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, 2023 and December 31, 2022, 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, 2023 |
|
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 |
$ |
902
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
902
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
—
|
|
|
415,470
|
|
|
7
|
|
|
(263,396) |
|
|
152,081
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
67,763
|
|
|
3,029
|
|
|
—
|
|
|
—
|
|
|
70,792
|
|
Corporate securities, trading loans and other |
—
|
|
|
41,933
|
|
|
2,100
|
|
|
—
|
|
|
44,033
|
|
Equity securities |
70,741
|
|
|
39,420
|
|
|
159
|
|
|
—
|
|
|
110,320
|
|
Non-U.S. sovereign debt |
10,290
|
|
|
29,499
|
|
|
568
|
|
|
—
|
|
|
40,357
|
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed |
—
|
|
|
35,727
|
|
|
11
|
|
|
—
|
|
|
35,738
|
|
Mortgage trading loans, ABS and other MBS |
—
|
|
|
8,938
|
|
|
1,222
|
|
|
—
|
|
|
10,160
|
|
Total trading account assets (2)
|
148,794
|
|
|
158,546
|
|
|
4,060
|
|
|
—
|
|
|
311,400
|
|
Derivative assets |
16,130
|
|
|
358,083
|
|
|
4,371
|
|
|
(332,109) |
|
|
46,475
|
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
70,442
|
|
|
916
|
|
|
—
|
|
|
—
|
|
|
71,358
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
—
|
|
|
22,153
|
|
|
—
|
|
|
—
|
|
|
22,153
|
|
Agency-collateralized mortgage obligations |
—
|
|
|
1,803
|
|
|
—
|
|
|
—
|
|
|
1,803
|
|
Non-agency residential |
—
|
|
|
111
|
|
|
288
|
|
|
—
|
|
|
399
|
|
Commercial |
—
|
|
|
6,481
|
|
|
—
|
|
|
—
|
|
|
6,481
|
|
Non-U.S. securities |
877
|
|
|
14,347
|
|
|
184
|
|
|
—
|
|
|
15,408
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
—
|
|
|
3,773
|
|
|
—
|
|
|
—
|
|
|
3,773
|
|
Tax-exempt securities |
—
|
|
|
10,579
|
|
|
51
|
|
|
—
|
|
|
10,630
|
|
Total AFS debt securities |
71,319
|
|
|
60,163
|
|
|
523
|
|
|
—
|
|
|
132,005
|
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
824
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
824
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
—
|
|
|
208
|
|
|
88
|
|
|
—
|
|
|
296
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other securities |
1,844
|
|
|
7,071
|
|
|
—
|
|
|
—
|
|
|
8,915
|
|
Total other debt securities carried at fair value |
2,668
|
|
|
7,279
|
|
|
88
|
|
|
—
|
|
|
10,035
|
|
Loans and leases |
—
|
|
|
4,180
|
|
|
147
|
|
|
—
|
|
|
4,327
|
|
Loans held-for-sale |
—
|
|
|
1,875
|
|
|
188
|
|
|
—
|
|
|
2,063
|
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
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Other assets (3)
|
6,965
|
|
|
1,254
|
|
|
1,809
|
|
|
—
|
|
|
10,028
|
|
|
|
|
|
|
|
|
|
|
|
Total assets (4)
|
$ |
246,778
|
|
|
$ |
1,006,850
|
|
|
$ |
11,193
|
|
|
$ |
(595,505) |
|
|
$ |
669,316
|
|
|
|
|
|
|
|
|
|
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Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
—
|
|
|
$ |
379
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
379
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
—
|
|
|
478,387
|
|
|
—
|
|
|
(263,396) |
|
|
214,991
|
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
13,523
|
|
|
3
|
|
|
—
|
|
|
—
|
|
|
13,526
|
|
Equity securities |
50,888
|
|
|
4,240
|
|
|
—
|
|
|
—
|
|
|
55,128
|
|
Non-U.S. sovereign debt |
12,034
|
|
|
9,465
|
|
|
—
|
|
|
—
|
|
|
21,499
|
|
Corporate securities and other |
—
|
|
|
7,616
|
|
|
49
|
|
|
—
|
|
|
7,665
|
|
|
|
|
|
|
|
|
|
|
|
Total trading account liabilities |
76,445
|
|
|
21,324
|
|
|
49
|
|
|
—
|
|
|
97,818
|
|
Derivative liabilities |
16,428
|
|
|
355,700
|
|
|
9,368
|
|
|
(338,097) |
|
|
43,399
|
|
Short-term borrowings |
—
|
|
|
2,228
|
|
|
11
|
|
|
—
|
|
|
2,239
|
|
Accrued expenses and other liabilities |
8,774
|
|
|
2,799
|
|
|
14
|
|
|
—
|
|
|
11,587
|
|
Long-term debt |
—
|
|
|
39,958
|
|
|
664
|
|
|
—
|
|
|
40,622
|
|
Total liabilities (4)
|
$ |
101,647
|
|
|
$ |
900,775
|
|
|
$ |
10,106
|
|
|
$ |
(601,493) |
|
|
$ |
411,035
|
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $27.4 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 certain commodities inventory of $843 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(3)Includes MSRs, which are classified as Level 3 assets, of $1.0 billion.
