| Fair Value Measurements |
Fair Value Measurements Under applicable accounting standards, fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement
date. The Corporation determines the fair values of its financial instruments under applicable accounting standards and conducts a review of fair value hierarchy classifications on a quarterly basis. Transfers into or out of fair value hierarchy classifications are made if the significant inputs used in the financial models measuring the fair values of the assets and liabilities become unobservable or observable in the current marketplace. During the three months ended March 31, 2024, there were no changes to valuation approaches or techniques that had, or are expected to have, a material impact on the Corporation’s consolidated financial position or results of operations.
For more information regarding the fair value hierarchy, how the Corporation measures fair value and valuation techniques, see Note 1 – Summary of Significant Accounting Principles and Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-K. The Corporation accounts for certain financial instruments under the fair value option. For more information, see Note 15 – Fair Value Option.
Recurring Fair Value
Assets and liabilities carried at fair value on a recurring basis at March 31, 2024 and December 31, 2023, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2024 |
| |
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 |
$ |
1,494
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
1,494
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
—
|
|
|
474,932
|
|
|
—
|
|
|
(316,651) |
|
|
158,281
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
65,085
|
|
|
833
|
|
|
—
|
|
|
—
|
|
|
65,918
|
|
| Corporate securities, trading loans and other |
—
|
|
|
43,969
|
|
|
1,582
|
|
|
—
|
|
|
45,551
|
|
| Equity securities |
68,592
|
|
|
43,673
|
|
|
214
|
|
|
—
|
|
|
112,479
|
|
| Non-U.S. sovereign debt |
10,547
|
|
|
34,338
|
|
|
394
|
|
|
—
|
|
|
45,279
|
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
| U.S. government-sponsored agency guaranteed |
—
|
|
|
39,383
|
|
|
1
|
|
|
—
|
|
|
39,384
|
|
| Mortgage trading loans, ABS and other MBS |
—
|
|
|
8,696
|
|
|
1,057
|
|
|
—
|
|
|
9,753
|
|
Total trading account assets (2)
|
144,224
|
|
|
170,892
|
|
|
3,248
|
|
|
—
|
|
|
318,364
|
|
| Derivative assets |
20,783
|
|
|
259,096
|
|
|
3,834
|
|
|
(247,477) |
|
|
36,236
|
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
227,956
|
|
|
883
|
|
|
—
|
|
|
—
|
|
|
228,839
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
| Agency |
—
|
|
|
36,512
|
|
|
—
|
|
|
—
|
|
|
36,512
|
|
| Agency-collateralized mortgage obligations |
—
|
|
|
2,450
|
|
|
—
|
|
|
—
|
|
|
2,450
|
|
| Non-agency residential |
—
|
|
|
47
|
|
|
251
|
|
|
—
|
|
|
298
|
|
| Commercial |
—
|
|
|
10,575
|
|
|
—
|
|
|
—
|
|
|
10,575
|
|
| Non-U.S. securities |
1,271
|
|
|
19,889
|
|
|
91
|
|
|
—
|
|
|
21,251
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
—
|
|
|
3,238
|
|
|
—
|
|
|
—
|
|
|
3,238
|
|
| Tax-exempt securities |
—
|
|
|
9,910
|
|
|
—
|
|
|
—
|
|
|
9,910
|
|
| Total AFS debt securities |
229,227
|
|
|
83,504
|
|
|
342
|
|
|
—
|
|
|
313,073
|
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
1,895
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
1,895
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
—
|
|
|
192
|
|
|
71
|
|
|
—
|
|
|
263
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other securities |
921
|
|
|
6,967
|
|
|
—
|
|
|
—
|
|
|
7,888
|
|
| Total other debt securities carried at fair value |
2,816
|
|
|
7,159
|
|
|
71
|
|
|
—
|
|
|
10,046
|
|
| Loans and leases |
—
|
|
|
2,848
|
|
|
90
|
|
|
—
|
|
|
2,938
|
|
| Loans held-for-sale |
—
|
|
