Fair Value Measurements (Tables)
|
12 Months Ended |
Dec. 31, 2020 |
|---|
| Fair Value Disclosures [Abstract] |
|
| Assets and Liabilities Carried at Fair Value on a Recurring Basis |
Assets and liabilities carried at fair value on a recurring basis at December 31, 2020 and 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
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December 31, 2020 |
| |
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 |
|
|
|
|
|
|
|
|
|
Time deposits placed and other short-term investments |
$ |
1,649
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
1,649
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
—
|
|
|
108,856
|
|
|
—
|
|
|
—
|
|
|
108,856
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and agency securities |
45,219
|
|
|
3,051
|
|
|
—
|
|
|
—
|
|
|
48,270
|
|
| Corporate securities, trading loans and other |
—
|
|
|
22,817
|
|
|
1,359
|
|
|
—
|
|
|
24,176
|
|
| Equity securities |
36,372
|
|
|
31,372
|
|
|
227
|
|
|
—
|
|
|
67,971
|
|
| Non-U.S. sovereign debt |
5,753
|
|
|
20,884
|
|
|
354
|
|
|
—
|
|
|
26,991
|
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
—
|
|
|
21,566
|
|
|
75
|
|
|
—
|
|
|
21,641
|
|
| Mortgage trading loans, ABS and other MBS |
—
|
|
|
8,440
|
|
|
1,365
|
|
|
—
|
|
|
9,805
|
|
Total trading account assets (3)
|
87,344
|
|
|
108,130
|
|
|
3,380
|
|
|
—
|
|
|
198,854
|
|
| Derivative assets |
15,624
|
|
|
416,175
|
|
|
2,751
|
|
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(387,371) |
|
|
47,179
|
|
| AFS debt securities: |
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|
|
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|
|
|
|
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| U.S. Treasury and agency securities |
115,266
|
|
|
1,114
|
|
|
—
|
|
|
—
|
|
|
116,380
|
|
| Mortgage-backed securities: |
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|
|
|
|
|
|
|
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| Agency |
—
|
|
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61,849
|
|
|
—
|
|
|
—
|
|
|
61,849
|
|
| Agency-collateralized mortgage obligations |
—
|
|
|
5,260
|
|
|
—
|
|
|
—
|
|
|
5,260
|
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| Non-agency residential |
—
|
|
|
631
|
|
|
378
|
|
|
—
|
|
|
1,009
|
|
| Commercial |
—
|
|
|
16,491
|
|
|
—
|
|
|
—
|
|
|
16,491
|
|
| Non-U.S. securities |
—
|
|
|
13,999
|
|
|
18
|
|
|
—
|
|
|
14,017
|
|
|
|
|
|
|
|
|
|
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| Other taxable securities |
—
|
|
|
2,640
|
|
|
71
|
|
|
—
|
|
|
2,711
|
|
| Tax-exempt securities |
—
|
|
|
16,598
|
|
|
176
|
|
|
—
|
|
|
16,774
|
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| Total AFS debt securities |
115,266
|
|
|
118,582
|
|
|
643
|
|
|
—
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|
|
234,491
|
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
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| U.S. Treasury and agency securities |
93
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
93
|
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|
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|
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|
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| Non-agency residential MBS |
—
|
|
|
506
|
|
|
267
|
|
|
—
|
|
|
773
|
|
|
|
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Non-U.S. and other securities |
2,619
|
|
|
8,625
|
|
|
—
|
|
|
—
|
|
|
11,244
|
|
| Total other debt securities carried at fair value |
2,712
|
|
|
9,131
|
|
|
267
|
|
|
—
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|
|
12,110
|
|
| Loans and leases |
—
|
|
|
5,964
|
|
|
717
|
|
|
—
|
|
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6,681
|
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| Loans held-for-sale |
—
|
|
|
1,349
|
|
|
236
|
|
|
—
|
|
|
1,585
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Other assets (4)
|
9,898
|
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|
3,850
|
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|
1,970
|
|
|
—
|
|
|
15,718
|
|
|
|
|
|
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|
|
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Total assets (5)
|
$ |
232,493
|
|
|
$ |
772,037
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|
$ |
9,964
|
|
|
$ |
(387,371) |
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$ |
627,123
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| Liabilities |
|
|
|
|
|
|
|
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| Interest-bearing deposits in U.S. offices |
$ |
—
|
|
|
$ |
481
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
481
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
—
|
|
|
135,391
|
|
|
—
|
|
|
—
|
|
|
135,391
|
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
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| U.S. Treasury and agency securities |
9,425
|
|
|
139
|
|
|
—
|
|
|
—
|
|
|
9,564
|
|
| Equity securities |
38,189
|
|
|
4,235
|
|
|
—
|
|
|
—
|
|
|
42,424
|
|
| Non-U.S. sovereign debt |
5,853
|
|
|
8,043
|
|
|
—
|
|
|
—
|
|
|
13,896
|
|
| Corporate securities and other |
—
|
|
|
5,420
|
|
|
16
|
|
|
—
|
|
|
5,436
|
|
|
|
|
|
|
|
|
|
|
|
| Total trading account liabilities |
53,467
|
|
|
17,837
|
|
|
16
|
|
|
—
|
|
|
71,320
|
|
| Derivative liabilities |
14,907
|
|
|
412,881
|
|
|
6,219
|
|
|
(388,481) |
|
|
45,526
|
|
| Short-term borrowings |
—
|
|
|
5,874
|
|
|
—
|
|
|
—
|
|
|
5,874
|
|
| Accrued expenses and other liabilities |
12,297
|
|
|
4,014
|
|
|
—
|
|
|
—
|
|
|
16,311
|
|
| Long-term debt |
—
|
|
|
31,036
|
|
|
1,164
|
|
|
—
|
|
|
32,200
|
|
Total liabilities (5)
|
$ |
80,671
|
|
|
$ |
607,514
|
|
|
$ |
7,399
|
|
|
$ |
(388,481) |
|
|
$ |
307,103
|
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $22.2 billion of GSE obligations.