(4)Total recurring Level 3 assets were 0.36 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.36 percent of total consolidated liabilities.
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|
December 31, 2022 |
|
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 |
$ |
868 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
868 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell (2)
|
— |
|
|
146,999 |
|
|
— |
|
|
— |
|
|
146,999 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
58,894 |
|
|
212 |
|
|
— |
|
|
— |
|
|
59,106 |
|
Corporate securities, trading loans and other |
— |
|
|
46,897 |
|
|
2,384 |
|
|
— |
|
|
49,281 |
|
Equity securities |
77,868 |
|
|
35,065 |
|
|
145 |
|
|
— |
|
|
113,078 |
|
Non-U.S. sovereign debt |
7,392 |
|
|
26,306 |
|
|
518 |
|
|
— |
|
|
34,216 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed |
— |
|
|
28,563 |
|
|
34 |
|
|
— |
|
|
28,597 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
10,312 |
|
|
1,518 |
|
|
— |
|
|
11,830 |
|
Total trading account assets (3)
|
144,154 |
|
|
147,355 |
|
|
4,599 |
|
|
— |
|
|
296,108 |
|
Derivative assets |
14,775 |
|
|
380,380 |
|
|
3,213 |
|
|
(349,726) |
|
|
48,642 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
158,102 |
|
|
920 |
|
|
— |
|
|
— |
|
|
159,022 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
23,442 |
|
|
— |
|
|
— |
|
|
23,442 |
|
Agency-collateralized mortgage obligations |
— |
|
|
2,221 |
|
|
— |
|
|
— |
|
|
2,221 |
|
Non-agency residential |
— |
|
|
128 |
|
|
258 |
|
|
— |
|
|
386 |
|
Commercial |
— |
|
|
6,407 |
|
|
— |
|
|
— |
|
|
6,407 |
|
Non-U.S. securities |
— |
|
|
13,212 |
|
|
195 |
|
|
— |
|
|
13,407 |
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
— |
|
|
4,645 |
|
|
— |
|
|
— |
|
|
4,645 |
|
Tax-exempt securities |
— |
|
|
11,207 |
|
|
51 |
|
|
— |
|
|
11,258 |
|
Total AFS debt securities |
158,102 |
|
|
62,182 |
|
|
504 |
|
|
— |
|
|
220,788 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
561 |
|
|
— |
|
|
— |
|
|
— |
|
|
561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
|
248 |
|
|
119 |
|
|
— |
|
|
367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other securities |
3,027 |
|
|
5,251 |
|
|
— |
|
|
— |
|
|
8,278 |
|
Total other debt securities carried at fair value |
3,588 |
|
|
5,499 |
|
|
119 |
|
|
— |
|
|
9,206 |
|
Loans and leases |
— |
|
|
5,518 |
|
|
253 |
|
|
— |
|
|
5,771 |
|
Loans held-for-sale |
— |
|
|
883 |
|
|
232 |
|
|
— |
|
|
1,115 |
|
Other assets (4)
|
6,898 |
|
|
897 |
|
|
1,799 |
|
|
— |
|
|
9,594 |
|
|
|
|
|
|
|
|
|
|
|
Total assets (5)
|
$ |
328,385 |
|
|
$ |
749,713 |
|
|
$ |
10,719 |
|
|
$ |
(349,726) |
|
|
$ |
739,091 |
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
311 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
311 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (2)
|
— |
|
|
151,708 |
|
|
— |
|
|
— |
|
|
151,708 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and government agencies |
13,906 |
|
|
181 |
|
|
— |
|
|
— |
|
|
14,087 |
|
Equity securities |
36,937 |
|
|
4,825 |
|
|
— |
|
|
— |
|
|
41,762 |
|
Non-U.S. sovereign debt |
9,636 |
|
|
8,228 |
|
|
— |
|
|
— |
|
|
17,864 |
|
Corporate securities and other |
— |
|
|
6,628 |
|
|
58 |
|
|
— |
|
|
6,686 |
|
Total trading account liabilities |
60,479 |
|
|
19,862 |
|
|
58 |
|
|
— |
|
|
80,399 |
|
Derivative liabilities |
15,431 |
|
|
376,979 |
|
|
6,106 |
|
|
(353,700) |
|
|
44,816 |
|
Short-term borrowings |
— |
|
|
818 |
|
|
14 |
|
|
— |
|
|
832 |
|
Accrued expenses and other liabilities |
7,458 |
|
|
2,262 |
|
|
32 |
|
|
— |
|
|
9,752 |
|
Long-term debt |
— |
|
|
32,208 |
|
|
862 |
|
|
— |
|
|
33,070 |
|
Total liabilities (5)
|
$ |
83,368 |
|
|
$ |
584,148 |
|
|
$ |
7,072 |
|
|
$ |
(353,700) |
|
|
$ |
320,888 |
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable derivative master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Amounts have been netted by $221.7 billion to reflect the application of legally enforceable master netting agreements.
(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. Trading account assets also includes certain commodities inventory of $40 million that is 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, which are classified as Level 3 assets, of $1.0 billion.
(5)Total recurring Level 3 assets were 0.35 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, 2023 and 2022, 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, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
—
|
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
7
|
|
$ |
—
|
|
$ |
7
|
|
$ |
—
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
2,322
|
|
|
34
|
|
1
|
|
98
|
|
(35) |
|
—
|
|
(308) |
|
46
|
|
(58) |
|
2,100
|
|
13
|
|
Equity securities |
212
|
|
|
(2) |
|
—
|
|
10
|
|
(32) |
|
—
|
|
(12) |
|
6
|
|
(23) |
|
159
|
|
(17) |
|
Non-U.S. sovereign debt |
541
|
|
|
12
|
|
20
|
|
33
|
|
—
|
|
—
|
|
(38) |
|
—
|
|
—
|
|
568
|
|
12
|
|
Mortgage trading loans, MBS and ABS |
1,300
|
|
|
(19) |
|
—
|
|
30
|
|
(52) |
|
—
|
|
(105) |
|
155
|
|
(76) |
|
1,233
|
|
(28) |
|
Total trading account assets |
4,375
|
|
|
25
|
|
21
|
|
171
|
|
(119) |
|
—
|
|
(463) |
|
207
|
|
(157) |
|
4,060
|
|
(20) |
|
Net derivative assets (liabilities) (4)
|
(2,779) |
|
|
(1,630) |
|
(140) |
|
280
|
|
(331) |
|
—
|
|
(480) |
|
(160) |
|
243
|
|
(4,997) |
|
(1,690) |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
293
|
|
|
—
|
|
(2) |
|
—
|
|
—
|
|
—
|
|
(3) |
|
—
|
|
—
|
|
288
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
187
|
|
|
4
|
|
4
|
|
—
|
|
—
|
|
—
|
|
(7) |
|
—
|
|
(4) |
|
184
|
|
2
|
|
Tax-exempt securities |
51
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
51
|
|
—
|
|
Total AFS debt securities |
531
|
|
|
4
|
|
2
|
|
—
|
|
—
|
|
—
|
|
(10) |
|
—
|
|
(4) |
|
523
|
|
2
|
|
Other debt securities carried at fair value – Non-agency residential MBS |
94
|
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(2) |
|
—
|
|
(5) |
|
88
|
|
2
|
|
Loans and leases (5)
|
243
|
|
|
(13) |
|
—
|
|
—
|
|
(50) |
|
—
|
|
(33) |
|
—
|
|
—
|
|
147
|
|
(17) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
206
|
|
|
10
|
|
2
|
|
—
|
|
(5) |
|
—
|
|
(25) |
|
—
|
|
—
|
|
188
|
|
2
|
|
Other assets (6,7)
|
1,769
|
|
|
98
|
|
6
|
|
—
|
|
1
|
|
17
|
|
(82) |
|
—
|
|
—
|
|
1,809
|
|
65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(64) |
|
|
(4) |
|
—
|
|
(1) |
|
—
|
|
—
|
|
2
|
|
(2) |
|
20
|
|
(49) |
|
—
|
|
Short-term borrowings (5)
|
(9) |
|
|
3
|
|
—
|
|
—
|
|
(10) |
|
(1) |
|
6
|
|
—
|
|
—
|
|
(11) |
|
3
|
|
Accrued expenses and other liabilities (5)
|
(20) |
|
|
6
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(14) |
|
6
|
|
Long-term debt (5)
|
(772) |
|
|
64
|
|
(15) |
|
—
|
|
53
|
|
—
|
|
6
|
|
—
|
|
—
|
|
(664) |
|
69
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,189 |
|
|
$ |
(67) |
|
$ |
(1) |
|
$ |
755 |
|
$ |
(45) |
|
$ |
— |
|
$ |
(99) |
|
$ |
152 |
|
$ |
(517) |
|
$ |
2,367 |
|
$ |
(90) |
|
Equity securities |
183 |
|
|
(9) |
|
— |
|
12 |
|
(9) |
|
— |
|
— |
|
18 |
|
(16) |
|
179 |
|
(7) |
|
Non-U.S. sovereign debt |
496 |
|
|
(1) |
|
(33) |
|
5 |
|
(2) |
|
— |
|
— |
|
5 |
|
— |
|
470 |
|
— |
|
Mortgage trading loans, MBS and ABS |
1,615 |
|
|
(86) |
|
— |
|
78 |
|
(162) |
|
— |
|
(73) |
|
65 |
|
(51) |
|
1,386 |
|
(95) |
|
Total trading account assets |
4,483 |
|
|
(163) |
|
(34) |
|
850 |
|
(218) |
|
— |
|
(172) |
|
240 |
|
(584) |
|
4,402 |
|
(192) |
|
Net derivative assets (liabilities) (4)
|
(2,134) |
|
|
725 |
|
— |
|
67 |
|
(166) |
|
— |
|
237 |
|
(36) |
|
(375) |
|
(1,682) |
|
763 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
244 |
|
|
(2) |
|
2 |
|
— |
|
— |
|
— |
|
(19) |
|
74 |
|
— |
|
299 |
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
155 |
|
|
3 |
|
(8) |
|
126 |
|
— |
|
— |
|
(9) |
|
— |
|
(67) |
|
200 |
|
— |
|
Tax-exempt securities |
52 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
52 |
|
— |
|
Total AFS debt securities |
451 |
|
|
1 |
|
(6) |
|
126 |
|
— |
|
— |
|
(28) |
|
74 |
|
(67) |
|
551 |
|
(2) |
|
Other debt securities carried at fair value – Non-agency residential MBS |
138 |
|
|
(1) |
|
— |
|
— |
|
— |
|
— |
|
(8) |
|
— |
|
(17) |
|
112 |
|
(1) |
|
Loans and leases (5)
|
690 |
|
|
(11) |
|
— |
|
— |
|
(153) |
|
— |
|
(21) |
|
— |
|
(249) |
|
256 |
|
(9) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
382 |
|
|
17 |
|
(7) |
|
66 |
|
(6) |
|
— |
|
(115) |
|
8 |
|
— |
|
345 |
|
13 |
|
Other assets (6,7)
|
1,695 |
|
|
82 |
|
(8) |
|
— |
|
— |
|
45 |
|
(64) |
|
— |
|
— |
|
1,750 |
|
61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(11) |
|
|
(1) |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
(14) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (5)
|
(50) |
|
|
(13) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(63) |
|
(13) |
|
Long-term debt (5)
|
(877) |
|
|
(13) |
|
46 |
|
— |
|
14 |
|
(1) |
|
13 |
|
— |
|
6 |
|
(812) |
|
(13) |
|
(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 - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - 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 - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 $124 million and $9 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent 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, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
7 |
|
$ |
— |
|
$ |
7 |
|
$ |
— |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
2,384
|
|
|
61
|
|
2
|
|
224
|
|
(155) |
|
14
|
|
(452) |
|
194
|
|
(172) |
|
2,100
|
|
29
|
|
Equity securities |
145
|
|
|
(6) |
|
—
|
|
16
|
|
(44) |
|
—
|
|
(12) |
|
83
|
|
(23) |
|
159
|
|
(17) |
|
Non-U.S. sovereign debt |
518
|
|
|
38
|
|
36
|
|
36
|
|
(6) |
|
—
|
|
(54) |
|
—
|
|
—
|
|
568
|
|
96
|
|
Mortgage trading loans, MBS and ABS |
1,552
|
|
|
(28) |
|
—
|
|
104
|
|
(202) |
|
—
|
|
(221) |
|
242
|
|
(214) |
|
1,233
|
|
(39) |
|
Total trading account assets |
4,599
|
|
|
65
|
|
38
|
|
380
|
|
(407) |
|
14
|
|
(739) |
|
519
|
|
(409) |
|
4,060
|
|
69
|
|
Net derivative assets (liabilities) (4)
|
(2,893) |
|
|
(1,561) |
|
(140) |
|
529
|
|
(599) |
|
—
|
|
(795) |
|
161
|
|
301
|
|
(4,997) |
|
(2,077) |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
258
|
|
|
3
|
|
32
|
|
—
|
|
—
|
|
—
|
|
(5) |
|
—
|
|
—
|
|
288
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
195
|
|
|
4
|
|
7
|
|
—
|
|
—
|
|
—
|
|
(15) |
|
—
|
|
(7) |
|
184
|
|
(1) |
|
Tax-exempt securities |
51
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
51
|
|
—
|
|
Total AFS debt securities |
504
|
|
|
7
|
|
39
|
|
—
|
|
—
|
|
—
|
|
(20) |
|
—
|
|
(7) |
|
523
|
|
3
|
|
Other debt securities carried at fair value – Non-agency residential MBS |
119
|
|
|
(1) |
|
—
|
|
—
|
|
(19) |
|
—
|
|
(4) |
|
—
|
|
(7) |
|
88
|
|
1
|
|
Loans and leases (5,6)
|
253
|
|
|
(11) |
|
—
|
|
9
|
|
(50) |
|
—
|
|
(70) |
|
16
|
|
—
|
|
147
|
|
(17) |
|
Loans held-for-sale (5,6)
|
232
|
|
|
22
|
|
4
|
|
—
|
|
(21) |
|
—
|
|
(49) |
|
—
|
|
—
|
|
188
|
|
20
|
|
Other assets (6,7)
|
1,799
|
|
|
108
|
|
7
|
|
6
|
|
1
|
|
44
|
|
(158) |
|
2
|
|
—
|
|
1,809
|
|
48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(58) |
|
|
(4) |
|
—
|
|
(1) |
|
(2) |
|
(1) |
|
2
|
|
(6) |
|
21
|
|
(49) |
|
(1) |
|
Short-term borrowings (5)
|
(14) |
|
|
3
|
|
—
|
|
—
|
|
(13) |
|
(2) |
|
15
|
|
—
|
|
—
|
|
(11) |
|
2
|
|
Accrued expenses and other liabilities (5)
|
(32) |
|
|
30
|
|
—
|
|
(12) |
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(14) |
|
11
|
|
Long-term debt (5)
|
(862) |
|
|
151
|
|
(21) |
|
(9) |
|
53
|
|
—
|
|
17
|
|
—
|
|
7
|
|
(664) |
|
139
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,110 |
|
|
$ |
(69) |
|
$ |
(1) |
|
$ |
767 |
|
$ |
(198) |
|
$ |
— |
|
$ |
(117) |
|
$ |
520 |
|
$ |
(645) |
|
$ |
2,367 |
|
$ |
(53) |
|
Equity securities |
190 |
|
|
7 |
|
— |
|
28 |
|
(15) |
|
— |
|
(4) |
|
26 |
|
(53) |
|
179 |
|
(11) |
|
Non-U.S. sovereign debt |
396 |
|
|
19 |
|
20 |
|
7 |
|
(2) |
|
— |
|
(15) |
|
50 |
|
(5) |
|
470 |
|
16 |
|
Mortgage trading loans, MBS and ABS |
1,527 |
|
|
(178) |
|
— |
|
207 |
|
(317) |
|
— |
|
(94) |
|
316 |
|
(75) |
|
1,386 |
|
(124) |
|
Total trading account assets |
4,223 |
|
|
(221) |
|
19 |
|
1,009 |
|
(532) |
|
— |
|
(230) |
|
912 |
|
(778) |
|
4,402 |
|
(172) |
|
Net derivative assets (liabilities) (4)
|
(2,662) |
|
|
1,342 |
|
— |
|
125 |
|
(351) |
|
— |
|
344 |
|
(179) |
|
(301) |
|
(1,682) |
|
1,238 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
316 |
|
|
2 |
|
(22) |
|
— |
|
(8) |
|
— |
|
(63) |
|
74 |
|
— |
|
299 |
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
71 |
|
|
3 |
|
(9) |
|
126 |
|
— |
|
— |
|
(9) |
|
87 |
|
(69) |
|
200 |
|
3 |
|
Tax-exempt securities |
52 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
52 |
|
(1) |
|
Total AFS debt securities |
439 |
|
|
5 |
|
(31) |
|
126 |
|
(8) |
|
— |
|
(72) |
|
161 |
|
(69) |
|
551 |
|
4 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
242 |
|
|
(40) |
|
— |
|
— |
|
— |
|
— |
|
(73) |
|
— |
|
(17) |
|
112 |
|
(5) |
|
Loans and leases (5,6)
|
748 |
|
|
(41) |
|
— |
|
— |
|
(154) |
|
— |
|
(48) |
|
— |
|
(249) |
|
256 |
|
(34) |
|
Loans held-for-sale (5,6)
|
317 |
|
|
24 |
|
5 |
|
170 |
|
(6) |
|
— |
|
(173) |
|
8 |
|
— |
|
345 |
|
18 |
|
Other assets (6,7)
|
1,572 |
|
|
226 |
|
(5) |
|
— |
|
1 |
|
85 |
|
(133) |
|
4 |
|
— |
|
1,750 |
|
193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(11) |
|
|
(1) |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
(14) |
|
—
|
|
Accrued expenses and other liabilities (5)
|
— |
|
|
(63) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(63) |
|
(64) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (5)
|
(1,075) |
|
|
(122) |
|
79 |
|
— |
|
14 |
|
(1) |
|
17 |
|
(6) |
|
282 |
|
(812) |
|
(125) |
|
(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 - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - 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 - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 $(74) million and $71 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(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.
|
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, 2023 and 2022, 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, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
—
|
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
—
|
|
$ |
7
|
|
$ |
—
|
|
$ |
7
|
|
$ |
—
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
2,322
|
|
|
34
|
|
1
|
|
98
|
|
(35) |
|
—
|
|
(308) |
|
46
|
|
(58) |
|
2,100
|
|
13
|
|
Equity securities |
212
|
|
|
(2) |
|
—
|
|
10
|
|
(32) |
|
—
|
|
(12) |
|
6
|
|
(23) |
|
159
|
|
(17) |
|
Non-U.S. sovereign debt |
541
|
|
|
12
|
|
20
|
|
33
|
|
—
|
|
—
|
|
(38) |
|
—
|
|
—
|
|
568
|
|
12
|
|
Mortgage trading loans, MBS and ABS |
1,300
|
|
|
(19) |
|
—
|
|
30
|
|
(52) |
|
—
|
|
(105) |
|
155
|
|
(76) |
|
1,233
|
|
(28) |
|
Total trading account assets |
4,375
|
|
|
25
|
|
21
|
|
171
|
|
(119) |
|
—
|
|
(463) |
|
207
|
|
(157) |
|
4,060
|
|
(20) |
|
Net derivative assets (liabilities) (4)
|
(2,779) |
|
|
(1,630) |
|
(140) |
|
280
|
|
(331) |
|
—
|
|
(480) |
|
(160) |
|
243
|
|
(4,997) |
|
(1,690) |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
293
|
|
|
—
|
|
(2) |
|
—
|
|
—
|
|
—
|
|
(3) |
|
—
|
|
—
|
|
288
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
187
|
|
|
4
|
|
4
|
|
—
|
|
—
|
|
—
|
|
(7) |
|
—
|
|
(4) |
|
184
|
|
2
|
|
Tax-exempt securities |
51
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
51
|
|
—
|
|
Total AFS debt securities |
531
|
|
|
4
|
|
2
|
|
—
|
|
—
|
|
—
|
|
(10) |
|
—
|
|
(4) |
|
523
|
|
2
|
|
Other debt securities carried at fair value – Non-agency residential MBS |
94
|
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(2) |
|
—
|
|
(5) |
|
88
|
|
2
|
|
Loans and leases (5)
|
243
|
|
|
(13) |
|
—
|
|
—
|
|
(50) |
|
—
|
|
(33) |
|
—
|
|
—
|
|
147
|
|
(17) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
206
|
|
|
10
|
|
2
|
|
—
|
|
(5) |
|
—
|
|
(25) |
|
—
|
|
—
|
|
188
|
|
2
|
|
Other assets (6,7)
|
1,769
|
|
|
98
|
|
6
|
|
—
|
|
1
|
|
17
|
|
(82) |
|
—
|
|
—
|
|
1,809
|
|
65
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(64) |
|
|
(4) |
|
—
|
|
(1) |
|
—
|
|
—
|
|
2
|
|
(2) |
|
20
|
|
(49) |
|
—
|
|
Short-term borrowings (5)
|
(9) |
|
|
3
|
|
—
|
|
—
|
|
(10) |
|
(1) |
|
6
|
|
—
|
|
—
|
|
(11) |
|
3
|
|
Accrued expenses and other liabilities (5)
|
(20) |
|
|
6
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(14) |
|
6
|
|
Long-term debt (5)
|
(772) |
|
|
64
|
|
(15) |
|
—
|
|
53
|
|
—
|
|
6
|
|
—
|
|
—
|
|
(664) |
|
69
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,189 |
|
|
$ |
(67) |
|
$ |
(1) |
|
$ |
755 |
|
$ |
(45) |
|
$ |
— |
|
$ |
(99) |
|
$ |
152 |
|
$ |
(517) |
|
$ |
2,367 |
|
$ |
(90) |
|
Equity securities |
183 |
|
|
(9) |
|
— |
|
12 |
|
(9) |
|
— |
|
— |
|
18 |
|
(16) |
|
179 |
|
(7) |
|
Non-U.S. sovereign debt |
496 |
|
|
(1) |
|
(33) |
|
5 |
|
(2) |
|
— |
|
— |
|
5 |
|
— |
|
470 |
|
— |
|
Mortgage trading loans, MBS and ABS |
1,615 |
|
|
(86) |
|
— |
|
78 |
|
(162) |
|
— |
|
(73) |
|
65 |
|
(51) |
|
1,386 |
|
(95) |
|
Total trading account assets |
4,483 |
|
|
(163) |
|
(34) |
|
850 |
|
(218) |
|
— |
|
(172) |
|
240 |
|
(584) |
|
4,402 |
|
(192) |
|
Net derivative assets (liabilities) (4)
|
(2,134) |
|
|
725 |
|
— |
|
67 |
|
(166) |
|
— |
|
237 |
|
(36) |
|
(375) |
|
(1,682) |
|
763 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
244 |
|
|
(2) |
|
2 |
|
— |
|
— |
|
— |
|
(19) |
|
74 |
|
— |
|
299 |
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
155 |
|
|
3 |
|
(8) |
|
126 |
|
— |
|
— |
|
(9) |
|
— |
|
(67) |
|
200 |
|
— |
|
Tax-exempt securities |
52 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
52 |
|
— |
|
Total AFS debt securities |
451 |
|
|
1 |
|
(6) |
|
126 |
|
— |
|
— |
|
(28) |
|
74 |
|
(67) |
|
551 |
|
(2) |
|
Other debt securities carried at fair value – Non-agency residential MBS |
138 |
|
|
(1) |
|
— |
|
— |
|
— |
|
— |
|
(8) |
|
— |
|
(17) |
|
112 |
|
(1) |
|
Loans and leases (5)
|
690 |
|
|
(11) |
|
— |
|
— |
|
(153) |
|
— |
|
(21) |
|
— |
|
(249) |
|
256 |
|
(9) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
382 |
|
|
17 |
|
(7) |
|
66 |
|
(6) |
|
— |
|
(115) |
|
8 |
|
— |
|
345 |
|
13 |
|
Other assets (6,7)
|
1,695 |
|
|
82 |
|
(8) |
|
— |
|
— |
|
45 |
|
(64) |
|
— |
|
— |
|
1,750 |
|
61 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(11) |
|
|
(1) |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
(14) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (5)
|
(50) |
|
|
(13) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(63) |
|
(13) |
|
Long-term debt (5)
|
(877) |
|
|
(13) |
|
46 |
|
— |
|
14 |
|
(1) |
|
13 |
|
— |
|
6 |
|
(812) |
|
(13) |
|
(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 - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - 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 - market making and similar activities and other income related to MSRs; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - market making and similar activities and other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges 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 $124 million and $9 million related to financial instruments still held at June 30, 2023 and 2022.
(4)Net derivative assets (liabilities) include derivative assets of $4.4 billion and $3.0 billion and derivative liabilities of $9.4 billion and $4.6 billion at June 30, 2023 and 2022.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent 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, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
7 |
|
$ |
— |
|
$ |
7 |
|
$ |
— |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
2,384
|
|
|
61
|
|
2
|
|
224
|
|
(155) |
|
14
|
|
(452) |
|
194
|
|
(172) |
|
2,100
|
|
29
|
|
Equity securities |
145
|
|
|
(6) |
|
—
|
|
16
|
|
(44) |
|
—
|
|
(12) |
|
83
|
|
(23) |
|
159
|
|
(17) |
|
Non-U.S. sovereign debt |
518
|
|
|
38
|
|
36
|
|
36
|
|
(6) |
|
—
|
|
(54) |
|
—
|
|
—
|
|
568
|
|
96
|
|
Mortgage trading loans, MBS and ABS |
1,552
|
|
|
(28) |
|
—
|
|
104
|
|
(202) |
|
—
|
|
(221) |
|
242
|
|
(214) |
|
1,233
|
|
(39) |
|
Total trading account assets |
4,599
|
|
|
65
|
|
38
|
|
380
|
|
(407) |
|
14
|
|
(739) |
|
519
|
|
(409) |
|
4,060
|
|
69
|
|
Net derivative assets (liabilities) (4)
|
(2,893) |
|
|
(1,561) |
|
(140) |
|
529
|
|
(599) |
|
—
|
|
(795) |
|
161
|
|
301
|
|
(4,997) |
|
(2,077) |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
258
|
|
|
3
|
|
32
|
|
—
|
|
—
|
|
—
|
|
(5) |
|
—
|
|
—
|
|
288
|
|
4
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
195
|
|
|
4
|
|
7
|
|
—
|
|
—
|
|
—
|
|
(15) |
|
—
|
|
(7) |
|
184
|
|
(1) |
|
Tax-exempt securities |
51
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
51
|
|
—
|
|
Total AFS debt securities |
504
|
|
|
7
|
|
39
|
|
—
|
|
—
|
|
—
|
|
(20) |
|
—
|
|
(7) |
|
523
|
|
3
|
|
Other debt securities carried at fair value – Non-agency residential MBS |
119
|
|
|
(1) |
|
—
|
|
—
|
|
(19) |
|
—
|
|
(4) |
|
—
|
|
(7) |
|
88
|
|
1
|
|
Loans and leases (5,6)
|
253
|
|
|
(11) |
|
—
|
|
9
|
|
(50) |
|
—
|
|
(70) |
|
16
|
|
—
|
|
147
|
|
(17) |
|
Loans held-for-sale (5,6)
|
232
|
|
|
22
|
|
4
|
|
—
|
|
(21) |
|
—
|
|
(49) |
|
—
|
|
—
|
|
188
|
|
20
|
|
Other assets (6,7)
|
1,799
|
|
|
108
|
|
7
|
|
6
|
|
1
|
|
44
|
|
(158) |
|
2
|
|
—
|
|
1,809
|
|
48
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(58) |
|
|
(4) |
|
—
|
|
(1) |
|
(2) |
|
(1) |
|
2
|
|
(6) |
|
21
|
|
(49) |
|
(1) |
|
Short-term borrowings (5)
|
(14) |
|
|
3
|
|
—
|
|
—
|
|
(13) |
|
(2) |
|
15
|
|
—
|
|
—
|
|
(11) |
|
2
|
|
Accrued expenses and other liabilities (5)
|
(32) |
|
|
30
|
|
—
|
|
(12) |
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(14) |
|
11
|
|
Long-term debt (5)
|
(862) |
|
|
151
|
|
(21) |
|
(9) |
|
53
|
|
—
|
|
17
|
|
—
|
|
7
|
|
(664) |
|
139
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended June 30, 2022 |
|
|
|
|
|
|
|
|
|
|
|
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,110 |
|
|
$ |
(69) |
|
$ |
(1) |
|
$ |
767 |
|
$ |
(198) |
|
$ |
— |
|
$ |
(117) |
|
$ |
520 |
|
$ |
(645) |
|
$ |
2,367 |
|
$ |
(53) |
|
Equity securities |
190 |
|
|
7 |
|
— |
|
28 |
|
(15) |
|
— |
|
(4) |
|
26 |
|
(53) |
|
179 |
|
(11) |
|
Non-U.S. sovereign debt |
396 |
|
|
19 |
|
20 |
|
7 |
|
(2) |
|
— |
|
(15) |
|
50 |
|
(5) |
|
470 |
|
16 |
|
Mortgage trading loans, MBS and ABS |
1,527 |
|
|
(178) |
|
— |
|
207 |
|
(317) |
|
— |
|
(94) |
|
316 |
|
(75) |
|
1,386 |
|
(124) |
|
Total trading account assets |
4,223 |
|
|
(221) |
|
19 |
|
1,009 |
|
(532) |
|
— |
|
(230) |
|
912 |
|
(778) |
|
4,402 |
|
(172) |
|
Net derivative assets (liabilities) (4)
|
(2,662) |
|
|
1,342 |
|
— |
|
125 |
|
(351) |
|
— |
|
344 |
|
(179) |
|
(301) |
|
(1,682) |
|
1,238 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
316 |
|
|
2 |
|
(22) |
|
— |
|
(8) |
|
— |
|
(63) |
|
74 |
|
— |
|
299 |
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other taxable securities |
71 |
|
|
3 |
|
(9) |
|
126 |
|
— |
|
— |
|
(9) |
|
87 |
|
(69) |
|
200 |
|
3 |
|
Tax-exempt securities |
52 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
52 |
|
(1) |
|
Total AFS debt securities |
439 |
|
|
5 |
|
(31) |
|
126 |
|
(8) |
|
— |
|
(72) |
|
161 |
|
(69) |
|
551 |
|
4 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
242 |
|
|
(40) |
|
— |
|
— |
|
— |
|
— |
|
(73) |
|
— |
|
(17) |
|
112 |
|
(5) |
|
Loans and leases (5,6)
|
748 |
|
|
(41) |
|
— |
|
— |
|
(154) |
|
— |
|
(48) |
|
— |
|
(249) |
|
256 |
|
(34) |
|
Loans held-for-sale (5,6)
|
317 |
|
|
24 |
|
5 |
|
170 |
|
(6) |
|
— |
|
(173) |
|
8 |
|
— |
|
345 |
|
18 |
|
Other assets (6,7)
|
1,572 |
|
|
226 |
|
(5) |
|
— |
|
1 |
|
85 |
|
(133) |
|
4 |
|
— |
|
1,750 |
|
193 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(11) |
|
|
| |