Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2017 |
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| Fair Value Disclosures [Abstract] |
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| 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, 2017 and 2016, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
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December 31, 2017 |
|
Fair Value Measurements |
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|
|
(Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adjustments (1)
|
|
Assets/Liabilities at Fair Value |
Assets |
|
|
|
|
|
|
|
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|
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|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
52,906 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
52,906 |
|
Trading account assets: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2, 3)
|
38,720 |
|
|
1,922 |
|
|
— |
|
|
— |
|
|
40,642 |
|
Corporate securities, trading loans and other |
— |
|
|
28,714 |
|
|
1,864 |
|
|
— |
|
|
30,578 |
|
Equity securities (3)
|
60,747 |
|
|
23,958 |
|
|
235 |
|
|
— |
|
|
84,940 |
|
Non-U.S. sovereign debt (3)
|
6,545 |
|
|
15,839 |
|
|
556 |
|
|
— |
|
|
22,940 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
20,586 |
|
|
— |
|
|
— |
|
|
20,586 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
8,174 |
|
|
1,498 |
|
|
— |
|
|
9,672 |
|
Total trading account assets (4)
|
106,012 |
|
|
99,193 |
|
|
4,153 |
|
|
— |
|
|
209,358 |
|
Derivative assets (3, 5)
|
6,305 |
|
|
341,178 |
|
|
4,067 |
|
|
(313,788 |
) |
|
37,762 |
|
AFS debt securities: |
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|
|
|
|
|
|
|
|
|
|
|
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U.S. Treasury and agency securities |
51,915 |
|
|
1,608 |
|
|
— |
|
|
— |
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|
53,523 |
|
Mortgage-backed securities: |
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|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
192,929 |
|
|
— |
|
|
— |
|
|
192,929 |
|
Agency-collateralized mortgage obligations |
— |
|
|
6,804 |
|
|
— |
|
|
— |
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|
6,804 |
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Non-agency residential |
— |
|
|
2,669 |
|
|
— |
|
|
— |
|
|
2,669 |
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Commercial |
— |
|
|
13,684 |
|
|
— |
|
|
— |
|
|
13,684 |
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Non-U.S. securities |
772 |
|
|
5,880 |
|
|
25 |
|
|
— |
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|
6,677 |
|
Other taxable securities |
— |
|
|
5,261 |
|
|
509 |
|
|
— |
|
|
5,770 |
|
Tax-exempt securities |
— |
|
|
20,106 |
|
|
469 |
|
|
— |
|
|
20,575 |
|
Total AFS debt securities |
52,687 |
|
|
248,941 |
|
|
1,003 |
|
|
— |
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|
302,631 |
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Other debt securities carried at fair value: |
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|
|
|
|
|
|
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Mortgage-backed securities: |
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|
|
|
|
|
|
|
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Agency-collateralized mortgage obligations |
— |
|
|
5 |
|
|
— |
|
|
— |
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|
5 |
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Non-agency residential |
— |
|
|
2,764 |
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|
— |
|
|
— |
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|
2,764 |
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Non-U.S. securities |
8,191 |
|
|
1,297 |
|
|
— |
|
|
— |
|
|
9,488 |
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Other taxable securities |
— |
|
|
229 |
|
|
— |
|
|
— |
|
|
229 |
|
Total other debt securities carried at fair value |
8,191 |
|
|
4,295 |
|
|
— |
|
|
— |
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|
12,486 |
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Loans and leases |
— |
|
|
5,139 |
|
|
571 |
|
|
— |
|
|
5,710 |
|
Mortgage servicing rights (6)
|
— |
|
|
— |
|
|
2,302 |
|
|
— |
|
|
2,302 |
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Loans held-for-sale |
— |
|
|
1,466 |
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|
690 |
|
|
— |
|
|
2,156 |
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Other assets |
19,367 |
|
|
789 |
|
|
123 |
|
|
— |
|
|
20,279 |
|
Total assets |
$ |
192,562 |
|
|
$ |
753,907 |
|
|
$ |
12,909 |
|
|
$ |
(313,788 |
) |
|
$ |
645,590 |
|
Liabilities |
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|
|
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|
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Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
449 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
449 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
36,182 |
|
|
— |
|
|
— |
|
|
36,182 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
|
|
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U.S. Treasury and agency securities |
17,266 |
|
|
734 |
|
|
— |
|
|
— |
|
|
18,000 |
|
Equity securities (3)
|
33,019 |
|
|
3,885 |
|
|
— |
|
|
— |
|
|
36,904 |
|
Non-U.S. sovereign debt (3)
|
11,976 |
|
|
7,382 |
|
|
— |
|
|
— |
|
|
19,358 |
|
Corporate securities and other |
— |
|
|
6,901 |
|
|
24 |
|
|
— |
|
|
6,925 |
|
Total trading account liabilities |
62,261 |
|
|
18,902 |
|
|
24 |
|
|
— |
|
|
81,187 |
|
Derivative liabilities (3, 5)
|
6,029 |
|
|
334,261 |
|
|
5,781 |
|
|
(311,771 |
) |
|
34,300 |
|
Short-term borrowings |
— |
|
|
1,494 |
|
|
— |
|
|
— |
|
|
1,494 |
|
Accrued expenses and other liabilities |
21,887 |
|
|
945 |
|
|
8 |
|
|
— |
|
|
22,840 |
|
Long-term debt |
— |
|
|
29,923 |
|
|
1,863 |
|
|
— |
|
|
31,786 |
|
Total liabilities |
$ |
90,177 |
|
|
$ |
422,156 |
|
|
$ |
7,676 |
|
|
$ |
(311,771 |
) |
|
$ |
208,238 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
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|
(2) |
Includes $21.3 billion of GSE obligations.
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(3) |
During 2017, for trading account assets and liabilities, $1.1 billion of U.S. Treasury and agency securities assets, $5.3 billion of equity securities assets, $3.1 billion of equity securities liabilities, $3.3 billion of non-U.S. sovereign debt assets and $1.5 billion of non-U.S. sovereign debt liabilities were transferred from Level 1 to Level 2 based on the liquidity of the positions. In addition, $14.1 billion of equity securities assets and $4.3 billion of equity securities liabilities were transferred from Level 2 to Level 1. Also in 2017, $4.2 billion of derivative assets and $3.0 billion of derivative liabilities were transferred from Level 1 to Level 2 and $758 million of derivative assets and $608 million of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
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(4) |
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.
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(5) |
Derivative assets and liabilities reflect the effects of contractual amendments by two central clearing counterparties to legally re-characterize daily cash variation margin from collateral, which secures an outstanding exposure, to settlement, which discharges an outstanding exposure. One of these central clearing counterparties amended its governing documents, which became effective in January 2017. In addition, the Corporation elected to transfer its existing positions to the settlement platform for the other central clearing counterparty in September 2017.
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(6) |
MSRs include the $1.7 billion core MSR portfolio held in Consumer Banking, the $135 million non-core MSR portfolio held in All Other and the $510 million non-U.S. MSR portfolio held in Global Markets.