|
1,921
|
|
|
149
|
|
|
—
|
|
|
2,070
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets (3)
|
9,419
|
|
|
2,848
|
|
|
1,668
|
|
|
—
|
|
|
13,935
|
|
|
|
|
|
|
|
|
|
|
|
Total assets (4)
|
$ |
407,963
|
|
|
$ |
1,003,200
|
|
|
$ |
9,402
|
|
|
$ |
(564,128) |
|
|
$ |
856,437
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits in U.S. offices |
$ |
—
|
|
|
$ |
341
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
341
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
—
|
|
|
523,518
|
|
|
—
|
|
|
(316,651) |
|
|
206,867
|
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
17,709
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
17,709
|
|
| Equity securities |
52,745
|
|
|
5,387
|
|
|
28
|
|
|
—
|
|
|
58,160
|
|
| Non-U.S. sovereign debt |
15,128
|
|
|
11,487
|
|
|
—
|
|
|
—
|
|
|
26,615
|
|
| Corporate securities and other |
—
|
|
|
11,696
|
|
|
43
|
|
|
—
|
|
|
11,739
|
|
| Mortgage trading loans and ABS |
—
|
|
|
103
|
|
|
—
|
|
|
—
|
|
|
103
|
|
| Total trading account liabilities |
85,582
|
|
|
28,673
|
|
|
71
|
|
|
—
|
|
|
114,326
|
|
| Derivative liabilities |
23,123
|
|
|
262,672
|
|
|
6,502
|
|
|
(251,896) |
|
|
40,401
|
|
| Short-term borrowings |
—
|
|
|
6,602
|
|
|
9
|
|
|
—
|
|
|
6,611
|
|
| Accrued expenses and other liabilities |
11,063
|
|
|
3,523
|
|
|
19
|
|
|
—
|
|
|
14,605
|
|
| Long-term debt |
—
|
|
|
43,364
|
|
|
611
|
|
|
—
|
|
|
43,975
|
|
Total liabilities (4)
|
$ |
119,768
|
|
|
$ |
868,693
|
|
|
$ |
7,212
|
|
|
$ |
(568,547) |
|
|
$ |
427,126
|
|
|
|
|
|
|
|
|
|
|
|
(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 $18.8 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 certain commodities inventory of $71 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 $995 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.24 percent of total consolidated liabilities.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 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 |
$ |
1,181 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,181 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell |
— |
|
|
436,340 |
|
|
— |
|
|
(303,287) |
|
|
133,053 |
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
65,160 |
|
|
1,963 |
|
|
— |
|
|
— |
|
|
67,123 |
|
| Corporate securities, trading loans and other |
— |
|
|
41,462 |
|
|
1,689 |
|
|
— |
|
|
43,151 |
|
| Equity securities |
47,431 |
|
|
41,380 |
|
|
187 |
|
|
— |
|
|
88,998 |
|
| Non-U.S. sovereign debt |
5,517 |
|
|
21,195 |
|
|
396 |
|
|
— |
|
|
27,108 |
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
| U.S. government-sponsored agency guaranteed |
— |
|
|
38,802 |
|
|
2 |
|
|
— |
|
|
38,804 |
|
| Mortgage trading loans, ABS and other MBS |
— |
|
|
10,955 |
|
|
1,215 |
|
|
— |
|
|
12,170 |
|
Total trading account assets (2)
|
118,108 |
|
|
155,757 |
|
|
3,489 |
|
|
— |
|
|
277,354 |
|
| Derivative assets |
14,676 |
|
|
272,244 |
|
|
3,422 |
|
|
(251,019) |
|
|
39,323 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
176,764 |
|
|
902 |
|
|
— |
|
|
— |
|
|
177,666 |
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
| Agency |
— |
|
|
37,812 |
|
|
— |
|
|
— |
|
|
37,812 |
|
| Agency-collateralized mortgage obligations |
— |
|
|
2,544 |
|
|
— |
|
|
— |
|
|
2,544 |
|
| Non-agency residential |
— |
|
|
109 |
|
|
273 |
|
|
— |
|
|
382 |
|
| Commercial |
— |
|
|
10,435 |
|
|
— |
|
|
— |
|
|
10,435 |
|
| Non-U.S. securities |
1,093 |
|
|
21,679 |
|
|
103 |
|
|
— |
|
|
22,875 |
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
— |
|
|
4,835 |
|
|
— |
|
|
— |
|
|
4,835 |
|
| Tax-exempt securities |
— |
|
|
10,100 |
|
|
— |
|
|
— |
|
|
10,100 |
|
| Total AFS debt securities |
177,857 |
|
|
88,416 |
|
|
376 |
|
|
— |
|
|
266,649 |