(3)Includes securities with a fair value of $16.8 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes precious metal inventories of $576 million that are accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(4)Includes MSRs of $1.0 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.29 percent of total consolidated liabilities.
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|
December 31, 2019 |
|
Fair Value Measurements |
|
|
|
|
| (Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adjustments (1)
|
|
Assets/Liabilities at Fair Value |
| Assets |
|
|
|
|
|
|
|
|
|
Time deposits placed and other short-term investments |
$ |
1,000 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,000 |
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
— |
|
|
50,364 |
|
|
— |
|
|
— |
|
|
50,364 |
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and agency securities |
49,517 |
|
|
4,157 |
|
|
— |
|
|
— |
|
|
53,674 |
|
| Corporate securities, trading loans and other |
— |
|
|
25,226 |
|
|
1,507 |
|
|
— |
|
|
26,733 |
|
| Equity securities |
53,597 |
|
|
32,619 |
|
|
239 |
|
|
— |
|
|
86,455 |
|
| Non-U.S. sovereign debt |
3,965 |
|
|
23,854 |
|
|
482 |
|
|
— |
|
|
28,301 |
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
U.S. government-sponsored agency guaranteed (2)
|
— |
|
|
24,324 |
|
|
— |
|
|
— |
|
|
24,324 |
|
| Mortgage trading loans, ABS and other MBS |
— |
|
|
8,786 |
|
|
1,553 |
|
|
— |
|
|
10,339 |
|
Total trading account assets (3)
|
107,079 |
|
|
118,966 |
|
|
3,781 |
|
|
— |
|
|
229,826 |
|
| Derivative assets |
14,079 |
|
|
328,442 |
|
|
2,226 |
|
|
(304,262) |
|
|
40,485 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and agency securities |
67,332 |
|
|
1,196 |
|
|
— |
|
|
— |
|
|
68,528 |
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
| Agency |
— |
|
|
122,528 |
|
|
— |
|
|
— |
|
|
122,528 |
|
| Agency-collateralized mortgage obligations |
— |
|
|
4,641 |
|
|
— |
|
|
— |
|
|
4,641 |
|
| Non-agency residential |
— |
|
|
653 |
|
|
424 |
|
|
— |
|
|
1,077 |
|
| Commercial |
— |
|
|
15,021 |
|
|
— |
|
|
— |
|
|
15,021 |
|
| Non-U.S. securities |
— |
|
|
11,989 |
|
|
2 |
|
|
— |
|
|
11,991 |
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
— |
|
|
3,876 |
|
|
65 |
|
|
— |
|
|
3,941 |
|
| Tax-exempt securities |
— |
|
|
17,804 |
|
|
108 |
|
|
— |
|
|
17,912 |
|
| Total AFS debt securities |
67,332 |
|
|
177,708 |
|
|
599 |
|
|
— |
|
|
245,639 |
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and agency securities |
3 |
|
|
— |
|
|
— |
|
|
— |
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
| Agency MBS |
— |
|
|
3,003 |
|
|
— |
|
|
— |
|
|
3,003 |
|
| Non-agency residential MBS |
— |
|
|
1,035 |
|
|
299 |
|
|
— |
|
|
1,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other securities |
400 |
|
|
6,088 |
|
|
— |
|
|
— |
|
|
6,488 |
|
| Total other debt securities carried at fair value |
403 |
|
|
10,126 |
|
|
299 |
|
|
— |
|
|
10,828 |
|
| Loans and leases |
— |
|
|
7,642 |
|
|
693 |
|
|
— |
|
|
8,335 |
|
| Loans held-for-sale |
— |
|
|
3,334 |
|
|
375 |
|
|
— |
|
|
3,709 |
|
Other assets (4)
|
11,782 |
|
|
1,376 |
|
|
2,360 |
|
|
— |
|
|
15,518 |
|
|
|
|
|
|
|
|
|
|
|
Total assets (5)
|
$ |
201,675 |
|
|
$ |
697,958 |
|
|
$ |
10,333 |
|
|
$ |
(304,262) |
|
|
$ |
605,704 |
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
508 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
508 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
16,008 |
|
|
— |
|
|
— |
|
|
16,008 |
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and agency securities |
13,140 |
|
|
282 |
|
|
— |
|
|
— |
|
|
13,422 |
|
| Equity securities |
38,148 |
|
|
4,144 |
|
|
2 |
|
|
— |
|
|
42,294 |
|
| Non-U.S. sovereign debt |
10,751 |
|
|
11,310 |
|
|
— |
|
|
— |
|
|
22,061 |
|
| Corporate securities and other |
— |
|
|
5,478 |
|
|
15 |
|
|
— |
|
|
5,493 |
|
| Total trading account liabilities |
62,039 |
|
|
21,214 |
|
|
17 |
|
|
— |
|
|
83,270 |
|
| Derivative liabilities |
11,904 |
|
|
320,479 |
|
|
4,764 |
|
|
(298,918) |
|
|
38,229 |
|
| Short-term borrowings |
— |
|
|
3,941 |
|
|
— |
|
|
— |
|
|
3,941 |
|
| Accrued expenses and other liabilities |
13,927 |
|
|
1,507 |
|
|
— |
|
|
— |
|
|
15,434 |
|
| Long-term debt |
— |
|
|
33,826 |
|
|
1,149 |
|
|
— |
|
|
34,975 |
|
Total liabilities (5)
|
$ |
87,870 |
|
|
$ |
397,483 |
|
|
$ |
5,930 |
|
|
$ |
(298,918) |
|
|
$ |
192,365 |
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $26.7 billion of GSE obligations.
(3)Includes securities with a fair value of $14.7 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
(4)Includes MSRs of $1.5 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.42 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.27 percent of total consolidated liabilities.
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during 2020, 2019 and 2018, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
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Level 3 – Fair Value Measurements (1)
|
|
|
|
|
Balance
January 1 |
|
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance
December 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
(Dollars in millions)
|
|
Purchases |
Sales |
Issuances |
Settlements |
| Year Ended December 31, 2020 |
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,507
|
|
|
$ |
(138) |
|
$ |
(1) |
|
$ |
430
|
|
$ |
(242) |
|
$ |
10
|
|
$ |
(282) |
|
$ |
639
|
|
$ |
(564) |
|
$ |
1,359
|
|
$ |
(102) |
|
Equity securities |
239
|
|
|
(43) |
|
—
|
|
78
|
|
(53) |
|
—
|
|
(3) |
|
58
|
|
(49) |
|
227
|
|
(31) |
|
Non-U.S. sovereign debt |
482
|
|
|
45
|
|
(46) |
|
76
|
|
(61) |
|
—
|
|
(39) |
|
150
|
|
(253) |
|
354
|
|
47
|
|
Mortgage trading loans, ABS and other MBS |
1,553
|
|
|
(120) |
|
(3) |
|
577
|
|
(746) |
|
11
|
|
(96) |
|
757
|
|
(493) |
|
1,440
|
|
(92) |
|
| Total trading account assets |
3,781
|
|
|
(256) |
|
(50) |
|
1,161
|
|
(1,102) |
|
21
|
|
(420) |
|
1,604
|
|
(1,359) |
|
3,380
|
|
(178) |
|
Net derivative assets (liabilities) (4)
|
(2,538) |
|
|
(235) |
|
—
|
|
120
|
|
(646) |
|
—
|
|
(112) |
|
(235) |
|
178
|
|
(3,468) |
|
(953) |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
424
|
|
|
(2) |
|
3
|
|
23
|
|
(54) |
|
—
|
|
(44) |
|
158
|
|
(130) |
|
378
|
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
2
|
|
|
1
|
|
—
|
|
—
|
|
(1) |
|
—
|
|
(1) |
|
17
|
|
—
|
|
18
|
|
1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
65
|
|
|
—
|
|
—
|
|
9
|
|
(4) |
|
—
|
|
—
|
|
1
|
|
—
|
|
71
|
|
—
|
|
| Tax-exempt securities |
108
|
|
|
(21) |
|
3
|
|
—
|
|
—
|
|
—
|
|
(169) |
|
265
|
|
(10) |
|
176
|
|
(20) |
|
| Total AFS debt securities |
599
|
|
|
(22) |
|
6
|
|
32
|
|
(59) |
|
—
|
|
(214) |
|
441
|
|
(140) |
|
643
|
|
(21) |
|
Other debt securities carried at fair value – Non-agency residential MBS |
299
|
|
|
26
|
|
—
|
|
—
|
|
(180) |
|
—
|
|
(24) |
|
190
|
|
(44) |
|
267
|
|
3
|
|
Loans and leases (5,6)
|
693
|
|
|
(4) |
|
—
|
|
145
|
|
(76) |
|
22
|
|
(161) |
|
98
|
|
—
|
|
717
|
|
9
|
|
Loans held-for-sale (5,6)
|
375
|
|
|
26
|
|
(28) |
|
—
|
|
(489) |
|
691
|
|
(119) |
|
93
|
|
(313) |
|
236
|
|
(5) |
|
Other assets (6,7)
|
2,360
|
|
|
(288) |
|
3
|
|
178
|
|
(4) |
|
224
|
|
(506) |
|
5
|
|
(2) |
|
1,970
|
|
(374) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Equity securities |
(2) |
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
—
|
|
—
|
|
|
Trading account liabilities – Corporate securities
and other
|
(15) |
|
|
8
|
|
—
|
|
(7) |
|
(3) |
|
—
|
|
1
|
|
—
|
|
—
|
|
(16) |
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (5)
|
(1,149) |
|
|
(46) |
|
2
|
|
(104) |
|
—
|
|
(47) |
|
218
|
|
(52) |
|
14
|
|
(1,164) |
|
(5) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,558 |
|
|
$ |
105 |
|
$ |
— |
|
$ |
534 |
|
$ |
(390) |
|
$ |
18 |
|
$ |
(578) |
|
$ |
699 |
|
$ |
(439) |
|
$ |
1,507 |
|
$ |
29 |
|
| Equity securities |
276 |
|
|
(12) |
|
— |
|
38 |
|
(87) |
|
— |
|
(9) |
|
79 |
|
(46) |
|
239 |
|
(18) |
|
| Non-U.S. sovereign debt |
465 |
|
|
46 |
|
(12) |
|
1 |
|
— |
|
— |
|
(51) |
|
39 |
|
(6) |
|
482 |
|
47 |
|
Mortgage trading loans, ABS and other MBS |
1,635 |
|
|
99 |
|
(2) |
|
662 |
|
(899) |
|
— |
|
(175) |
|
738 |
|
(505) |
|
1,553 |
|
26 |
|
| Total trading account assets |
3,934 |
|
|
238 |
|
(14) |
|
1,235 |
|
(1,376) |
|
18 |
|
(813) |
|
1,555 |
|
(996) |
|
3,781 |
|
84 |
|
Net derivative assets (liabilities) (4,8)
|
(935) |
|
|
(37) |
|
— |
|
298 |
|
(837) |
|
— |
|
(97) |
|
147 |
|
(1,077) |
|
(2,538) |
|
228 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
597 |
|
|
13 |
|
64 |
|
— |
|
(73) |
|
— |
|
(40) |
|
206 |
|
(343) |
|
424 |
|
— |
|
| Non-U.S. securities |
2 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
2 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
7 |
|
|
2 |
|
— |
|
— |
|
— |
|
— |
|
(5) |
|
61 |
|
— |
|
65 |
|
— |
|
| Tax-exempt securities |
— |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
108 |
|
— |
|
108 |
|
— |
|
| Total AFS debt securities |
606 |
|
|
15 |
|
64 |
|
— |
|
(73) |
|
— |
|
(45) |
|
375 |
|
(343) |
|
599 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
172 |
|
|
36 |
|
— |
|
— |
|
— |
|
— |
|
(17) |
|
155 |
|
(47) |
|
299 |
|
38 |
|
Loans and leases (5,6)
|
338 |
|
|
— |
|
— |
|
230 |
|
(35) |
|
217 |
|
(57) |
|
— |
|
— |
|
693 |
|
(1) |
|
Loans held-for-sale (5,6)
|
542 |
|
|
48 |
|
(6) |
|
12 |
|
(71) |
|
36 |
|
(245) |
|
59 |
|
— |
|
375 |
|
22 |
|
Other assets (6,7)
|
2,932 |
|
|
(81) |
|
19 |
|
— |
|
(10) |
|
179 |
|
(683) |
|
5 |
|
(1) |
|
2,360 |
|
(267) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Equity securities |
— |
|
|
(2) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
(2) |
|
|
Trading account liabilities – Corporate securities
and other
|
(18) |
|
|
8 |
|
— |
|
(1) |
|
(3) |
|
(1) |
|
— |
|
— |
|
— |
|
(15) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (5,8)
|
(817) |
|
|
(59) |
|
(64) |
|
— |
|
— |
|
(40) |
|
180 |
|
(350) |
|
1 |
|
(1,149) |
|
(55) |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Dollars in millions) |
Balance
January 1 |
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance
December 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
| Purchases |
Sales |
Issuances |
Settlements |
| Year Ended December 31, 2018 |
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,864 |
|
$ |
(32) |
|
$ |
(1) |
|
$ |
436 |
|
$ |
(403) |
|
$ |
5 |
|
$ |
(568) |
|
$ |
804 |
|
$ |
(547) |
|
$ |
1,558 |
|
$ |
(117) |
|
| Equity securities |
235 |
|
(17) |
|
— |
|
44 |
|
(11) |
|
— |
|
(4) |
|
78 |
|
(49) |
|
276 |
|
(22) |
|
| Non-U.S. sovereign debt |
556 |
|
47 |
|
(44) |
|
13 |
|
(57) |
|
— |
|
(30) |
|
117 |
|
(137) |
|
465 |
|
48 |
|
| Mortgage trading loans, ABS and other MBS |
1,498 |
|
148 |
|
3 |
|
585 |
|
(910) |
|
— |
|
(158) |
|
705 |
|
(236) |
|
1,635 |
|
97 |
|
| Total trading account assets |
4,153 |
|
146 |
|
(42) |
|
1,078 |
|
(1,381) |
|
5 |
|
(760) |
|
1,704 |
|
(969) |
|
3,934 |
|
6 |
|
Net derivative assets (liabilities) (4)
|
(1,714) |
|
106 |
|
— |
|
531 |
|
(1,179) |
|
— |
|
778 |
|
39 |
|
504 |
|
(935) |
|
(116) |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
— |
|
27 |
|
(33) |
|
— |
|
(71) |
|
— |
|
(25) |
|
774 |
|
(75) |
|
597 |
|
— |
|
| Non-U.S. securities |
25 |
|
— |
|
(1) |
|
— |
|
(10) |
|
— |
|
(15) |
|
3 |
|
— |
|
2 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
509 |
|
1 |
|
(3) |
|
— |
|
(23) |
|
— |
|
(11) |
|
60 |
|
(526) |
|
7 |
|
— |
|
| Tax-exempt securities |
469 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1) |
|
1 |
|
(469) |
|
— |
|
— |
|
Total AFS debt securities (5)
|
1,003 |
|
28 |
|
(37) |
|
— |
|
(104) |
|
— |
|
(52) |
|
838 |
|
(1,070) |
|
606 |
|
— |
|
| Other debt securities carried at fair value - Non-agency residential MBS |
— |
|
(18) |
|
— |
|
— |
|
(8) |
|
— |
|
(34) |
|
365 |
|
(133) |
|
172 |
|
(18) |
|
Loans and leases (6,7)
|
571 |
|
(16) |
|
— |
|
— |
|
(134) |
|
— |
|
(83) |
|
— |
|
— |
|
338 |
|
(9) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (6)
|
690 |
|
44 |
|
(26) |
|
71 |
|
— |
|
1 |
|
(201) |
|
23 |
|
(60) |
|
542 |
|
31 |
|
Other assets (5,7,8)
|
2,425 |
|
414 |
|
(38) |
|
2 |
|
(69) |
|
96 |
|
(792) |
|
929 |
|
(35) |
|
2,932 |
|
149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account liabilities – Corporate securities and other |
(24) |
|
11 |
|
— |
|
9 |
|
(12) |
|
(2) |
|
— |
|
— |
|
— |
|
(18) |
|
(7) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (6)
|
(8) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
— |
|
— |
|
— |
|
— |
|
Long-term debt (6)
|
(1,863) |
|
103 |
|
4 |
|
9 |
|
— |
|
(141) |
|
486 |
|
(262) |
|
847 |
|
(817) |
|
95 |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.
(6)Amounts represent instruments that are accounted for under the fair value option.
(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(8)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during 2020, 2019 and 2018, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
Balance
January 1 |
|
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance
December 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
(Dollars in millions)
|
|
Purchases |
Sales |
Issuances |
Settlements |
| Year Ended December 31, 2020 |
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,507
|
|
|
$ |
(138) |
|
$ |
(1) |
|
$ |
430
|
|
$ |
(242) |
|
$ |
10
|
|
$ |
(282) |
|
$ |
639
|
|
$ |
(564) |
|
$ |
1,359
|
|
$ |
(102) |
|
Equity securities |
239
|
|
|
(43) |
|
—
|
|
78
|
|
(53) |
|
—
|
|
(3) |
|
58
|
|
(49) |
|
227
|
|
(31) |
|
Non-U.S. sovereign debt |
482
|
|
|
45
|
|
(46) |
|
76
|
|
(61) |
|
—
|
|
(39) |
|
150
|
|
(253) |
|
354
|
|
47
|
|
Mortgage trading loans, ABS and other MBS |
1,553
|
|
|
(120) |
|
(3) |
|
577
|
|
(746) |
|
11
|
|
(96) |
|
757
|
|
(493) |
|
1,440
|
|
(92) |
|
| Total trading account assets |
3,781
|
|
|
(256) |
|
(50) |
|
1,161
|
|
(1,102) |
|
21
|
|
(420) |
|
1,604
|
|
(1,359) |
|
3,380
|
|
(178) |
|
Net derivative assets (liabilities) (4)
|
(2,538) |
|
|
(235) |
|
—
|
|
120
|
|
(646) |
|
—
|
|
(112) |
|
(235) |
|
178
|
|
(3,468) |
|
(953) |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
424
|
|
|
(2) |
|
3
|
|
23
|
|
(54) |
|
—
|
|
(44) |
|
158
|
|
(130) |
|
378
|
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
2
|
|
|
1
|
|
—
|
|
—
|
|
(1) |
|
—
|
|
(1) |
|
17
|
|
—
|
|
18
|
|
1
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other taxable securities |
65
|
|
|
—
|
|
—
|
|
9
|
|
(4) |
|
—
|
|
—
|
|
1
|
|
—
|
|
71
|
|
—
|
|
| Tax-exempt securities |
108
|
|
|
(21) |
|
3
|
|
—
|
|
—
|
|
—
|
|
(169) |
|
265
|
|
(10) |
|
176
|
|
(20) |
|
| Total AFS debt securities |
599
|
|
|
(22) |
|
6
|
|
32
|
|
(59) |
|
—
|
|
(214) |
|
441
|
|
(140) |
|
643
|
|
(21) |
|
Other debt securities carried at fair value – Non-agency residential MBS |
299
|
|
|
26
|
|
—
|
|
—
|
|
(180) |
|
—
|
|
(24) |
|
190
|
|
(44) |
|
267
|
|
3
|
|
Loans and leases (5,6)
|
693
|
|
|
(4) |
|
—
|
|
145
|
|
(76) |
|
22
|
|
(161) |
|
98
|
|
—
|
|
717
|
|
9
|
|
Loans held-for-sale (5,6)
|
375
|
|
|
26
|
|
(28) |
|
—
|
|
(489) |
|
691
|
|
(119) |
|
93
|
|
(313) |
|
236
|
|
(5) |
|
Other assets (6,7)
|
2,360
|
|
|
(288) |
|
3
|
|
178
|
|
(4) |
|
224
|
|
(506) |
|
5
|
|
(2) |
|
1,970
|
|
(374) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Equity securities |
(2) |
|
|
1
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
—
|
|
1
|
|
—
|
|
—
|
|
|
Trading account liabilities – Corporate securities
and other
|
(15) |
|
|
8
|
|
—
|
|
(7) |
|
(3) |
|
—
|
|
1
|
|
—
|
|
—
|
|
(16) |
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (5)
|
(1,149) |
|
|
(46) |
|
2
|
|
(104) |
|
—
|
|
(47) |
|
218
|
|
(52) |
|
14
|
|
(1,164) |
|
(5) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Year Ended December 31, 2019 |
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
1,558 |
|
|
$ |
105 |
|
$ |
— |
|
$ |
534 |
|
$ |
(390) |
|
$ |
18 |
|
$ |
(578) |
|
$ |
699 |
|
$ |
(439) |
|
$ |
1,507 |
|
$ |
29 |
|
| Equity securities |
276 |
|
|
(12) |
|
— |
|
38 |
|
(87) |
|
— |
|
(9) |
|
79 |
|
(46) |
|
239 |
|
(18) |
|
| Non-U.S. sovereign debt |
465 |
|
|
46 |
|
(12) |
|
1 |
|
— |
|
— |
|
(51) |
|
39 |
|
(6) |
|
482 |
|
47 |
|
Mortgage trading loans, ABS and other MBS |
1,635 |
|
|
99 |
|
(2) |
|
662 |
|
(899) |
|
— |
|
(175) |
|
738 |
|
(505) |
|
1,553 |
|
26 |
|
| Total trading account assets |
3,934 |
|
|
238 |
|
(14) |
|
1,235 |
|
(1,376) |
|
18 |
|
(813) |
|
1,555 |
|
(996) |
|
3,781 |
|
84 |
|
Net derivative assets (liabilities) (4,8)
|
(935) |
|
|
(37) |
|
— |
|
298 |
|
(837) |
|
— |
|
(97) |
|
147 |
|
(1,077) |
|
(2,538) |
|
228 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
597 |
|
|
13 |
|
64 |
|
— |
|
(73) |
|
— |
|
(40) |
|
206 |
|
(343) |
|
424 |
|
— |
|
| Non-U.S. securities |
2 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
2 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
7 |
|
|
2 |
|
— |
|
— |
|
— |
|
— |
|
(5) |
|
61 |
|
— |
|
65 |
|
— |
|
| Tax-exempt securities |
— |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
108 |
|
— |
|
108 |
|
— |
|
| Total AFS debt securities |
606 |
|
|
15 |
|
64 |
|
— |
|
(73) |
|
— |
|
(45) |
|
375 |
|
(343) |
|
599 |
|
— |
|
Other debt securities carried at fair value – Non-agency residential MBS |
172 |
|
|
36 |
|
— |
|
— |
|
— |
|
— |
|
(17) |
|
155 |
|
(47) |
|
299 |
|
38 |
|
Loans and leases (5,6)
|
338 |
|
|
— |
|
— |
|
230 |
|
(35) |
|
217 |
|
(57) |
|
— |
|
— |
|
693 |
|
(1) |
|
Loans held-for-sale (5,6)
|
542 |
|
|
48 |
|
(6) |
|
12 |
|
(71) |
|
36 |
|
(245) |
|
59 |
|
— |
|
375 |
|
22 |
|
Other assets (6,7)
|
2,932 |
|
|
(81) |
|
19 |
|
— |
|
(10) |
|
179 |
|
(683) |
|
5 |
|
(1) |
|
2,360 |
|
(267) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading account liabilities – Equity securities |
— |
|
|
(2) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
(2) |
|
|
Trading account liabilities – Corporate securities
and other
|
(18) |
|
|
8 |
|
— |
|
(1) |
|
(3) |
|
(1) |
|
— |
|
— |
|
— |
|
(15) |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Long-term debt (5,8)
|
(817) |
|
|
(59) |
|
(64) |
|
— |
|
— |
|
(40) |
|
180 |
|
(350) |
|
1 |
|
(1,149) |
|
(55) |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - predominantly other income; Other debt securities carried at fair value - other income; Loans and leases - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (Dollars in millions) |
Balance
January 1 |
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance
December 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
| Purchases |
Sales |
Issuances |
Settlements |
| Year Ended December 31, 2018 |
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,864 |
|
$ |
(32) |
|
$ |
(1) |
|
$ |
436 |
|
$ |
(403) |
|
$ |
5 |
|
$ |
(568) |
|
$ |
804 |
|
$ |
(547) |
|
$ |
1,558 |
|
$ |
(117) |
|
| Equity securities |
235 |
|
(17) |
|
— |
|
44 |
|
(11) |
|
— |
|
(4) |
|
78 |
|
(49) |
|
276 |
|
(22) |
|
| Non-U.S. sovereign debt |
556 |
|
47 |
|
(44) |
|
13 |
|
(57) |
|
— |
|
(30) |
|
117 |
|
(137) |
|
465 |
|
48 |
|
| Mortgage trading loans, ABS and other MBS |
1,498 |
|
148 |
|
3 |
|
585 |
|
(910) |
|
— |
|
(158) |
|
705 |
|
(236) |
|
1,635 |
|
97 |
|
| Total trading account assets |
4,153 |
|
146 |
|
(42) |
|
1,078 |
|
(1,381) |
|
5 |
|
(760) |
|
1,704 |
|
(969) |
|
3,934 |
|
6 |
|
Net derivative assets (liabilities) (4)
|
(1,714) |
|
106 |
|
— |
|
531 |
|
(1,179) |
|
— |
|
778 |
|
39 |
|
504 |
|
(935) |
|
(116) |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
— |
|
27 |
|
(33) |
|
— |
|
(71) |
|
— |
|
(25) |
|
774 |
|
(75) |
|
597 |
|
— |
|
| Non-U.S. securities |
25 |
|
— |
|
(1) |
|
— |
|
(10) |
|
— |
|
(15) |
|
3 |
|
— |
|
2 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
509 |
|
1 |
|
(3) |
|
— |
|
(23) |
|
— |
|
(11) |
|
60 |
|
(526) |
|
7 |
|
— |
|
| Tax-exempt securities |
469 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1) |
|
1 |
|
(469) |
|
— |
|
— |
|
Total AFS debt securities (5)
|
1,003 |
|
28 |
|
(37) |
|
— |
|
(104) |
|
— |
|
(52) |
|
838 |
|
(1,070) |
|
606 |
|
— |
|
| Other debt securities carried at fair value - Non-agency residential MBS |
— |
|
(18) |
|
— |
|
— |
|
(8) |
|
— |
|
(34) |
|
365 |
|
(133) |
|
172 |
|
(18) |
|
Loans and leases (6,7)
|
571 |
|
(16) |
|
— |
|
— |
|
(134) |
|
— |
|
(83) |
|
— |
|
— |
|
338 |
|
(9) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (6)
|
690 |
|
44 |
|
(26) |
|
71 |
|
— |
|
1 |
|
(201) |
|
23 |
|
(60) |
|
542 |
|
31 |
|
Other assets (5,7,8)
|
2,425 |
|
414 |
|
(38) |
|
2 |
|
(69) |
|
96 |
|
(792) |
|
929 |
|
(35) |
|
2,932 |
|
149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account liabilities – Corporate securities and other |
(24) |
|
11 |
|
— |
|
9 |
|
(12) |
|
(2) |
|
— |
|
— |
|
— |
|
(18) |
|
(7) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (6)
|
(8) |
|
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
— |
|
— |
|
— |
|
— |
|
Long-term debt (6)
|
(1,863) |
|
103 |
|
4 |
|
9 |
|
— |
|
(141) |
|
486 |
|
(262) |
|
847 |
|
(817) |
|
95 |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains/losses reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.
(6)Amounts represent instruments that are accounted for under the fair value option.
(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(8)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
|
| Fair Value Measurement Inputs and Valuation Techniques |
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at December 31, 2020 and 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Quantitative Information about Level 3 Fair Value Measurements at December 31, 2020 |
|
|
|
|
|
|
| (Dollars in millions) |
|
|
Inputs |
| Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average (1)
|
Loans and Securities (2)
|
|
|
|
|
|
| Instruments backed by residential real estate assets |
$ |
1,543
|
|
Discounted cash flow, Market comparables |
Yield |
(3)% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
467 |
|
Prepayment speed |
1% to 56% CPR |
20% CPR |
| Loans and leases |
431 |
|
Default rate |
0% to 3% CDR |
1% CDR |
|
|
|
|
|
| AFS debt securities – Non-agency residential |
378 |
|
Price |
$0 to $168 |
$110 |
|
|
|
|
|
| Other debt securities carried at fair value – Non-agency residential |
267 |
|
Loss severity |
0% to 47% |
18 |
% |
| Instruments backed by commercial real estate assets |
$ |
407
|
|
Discounted cash
flow |
Yield |
0% to 25% |
4 |
% |
| Trading account assets – Corporate securities, trading loans and other |
262 |
|
Price |
$0 to $100 |
$52 |
| Trading account assets – Mortgage trading loans, ABS and other MBS |
43 |
|
|
|
|
| AFS debt securities, primarily other taxable securities |
89 |
|
|
|
|
| Loans held-for-sale |
13 |
|
|
|
|
| Commercial loans, debt securities and other |
$ |
3,066
|
|
Discounted cash flow, Market comparables |
Yield |
0% to 26% |
9 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,097 |
|
Prepayment speed |
10% to 20% |
14 |
% |
| Trading account assets – Non-U.S. sovereign debt |
354 |
|
Default rate |
3% to 4% |
4 |
% |
| Trading account assets – Mortgage trading loans, ABS and other MBS |
930 |
|
Loss severity |
35% to 40% |
38 |
% |
| AFS debt securities – Tax-exempt securities |
176 |
|
Price |
$0 to $142 |
$66 |
| Loans and leases |
286 |
|
Long-dated equity volatilities |
77% |
n/a |
| Loans held-for-sale |
223 |
|
|
|
|
|
|
|
|
|
|
| Other assets, primarily auction rate securities |
$ |
937
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $97 |
$91 |
|
|
Discount rate |
8 |
% |
n/a |
|
|
|
|
|
|
|
|
|
|
| MSRs |
$ |
1,033
|
|
Discounted cash
flow |
Weighted-average life, fixed rate (5)
|
0 to 13 years |
4 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 10 years |
3 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
12 |
% |
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(1,164) |
|
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
|
Yield |
0% to 11% |
9 |
% |
|
|
Equity correlation |
2% to 100% |
64 |
% |
|
|
Long-dated equity volatilities |
7% to 64% |
32 |
% |
|
|
Price |
$0 to $124 |
$86 |
|
|
Natural gas forward price |
$1/MMBtu to $4/MMBtu |
$3 /MMBtu |
| Net derivative assets (liabilities) |
|
|
|
|
|
| Credit derivatives |
$ |
(112) |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
5% |
n/a |
|
|
|
|
|
|
|
Upfront points |
0 to 100 points |
75 points |
|
|
|
|
|
|
|
|
|
|
|
|
Prepayment speed |
15% to 100% CPR |
22% CPR |
|
|
Default rate |
2% CDR |
n/a |
|
|
Credit correlation |
21% to 64% |
57 |
% |
|
|
Price |
$0 to $122 |
$69 |
| Equity derivatives |
$ |
(1,904) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
2% to 100% |
64 |
% |
|
|
Long-dated equity volatilities |
7% to 64% |
32 |
% |
| Commodity derivatives |
$ |
(1,426) |
|
Discounted cash flow, Industry standard derivative pricing (3)
|
Natural gas forward price |
$1/MMBtu to $4/MMBtu |
$3 /MMBtu |
|
|
Correlation |
39% to 85% |
73 |
% |
|
|
Volatilities |
23% to 70% |
39 |
% |
| Interest rate derivatives |
$ |
(26) |
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
15% to 96% |
34 |
% |
|
|
Correlation (FX/IR) |
0% to 46% |
3 |
% |
|
|
Long-dated inflation rates |
(7)% to 84%
|
14 |
% |
|
|
Long-dated inflation volatilities |
0% to 1% |
1 |
% |
|
|
Interest rate volatilities |
0% to 2% |
1 |
% |
|
|
|
|
|
| Total net derivative assets (liabilities) |
$ |
(3,468) |
|
|
|
|
|