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|
December 31, 2016 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adjustments (1)
|
|
Assets/Liabilities at Fair Value |
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
49,750 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
49,750 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities (2)
|
34,587 |
|
|
1,927 |
|
|
— |
|
|
— |
|
|
36,514 |
|
Corporate securities, trading loans and other |
171 |
|
|
22,861 |
|
|
2,777 |
|
|
— |
|
|
25,809 |
|
Equity securities |
50,169 |
|
|
21,601 |
|
|
281 |
|
|
— |
|
|
72,051 |
|
Non-U.S. sovereign debt |
9,578 |
|
|
9,940 |
|
|
510 |
|
|
— |
|
|
20,028 |
|
Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
15,799 |
|
|
— |
|
|
— |
|
|
15,799 |
|
Mortgage trading loans, ABS and other MBS |
— |
|
|
8,797 |
|
|
1,211 |
|
|
— |
|
|
10,008 |
|
Total trading account assets (3)
|
94,505 |
|
|
80,925 |
|
|
4,779 |
|
|
— |
|
|
180,209 |
|
Derivative assets (4)
|
7,337 |
|
|
619,848 |
|
|
3,931 |
|
|
(588,604 |
) |
|
42,512 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
46,787 |
|
|
1,465 |
|
|
— |
|
|
— |
|
|
48,252 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
189,486 |
|
|
— |
|
|
— |
|
|
189,486 |
|
Agency-collateralized mortgage obligations |
— |
|
|
8,330 |
|
|
— |
|
|
— |
|
|
8,330 |
|
Non-agency residential |
— |
|
|
2,013 |
|
|
— |
|
|
— |
|
|
2,013 |
|
Commercial |
— |
|
|
12,322 |
|
|
— |
|
|
— |
|
|
12,322 |
|
Non-U.S. securities |
1,934 |
|
|
3,600 |
|
|
229 |
|
|
— |
|
|
5,763 |
|
Other taxable securities |
— |
|
|
10,020 |
|
|
594 |
|
|
— |
|
|
10,614 |
|
Tax-exempt securities |
— |
|
|
16,618 |
|
|
542 |
|
|
— |
|
|
17,160 |
|
Total AFS debt securities |
48,721 |
|
|
243,854 |
|
|
1,365 |
|
|
— |
|
|
293,940 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Non-agency residential |
— |
|
|
3,114 |
|
|
25 |
|
|
— |
|
|
3,139 |
|
Non-U.S. securities |
15,109 |
|
|
1,227 |
|
|
— |
|
|
— |
|
|
16,336 |
|
Other taxable securities |
— |
|
|
240 |
|
|
— |
|
|
— |
|
|
240 |
|
Total other debt securities carried at fair value |
15,109 |
|
|
4,586 |
|
|
25 |
|
|
— |
|
|
19,720 |
|
Loans and leases |
— |
|
|
6,365 |
|
|
720 |
|
|
— |
|
|
7,085 |
|
Mortgage servicing rights (5)
|
— |
|
|
— |
|
|
2,747 |
|
|
— |
|
|
2,747 |
|
Loans held-for-sale |
— |
|
|
3,370 |
|
|
656 |
|
|
— |
|
|
4,026 |
|
Debt securities in assets of business held for sale |
619 |
|
|
— |
|
|
— |
|
|
— |
|
|
619 |
|
Other assets |
11,824 |
|
|
1,739 |
|
|
239 |
|
|
— |
|
|
13,802 |
|
Total assets |
$ |
178,115 |
|
|
$ |
1,010,437 |
|
|
$ |
14,462 |
|
|
$ |
(588,604 |
) |
|
$ |
614,410 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
731 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
731 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
35,407 |
|
|
359 |
|
|
— |
|
|
35,766 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
15,854 |
|
|
197 |
|
|
— |
|
|
— |
|
|
16,051 |
|
Equity securities |
25,884 |
|
|
3,014 |
|
|
— |
|
|
— |
|
|
28,898 |
|
Non-U.S. sovereign debt |
9,409 |
|
|
2,103 |
|
|
— |
|
|
— |
|
|
11,512 |
|
Corporate securities and other |
163 |
|
|
6,380 |
|
|
27 |
|
|
— |
|
|
6,570 |
|
Total trading account liabilities |
51,310 |
|
|
11,694 |
|
|
27 |
|
|
— |
|
|
63,031 |
|
Derivative liabilities (4)
|
7,173 |
|
|
615,896 |
|
|
5,244 |
|
|
(588,833 |
) |
|
39,480 |
|
Short-term borrowings |
— |
|
|
2,024 |
|
|
— |
|
|
— |
|
|
2,024 |
|
Accrued expenses and other liabilities |
12,978 |
|
|
1,643 |
|
|
9 |
|
|
— |
|
|
14,630 |
|
Long-term debt |
— |
|
|
28,523 |
|
|
1,514 |
|
|
— |
|
|
30,037 |
|
Total liabilities |
$ |
71,461 |
|
|
$ |
695,918 |
|
|
$ |
7,153 |
|
|
$ |
(588,833 |
) |
|
$ |
185,699 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(2) |
Includes $17.5 billion of GSE obligations.
|
|
|
(3) |
Includes securities with a fair value of $14.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
|
|
|
(4) |
During 2016, $2.3 billion of derivative assets and $2.4 billion of derivative liabilities were transferred from Level 1 to Level 2 and $2.0 billion of derivative assets and $1.8 billion of derivative liabilities were transferred from Level 2 to Level 1 based on the observability of inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
|
|
|
(5) |
MSRs include the $2.1 billion core MSR portfolio held in Consumer Banking, the $212 million non-core MSR portfolio held in All Other and the $469 million non-U.S. MSR portfolio held in Global Markets.