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
1,690 |
|
|
— |
|
|
— |
|
|
— |
|
|
1,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
— |
|
|
211 |
|
|
69 |
|
|
— |
|
|
280 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other securities |
1,786 |
|
|
6,447 |
|
|
— |
|
|
— |
|
|
8,233 |
|
| Total other debt securities carried at fair value |
3,476 |
|
|
6,658 |
|
|
69 |
|
|
— |
|
|
10,203 |
|
| Loans and leases |
— |
|
|
3,476 |
|
|
93 |
|
|
— |
|
|
3,569 |
|
| Loans held-for-sale |
— |
|
|
1,895 |
|
|
164 |
|
|
— |
|
|
2,059 |
|
Other assets (3)
|
8,052 |
|
|
2,152 |
|
|
1,657 |
|
|
— |
|
|
11,861 |
|
|
|
|
|
|
|
|
|
|
|
Total assets (4)
|
$ |
323,350 |
|
|
$ |
966,938 |
|
|
$ |
9,270 |
|
|
$ |
(554,306) |
|
|
$ |
745,252 |
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
284 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
284 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
481,896 |
|
|
— |
|
|
(303,287) |
|
|
178,609 |
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
14,908 |
|
|
65 |
|
|
— |
|
|
— |
|
|
14,973 |
|
| Equity securities |
51,772 |
|
|
4,710 |
|
|
12 |
|
|
— |
|
|
56,494 |
|
| Non-U.S. sovereign debt |
9,390 |
|
|
6,997 |
|
|
— |
|
|
— |
|
|
16,387 |
|
| Corporate securities and other |
— |
|
|
7,637 |
|
|
39 |
|
|
— |
|
|
7,676 |
|
| Total trading account liabilities |
76,070 |
|
|
19,409 |
|
|
51 |
|
|
— |
|
|
95,530 |
|
| Derivative liabilities |
14,375 |
|
|
280,908 |
|
|
5,916 |
|
|
(257,767) |
|
|
43,432 |
|
| Short-term borrowings |
— |
|
|
4,680 |
|
|
10 |
|
|
— |
|
|
4,690 |
|
| Accrued expenses and other liabilities |
8,969 |
|
|
2,483 |
|
|
21 |
|
|
— |
|
|
11,473 |
|
| Long-term debt |
— |
|
|
42,195 |
|
|
614 |
|
|
— |
|
|
42,809 |
|
Total liabilities (4)
|
$ |
99,414 |
|
|
$ |
831,855 |
|
|
$ |
6,612 |
|
|
$ |
(561,054) |
|
|
$ |
376,827 |
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable derivative master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $18.0 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. Trading account assets also includes certain commodities inventory of $42 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 $970 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.23 percent of total consolidated liabilities.
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 months ended March 31, 2024 and 2023, 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 March 31 |
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 March 31, 2024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,689
|
|
|
$ |
7
|
|
$ |
(1) |
|
$ |
106
|
|
$ |
(57) |
|
$ |
3
|
|
$ |
(324) |
|
$ |
198
|
|
$ |
(39) |
|
$ |
1,582
|
|
$ |
(21) |
|
| Equity securities |
187
|
|
|
4
|
|
—
|
|
38
|
|
(22) |
|
—
|
|
(3) |
|
11
|
|
(1) |
|
214
|
|
(2) |
|
| Non-U.S. sovereign debt |
396
|
|
|
14
|
|
(9) |
|
11
|
|
(1) |
|
—
|
|
(17) |
|
—
|
|
—
|
|
394
|
|
14
|
|
| Mortgage trading loans, MBS and ABS |
1,217
|
|
|
—
|
|
—
|
|
136
|
|
(284) |
|
—
|
|
(27) |
|
72
|
|
(56) |
|
1,058
|
|
(24) |
|
| Total trading account assets |
3,489
|
|
|
25
|
|
(10) |
|
291
|
|
(364) |
|
3
|
|
(371) |
|
281
|
|
(96) |
|
3,248
|
|
(33) |
|
Net derivative assets (liabilities) (4)
|
(2,494) |
|
|
29
|
|
—
|
|
185
|
|
(336) |
|
—
|
|
(248) |
|
(141) |
|
337
|
|
(2,668) |
|
(6) |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
273
|
|
|
8
|
|
47
|
|
—
|
|
—
|
|
—
|
|
(139) |
|
62
|
|
—
|
|
251
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
103
|
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(12) |
|
—
|
|
(1) |
|
91
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS debt securities |
376
|
|
|
9
|
|
47
|
|
—
|
|
—
|
|
—
|
|
(151) |
|
62
|
|
(1) |
|
342
|
|
8
|
|
Other debt securities carried at fair value – Non-agency residential MBS |
