabilities (5)
(9
)





1



(8
)

Long-term debt (5)
(1,514
)
(135
)
(31
)
84


(288
)
514

(711
)
218

(1,863
)
(196
)
(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; Other debt securities carried at fair value - other income; Loans and leases - 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.
(4) 
Net derivative assets include derivative assets of $4.1 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.
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2016 (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
Balance
January 1
2016
Total Realized/Unrealized Gains/(Losses) in Net Income (2)
Gains/
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2016
Change in Unrealized Gains/(Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases
Sales
Issuances
Settlements
Trading account assets:
 

 

 

 
 
 
 

 
 

 

 
Corporate securities, trading loans and other
$
2,838

$
78

$
2

$
1,508

$
(847
)
$

$
(725
)
$
728

$
(805
)
$
2,777

$
(82
)
Equity securities
407

74


73

(169
)

(82
)
70

(92
)
281

(59
)
Non-U.S. sovereign debt
521

122

91

12

(146
)

(90
)


510

120

Mortgage trading loans, ABS and other MBS
1,868

188

(2
)
988

(1,491
)

(344
)
158

(154
)
1,211

64

Total trading account assets
5,634

462

91

2,581

(2,653
)

(1,241
)
956

(1,051
)
4,779

43

Net derivative assets (4)
(441
)
285


470

(1,155
)

76

(186
)
(362
)
(1,313
)
(376
)
AFS debt securities:
 

 

 

 
 
 
 

 

 

 

 
Non-agency residential MBS
106




(106
)






Non-U.S. securities


(6
)
584

(92
)

(263
)
6


229


Other taxable securities
757

4

(2
)



(83
)

(82
)
594


Tax-exempt securities
569


(1
)
1



(2
)
10

(35
)
542


Total AFS debt securities
1,432

4

(9
)
585

(198
)

(348
)
16

(117
)
1,365


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

(5
)







25


Loans and leases (5, 6)
1,620

(44
)

69

(553
)
50

(194
)
6

(234
)
720

17

Loans held-for-sale (5)
787

79

50

22

(256
)

(93
)
173

(106
)
656

70

Other assets (6, 7)
3,461

136


38

(191
)
411

(872
)
3


2,986

(143
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(335
)
(11
)



(22
)
27

(19
)
1

(359
)
4

Trading account liabilities – Corporate securities and other
(21
)
5



(11
)




(27
)
4

Short-term borrowings (5)
(30
)
1





29





Accrued expenses and other liabilities (5)
(9
)








(9
)

Long-term debt (5)
(1,513
)
(74
)
(20
)
140


(521
)
948

(939
)
465

(1,514
)
(184
)
(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; Net derivative assets - primarily trading account profits and other income; Other debt securities carried at fair value - other income; Loans and leases - other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - predominantly 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 more information, see Note 1 – Summary of Significant Accounting Principles.
(4) 
Net derivatives include derivative assets of $3.9 billion and derivative liabilities of $5.2 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 2018, 2017 and 2016, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2018 (1)
 
 
 
(Dollars in millions)
Balance
January 1
2018
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2018
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases
Sales
Issuances
Settlements
Trading account assets:
 

 

 

 

 
 
 
 

 

 

 
Corporate securities, trading loans and other
$
1,864

$
(32
)
$
(1
)
$
436

$
(403
)
$
5

$
(568
)
$
804

$
(547
)
$
1,558

$
(117
)
Equity securities
235

(17
)

44

(11
)

(4
)
78

(49
)
276

(22
)
Non-U.S. sovereign debt
556

47

(44
)
13

(57
)

(30
)
117

(137
)
465

48

Mortgage trading loans, ABS and other MBS
1,498

148

3

585

(910
)

(158
)
705

(236
)
1,635

97

Total trading account assets
4,153

146

(42
)
1,078

(1,381
)
5

(760
)
1,704

(969
)
3,934

6

Net derivative assets (4)
(1,714
)
106


531

(1,179
)

778

39

504

(935
)
(116
)
AFS debt securities:
 

 

 

 

 

 

 

 

 

 

 
Non-agency residential MBS

27

(33
)

(71
)

(25
)
774

(75
)
597


Non-U.S. securities
25


(1
)

(10
)

(15
)
3


2


Other taxable securities
509

1

(3
)

(23
)

(11
)
60

(526
)
7


Tax-exempt securities
469






(1
)
1

(469
)


Total AFS debt securities (5)
1,003

28

(37
)

(104
)

(52
)
838

(1,070
)
606


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

(18
)


(8
)

(34
)
365

(133
)
172

(18
)
Loans and leases (6, 7)
571

(16
)


(134
)

(83
)


338

(9
)
Loans held-for-sale (6)
690

44

(26
)
71


1

(201
)
23

(60
)
542

31

Other assets (5, 7, 8)
2,425

414

(38
)
2

(69
)
96

(792
)
929

(35
)
2,932

149

Trading account liabilities – Corporate securities and other
(24
)
11


9

(12
)
(2
)



(18
)
(7
)
Accrued expenses and other liabilities (6)
(8
)





8





Long-term debt (6)
(1,863
)
103

4

9


(141
)
486

(262
)
847

(817
)
95

(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; Other debt securities carried at fair value - other income; Loans and leases - 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. Total gains (losses) in OCI include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018. For additional information, see Note 1 – Summary of Significant Accounting Principles.
(4) 
Net derivative assets include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5) 
Transfers out of AFS debt securities and into other assets primarily relate 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 of time.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2017 (1)
 