|
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
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Level 3 – Fair Value Measurements in 2015 (1)
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(Dollars in millions) |
Balance
January 1
2015
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2015
|
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,270 |
|
$ |
(31 |
) |
$ |
(11 |
) |
$ |
1,540 |
|
$ |
(1,616 |
) |
$ |
— |
|
$ |
(1,122 |
) |
$ |
1,570 |
|
$ |
(762 |
) |
$ |
2,838 |
|
$ |
(123 |
) |
Equity securities |
352 |
|
9 |
|
— |
|
49 |
|
(11 |
) |
— |
|
(11 |
) |
41 |
|
(22 |
) |
407 |
|
3 |
|
Non-U.S. sovereign debt |
574 |
|
114 |
|
(179 |
) |
185 |
|
(1 |
) |
— |
|
(145 |
) |
— |
|
(27 |
) |
521 |
|
74 |
|
Mortgage trading loans, ABS and other MBS |
2,063 |
|
154 |
|
1 |
|
1,250 |
|
(1,117 |
) |
— |
|
(493 |
) |
50 |
|
(40 |
) |
1,868 |
|
(93 |
) |
Total trading account assets |
6,259 |
|
246 |
|
(189 |
) |
3,024 |
|
(2,745 |
) |
— |
|
(1,771 |
) |
1,661 |
|
(851 |
) |
5,634 |
|
(139 |
) |
Net derivative assets (4)
|
(920 |
) |
1,335 |
|
(7 |
) |
273 |
|
(863 |
) |
— |
|
(261 |
) |
(40 |
) |
42 |
|
(441 |
) |
605 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
279 |
|
(12 |
) |
— |
|
134 |
|
— |
|
— |
|
(425 |
) |
167 |
|
(37 |
) |
106 |
|
— |
|
Non-U.S. securities |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(10 |
) |
— |
|
— |
|
— |
|
— |
|
Other taxable securities |
1,667 |
|
— |
|
— |
|
189 |
|
— |
|
— |
|
(160 |
) |
— |
|
(939 |
) |
757 |
|
— |
|
Tax-exempt securities |
599 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(30 |
) |
— |
|
— |
|
569 |
|
— |
|
Total AFS debt securities |
2,555 |
|
(12 |
) |
— |
|
323 |
|
— |
|
— |
|
(625 |
) |
167 |
|
(976 |
) |
1,432 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
— |
|
(3 |
) |
— |
|
33 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
30 |
|
— |
|
Loans and leases (5, 6)
|
1,983 |
|
(23 |
) |
— |
|
— |
|
(4 |
) |
57 |
|
(237 |
) |
144 |
|
(300 |
) |
1,620 |
|
13 |
|
Mortgage servicing rights (6, 7)
|
3,530 |
|
187 |
|
— |
|
— |
|
(393 |
) |
637 |
|
(874 |
) |
— |
|
— |
|
3,087 |
|
(85 |
) |
Loans held-for-sale (5)
|
173 |
|
(51 |
) |
(8 |
) |
771 |
|
(203 |
) |
61 |
|
(61 |
) |
203 |
|
(98 |
) |
787 |
|
(39 |
) |
Other assets |
911 |
|
(55 |
) |
— |
|
11 |
|
(130 |
) |
— |
|
(51 |
) |
10 |
|
(322 |
) |
374 |
|
(61 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
— |
|
(11 |
) |
— |
|
— |
|
— |
|
(131 |
) |
217 |
|
(411 |
) |
1 |
|
(335 |
) |
— |
|
Trading account liabilities – Corporate securities and other |
(36 |
) |
19 |
|
— |
|
30 |
|
(34 |
) |
— |
|
— |
|
— |
|
— |
|
(21 |
) |
(3 |
) |
Short-term borrowings (5)
|
— |
|
17 |
|
— |
|
— |
|
— |
|
(52 |
) |
10 |
|
(24 |
) |
19 |
|
(30 |
) |
1 |
|
Accrued expenses and other liabilities (5)
|
(10 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
1 |
|
Long-term debt (5)
|
(2,362 |
) |
287 |
|
19 |
|
616 |
|
— |
|
(188 |
) |
273 |
|
(1,592 |
) |
1,434 |
|
(1,513 |
) |
255 |
|
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $5.1 billion and derivative liabilities of $5.6 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements in 2017 (1)
|
|
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
Balance
January 1
2017
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2017 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,777 |
|
$ |
229 |
|
$ |
— |
|
$ |
547 |
|
$ |
(702 |
) |
$ |
5 |
|
$ |
(666 |
) |
$ |
728 |
|
$ |
(1,054 |
) |
$ |
1,864 |
|
$ |
2 |
|
Equity securities |
281 |
|
18 |
|
— |
|
55 |
|
(70 |
) |
— |
|
(10 |
) |
146 |
|
(185 |
) |
235 |
|
(1 |
) |
Non-U.S. sovereign debt |
510 |
|
74 |
|
(8 |
) |
53 |
|
(59 |
) |
— |
|
(73 |
) |
72 |
|
(13 |
) |
556 |
|
70 |
|
Mortgage trading loans, ABS and other MBS |
1,211 |
|
165 |
|
(2 |
) |
1,210 |
|
(990 |
) |
— |
|
(233 |
) |
218 |
|
(81 |
) |
1,498 |
|
72 |
|
Total trading account assets |
4,779 |
|
486 |
|
(10 |
) |
1,865 |
|
(1,821 |
) |
5 |
|
(982 |
) |
1,164 |
|
(1,333 |
) |
4,153 |
|
143 |
|
Net derivative assets (4)
|
(1,313 |
) |
(984 |
) |
— |
|
664 |
|
(979 |
) |
— |
|
949 |
|
48 |
|
(99 |
) |
(1,714 |
) |
(409 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
229 |
|
2 |
|
16 |
|
49 |
|
— |
|
— |
|
(271 |
) |
— |
|
— |
|
25 |
|
— |
|
Other taxable securities |
594 |
|
4 |
|
8 |
|
5 |
|
— |
|
— |
|
(42 |
) |
34 |
|
(94 |
) |
509 |
|
— |
|
Tax-exempt securities |
542 |
|
1 |
|
3 |
|
14 |
|
(70 |
) |
— |
|
(11 |
) |
35 |
|
(45 |
) |
469 |
|
— |
|
Total AFS debt securities |
1,365 |
|
7 |
|
27 |
|
68 |
|
(70 |
) |
— |
|
(324 |
) |
69 |
|
(139 |
) |
1,003 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
25 |
|
(1 |
) |
— |
|
— |
|
(21 |
) |
— |
|
(3 |
) |
— |
|
— |
|
— |
|
— |
|
Loans and leases (5, 6)
|
720 |
|
15 |
|
— |
|
3 |
|
(34 |
) |
— |
|
(126 |
) |
— |
|
(7 |
) |
571 |
|
11 |
|
Mortgage servicing rights (6, 7)
|
2,747 |
|
70 |
|
— |
|
— |
|
(25 |
) |
258 |
|
(748 |
) |
— |
|
— |
|
2,302 |
|
(248 |
) |
Loans held-for-sale (5)
|
656 |
|
100 |
|
(3 |
) |
3 |
|
(189 |
) |
— |
|
(346 |
) |
501 |
|
(32 |
) |
690 |
|
14 |
|
Other assets |
239 |
|
74 |
|
(57 |
) |
2 |
|
(189 |
) |
— |
|
(10 |
) |
64 |
|
— |
|
123 |
|
22 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(359 |
) |
(5 |
) |
— |
|
— |
|
— |
|
(12 |
) |
171 |
|
(58 |
) |
263 |
|
— |
|
— |
|
Trading account liabilities – Corporate securities and other |
(27 |
) |
14 |
|
— |
|
8 |
|
(17 |
) |
(2 |
) |
— |
|
— |
|
— |
|
(24 |
) |
2 |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
— |
|
— |
|
(8 |
) |
— |
|
Long-term debt (5)
|
(1,514 |
) |
(135 |
) |
(31 |
) |
84 |
|
— |
|
(288 |
) |
514 |
|
(711 |
) |
218 |
|
(1,863 |
) |
(196 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - primarily trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve, and periodic adjustments to the valuation model to reflect changes in the modeled relationships between inputs and projected cash flows, as well as changes in cash flow assumptions including cost to service. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $4.1 billion and derivative liabilities of $5.8 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements in 2016 (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance
January 1
2016
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2016 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,838 |
|
$ |
78 |
|
$ |
2 |
|
$ |
1,508 |
|
$ |
(847 |
) |
$ |
— |
|
$ |
(725 |
) |
$ |
728 |
|
$ |
(805 |
) |
$ |
2,777 |
|
$ |
(82 |
) |
Equity securities |
407 |
|
74 |
|
— |
|
73 |
|
(169 |
) |
— |
|
(82 |
) |
70 |
|
(92 |
) |
281 |
|
(59 |
) |
Non-U.S. sovereign debt |
521 |
|
122 |
|
91 |
|
12 |
|
(146 |
) |
— |
|
(90 |
) |
— |
|
— |
|
510 |
|
120 |
|
Mortgage trading loans, ABS and other MBS |
1,868 |
|
188 |
|
(2 |
) |
988 |
|
(1,491 |
) |
— |
|
(344 |
) |
158 |
|
(154 |
) |
1,211 |
|
64 |
|
Total trading account assets |
5,634 |
|
462 |
|
91 |
|
2,581 |
|
(2,653 |
) |
— |
|
(1,241 |
) |
956 |
|
(1,051 |
) |
4,779 |
|
43 |
|
Net derivative assets (4)
|
(441 |
) |
285 |
|
— |
|
470 |
|
(1,155 |
) |
— |
|
76 |
|
(186 |
) |
(362 |
) |
(1,313 |
) |
(376 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
106 |
|
— |
|
— |
|
— |
|
(106 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Non-U.S. securities |
— |
|
— |
|
(6 |
) |
584 |
|
(92 |
) |
— |
|
(263 |
) |
6 |
|
— |
|
229 |
|
— |
|
Other taxable securities |
757 |
|
4 |
|
(2 |
) |
— |
|
— |
|
— |
|
(83 |
) |
— |
|
(82 |
) |
594 |
|
— |
|
Tax-exempt securities |
569 |
|
— |
|
(1 |
) |
1 |
|
— |
|
— |
|
(2 |
) |
10 |
|
(35 |
) |
542 |
|
— |
|
Total AFS debt securities |
1,432 |
|
4 |
|
(9 |
) |
585 |
|
(198 |
) |
— |
|
(348 |
) |
16 |
|
(117 |
) |
1,365 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
30 |
|
(5 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
25 |
|
— |
|
Loans and leases (5, 6)
|
1,620 |
|
(44 |
) |
— |
|
69 |
|
(553 |
) |
50 |
|
(194 |
) |
6 |
|
(234 |
) |
720 |
|
17 |
|
Mortgage servicing rights (6, 7)
|
3,087 |
|
149 |
|
— |
|
— |
|
(80 |
) |
411 |
|
(820 |
) |
— |
|
— |
|
2,747 |
|
(107 |
) |
Loans held-for-sale (5)
|
787 |
|
79 |
|
50 |
|
22 |
|
(256 |
) |
— |
|
(93 |
) |
173 |
|
(106 |
) |
656 |
|
70 |
|
Other assets |
374 |
|
(13 |
) |
— |
|
38 |
|
(111 |
) |
— |
|
(52 |
) |
3 |
|
— |
|
239 |
|
(36 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(335 |
) |
(11 |
) |
— |
|
— |
|
— |
|
(22 |
) |
27 |
|
(19 |
) |
1 |
|
(359 |
) |
4 |
|
Trading account liabilities – Corporate securities and other |
(21 |
) |
5 |
|
— |
|
— |
|
(11 |
) |
— |
|
— |
|
— |
|
— |
|
(27 |
) |
4 |
|
Short-term borrowings (5)
|
(30 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
— |
|
— |
|
— |
|
— |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,513 |
) |
(74 |
) |
(20 |
) |
140 |
|
— |
|
(521 |
) |
948 |
|
(939 |
) |
465 |
|
(1,514 |
) |
(184 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $3.9 billion and derivative liabilities of $5.2 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements in 2015 (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
Balance
January 1
2015
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2015
|
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,270 |
|
$ |
(31 |
) |
$ |
(11 |
) |
$ |
1,540 |
|
$ |
(1,616 |
) |
$ |
— |
|
$ |
(1,122 |
) |
$ |
1,570 |
|
$ |
(762 |
) |
$ |
2,838 |
|
$ |
(123 |
) |
Equity securities |
352 |
|
9 |
|
— |
|
49 |
|
(11 |
) |
— |
|
(11 |
) |
41 |
|
(22 |
) |
407 |
|
3 |
|
Non-U.S. sovereign debt |
574 |
|
114 |
|
(179 |
) |
185 |
|
(1 |
) |
— |
|
(145 |
) |
— |
|
(27 |
) |
521 |
|
74 |
|
Mortgage trading loans, ABS and other MBS |
2,063 |
|
154 |
|
1 |
|
1,250 |
|
(1,117 |
) |
— |
|
(493 |
) |
50 |
|
(40 |
) |
1,868 |
|
(93 |
) |
Total trading account assets |
6,259 |
|
246 |
|
(189 |
) |
3,024 |
|
(2,745 |
) |
— |
|
(1,771 |
) |
1,661 |
|
(851 |
) |
5,634 |
|
(139 |
) |
Net derivative assets (4)
|
(920 |
) |
1,335 |
|
(7 |
) |
273 |
|
(863 |
) |
— |
|
(261 |
) |
(40 |
) |
42 |
|
(441 |
) |
605 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
279 |
|
(12 |
) |
— |
|
134 |
|
— |
|
— |
|
(425 |
) |
167 |
|
(37 |
) |
106 |
|
— |
|
Non-U.S. securities |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(10 |
) |
— |
|
— |
|
— |
|
— |
|
Other taxable securities |
1,667 |
|
— |
|
— |
|
189 |
|
— |
|
— |
|
(160 |
) |
— |
|
(939 |
) |
757 |
|
— |
|
Tax-exempt securities |
599 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(30 |
) |
— |
|
— |
|
569 |
|
— |
|
Total AFS debt securities |
2,555 |
|
(12 |
) |
— |
|
323 |
|
— |
|
— |
|
(625 |
) |
167 |
|
(976 |
) |
1,432 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
— |
|
(3 |
) |
— |
|
33 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
30 |
|
— |
|
Loans and leases (5, 6)
|
1,983 |
|
(23 |
) |
— |
|
— |
|
(4 |
) |
57 |
|
(237 |
) |
144 |
|
(300 |
) |
1,620 |
|
13 |
|
Mortgage servicing rights (6, 7)
|
3,530 |
|
187 |
|
— |
|
— |
|
(393 |
) |
637 |
|
(874 |
) |
— |
|
— |
|
3,087 |
|
(85 |
) |
Loans held-for-sale (5)
|
173 |
|
(51 |
) |
(8 |
) |
771 |
|
(203 |
) |
61 |
|
(61 |
) |
203 |
|
(98 |
) |
787 |
|
(39 |
) |
Other assets |
911 |
|
(55 |
) |
— |
|
11 |
|
(130 |
) |
— |
|
(51 |
) |
10 |
|
(322 |
) |
374 |
|
(61 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
— |
|
(11 |
) |
— |
|
— |
|
— |
|
(131 |
) |
217 |
|
(411 |
) |
1 |
|
(335 |
) |
— |
|
Trading account liabilities – Corporate securities and other |
(36 |
) |
19 |
|
— |
|
30 |
|
(34 |
) |
— |
|
— |
|
— |
|
— |
|
(21 |
) |
(3 |
) |
Short-term borrowings (5)
|
— |
|
17 |
|
— |
|
— |
|
— |
|
(52 |
) |
10 |
|
(24 |
) |
19 |
|
(30 |
) |
1 |
|
Accrued expenses and other liabilities (5)
|
(10 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
1 |
|
Long-term debt (5)
|
(2,362 |
) |
287 |
|
19 |
|
616 |
|
— |
|
(188 |
) |
273 |
|
(1,592 |
) |
1,434 |
|
(1,513 |
) |
255 |
|
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $5.1 billion and derivative liabilities of $5.6 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements in 2017 (1)
|
|
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
Balance
January 1
2017
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2017 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,777 |
|
$ |
229 |
|
$ |
— |
|
$ |
547 |
|
$ |
(702 |
) |
$ |
5 |
|
$ |
(666 |
) |
$ |
728 |
|
$ |
(1,054 |
) |
$ |
1,864 |
|
$ |
2 |
|
Equity securities |
281 |
|
18 |
|
— |
|
55 |
|
(70 |
) |
— |
|
(10 |
) |
146 |
|
(185 |
) |
235 |
|
(1 |
) |
Non-U.S. sovereign debt |
510 |
|
74 |
|
(8 |
) |
53 |
|
(59 |
) |
— |
|
(73 |
) |
72 |
|
(13 |
) |
556 |
|
70 |
|
Mortgage trading loans, ABS and other MBS |
1,211 |
|
165 |
|
(2 |
) |
1,210 |
|
(990 |
) |
— |
|
(233 |
) |
218 |
|
(81 |
) |
1,498 |
|
72 |
|
Total trading account assets |
4,779 |
|
486 |
|
(10 |
) |
1,865 |
|
(1,821 |
) |
5 |
|
(982 |
) |
1,164 |
|
(1,333 |
) |
4,153 |
|
143 |
|
Net derivative assets (4)
|
(1,313 |
) |
(984 |
) |
— |
|
664 |
|
(979 |
) |
— |
|
949 |
|
48 |
|
(99 |
) |
(1,714 |
) |
(409 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
229 |
|
2 |
|
16 |
|
49 |
|
— |
|
— |
|
(271 |
) |
— |
|
— |
|
25 |
|
— |
|
Other taxable securities |
594 |
|
4 |
|
8 |
|
5 |
|
— |
|
— |
|
(42 |
) |
34 |
|
(94 |
) |
509 |
|
— |
|
Tax-exempt securities |
542 |
|
1 |
|
3 |
|
14 |
|
(70 |
) |
— |
|
(11 |
) |
35 |
|
(45 |
) |
469 |
|
— |
|
Total AFS debt securities |
1,365 |
|
7 |
|
27 |
|
68 |
|
(70 |
) |
— |
|
(324 |
) |
69 |
|
(139 |
) |
1,003 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
25 |
|
(1 |
) |
— |
|
— |
|
(21 |
) |
— |
|
(3 |
) |
— |
|
— |
|
— |
|
— |
|
Loans and leases (5, 6)
|
720 |
|
15 |
|
— |
|
3 |
|
(34 |
) |
— |
|
(126 |
) |
— |
|
(7 |
) |
571 |
|
11 |
|
Mortgage servicing rights (6, 7)
|
2,747 |
|
70 |
|
— |
|
— |
|
(25 |
) |
258 |
|
(748 |
) |
— |
|
— |
|
2,302 |
|
(248 |
) |
Loans held-for-sale (5)
|
656 |
|
100 |
|
(3 |
) |
3 |
|
(189 |
) |
— |
|
(346 |
) |
501 |
|
(32 |
) |
690 |
|
14 |
|
Other assets |
239 |
|
74 |
|
(57 |
) |
2 |
|
(189 |
) |
— |
|
(10 |
) |
64 |
|
— |
|
123 |
|
22 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(359 |
) |
(5 |
) |
— |
|
— |
|
— |
|
(12 |
) |
171 |
|
(58 |
) |
263 |
|
— |
|
— |
|
Trading account liabilities – Corporate securities and other |
(27 |
) |
14 |
|
— |
|
8 |
|
(17 |
) |
(2 |
) |
— |
|
— |
|
— |
|
(24 |
) |
2 |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
— |
|
— |
|
(8 |
) |
— |
|
Long-term debt (5)
|
(1,514 |
) |
(135 |
) |
(31 |
) |
84 |
|
— |
|
(288 |
) |
514 |
|
(711 |
) |
218 |
|
(1,863 |
) |
(196 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - primarily trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve, and periodic adjustments to the valuation model to reflect changes in the modeled relationships between inputs and projected cash flows, as well as changes in cash flow assumptions including cost to service. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $4.1 billion and derivative liabilities of $5.8 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements in 2016 (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance
January 1
2016
|
Total Realized/Unrealized Gains/(Losses) (2)
|
Gains/
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance
December 31
2016 |
Change in Unrealized Gains/(Losses) Related to Financial Instruments Still Held (2)
|
(Dollars in millions) |
Purchases |
Sales |
Issuances |
Settlements |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,838 |
|
$ |
78 |
|
$ |
2 |
|
$ |
1,508 |
|
$ |
(847 |
) |
$ |
— |
|
$ |
(725 |
) |
$ |
728 |
|
$ |
(805 |
) |
$ |
2,777 |
|
$ |
(82 |
) |
Equity securities |
407 |
|
74 |
|
— |
|
73 |
|
(169 |
) |
— |
|
(82 |
) |
70 |
|
(92 |
) |
281 |
|
(59 |
) |
Non-U.S. sovereign debt |
521 |
|
122 |
|
91 |
|
12 |
|
(146 |
) |
— |
|
(90 |
) |
— |
|
— |
|
510 |
|
120 |
|
Mortgage trading loans, ABS and other MBS |
1,868 |
|
188 |
|
(2 |
) |
988 |
|
(1,491 |
) |
— |
|
(344 |
) |
158 |
|
(154 |
) |
1,211 |
|
64 |
|
Total trading account assets |
5,634 |
|
462 |
|
91 |
|
2,581 |
|
(2,653 |
) |
— |
|
(1,241 |
) |
956 |
|
(1,051 |
) |
4,779 |
|
43 |
|
Net derivative assets (4)
|
(441 |
) |
285 |
|
— |
|
470 |
|
(1,155 |
) |
— |
|
76 |
|
(186 |
) |
(362 |
) |
(1,313 |
) |
(376 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
106 |
|
— |
|
— |
|
— |
|
(106 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
Non-U.S. securities |
— |
|
— |
|
(6 |
) |
584 |
|
(92 |
) |
— |
|
(263 |
) |
6 |
|
— |
|
229 |
|
— |
|
Other taxable securities |
757 |
|
4 |
|
(2 |
) |
— |
|
— |
|
— |
|
(83 |
) |
— |
|
(82 |
) |
594 |
|
— |
|
Tax-exempt securities |
569 |
|
— |
|
(1 |
) |
1 |
|
— |
|
— |
|
(2 |
) |
10 |
|
(35 |
) |
542 |
|
— |
|
Total AFS debt securities |
1,432 |
|
4 |
|
(9 |
) |
585 |
|
(198 |
) |
— |
|
(348 |
) |
16 |
|
(117 |
) |
1,365 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
30 |
|
(5 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
25 |
|
— |
|
Loans and leases (5, 6)
|
1,620 |
|
(44 |
) |
— |
|
69 |
|
(553 |
) |
50 |
|
(194 |
) |
6 |
|
(234 |
) |
720 |
|
17 |
|
Mortgage servicing rights (6, 7)
|
3,087 |
|
149 |
|
— |
|
— |
|
(80 |
) |
411 |
|
(820 |
) |
— |
|
— |
|
2,747 |
|
(107 |
) |
Loans held-for-sale (5)
|
787 |
|
79 |
|
50 |
|
22 |
|
(256 |
) |
— |
|
(93 |
) |
173 |
|
(106 |
) |
656 |
|
70 |
|
Other assets |
374 |
|
(13 |
) |
— |
|
38 |
|
(111 |
) |
— |
|
(52 |
) |
3 |
|
— |
|
239 |
|
(36 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (5)
|
(335 |
) |
(11 |
) |
— |
|
— |
|
— |
|
(22 |
) |
27 |
|
(19 |
) |
1 |
|
(359 |
) |
4 |
|
Trading account liabilities – Corporate securities and other |
(21 |
) |
5 |
|
— |
|
— |
|
(11 |
) |
— |
|
— |
|
— |
|
— |
|
(27 |
) |
4 |
|
Short-term borrowings (5)
|
(30 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
— |
|
— |
|
— |
|
— |
|
Accrued expenses and other liabilities (5)
|
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
— |
|
Long-term debt (5)
|
(1,513 |
) |
(74 |
) |
(20 |
) |
140 |
|
— |
|
(521 |
) |
948 |
|
(939 |
) |
465 |
|
(1,514 |
) |
(184 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - trading account profits; Net derivative assets - primarily trading account profits and mortgage banking income; MSRs - primarily mortgage banking income; Long-term debt - primarily trading account profits. For MSRs, the amounts reflect the changes in modeled MSR fair value due principally to observed changes in interest rates, volatility, spreads and the shape of the forward swap curve. |
|
|
(3) |
Includes unrealized gains/losses in OCI on AFS securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(4) |
Net derivatives include derivative assets of $3.9 billion and derivative liabilities of $5.2 billion.
|
|
|
(5) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(6) |
Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales. |
|
|
(7) |
Settlements represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time. |
|
| Fair Value Inputs, Assets, Quantitative Information |
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, 2017 and 2016.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2017 |
|
|
|
|
|
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair
Value
|
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
871 |
|
Discounted cash flow |
Yield |
0% to 25% |
|
6 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
298 |
|
Prepayment speed |
0% to 22% CPR |
|
12 |
% |
Loans and leases |
570 |
|
Default rate |
0% to 3% CDR |
|
1 |
% |
Loans held-for-sale |
3 |
|
Loss severity |
0% to 53% |
|
17 |
% |
Instruments backed by commercial real estate assets |
$ |
286 |
|
Discounted cash flow |
Yield |
0% to 25% |
|
9 |
% |
Trading account assets – Corporate securities, trading loans and other |
244 |
|
Price |
$0 to $100 |
|
$67 |
Trading account assets – Mortgage trading loans, ABS and other MBS |
42 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,023 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 12% |
|
5 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,613 |
|
Prepayment speed |
10% to 20% |
|
16 |
% |
Trading account assets – Non-U.S. sovereign debt |
556 |
|
Default rate |
3% to 4% |
|
4 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
1,158 |
|
Loss severity |
35% to 40% |
|
37 |
% |
AFS debt securities – Other taxable securities |
8 |
|
Price |
$0 to $145 |
|
$63 |
|
Loans and leases
|
1 |
|
|
|
|
|
Loans held-for-sale
|
687 |
|
|
|
|
Auction rate securities |
$ |
977 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
|
$94 |
Trading account assets – Corporate securities, trading loans and other |
7 |
|
|
|
|
AFS debt securities – Other taxable securities |
501 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
469 |
|
|
|
|
MSRs |
$ |
2,302 |
|
Discounted cash flow |
Weighted-average life, fixed rate (4)
|
0 to 14 years |
|
5 years |
|
|
|
Weighted-average life, variable rate (4)
|
0 to 10 years |
|
3 years |
|
|
|
Option Adjusted Spread, fixed rate |
9% to 14% |
|
10 |
% |
|
|
Option Adjusted Spread, variable rate |
9% to 15% |
|
12 |
% |
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,863 |
) |
Discounted cash flow, Market comparables, Industry standard derivative pricing (2)
|
Equity correlation |
15% to 100% |
|
63 |
% |
|
|
Long-dated equity volatilities |
4% to 84% |
|
22 |
% |
|
|
Yield |
7.5 |
% |
n/a |
|
|
|
Price |
$0 to $100 |
|
$66 |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(282 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
1% to 5% |
|
3 |
% |
|
|
Upfront points |
0 points to 100 points |
|
71 points |
|
|
|
Credit correlation |
35% to 83% |
|
42 |
% |
|
|
Prepayment speed |
15% to 20% CPR |
|
16 |
% |
|
|
Default rate |
1% to 4% CDR |
|
2 |
% |
|
|
Loss severity |
35 |
% |
n/a |
|
|
|
Price |
$0 to $102 |
|
$82 |
Equity derivatives |
$ |
(2,059 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
15% to 100% |
|
63 |
% |
|
|
Long-dated equity volatilities |
4% to 84% |
|
22 |
% |
Commodity derivatives |
$ |
(3 |
) |
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $5/MMBtu |
|
$3/MMBtu |
|
|
|
Correlation |
71% to 87% |
|
81 |
% |
|
|
Volatilities |
26% to 132% |
|
57 |
% |
Interest rate derivatives |
$ |
630 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 92% |
|
50 |
% |
|
|
Correlation (FX/IR) |
0% to 46% |
|
1 |
% |
|
|
Long-dated inflation rates |
-14% to 38% |
|
4 |
% |
|
|
Long-dated inflation volatilities |
0% to 1% |
|
1 |
% |
Total net derivative assets |
$ |
(1,714 |
) |
|
|
|
|
|
|
(1) |
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 173: Trading account assets – Corporate securities, trading loans and other of $1.9 billion, Trading account assets – Non-U.S. sovereign debt of $556 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.5 billion, AFS debt securities – Other taxable securities of $509 million, AFS debt securities – Tax-exempt securities of $469 million, Loans and leases of $571 million and LHFS of $690 million.
|
|
|
(2) |
Includes models such as Monte Carlo simulation and Black-Scholes. |
|
|
(3) |
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
|
|
(4) |
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, 2016 |
|
|
|
|
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
1,066 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 50% |
|
7 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
337 |
|
Prepayment speed |
0% to 27% CPR |
|
14 |
% |
Loans and leases |
718 |
|
Default rate |
0% to 3% CDR |
|
2 |
% |
Loans held-for-sale |
11 |
|
Loss severity |
0% to 54% |
|
18 |
% |
Instruments backed by commercial real estate assets |
$ |
317 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 39% |
|
11 |
% |
Trading account assets – Corporate securities, trading loans and other |
178 |
|
Price |
$0 to $100 |
|
$65 |
Trading account assets – Mortgage trading loans, ABS and other MBS |
53 |
|
|
|
|
Loans held-for-sale |
86 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,486 |
|
Discounted cash flow, Market comparables |
Yield |
1% to 37% |
|
14 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,565 |
|
Prepayment speed |
5% to 20% |
|
19 |
% |
Trading account assets – Non-U.S. sovereign debt |
510 |
|
Default rate |
3% to 4% |
|
4 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
821 |
|
Loss severity |
0% to 50% |
|
19 |
% |
AFS debt securities – Other taxable securities |
29 |
|
Price |
$0 to $292 |
|
$68 |
Loans and leases |
2 |
|
Duration |
0 to 5 years |
|
3 years |
Loans held-for-sale |
559 |
|
|
Enterprise value/EBITDA multiple |
34x |
|
n/a |
Auction rate securities |
$ |
1,141 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
|
$94 |
Trading account assets – Corporate securities, trading loans and other |
34 |
|
|
|
AFS debt securities – Other taxable securities |
565 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
542 |
|
|
|
|
MSRs |
$ |
2,747 |
|
Discounted cash flow |
Weighted-average life, fixed rate (4)
|
0 to 15 years |
|
6 years |
|
|
|
Weighted-average life, variable rate (4)
|
0 to 14 years |
|
4 years |
|
|
|
Option Adjusted Spread, fixed rate |
9% to 14% |
|
10 |
% |
|
|
Option Adjusted Spread, variable rate |
9% to 15% |
|
12 |
% |
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,514 |
) |
Discounted cash flow, Market comparables, Industry standard derivative pricing (2)
|
Equity correlation |
13% to 100% |
|
68 |
% |
|
|
Long-dated equity volatilities |
4% to 76% |
|
26 |
% |
|
|
Yield |
6% to 37% |
|
20 |
% |
|
|
Price |
$12 to $87 |
|
$73 |
|
|
Duration |
0 to 5 years |
|
3 years |
|
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(129 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
0% to 24% |
|
13 |
% |
|
|
Upfront points |
0 to 100 points |
|
72 points |
|
|
|
Credit spreads |
17 bps to 814 bps |
|
248 bps |
|
|
|
Credit correlation |
21% to 80% |
|
44 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
|
18 |
% |
|
|
Default rate |
1% to 4% CDR |
|
3 |
% |
|
|
Loss severity |
35 |
% |
n/a |
|
Equity derivatives |
$ |
(1,690 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
13% to 100% |
|
68 |
% |
|
|
Long-dated equity volatilities |
4% to 76% |
|
26 |
% |
Commodity derivatives |
$ |
6 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$2/MMBtu to $6/MMBtu |
|
$4/MMBtu |
|
|
|
Correlation |
66% to 95% |
|
85 |
% |
|
|
Volatilities |
23% to 96% |
|
36 |
% |
|
|
|
|
|
Interest rate derivatives |
$ |
500 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 99% |
|
56 |
% |
|
|
Correlation (FX/IR) |
0% to 40% |
|
2 |
% |
|
|
Illiquid IR and long-dated inflation rates |
-12% to 35% |
|
5 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
|
1 |
% |
Total net derivative assets |
$ |
(1,313 |
) |
|
|
|
|
|
|
(1) |
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 174: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $510 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.2 billion, AFS debt securities – Other taxable securities of $594 million, AFS debt securities – Tax-exempt securities of $542 million, Loans and leases of $720 million and LHFS of $656 million.
|
|
|
(2) |
Includes models such as Monte Carlo simulation and Black-Scholes. |
|
|
(3) |
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
|
|
(4) |
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
EBITDA = Earnings before interest, taxes, depreciation and amortization
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|
| Fair Value Inputs, Liabilities, Quantitative Information |
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, 2017 and 2016.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2017 |
|
|
|
|
|
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair
Value
|
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
871 |
|
Discounted cash flow |
Yield |
0% to 25% |
|
6 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
298 |
|
Prepayment speed |
0% to 22% CPR |
|
12 |
% |
Loans and leases |
570 |
|
Default rate |
0% to 3% CDR |
|
1 |
% |
Loans held-for-sale |
3 |
|
Loss severity |
0% to 53% |
|
17 |
% |
Instruments backed by commercial real estate assets |
$ |
286 |
|
Discounted cash flow |
Yield |
0% to 25% |
|
9 |
% |
Trading account assets – Corporate securities, trading loans and other |
244 |
|
Price |
$0 to $100 |
|
$67 |
Trading account assets – Mortgage trading loans, ABS and other MBS |
42 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,023 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 12% |
|
5 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,613 |
|
Prepayment speed |
10% to 20% |
|
16 |
% |
Trading account assets – Non-U.S. sovereign debt |
556 |
|
Default rate |
3% to 4% |
|
4 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
1,158 |
|
Loss severity |
35% to 40% |
|
37 |
% |
AFS debt securities – Other taxable securities |
8 |
|
Price |
$0 to $145 |
|
$63 |
|
Loans and leases
|
1 |
|
|
|
|
|
Loans held-for-sale
|
687 |
|
|
|
|
Auction rate securities |
$ |
977 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
|
$94 |
Trading account assets – Corporate securities, trading loans and other |
7 |
|
|
|
|
AFS debt securities – Other taxable securities |
501 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
469 |
|
|
|
|
MSRs |
$ |
2,302 |
|
Discounted cash flow |
Weighted-average life, fixed rate (4)
|
0 to 14 years |
|
5 years |
|
|
|
Weighted-average life, variable rate (4)
|
0 to 10 years |
|
3 years |
|
|
|
Option Adjusted Spread, fixed rate |
9% to 14% |
|
10 |
% |
|
|
Option Adjusted Spread, variable rate |
9% to 15% |
|
12 |
% |
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,863 |
) |
Discounted cash flow, Market comparables, Industry standard derivative pricing (2)
|
Equity correlation |
15% to 100% |
|
63 |
% |
|
|
Long-dated equity volatilities |
4% to 84% |
|
22 |
% |
|
|
Yield |
7.5 |
% |
n/a |
|
|
|
Price |
$0 to $100 |
|
$66 |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(282 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
1% to 5% |
|
3 |
% |
|
|
Upfront points |
0 points to 100 points |
|
71 points |
|
|
|
Credit correlation |
35% to 83% |
|
42 |
% |
|
|
Prepayment speed |
15% to 20% CPR |
|
16 |
% |
|
|
Default rate |
1% to 4% CDR |
|
2 |
% |
|
|
Loss severity |
35 |
% |
n/a |
|
|
|
Price |
$0 to $102 |
|
$82 |
Equity derivatives |
$ |
(2,059 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
15% to 100% |
|
63 |
% |
|
|
Long-dated equity volatilities |
4% to 84% |
|
22 |
% |
Commodity derivatives |
$ |
(3 |
) |
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $5/MMBtu |
|
$3/MMBtu |
|
|
|
Correlation |
71% to 87% |
|
81 |
% |
|
|
Volatilities |
26% to 132% |
|
57 |
% |
Interest rate derivatives |
$ |
630 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 92% |
|
50 |
% |
|
|
Correlation (FX/IR) |
0% to 46% |
|
1 |
% |
|
|
Long-dated inflation rates |
-14% to 38% |
|
4 |
% |
|
|
Long-dated inflation volatilities |
0% to 1% |
|
1 |
% |
Total net derivative assets |
$ |
(1,714 |
) |
|
|
|
|
|
|
(1) |
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 173: Trading account assets – Corporate securities, trading loans and other of $1.9 billion, Trading account assets – Non-U.S. sovereign debt of $556 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.5 billion, AFS debt securities – Other taxable securities of $509 million, AFS debt securities – Tax-exempt securities of $469 million, Loans and leases of $571 million and LHFS of $690 million.
|
|
|
(2) |
Includes models such as Monte Carlo simulation and Black-Scholes. |
|
|
(3) |
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
|
|
(4) |
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, 2016 |
|
|
|
|
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
1,066 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 50% |
|
7 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
337 |
|
Prepayment speed |
0% to 27% CPR |
|
14 |
% |
Loans and leases |
718 |
|
Default rate |
0% to 3% CDR |
|
2 |
% |
Loans held-for-sale |
11 |
|
Loss severity |
0% to 54% |
|
18 |
% |
Instruments backed by commercial real estate assets |
$ |
317 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 39% |
|
11 |
% |
Trading account assets – Corporate securities, trading loans and other |
178 |
|
Price |
$0 to $100 |
|
$65 |
Trading account assets – Mortgage trading loans, ABS and other MBS |
53 |
|
|
|
|
Loans held-for-sale |
86 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,486 |
|
Discounted cash flow, Market comparables |
Yield |
1% to 37% |
|
14 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,565 |
|
Prepayment speed |
5% to 20% |
|
19 |
% |
Trading account assets – Non-U.S. sovereign debt |
510 |
|
Default rate |
3% to 4% |
|
4 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
821 |
|
Loss severity |
0% to 50% |
|
19 |
% |
AFS debt securities – Other taxable securities |
29 |
|
Price |
$0 to $292 |
|
$68 |
Loans and leases |
2 |
|
Duration |
0 to 5 years |
|
3 years |
Loans held-for-sale |
559 |
|
|
Enterprise value/EBITDA multiple |
34x |
|
n/a |
Auction rate securities |
$ |
1,141 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
|
$94 |
Trading account assets – Corporate securities, trading loans and other |
34 |
|
|
|
AFS debt securities – Other taxable securities |
565 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
542 |
|
|
|
|
MSRs |
$ |
2,747 |
|
Discounted cash flow |
Weighted-average life, fixed rate (4)
|
0 to 15 years |
|
6 years |
|
|
|
Weighted-average life, variable rate (4)
|
0 to 14 years |
|
4 years |
|
|
|
Option Adjusted Spread, fixed rate |
9% to 14% |
|
10 |
% |
|
|
Option Adjusted Spread, variable rate |
9% to 15% |
|
12 |
% |
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,514 |
) |
Discounted cash flow, Market comparables, Industry standard derivative pricing (2)
|
Equity correlation |
13% to 100% |
|
68 |
% |
|
|
Long-dated equity volatilities |
4% to 76% |
|
26 |
% |
|
|
Yield |
6% to 37% |
|
20 |
% |
|
|
Price |
$12 to $87 |
|
$73 |
|
|
Duration |
0 to 5 years |
|
3 years |
|
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(129 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
0% to 24% |
|
13 |
% |
|
|
Upfront points |
0 to 100 points |
|
72 points |
|
|
|
Credit spreads |
17 bps to 814 bps |
|
248 bps |
|
|
|
Credit correlation |
21% to 80% |
|
44 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
|
18 |
% |
|
|
Default rate |
1% to 4% CDR |
|
3 |
% |
|
|
Loss severity |
35 |
% |
n/a |
|
Equity derivatives |
$ |
(1,690 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
13% to 100% |
|
68 |
% |
|
|
Long-dated equity volatilities |
4% to 76% |
|
26 |
% |
Commodity derivatives |
$ |
6 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$2/MMBtu to $6/MMBtu |
|
$4/MMBtu |
|
|
|
Correlation |
66% to 95% |
|
85 |
% |
|
|
Volatilities |
23% to 96% |
|
36 |
% |
|
|
|
|
|
Interest rate derivatives |
$ |
500 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 99% |
|
56 |
% |
|
|
Correlation (FX/IR) |
0% to 40% |
|
2 |
% |
|
|
Illiquid IR and long-dated inflation rates |
-12% to 35% |
|
5 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
|
1 |
% |
Total net derivative assets |
$ |
(1,313 |
) |
|
|
|
|
|
|
(1) |
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 174: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $510 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.2 billion, AFS debt securities – Other taxable securities of $594 million, AFS debt securities – Tax-exempt securities of $542 million, Loans and leases of $720 million and LHFS of $656 million.
|
|
|
(2) |
Includes models such as Monte Carlo simulation and Black-Scholes. |
|
|
(3) |
Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates. |
|
|
(4) |
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
EBITDA = Earnings before interest, taxes, depreciation and amortization
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|
| Assets and Liabilities Measured at Fair Value on Nonrecurring Basis |
The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during 2017, 2016 and 2015.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured at Fair Value on a Nonrecurring Basis |
|
|
|
December 31, 2017 |
|
December 31, 2016 |
|
(Dollars in millions)
|
Level 2 |
|
Level 3 |
|
Level 2 |
|
Level 3 |
Assets |
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale |
$ |
— |
|
|
$ |
2 |
|
|
$ |
193 |
|
|
$ |
44 |
|
Loans and leases (1)
|
— |
|
|
894 |
|
|
— |
|
|
1,416 |
|
Foreclosed properties (2, 3)
|
— |
|
|
83 |
|
|
— |
|
|
77 |
|
Other assets |
425 |
|
|
— |
|
|
358 |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
Gains (Losses) |
|
|
|
2017 |
|
2016 |
|
2015 |
Assets |
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale |
|
|
$ |
(6 |
) |
|
$ |
(54 |
) |
|
$ |
(8 |
) |
Loans and leases (1)
|
|
|
(336 |
) |
|
(458 |
) |
|
(993 |
) |
Foreclosed properties |
|
|
(41 |
) |
|
(41 |
) |
|
(57 |
) |
Other assets |
|
|
(124 |
) |
|
(74 |
) |
|
(28 |
) |
|
|
(1) |
Includes $135 million of losses on loans that were written down to a collateral value of zero during 2017 compared to losses of $150 million and $174 million for 2016 and 2015.
|
|
|
(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 $801 million and $1.2 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2017 and 2016.
|
|
| Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques |
The table below presents information about significant unobservable inputs related to the Corporation’s nonrecurring Level 3 financial assets and liabilities at December 31, 2017 and 2016. Loans and leases backed by residential real estate assets represent residential mortgages where the loan has been written down to the fair value of the underlying collateral.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements |
|
|
|
|
|
|
|
|
|
|
(Dollars in millions) |
|
|
|
|
Inputs |
Financial Instrument |
Fair Value |
|
Valuation
Technique
|
|
Significant Unobservable
Inputs
|
|
Ranges of
Inputs
|
|
Weighted Average |
|
December 31, 2017 |
Loans and leases backed by residential real estate assets |
$ |
894 |
|
|
Market comparables |
|
OREO discount |
|
15% to 58% |
|
23 |
% |
|
|
|
|
|
Costs to sell |
|
5% to 49% |
|
7 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2016 |
Loans and leases backed by residential real estate assets |
$ |
1,416 |
|
|
Market comparables |
|
OREO discount |
|
8% to 56% |
|
21 |
% |
|
|
|
|
|
Costs to sell |
|
7% to 45% |
|
9 |
% |
|