69
|
|
|
5
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(20) |
|
17
|
|
—
|
|
71
|
|
5
|
|
Loans and leases (5,6)
|
93
|
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
(4) |
|
—
|
|
—
|
|
90
|
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
164
|
|
|
(2) |
|
(1) |
|
—
|
|
—
|
|
—
|
|
(12) |
|
—
|
|
—
|
|
149
|
|
(3) |
|
Other assets (6,7)
|
1,657
|
|
|
55
|
|
(11) |
|
2
|
|
—
|
|
46
|
|
(82) |
|
1
|
|
—
|
|
1,668
|
|
34
|
|
Trading account liabilities – Equity securities |
(12) |
|
|
—
|
|
—
|
|
—
|
|
(4) |
|
—
|
|
—
|
|
(14) |
|
2
|
|
(28) |
|
—
|
|
|
Trading account liabilities – Corporate securities
and other
|
(39) |
|
|
(3) |
|
—
|
|
(2) |
|
—
|
|
(1) |
|
8
|
|
(6) |
|
—
|
|
(43) |
|
(3) |
|
Short-term borrowings (5)
|
(10) |
|
|
(1) |
|
—
|
|
—
|
|
—
|
|
—
|
|
2
|
|
—
|
|
—
|
|
(9) |
|
(1) |
|
Accrued expenses and other liabilities (5)
|
(21) |
|
|
2
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
(19) |
|
2
|
|
Long-term debt (5)
|
(614) |
|
|
13
|
|
(15) |
|
—
|
|
—
|
|
—
|
|
6
|
|
(1) |
|
—
|
|
(611) |
|
13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Three Months Ended March 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,384 |
|
|
$ |
27 |
|
$ |
1 |
|
$ |
126 |
|
$ |
(120) |
|
$ |
14 |
|
$ |
(144) |
|
$ |
148 |
|
$ |
(114) |
|
$ |
2,322 |
|
$ |
3 |
|
| Equity securities |
145 |
|
|
(4) |
|
— |
|
6 |
|
(12) |
|
— |
|
— |
|
77 |
|
— |
|
212 |
|
(4) |
|
| Non-U.S. sovereign debt |
518 |
|
|
26 |
|
16 |
|
3 |
|
(6) |
|
— |
|
(16) |
|
— |
|
— |
|
541 |
|
26 |
|
| Mortgage trading loans, MBS and ABS |
1,552 |
|
|
(9) |
|
— |
|
74 |
|
(150) |
|
— |
|
(116) |
|
87 |
|
(138) |
|
1,300 |
|
(25) |
|
| Total trading account assets |
4,599 |
|
|
40 |
|
17 |
|
209 |
|
(288) |
|
14 |
|
(276) |
|
312 |
|
(252) |
|
4,375 |
|
— |
|
Net derivative assets (liabilities) (4)
|
(2,893) |
|
|
69 |
|
— |
|
249 |
|
(268) |
|
— |
|
(315) |
|
321 |
|
58 |
|
(2,779) |
|
154 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
258 |
|
|
3 |
|
34 |
|
— |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
293 |
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
195 |
|
|
— |
|
3 |
|
— |
|
— |
|
— |
|
(8) |
|
— |
|
(3) |
|
187 |
|
— |
|
| Tax-exempt securities |
51 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
51 |
|
— |
|
| Total AFS debt securities |
504 |
|
|
3 |
|
37 |
|
— |
|
— |
|
— |
|
(10) |
|
— |
|
(3) |
|
531 |
|
3 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
119 |
|
|
(2) |
|
— |
|
— |
|
(19) |
|
— |
|
(2) |
|
— |
|
(2) |
|
94 |
|
(2) |
|
Loans and leases (5)
|
253 |
|
|
2 |
|
— |
|
9 |
|
— |
|
— |
|
(37) |
|
16 |
|
— |
|
243 |
|
2 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
232 |
|
|
12 |
|
2 |
|
— |
|
(16) |
|
— |
|
(24) |
|
— |
|
— |
|
206 |
|
12 |
|
Other assets (6,7)
|
1,799 |
|
|
10 |
|
1 |
|
6 |
|
— |
|
27 |
|
(76) |
|
2 |
|
— |
|
1,769 |
|
(17) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Corporate securities
and other
|
(58) |
|
|
— |
|
— |
|
— |
|
(2) |
|
(1) |
|
— |
|
(4) |
|
1 |
|
(64) |
|
— |
|
Short-term borrowings (5)
|
(14) |
|
|
— |
|
— |
|
— |
|
(3) |
|
(1) |
|
9 |
|
— |
|
— |
|
(9) |
|
— |
|
Accrued expenses and other liabilities (5)
|
(32) |
|
|
24 |
|
— |
|
(12) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(20) |
|
24 |
|
Long-term debt (5)
|
(862) |
|
|
87 |
|
(6) |
|
(9) |
|
— |
|
— |
|
11 |
|
— |
|
7 |
|
(772) |
|
87 |
|
(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 - other income; Loans held-for-sale - market making and similar activities and 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 - 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 of $11 million and $50 million related to financial instruments still held at March 31, 2024 and 2023.
(4)Net derivative assets (liabilities) include derivative assets of $3.8 billion and $3.6 billion and derivative liabilities of $6.5 billion and $6.3 billion at March 31, 2024 and 2023.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at March 31, 2024 and December 31, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Quantitative Information about Level 3 Fair Value Measurements at March 31, 2024 |
|
|
|
|
|
|
| (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 |
$ |
553
|
|
Discounted cash flow, Market comparables |
Yield |
0% to 15% |
9 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
147 |
|
Prepayment speed |
0% to 44% CPR |
9% CPR |
| Loans and leases |
84 |
|
Default rate |
0% to 6% CDR |
5% CDR |
|
|
|
|
|
| AFS debt securities – Non-agency residential |
251 |
|
Price |
$0 to $115 |
$77 |
|
|
|
|
|
| Other debt securities carried at fair value – Non-agency residential |
71 |
|
Loss severity |
0% to 73% |
29 |
% |
| Instruments backed by commercial real estate assets |
$ |
344
|
|
Discounted cash
flow |
Yield |
0% to 25% |
12 |
% |
| Trading account assets – Corporate securities, trading loans and other |
284 |
|
Price |
$0 to $100 |
$74 |
| Trading account assets – Mortgage trading loans, MBS and ABS |
60 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial loans, debt securities and other |
$ |
2,789
|
|
Discounted cash flow, Market comparables |
Yield |
5% to 38% |
13 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,298 |
|
Prepayment speed |
10% to 20% |
16 |
% |
| Trading account assets – Non-U.S. sovereign debt |
394 |
|
Default rate |
3% to 4% |
4 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
851 |
|
Loss severity |
35% to 40% |
37 |
% |
|
|
|
|
|
| AFS debt securities – Non-U.S. and other taxable securities |
91 |
|
Price |
$0 to $157 |
$68 |
| Loans and leases |
6 |
|
|
|
|
| Loans held-for-sale |
149 |
|
|
|
|
|
|
|
|
|
|
| Other assets, primarily auction rate securities |
$ |
673
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $95 |
$85 |
|
|
Discount rate |
11 |
% |
n/a |
|
|
|
|
|
|
|
|
|
|
| MSRs |
$ |
995
|
|
Discounted cash
flow |
Weighted-average life, fixed rate (5)
|
0 to 12 years |
6 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 11 years |
3 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
11 |
% |
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(611) |
|
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
|
Yield |
15% to 31% |
18 |
% |
|
|
Price |
$0 to $100 |
$90 |
|
|
|
|
|
|
|
Natural gas forward price |
$1/MMBtu to $8/MMBtu |
$3 /MMBtu |
|
|
|
|
|
| Net derivative assets (liabilities) |
|
|
|
|
|
|
|
|
|
|
|
| Credit derivatives |
$ |
23
|
|
Discounted cash flow, Stochastic recovery correlation model |
Credit spreads |
1 to 76 bps |
55 bps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Prepayment speed |
15% CPR |
n/a |
|
|
Default rate |
2% CDR |
n/a |
|
|
Credit correlation |
21% to 63% |
58 |
% |
|
|
Price |
$0 to $94 |
$87 |
| Equity derivatives |
$ |
(1,462) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
0% to 100% |
65 |
% |
|
|
Long-dated equity volatilities |
1% to 150% |
41 |
% |
| Commodity derivatives |
$ |
(652) |
|
Discounted cash flow, Industry standard derivative pricing (3)
|
Natural gas forward price |
$1/MMBtu to $8/MMBtu |
$3 /MMBtu |
|
|
|
|
|
|
|
Power forward price |
$22 to $93 |
$44 |
|
|
|
|
|
|
|
|
|
|
|
| Interest rate derivatives |
$ |
(577) |
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
(35)% to 70% |
50 |
% |
|
|
Correlation (FX/IR) |
(25)% to 58% |
31 |
% |
|
|
Long-dated inflation rates |
(1)% to 11%
|
0 |
% |
|
|
Long-dated inflation volatilities |
0% to 5% |
2 |
% |
|
|
Interest rate volatilities |
0% to 1% |
1 |
% |
|
|
|
|
|
| Total net derivative assets (liabilities) |
$ |
(2,668) |
|
|
|
|
|
(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 80: Trading account assets – Corporate securities, trading loans and other of $1.6 billion, Trading account assets – Non-U.S. sovereign debt of $394 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.1 billion, AFS debt securities of $342 million, Other debt securities carried at fair value - Non-agency residential of $71 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $90 million and LHFS of $149 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, 2023 |
|
|
|
|
|
| (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 |
$ |
538
|
|
Discounted cash
flow, Market comparables |
Yield |
0% to 22% |
9 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
109 |
|
Prepayment speed |
1% to 42% CPR |
10% CPR |
| Loans and leases |
87 |
|
Default rate |
0% to 3% CDR |
1% CDR |
| AFS debt securities - Non-agency residential |
273 |
|
Price |
$0 to $115 |
$70 |
| Other debt securities carried at fair value - Non-agency residential |
69 |
|
Loss severity |
0% to 100% |
27 |
% |
| Instruments backed by commercial real estate assets |
$ |
363
|
|
Discounted cash
flow |
Yield |
0% to 25% |
12 |
% |
| Trading account assets – Corporate securities, trading loans and other |
301 |
|
Price |
$0 to $100 |
$75 |
| Trading account assets – Mortgage trading loans, MBS and ABS |
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commercial loans, debt securities and other |
$ |
3,103
|
|
Discounted cash flow, Market comparables |
Yield |
5% to 59% |
13 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,388 |
|
Prepayment speed |
10% to 20% |
16 |
% |
| Trading account assets – Non-U.S. sovereign debt |
396 |
|
Default rate |
3% to 4% |
4 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
1,046 |
|
Loss severity |
35% to 40% |
37 |
% |
|
|
|
|
|
| AFS debt securities – Non-U.S. and other taxable securities |
103 |
|
Price |
$0 to $157 |
$70 |
| Loans and leases |
6 |
|
|
|
|
| Loans held-for-sale |
164 |
|
|
|
|
| Other assets, primarily auction rate securities |
$ |
687
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $95 |
$85 |
|
|
Discount rate |
10% |
n/a |
|
|
|
|
|
| MSRs |
$ |
970
|
|
Discounted cash
flow |
Weighted-average life, fixed rate (5)
|
0 to 14 years |
6 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 11 years |
3 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
12 |
% |
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(614) |
|
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
|
Yield |
58% |
n/a |
|
|
Equity correlation |
5% to 97% |
25 |
% |
|
|
Price |
$0 to $100 |
$90 |
|
|
Natural gas forward price |
$1/MMBtu to $7/MMBtu |
$4/MMBtu |
| Net derivative assets (liabilities) |
|
|
|
|
|
Credit derivatives |
$ |
9
|
|
Discounted cash flow, Stochastic recovery correlation model |
Credit spreads |
2 to 79 bps |
59 bps |
|
|
|
|
|
|
|
|
|
|
|
|
Prepayment speed |
15% CPR |
n/a |
|
|
Default rate |
2% CDR |
n/a |
|
|
Credit correlation |
22% to 62% |
58 |
% |
|
|
Price |
$0 to $94 |
$87 |
Equity derivatives |
$ |
(1,386) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
0% to 99% |
67 |
% |
|
|
Long-dated equity volatilities |
4% to 102% |
34 |
% |
Commodity derivatives |
$ |
(633) |
|
Discounted cash flow, Industry standard derivative pricing (3)
|
Natural gas forward price |
$1/MMBtu to $7/MMBtu |
$4/MMBtu |
|
|
Power forward price |
$21 to $91 |
$42 |
|
|
|
|
|
Interest rate derivatives |
$ |
(484) |
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
(35)% to 89% |
65 |
% |
|
|
Correlation (FX/IR) |
(25)% to 58% |
35 |
% |
|
|
Long-dated inflation rates |
G(1)% to 11%
|
0 |
% |
|
|
Long-dated inflation volatilities |
0% to 5% |
2 |
% |
|
|
Interest rates volatilities |
0% to 2% |
1 |
% |
| Total net derivative assets (liabilities) |
$ |
(2,494) |
|
|
|
|
|
(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 81: Trading account assets – Corporate securities, trading loans and other of $1.7 billion, Trading account assets – Non-U.S. sovereign debt of $396 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.2 billion, AFS debt securities of $376 million, Other debt securities carried at fair value - Non-agency residential of $69 million, Other assets, including MSRs, of $1.7 billion, Loans and leases of $93 million and LHFS of $164 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
Uncertainty of Fair Value Measurements from Unobservable Inputs
For information on the types of instruments, valuation approaches and the impact of changes in unobservable inputs used in Level 3 measurements, see Note 20 – Fair Value Measurements to the Consolidated Financial Statements of the Corporation’s 2023 Annual Report on Form 10-KNonrecurring Fair Value
The Corporation holds certain assets that are measured at fair value only in certain situations (e.g., the impairment of an asset), and these measurements are referred to herein as nonrecurring. The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2024 and 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured at Fair Value on a Nonrecurring Basis |
|
|
|
|
|
March 31, 2024 |
|
Three Months Ended March 31, 2024 |
|
|
|
(Dollars in millions)
|
Level 2 |
|
Level 3 |
|
Gains (Losses) |
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
| Loans held-for-sale |
$ |
35
|
|
|
$ |
2,687
|
|
|
$ |
(56) |
|
|
|
|
|
|
Loans and leases (1)
|
—
|
|
|
45
|
|
|
(10) |
|
|
|
|
|
|
Foreclosed properties (2, 3)
|
—
|
|
|
44
|
|
|
(4) |
|
|
|
|
|
|
Other assets (4)
|
—
|
|
|
10
|
|
|
(13) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
March 31, 2023 |
|
Three Months Ended March 31, 2023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
| Loans held-for-sale |
$ |
715 |
|
|
$ |
3,428 |
|
|
$ |
(34) |
|
|
|
|
|
|
Loans and leases (1)
|
— |
|
|
57 |
|
|
(11) |
|
|
|
|
|
|
Foreclosed properties (2, 3)
|
— |
|
|
4 |
|
|
(1) |
|
|
|
|
|
|
| Other assets |
— |
|
|
30 |
|
|
(6) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)Includes $3 million of losses on loans that were written down to a collateral value of zero during both the three months ended March 31, 2024 and 2023.
(2)Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses recorded during the first 90 days after transfer of a loan to foreclosed properties.
(3)Excludes $28 million and $60 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at March 31, 2024 and 2023.
(4)Represents the fair value of certain impaired renewable energy investments.
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during the three months ended March 31, 2024 and the year ended December 31, 2023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements |
|
|
|
|
|
|
|
|
|
Inputs |
| Financial Instrument |
Fair Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted
Average (1)
|
| (Dollars in millions) |
Three Months Ended March 31, 2024 |
| Loans held-for-sale |
$ |
2,687
|
|
Pricing model |
Implied yield |
7% to 23% |
n/a |
Loans and leases (2)
|
45
|
|
Market comparables |
OREO discount |
10% to 66% |
26 |
% |
|
|
|
Costs to sell |
8% to 24% |
9 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
Year Ended December 31, 2023 |
|
|
|
|
|
|
| Loans held-for-sale |
$ |
2,793
|
|
Pricing model |
Implied yield |
7% to 23% |
n/a |
Loans and leases (2)
|
153
|
|
Market comparables |
OREO discount |
10% to 66% |
26 |
% |
|
|
|
Costs to sell |
8% to 24% |
9 |
% |
Other assets (3)
|
898 |
Discounted cash flow |
Discount rate |
7 |
% |
n/a |
(1)The weighted average is calculated based upon the fair value of the loans.
(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.
(3)Represents the fair value of certain impaired renewable energy investments.
n/a = not applicable
|