 
 
 
Balance
January 1
2017
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2017
Change in Unrealized Gains (Losses) in Net Income 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

$
229

$

$
547

$
(702
)
$
5

$
(666
)
$
728

$
(1,054
)
$
1,864

$
2

Equity securities
281

18


55

(70
)

(10
)
146

(185
)
235

(1
)
Non-U.S. sovereign debt
510

74

(8
)
53

(59
)

(73
)
72

(13
)
556

70

Mortgage trading loans, ABS and other MBS
1,211

165

(2
)
1,210

(990
)

(233
)
218

(81
)
1,498

72

Total trading account assets
4,779

486

(10
)
1,865

(1,821
)
5

(982
)
1,164

(1,333
)
4,153

143

Net derivative assets (4)
(1,313
)
(984
)

664

(979
)

949

48

(99
)
(1,714
)
(409
)
AFS debt securities:
 

 

 

 
 
 
 

 

 

 

 
Non-U.S. securities
229

2

16

49



(271
)


25


Other taxable securities
594

4

8

5



(42
)
34

(94
)
509


Tax-exempt securities
542

1

3

14

(70
)

(11
)
35

(45
)
469


Total AFS debt securities
1,365

7

27

68

(70
)

(324
)
69

(139
)
1,003


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

(1
)


(21
)

(3
)




Loans and leases (5)
720

15


3

(34
)

(126
)

(7
)
571

11

Loans held-for-sale (5, 6)
656

100

(3
)
3

(189
)

(346
)
501

(32
)
690

14

Other assets (6, 7)
2,986

144

(57
)
2

(214
)
258

(758
)
64


2,425

(226
)
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
(359
)
(5
)



(12
)
171

(58
)
263



Trading account liabilities – Corporate securities and other
(27
)
14


8

(17
)
(2
)



(24
)
2

Accrued expenses and other liabilities (5)
(9
)





1



(8
)

Long-term debt (5)
(1,514
)
(135
)
(31
)
84


(288
)
514

(711
)
218

(1,863
)
(196
)
(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; Other debt securities carried at fair value - other income; Loans and leases - 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.
(4) 
Net derivative assets include derivative assets of $4.1 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. 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 2018, 2017 and 2016, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2018 (1)
 
 
 
(Dollars in millions)
Balance
January 1
2018
Total Realized/Unrealized Gains (Losses) in Net Income (2)
Gains
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2018
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases
Sales
Issuances
Settlements
Trading account assets:
 

 

 

 

 
 
 
 

 

 

 
Corporate securities, trading loans and other
$
1,864

$
(32
)
$
(1
)
$
436

$
(403
)
$
5

$
(568
)
$
804

$
(547
)
$
1,558

$
(117
)
Equity securities
235

(17
)

44

(11
)

(4
)
78

(49
)
276

(22
)
Non-U.S. sovereign debt
556

47

(44
)
13

(57
)

(30
)
117

(137
)
465

48

Mortgage trading loans, ABS and other MBS
1,498

148

3

585

(910
)

(158
)
705

(236
)
1,635

97

Total trading account assets
4,153

146

(42
)
1,078

(1,381
)
5

(760
)
1,704

(969
)
3,934

6

Net derivative assets (4)
(1,714
)
106


531

(1,179
)

778

39

504

(935
)
(116
)
AFS debt securities:
 

 

 

 

 

 

 

 

 

 

 
Non-agency residential MBS

27

(33
)

(71
)

(25
)
774

(75
)
597


Non-U.S. securities
25


(1
)

(10
)

(15
)
3


2


Other taxable securities
509

1

(3
)

(23
)

(11
)
60

(526
)
7


Tax-exempt securities
469






(1
)
1

(469
)


Total AFS debt securities (5)
1,003

28

(37
)

(104
)

(52
)
838

(1,070
)
606


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

(18
)


(8
)

(34
)
365

(133
)
172

(18
)
Loans and leases (6, 7)
571

(16
)


(134
)

(83
)


338

(9
)
Loans held-for-sale (6)
690

44

(26
)
71


1

(201
)
23

(60
)
542

31

Other assets (5, 7, 8)
2,425

414

(38
)
2

(69
)
96

(792
)
929

(35
)
2,932

149

Trading account liabilities – Corporate securities and other
(24
)
11


9

(12
)
(2
)



(18
)
(7
)
Accrued expenses and other liabilities (6)
(8
)





8





Long-term debt (6)
(1,863
)
103

4

9


(141
)
486

(262
)
847

(817
)
95

(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; Other debt securities carried at fair value - other income; Loans and leases - 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. Total gains (losses) in OCI include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018. For additional information, see Note 1 – Summary of Significant Accounting Principles.
(4) 
Net derivative assets include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5) 
Transfers out of AFS debt securities and into other assets primarily relate 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 of time.
 
 
 
 
 
 
 
 
 
 
 
 
Level 3 – Fair Value Measurements in 2016 (1)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(Dollars in millions)
Balance
January 1
2016
Total Realized/Unrealized Gains/(Losses) in Net Income (2)
Gains/
(Losses)
in OCI
(3)
Gross
Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
2016
Change in Unrealized Gains/(Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases
Sales
Issuances
Settlements
Trading account assets: