| 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, 2019 and December 31, 2018, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
|
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
June 30, 2019 |
|
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 |
$ |
1,179 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,179 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
— |
|
|
54,257 |
|
|
— |
|
|
— |
|
|
54,257 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2)
|
42,612 |
|
|
825 |
|
|
— |
|
|
— |
|
|
43,437 |
|
Corporate securities, trading loans and other |
— |
|
|
27,902 |
|
|
1,393 |
|
|
— |
|
|
29,295 |
|
Equity securities |
72,274 |
|
|
30,515 |
|
|
296 |
|
|
— |
|
|
103,085 |
|
Non-U.S. sovereign debt |
11,279 |
|
|
29,318 |
|
|
481 |
|
|
— |
|
|
41,078 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
24,769 |
|
|
— |
|
|
— |
|
|
24,769 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
8,934 |
|
|
1,389 |
|
|
— |
|
|
10,323 |
|
Total trading account assets (3)
|
126,165 |
|
|
122,263 |
|
|
3,559 |
|
|
— |
|
|
251,987 |
|
Derivative assets |
14,574 |
|
|
336,706 |
|
|
3,403 |
|
|
(309,771 |
) |
|
44,912 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
55,574 |
|
|
1,245 |
|
|
— |
|
|
— |
|
|
56,819 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
125,569 |
|
|
— |
|
|
— |
|
|
125,569 |
|
Agency-collateralized mortgage obligations |
— |
|
|
5,210 |
|
|
— |
|
|
— |
|
|
5,210 |
|
Non-agency residential |
— |
|
|
1,454 |
|
|
568 |
|
|
— |
|
|
2,022 |
|
Commercial |
— |
|
|
14,525 |
|
|
— |
|
|
— |
|
|
14,525 |
|
Non-U.S. securities |
— |
|
|
11,183 |
|
|
2 |
|
|
— |
|
|
11,185 |
|
Other taxable securities |
— |
|
|
3,692 |
|
|
3 |
|
|
— |
|
|
3,695 |
|
Tax-exempt securities |
— |
|
|
16,954 |
|
|
— |
|
|
— |
|
|
16,954 |
|
Total AFS debt securities |
55,574 |
|
|
179,832 |
|
|
573 |
|
|
— |
|
|
235,979 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
|
1,325 |
|
|
273 |
|
|
— |
|
|
1,598 |
|
Non-U.S. securities |
2,838 |
|
|
5,676 |
|
|
— |
|
|
— |
|
|
8,514 |
|
Other taxable securities |
— |
|
|
3 |
|
|
— |
|
|
— |
|
|
3 |
|
Total other debt securities carried at fair value |
2,838 |
|
|
7,004 |
|
|
273 |
|
|
— |
|
|
10,115 |
|
Loans and leases |
— |
|
|
7,508 |
|
|
355 |
|
|
— |
|
|
7,863 |
|
Loans held-for-sale |
— |
|
|
1,902 |
|
|
486 |
|
|
— |
|
|
2,388 |
|
Other assets (4)
|
17,689 |
|
|
1,834 |
|
|
2,551 |
|
|
— |
|
|
22,074 |
|
Total assets (5)
|
$ |
218,019 |
|
|
$ |
711,306 |
|
|
$ |
11,200 |
|
|
$ |
(309,771 |
) |
|
$ |
630,754 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
604 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
604 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
19,866 |
|
|
— |
|
|
— |
|
|
19,866 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
14,891 |
|
|
2,072 |
|
|
— |
|
|
— |
|
|
16,963 |
|
Equity securities |
32,135 |
|
|
3,604 |
|
|
2 |
|
|
— |
|
|
35,741 |
|
Non-U.S. sovereign debt |
13,814 |
|
|
8,100 |
|
|
— |
|
|
— |
|
|
21,914 |
|
Corporate securities and other |
— |
|
|
7,519 |
|
|
13 |
|
|
— |
|
|
7,532 |
|
Total trading account liabilities |
60,840 |
|
|
21,295 |
|
|
15 |
|
|
— |
|
|
82,150 |
|
Derivative liabilities |
13,435 |
|
|
330,362 |
|
|
4,517 |
|
|
(309,934 |
) |
|
38,380 |
|
Short-term borrowings |
— |
|
|
2,403 |
|
|
— |
|
|
— |
|
|
2,403 |
|
Accrued expenses and other liabilities |
20,773 |
|
|
2,038 |
|
|
— |
|
|
— |
|
|
22,811 |
|
Long-term debt |
— |
|
|
34,296 |
|
|
902 |
|
|
— |
|
|
35,198 |
|
Total liabilities (5)
|
$ |
95,048 |
|
|
$ |
410,864 |
|
|
$ |
5,434 |
|
|
$ |
(309,934 |
) |
|
$ |
201,412 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(2) |
Includes $25.2 billion of GSE obligations.
|
|
|
(3) |
Includes securities with a fair value of $16.0 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 $1.7 billion which are classified as Level 3 assets.
|
|
|
(5) |
Total recurring Level 3 assets were 0.47 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.26 percent of total consolidated liabilities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 (2)
|
— |
|
|
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 |
|
Non-agency residential MBS |
— |
|
|
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 |
— |
|
|
26,872 |
|
|
817 |
|
|
— |
|
|
27,689 |
|
Total liabilities (5)
|
$ |
77,112 |
|
|
$ |
382,424 |
|
|
$ |
5,236 |
|
|
$ |
(279,882 |
) |
|
$ |
184,890 |
|
|
|
(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.
|
| Fair Value, Assets 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, 2019 and 2018, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to
decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance
April 1
|
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
June 30 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Three Months Ended June 30, 2019 |
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,428 |
|
$ |
55 |
|
$ |
— |
|
$ |
140 |
|
$ |
(79 |
) |
$ |
— |
|
$ |
(146 |
) |
$ |
107 |
|
$ |
(112 |
) |
$ |
1,393 |
|
$ |
26 |
|
Equity securities |
288 |
|
20 |
|
— |
|
3 |
|
(5 |
) |
— |
|
— |
|
1 |
|
(11 |
) |
296 |
|
20 |
|
Non-U.S. sovereign debt |
472 |
|
19 |
|
5 |
|
1 |
|
— |
|
— |
|
(11 |
) |
— |
|
(5 |
) |
481 |
|
19 |
|
Mortgage trading loans, ABS and other MBS |
1,510 |
|
50 |
|
(1 |
) |
167 |
|
(324 |
) |
— |
|
(115 |
) |
178 |
|
(76 |
) |
1,389 |
|
4 |
|
Total trading account assets |
3,698 |
|
144 |
|
4 |
|
311 |
|
(408 |
) |
— |
|
(272 |
) |
286 |
|
(204 |
) |
3,559 |
|
69 |
|
Net derivative assets (4)
|
(1,018 |
) |
(91 |
) |
— |
|
56 |
|
(161 |
) |
— |
|
(33 |
) |
17 |
|
116 |
|
(1,114 |
) |
(94 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
581 |
|
— |
|
(3 |
) |
— |
|
— |
|
— |
|
(14 |
) |
47 |
|
(43 |
) |
568 |
|
— |
|
Non-U.S. securities |
2 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
2 |
|
— |
|
Other taxable securities |
3 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
3 |
|
— |
|
Total AFS debt securities |
586 |
|
— |
|
(3 |
) |
— |
|
— |
|
— |
|
(14 |
) |
47 |
|
(43 |
) |
573 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
224 |
|
2 |
|
— |
|
— |
|
— |
|
— |
|
(7 |
) |
69 |
|
(15 |
) |
273 |
|
2 |
|
Loans and leases (5)
|
317 |
|
— |
|
— |
|
— |
|
— |
|
53 |
|
(15 |
) |
— |
|
— |
|
355 |
|
— |
|
Loans held-for-sale (5,6)
|
558 |
|
26 |
|
2 |
|
— |
|
(50 |
) |
— |
|
(50 |
) |
— |
|
— |
|
486 |
|
16 |
|
Other assets (6, 7)
|
2,749 |
|
(80 |
) |
8 |
|
— |
|
(10 |
) |
67 |
|
(183 |
) |
— |
|
— |
|
2,551 |
|
(128 |
) |
Trading account liabilities – Equity securities |
— |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(2 |
) |
(2 |
) |
|
Trading account liabilities – Corporate securities
and other
|
(21 |
) |
7 |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(13 |
) |
— |
|
Long-term debt (5)
|
(890 |
) |
(41 |
) |
— |
|
— |
|
— |
|
(10 |
) |
38 |
|
— |
|
1 |
|
(902 |
) |
(41 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2018 |
|
|
|
|
|
|
|
|
|
|
|
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)
|
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 income; Net derivative assets - trading account income 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 income. 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 gains of $11 million related to financial instruments still held at June 30, 2019.
|
|
|
(4) |
Net derivative assets include derivative assets of $3.4 billion and $4.5 billion and derivative liabilities of $4.5 billion and $6.1 billion at June 30, 2019 and 2018.
|
|
|
(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 (1)
|
|
|
|
|
Balance
January 1
|
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
June 30 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
|
(Dollars in millions)
|
Purchases |
Sales |
Issuances |
Settlements |
Six Months Ended June 30, 2019 |
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,558 |
|
$ |
58 |
|
$ |
— |
|
$ |
194 |
|
$ |
(152 |
) |
$ |
— |
|
$ |
(206 |
) |
$ |
246 |
|
$ |
(305 |
) |
$ |
1,393 |
|
$ |
20 |
|
Equity securities |
276 |
|
22 |
|
— |
|
21 |
|
(6 |
) |
— |
|
(3 |
) |
3 |
|
(17 |
) |
296 |
|
(4 |
) |
Non-U.S. sovereign debt |
465 |
|
27 |
|
4 |
|
1 |
|
— |
|
— |
|
(11 |
) |
— |
|
(5 |
) |
481 |
|
27 |
|
Mortgage trading loans, ABS and other MBS |
1,635 |
|
88 |
|
(2 |
) |
397 |
|
(661 |
) |
— |
|
(124 |
) |
267 |
|
(211 |
) |
1,389 |
|
20 |
|
Total trading account assets |
3,934 |
|
195 |
|
2 |
|
613 |
|
(819 |
) |
— |
|
(344 |
) |
516 |
|
(538 |
) |
3,559 |
|
63 |
|
Net derivative assets (4)
|
(935 |
) |
(116 |
) |
— |
|
167 |
|
(406 |
) |
— |
|
(88 |
) |
139 |
|
125 |
|
(1,114 |
) |
(131 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
597 |
|
— |
|
90 |
|
— |
|
— |
|
— |
|
(21 |
) |
206 |
|
(304 |
) |
568 |
|
— |
|
Non-U.S. securities |
2 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
2 |
|
— |
|
Other taxable securities |
7 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(4 |
) |
— |
|
— |
|
3 |
|
— |
|
Total AFS debt securities |
606 |
|
— |
|
90 |
|
— |
|
— |
|
— |
|
(25 |
) |
206 |
|
(304 |
) |
573 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
172 |
|
49 |
|
— |
|
— |
|
— |
|
— |
|
(8 |
) |
107 |
|
(47 |
) |
273 |
|
47 |
|
Loans and leases (5)
|
338 |
|
4 |
|
— |
|
— |
|
(15 |
) |
53 |
|
(25 |
) |
— |
|
— |
|
355 |
|
3 |
|
Loans held-for-sale (5,6)
|
542 |
|
38 |
|
— |
|
10 |
|
(71 |
) |
11 |
|
(103 |
) |
59 |
|
— |
|
486 |
|
20 |
|
Other assets (6, 7)
|
2,932 |
|
(154 |
) |
16 |
|
— |
|
(10 |
) |
108 |
|
(341 |
) |
— |
|
— |
|
2,551 |
|
(253 |
) |
Trading account liabilities – Equity securities |
— |
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(2 |
) |
(2 |
) |
|
Trading account liabilities – Corporate securities
and other
|
(18 |
) |
7 |
|
— |
|
1 |
|
(3 |
) |
— |
|
— |
|
— |
|
— |
|
(13 |
) |
— |
|
Long-term debt (5)
|
(817 |
) |
(87 |
) |
(1 |
) |
— |
|
— |
|
(13 |
) |
76 |
|
(61 |
) |
1 |
|
(902 |
) |
(82 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2018 |
|
|
|
|
|
|
|
|
|
|
|
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 (8)
|
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 (5)
|
571 |
|
(20 |
) |
— |
|
— |
|
(9 |
) |
— |
|
(49 |
) |
— |
|
— |
|
493 |
|
(19 |
) |
Loans held-for-sale (5)
|
690 |
|
12 |
|
(27 |
) |
12 |
|
— |
|
— |
|
(78 |
) |
— |
|
(32 |
) |
577 |
|
5 |
|
Other assets (6,7,8)
|
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 (5)
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
— |
|
— |
|
— |
|
— |
|
Long-term debt (5)
|
(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 income; Net derivative assets - trading account income 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 income. 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 gains of $112 million related to financial instruments still held at June 30, 2019.
|
|
|
(4) |
Net derivative assets include derivative assets of $3.4 billion and $4.5 billion and derivative liabilities of $4.5 billion and $6.1 billion at June 30, 2019 and 2018.
|
|
|
(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. |
(8)
Transfers out of AFS debt securities and into other assets relate to the reclassification of certain securities.
|