Annual report pursuant to Section 13 and 15(d)

Fair Value Measurements (Tables)

v3.20.4
Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 2020
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, 2020 and 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 31, 2020
  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
$ 1,649  $   $   $   $ 1,649 
Federal funds sold and securities borrowed or purchased under agreements to resell
  108,856      108,856 
Trading account assets:          
U.S. Treasury and agency securities 45,219  3,051      48,270 
Corporate securities, trading loans and other   22,817  1,359    24,176 
Equity securities 36,372  31,372  227    67,971 
Non-U.S. sovereign debt 5,753  20,884  354    26,991 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
  21,566  75    21,641 
Mortgage trading loans, ABS and other MBS   8,440  1,365    9,805 
Total trading account assets (3)
87,344  108,130  3,380    198,854 
Derivative assets 15,624  416,175  2,751  (387,371) 47,179 
AFS debt securities:          
U.S. Treasury and agency securities 115,266  1,114      116,380 
Mortgage-backed securities:          
Agency   61,849      61,849 
Agency-collateralized mortgage obligations   5,260      5,260 
Non-agency residential   631  378    1,009 
Commercial   16,491      16,491 
Non-U.S. securities   13,999  18    14,017 
Other taxable securities   2,640  71    2,711 
Tax-exempt securities   16,598  176    16,774 
Total AFS debt securities 115,266  118,582  643    234,491 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 93        93 
Non-agency residential MBS   506  267    773 
Non-U.S. and other securities
2,619  8,625      11,244 
Total other debt securities carried at fair value 2,712  9,131  267    12,110 
Loans and leases   5,964  717    6,681 
Loans held-for-sale   1,349  236    1,585 
Other assets (4)
9,898  3,850  1,970    15,718 
Total assets (5)
$ 232,493  $ 772,037  $ 9,964  $ (387,371) $ 627,123 
Liabilities          
Interest-bearing deposits in U.S. offices $   $ 481  $   $   $ 481 
Federal funds purchased and securities loaned or sold under agreements to repurchase
  135,391      135,391 
Trading account liabilities:        
U.S. Treasury and agency securities 9,425  139      9,564 
Equity securities 38,189  4,235      42,424 
Non-U.S. sovereign debt 5,853  8,043      13,896 
Corporate securities and other   5,420  16    5,436 
Total trading account liabilities 53,467  17,837  16    71,320 
Derivative liabilities 14,907  412,881  6,219  (388,481) 45,526 
Short-term borrowings   5,874      5,874 
Accrued expenses and other liabilities 12,297  4,014      16,311 
Long-term debt   31,036  1,164    32,200 
Total liabilities (5)
$ 80,671  $ 607,514  $ 7,399  $ (388,481) $ 307,103 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $22.2 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. Trading account assets also includes precious metal inventories of $576 million that are accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(4)Includes MSRs of $1.0 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.29 percent of total consolidated liabilities.
December 31, 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
$ 1,000  $ —  $ —  $ —  $ 1,000 
Federal funds sold and securities borrowed or purchased under agreements to resell
—  50,364  —  —  50,364 
Trading account assets:          
U.S. Treasury and agency securities 49,517  4,157  —  —  53,674 
Corporate securities, trading loans and other —  25,226  1,507  —  26,733 
Equity securities 53,597  32,619  239  —  86,455 
Non-U.S. sovereign debt 3,965  23,854  482  —  28,301 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  24,324  —  —  24,324 
Mortgage trading loans, ABS and other MBS —  8,786  1,553  —  10,339 
Total trading account assets (3)
107,079  118,966  3,781  —  229,826 
Derivative assets 14,079  328,442  2,226  (304,262) 40,485 
AFS debt securities:          
U.S. Treasury and agency securities 67,332  1,196  —  —  68,528 
Mortgage-backed securities:          
Agency —  122,528  —  —  122,528 
Agency-collateralized mortgage obligations —  4,641  —  —  4,641 
Non-agency residential —  653  424  —  1,077 
Commercial —  15,021  —  —  15,021 
Non-U.S. securities —  11,989  —  11,991 
Other taxable securities —  3,876  65  —  3,941 
Tax-exempt securities —  17,804  108  —  17,912 
Total AFS debt securities 67,332  177,708  599  —  245,639 
Other debt securities carried at fair value:
U.S. Treasury and agency securities —  —  — 
Agency MBS —  3,003  —  —  3,003 
Non-agency residential MBS —  1,035  299  —  1,334 
Non-U.S. and other securities 400  6,088  —  —  6,488 
Total other debt securities carried at fair value 403  10,126  299  —  10,828 
Loans and leases —  7,642  693  —  8,335 
Loans held-for-sale —  3,334  375  —  3,709 
Other assets (4)
11,782  1,376  2,360  —  15,518 
Total assets (5)
$ 201,675  $ 697,958  $ 10,333  $ (304,262) $ 605,704 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 508  $ —  $ —  $ 508 
Federal funds purchased and securities loaned or sold under agreements to repurchase
—  16,008  —  —  16,008 
Trading account liabilities:        
U.S. Treasury and agency securities 13,140  282  —  —  13,422 
Equity securities 38,148  4,144  —  42,294 
Non-U.S. sovereign debt 10,751  11,310  —  —  22,061 
Corporate securities and other —  5,478  15  —  5,493 
Total trading account liabilities 62,039  21,214  17  —  83,270 
Derivative liabilities 11,904  320,479  4,764  (298,918) 38,229 
Short-term borrowings —  3,941  —  —  3,941 
Accrued expenses and other liabilities 13,927  1,507  —  —  15,434 
Long-term debt —  33,826  1,149  —  34,975 
Total liabilities (5)
$ 87,870  $ 397,483  $ 5,930  $ (298,918) $ 192,365 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $26.7 billion of GSE obligations.
(3)Includes securities with a fair value of $14.7 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 $1.5 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.42 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.27 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 2020, 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
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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
Purchases Sales Issuances Settlements
Year Ended December 31, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,507  $ (138) $ (1) $ 430  $ (242) $ 10  $ (282) $ 639  $ (564) $ 1,359  $ (102)
Equity securities
239  (43)   78  (53)   (3) 58  (49) 227  (31)
Non-U.S. sovereign debt
482  45  (46) 76  (61)   (39) 150  (253) 354  47 
Mortgage trading loans, ABS and other MBS
1,553  (120) (3) 577  (746) 11  (96) 757  (493) 1,440  (92)
Total trading account assets 3,781  (256) (50) 1,161  (1,102) 21  (420) 1,604  (1,359) 3,380  (178)
Net derivative assets (liabilities) (4)
(2,538) (235)   120  (646)   (112) (235) 178  (3,468) (953)
AFS debt securities:                    
Non-agency residential MBS 424  (2) 3  23  (54)   (44) 158  (130) 378  (2)
Non-U.S. securities
2  1      (1)   (1) 17    18  1 
Other taxable securities
65      9  (4)     1    71   
Tax-exempt securities 108  (21) 3        (169) 265  (10) 176  (20)
Total AFS debt securities 599  (22) 6  32  (59)   (214) 441  (140) 643  (21)
Other debt securities carried at fair value – Non-agency residential MBS
299  26      (180)   (24) 190  (44) 267  3 
Loans and leases (5,6)
693  (4)   145  (76) 22  (161) 98    717  9 
Loans held-for-sale (5,6)
375  26  (28)   (489) 691  (119) 93  (313) 236  (5)
Other assets (6,7)
2,360  (288) 3  178  (4) 224  (506) 5  (2) 1,970  (374)
Trading account liabilities – Equity securities
(2) 1              1     
Trading account liabilities – Corporate securities
   and other
(15) 8    (7) (3)   1      (16)  
Long-term debt (5)
(1,149) (46) 2  (104)   (47) 218  (52) 14  (1,164) (5)
Year Ended December 31, 2019
Trading account assets:          
Corporate securities, trading loans and other
$ 1,558  $ 105  $ —  $ 534  $ (390) $ 18  $ (578) $ 699  $ (439) $ 1,507  $ 29 
Equity securities 276  (12) —  38  (87) —  (9) 79  (46) 239  (18)
Non-U.S. sovereign debt 465  46  (12) —  —  (51) 39  (6) 482  47 
Mortgage trading loans, ABS and other MBS
1,635  99  (2) 662  (899) —  (175) 738  (505) 1,553  26 
Total trading account assets 3,934  238  (14) 1,235  (1,376) 18  (813) 1,555  (996) 3,781  84 
Net derivative assets (liabilities) (4,8)
(935) (37) —  298  (837) —  (97) 147  (1,077) (2,538) 228 
AFS debt securities:              
Non-agency residential MBS 597  13  64  —  (73) —  (40) 206  (343) 424  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  (5) 61  —  65  — 
Tax-exempt securities —  —  —  —  —  —  —  108  —  108  — 
Total AFS debt securities 606  15  64  —  (73) —  (45) 375  (343) 599  — 
Other debt securities carried at fair value – Non-agency residential MBS
172  36  —  —  —  —  (17) 155  (47) 299  38 
Loans and leases (5,6)
338  —  —  230  (35) 217  (57) —  —  693  (1)
Loans held-for-sale (5,6)
542  48  (6) 12  (71) 36  (245) 59  —  375  22 
Other assets (6,7)
2,932  (81) 19  —  (10) 179  (683) (1) 2,360  (267)
Trading account liabilities – Equity securities
—  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities
   and other
(18) —  (1) (3) (1) —  —  —  (15) — 
Long-term debt (5,8)
(817) (59) (64) —  —  (40) 180  (350) (1,149) (55)
(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 market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(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. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.
(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 into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
Level 3 – Fair Value Measurements (1)
(Dollars in millions) 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2018
Trading account assets:            
Corporate securities, trading loans and other $ 1,864  $ (32) $ (1) $ 436  $ (403) $ $ (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  585  (910) —  (158) 705  (236) 1,635  97 
Total trading account assets 4,153  146  (42) 1,078  (1,381) (760) 1,704  (969) 3,934 
Net derivative assets (liabilities) (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) —  — 
Other taxable securities 509  (3) —  (23) —  (11) 60  (526) — 
Tax-exempt securities 469  —  —  —  —  —  (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  —  (201) 23  (60) 542  31 
Other assets (5,7,8)
2,425  414  (38) (69) 96  (792) 929  (35) 2,932  149 
Trading account liabilities – Corporate securities and other (24) 11  —  (12) (2) —  —  —  (18) (7)
Accrued expenses and other liabilities (6)
(8) —  —  —  —  —  —  —  —  — 
Long-term debt (6)
(1,863) 103  —  (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 market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.   
(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. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) 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 reclassifcation 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
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 2020, 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
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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
Purchases Sales Issuances Settlements
Year Ended December 31, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,507  $ (138) $ (1) $ 430  $ (242) $ 10  $ (282) $ 639  $ (564) $ 1,359  $ (102)
Equity securities
239  (43)   78  (53)   (3) 58  (49) 227  (31)
Non-U.S. sovereign debt
482  45  (46) 76  (61)   (39) 150  (253) 354  47 
Mortgage trading loans, ABS and other MBS
1,553  (120) (3) 577  (746) 11  (96) 757  (493) 1,440  (92)
Total trading account assets 3,781  (256) (50) 1,161  (1,102) 21  (420) 1,604  (1,359) 3,380  (178)
Net derivative assets (liabilities) (4)
(2,538) (235)   120  (646)   (112) (235) 178  (3,468) (953)
AFS debt securities:                    
Non-agency residential MBS 424  (2) 3  23  (54)   (44) 158  (130) 378  (2)
Non-U.S. securities
2  1      (1)   (1) 17    18  1 
Other taxable securities
65      9  (4)     1    71   
Tax-exempt securities 108  (21) 3        (169) 265  (10) 176  (20)
Total AFS debt securities 599  (22) 6  32  (59)   (214) 441  (140) 643  (21)
Other debt securities carried at fair value – Non-agency residential MBS
299  26      (180)   (24) 190  (44) 267  3 
Loans and leases (5,6)
693  (4)   145  (76) 22  (161) 98    717  9 
Loans held-for-sale (5,6)
375  26  (28)   (489) 691  (119) 93  (313) 236  (5)
Other assets (6,7)
2,360  (288) 3  178  (4) 224  (506) 5  (2) 1,970  (374)
Trading account liabilities – Equity securities
(2) 1              1     
Trading account liabilities – Corporate securities
   and other
(15) 8    (7) (3)   1      (16)  
Long-term debt (5)
(1,149) (46) 2  (104)   (47) 218  (52) 14  (1,164) (5)
Year Ended December 31, 2019
Trading account assets:          
Corporate securities, trading loans and other
$ 1,558  $ 105  $ —  $ 534  $ (390) $ 18  $ (578) $ 699  $ (439) $ 1,507  $ 29 
Equity securities 276  (12) —  38  (87) —  (9) 79  (46) 239  (18)
Non-U.S. sovereign debt 465  46  (12) —  —  (51) 39  (6) 482  47 
Mortgage trading loans, ABS and other MBS
1,635  99  (2) 662  (899) —  (175) 738  (505) 1,553  26 
Total trading account assets 3,934  238  (14) 1,235  (1,376) 18  (813) 1,555  (996) 3,781  84 
Net derivative assets (liabilities) (4,8)
(935) (37) —  298  (837) —  (97) 147  (1,077) (2,538) 228 
AFS debt securities:              
Non-agency residential MBS 597  13  64  —  (73) —  (40) 206  (343) 424  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  (5) 61  —  65  — 
Tax-exempt securities —  —  —  —  —  —  —  108  —  108  — 
Total AFS debt securities 606  15  64  —  (73) —  (45) 375  (343) 599  — 
Other debt securities carried at fair value – Non-agency residential MBS
172  36  —  —  —  —  (17) 155  (47) 299  38 
Loans and leases (5,6)
338  —  —  230  (35) 217  (57) —  —  693  (1)
Loans held-for-sale (5,6)
542  48  (6) 12  (71) 36  (245) 59  —  375  22 
Other assets (6,7)
2,932  (81) 19  —  (10) 179  (683) (1) 2,360  (267)
Trading account liabilities – Equity securities
—  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities
   and other
(18) —  (1) (3) (1) —  —  —  (15) — 
Long-term debt (5,8)
(817) (59) (64) —  —  (40) 180  (350) (1,149) (55)
(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 market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(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. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.
(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 into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
Level 3 – Fair Value Measurements (1)
(Dollars in millions) 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
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
Purchases Sales Issuances Settlements
Year Ended December 31, 2018
Trading account assets:            
Corporate securities, trading loans and other $ 1,864  $ (32) $ (1) $ 436  $ (403) $ $ (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  585  (910) —  (158) 705  (236) 1,635  97 
Total trading account assets 4,153  146  (42) 1,078  (1,381) (760) 1,704  (969) 3,934 
Net derivative assets (liabilities) (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) —  — 
Other taxable securities 509  (3) —  (23) —  (11) 60  (526) — 
Tax-exempt securities 469  —  —  —  —  —  (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  —  (201) 23  (60) 542  31 
Other assets (5,7,8)
2,425  414  (38) (69) 96  (792) 929  (35) 2,932  149 
Trading account liabilities – Corporate securities and other (24) 11  —  (12) (2) —  —  —  (18) (7)
Accrued expenses and other liabilities (6)
(8) —  —  —  —  —  —  —  —  — 
Long-term debt (6)
(1,863) 103  —  (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 market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.   
(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. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) 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 reclassifcation 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 Measurement Inputs and Valuation Techniques
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at December 31, 2020 and 2019.
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2020
(Dollars in millions) Inputs
Financial Instrument Fair
Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets $ 1,543  Discounted cash flow, Market comparables Yield
(3)% to 25%
%
Trading account assets – Mortgage trading loans, ABS and other MBS
467  Prepayment speed
1% to 56% CPR
20% CPR
Loans and leases 431  Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential 378  Price
$0 to $168
$110
Other debt securities carried at fair value – Non-agency residential 267  Loss severity
0% to 47%
18  %
Instruments backed by commercial real estate assets $ 407  Discounted cash
flow
Yield
0% to 25%
%
Trading account assets – Corporate securities, trading loans and other 262  Price
$0 to $100
$52
Trading account assets – Mortgage trading loans, ABS and other MBS 43 
AFS debt securities, primarily other taxable securities 89 
Loans held-for-sale 13 
Commercial loans, debt securities and other $ 3,066  Discounted cash flow, Market comparables Yield
0% to 26%
%
Trading account assets – Corporate securities, trading loans and other
1,097  Prepayment speed
10% to 20%
14  %
Trading account assets – Non-U.S. sovereign debt 354  Default rate
3% to 4%
%
Trading account assets – Mortgage trading loans, ABS and other MBS 930  Loss severity
35% to 40%
38  %
AFS debt securities – Tax-exempt securities 176  Price
$0 to $142
$66
Loans and leases 286  Long-dated equity volatilities
77%
n/a
Loans held-for-sale 223 
Other assets, primarily auction rate securities $ 937  Discounted cash flow, Market comparables Price
$10 to $97
$91

Discount rate % n/a
MSRs $ 1,033  Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 13 years
4 years
Weighted-average life, variable rate (5)
0 to 10 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
%
Option-adjusted spread, variable rate
9% to 15%
12  %
Structured liabilities
Long-term debt $ (1,164)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
0% to 11%
%
Equity correlation
2% to 100%
64  %
Long-dated equity volatilities
7% to 64%
32  %
Price
$0 to $124
$86
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives $ (112) Discounted cash flow, Stochastic recovery correlation model Yield
5%
n/a
Upfront points
0 to 100 points
 75 points
Prepayment speed
15% to 100% CPR
22% CPR
Default rate
2% CDR
n/a
Credit correlation
21% to 64%
57  %
Price
$0 to $122
$69
Equity derivatives $ (1,904)
Industry standard derivative pricing (3)
Equity correlation
2% to 100%
64  %
Long-dated equity volatilities
7% to 64%
32  %
Commodity derivatives $ (1,426)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3 /MMBtu
Correlation
39% to 85%
73  %
Volatilities
23% to 70%
39  %
Interest rate derivatives $ (26)
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 96%
34  %
Correlation (FX/IR)
0% to 46%
%
Long-dated inflation rates
 (7)% to 84%
14  %
Long-dated inflation volatilities
0% to 1%
%
Interest rate volatilities
0% to 2%
%
Total net derivative assets (liabilities) $ (3,468)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 156: Trading account assets – Corporate securities, trading loans and other of $1.4 billion, Trading account assets – Non-U.S. sovereign debt of $354 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.4 billion, AFS debt securities of $643 million, Other debt securities carried at fair value - Non-agency residential of $267 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $717 million and LHFS of $236 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019
(Dollars in millions) Inputs
Financial Instrument Fair
Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets $ 1,407  Discounted cash flow, Market comparables Yield
0% to 25%
%
Trading account assets – Mortgage trading loans, ABS and other MBS
332 
Prepayment speed
1% to 27% CPR
17% CPR
Loans and leases 281  Default rate
0% to 3% CDR
1% CDR
Loans held-for-sale Loss severity
0% to 47%
14  %
AFS debt securities, primarily non-agency residential 491  Price
$0 to $160
$94
Other debt securities carried at fair value - Non-agency residential 299 
Instruments backed by commercial real estate assets $ 303  Discounted cash flow Yield
0% to 30%
14  %
Trading account assets – Corporate securities, trading loans and other 201  Price
$0 to $100
$55
Trading account assets – Mortgage trading loans, ABS and other MBS 85 
Loans held-for-sale 17 
Commercial loans, debt securities and other $ 3,798  Discounted cash flow, Market comparables Yield
1% to 20%
%
Trading account assets – Corporate securities, trading loans and other
1,306 
Prepayment speed
10% to 20%
13  %
Trading account assets – Non-U.S. sovereign debt 482  Default rate
3% to 4%
%
Trading account assets – Mortgage trading loans, ABS and other MBS 1,136  Loss severity
35% to 40%
38  %
AFS debt securities – Tax-exempt securities 108  Price
 $0 to $142
$72
Loans and leases 412  Long-dated equity volatilities
35%
n/a
Loans held-for-sale 354 
Other assets, primarily auction rate securities $ 815  Discounted cash flow, Market comparables
Price
$10 to $100
$96

MSRs $ 1,545  Discounted cash flow
Weighted-average life, fixed rate (5)
0 to 14 years
5 years
Weighted-average life, variable rate (5)
0 to 9 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
%
Option-adjusted spread, variable rate
9% to 15%
11  %
Structured liabilities
Long-term debt $ (1,149)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
2% to 6%
%
Equity correlation
 9% to 100%
63  %
Long-dated equity volatilities
4% to 101%
32  %
Price
$0 to $116
$74
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3/MMBtu
Net derivative assets (liabilities)
Credit derivatives
$ 13  Discounted cash flow, Stochastic recovery correlation model
Yield
5%
n/a
Upfront points
0 to 100 points
 63 points
Prepayment speed
15% to 100% CPR
22% CPR
Default rate
1% to 4% CDR
2% CDR
Loss severity
35%
n/a
Price
$0 to $104
$73
Equity derivatives
$ (1,081)
Industry standard derivative pricing (3)
Equity correlation
9% to 100%
63  %
Long-dated equity volatilities
4% to 101%
32  %
Commodity derivatives
$ (1,357)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3/MMBtu
Correlation
30% to 69%
68  %
Volatilities
14% to 54%
27  %
Interest rate derivatives
$ (113)
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 94%
52  %
Correlation (FX/IR)
0% to 46%
%
Long-dated inflation rates
G(23)% to 56%
16  %
Long-dated inflation volatilities
0% to 1%
%
Total net derivative assets (liabilities) $ (2,538)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 157: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $482 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $599 million, Other debt securities carried at fair value - Non-agency residential of $299 million, Other assets, including MSRs, of $2.4 billion, Loans and leases of $693 million and LHFS of $375 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Fair Value Measurements, Nonrecurring The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during 2020, 2019 and 2018.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2020 December 31, 2019
(Dollars in millions)
 
Level 2 Level 3 Level 2 Level 3
Assets      
Loans held-for-sale $ 1,020  $ 792  $ 53  $ 102 
Loans and leases (1)
  301  —  257 
Foreclosed properties (2, 3)
  17  —  17 
Other assets 323  576  178  646