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 156: Trading account assets – Corporate securities, trading loans and other of $1.4 billion, Trading account assets – Non-U.S. sovereign debt of $354 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.4 billion, AFS debt securities of $643 million, Other debt securities carried at fair value - Non-agency residential of $267 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $717 million and LHFS of $236 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019 |
|
|
|
|
|
| (Dollars in millions) |
|
|
Inputs |
| Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average (1)
|
Loans and Securities (2)
|
|
|
|
|
|
| Instruments backed by residential real estate assets |
$ |
1,407
|
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans, ABS and other MBS |
332 |
|
Prepayment speed |
1% to 27% CPR |
17% CPR |
| Loans and leases |
281 |
|
Default rate |
0% to 3% CDR |
1% CDR |
| Loans held-for-sale |
4 |
|
Loss severity |
0% to 47% |
14 |
% |
| AFS debt securities, primarily non-agency residential |
491 |
|
Price |
$0 to $160 |
$94 |
| Other debt securities carried at fair value - Non-agency residential |
299 |
|
|
|
|
| Instruments backed by commercial real estate assets |
$ |
303
|
|
Discounted cash flow |
Yield |
0% to 30% |
14 |
% |
| Trading account assets – Corporate securities, trading loans and other |
201 |
|
Price |
$0 to $100 |
$55 |
| Trading account assets – Mortgage trading loans, ABS and other MBS |
85 |
|
|
|
|
| Loans held-for-sale |
17 |
|
|
|
|
| Commercial loans, debt securities and other |
$ |
3,798
|
|
Discounted cash flow, Market comparables |
Yield |
1% to 20% |
6 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,306 |
|
Prepayment speed |
10% to 20% |
13 |
% |
| Trading account assets – Non-U.S. sovereign debt |
482 |
|
Default rate |
3% to 4% |
4 |
% |
| Trading account assets – Mortgage trading loans, ABS and other MBS |
1,136 |
|
Loss severity |
35% to 40% |
38 |
% |
| AFS debt securities – Tax-exempt securities |
108 |
|
Price |
$0 to $142 |
$72 |
| Loans and leases |
412 |
|
Long-dated equity volatilities |
35% |
n/a |
| Loans held-for-sale |
354 |
|
|
|
|
| Other assets, primarily auction rate securities |
$ |
815
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
$96 |
|
|
|
|
|
|
|
|
|
|
| MSRs |
$ |
1,545
|
|
Discounted cash flow |
Weighted-average life, fixed rate (5)
|
0 to 14 years |
5 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 9 years |
3 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
11 |
% |
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(1,149) |
|
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
|
Yield |
2% to 6% |
5 |
% |
|
|
Equity correlation |
9% to 100% |
63 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
32 |
% |
|
|
Price |
$0 to $116 |
$74 |
|
|
Natural gas forward price |
$1/MMBtu to $5/MMBtu |
$3/MMBtu |
| Net derivative assets (liabilities) |
|
|
|
|
|
Credit derivatives |
$ |
13
|
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
5% |
n/a |
|
|
Upfront points |
0 to 100 points |
63 points |
|
|
|
|
|
|
|
Prepayment speed |
15% to 100% CPR |
22% CPR |
|
|
Default rate |
1% to 4% CDR |
2% CDR |
|
|
Loss severity |
35% |
n/a |
|
|
Price |
$0 to $104 |
$73 |
Equity derivatives |
$ |
(1,081) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
9% to 100% |
63 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
32 |
% |
Commodity derivatives |
$ |
(1,357) |
|
Discounted cash flow, Industry standard derivative pricing (3)
|
Natural gas forward price |
$1/MMBtu to $5/MMBtu |
$3/MMBtu |
|
|
Correlation |
30% to 69% |
68 |
% |
|
|
Volatilities |
14% to 54% |
27 |
% |
Interest rate derivatives |
$ |
(113) |
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
15% to 94% |
52 |
% |
|
|
Correlation (FX/IR) |
0% to 46% |
2 |
% |
|
|
Long-dated inflation rates |
G(23)% to 56%
|
16 |
% |
|
|
Long-dated inflation volatilities |
0% to 1% |
1 |
% |
| Total net derivative assets (liabilities) |
$ |
(2,538) |
|
|
|
|
|
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 157: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $482 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $599 million, Other debt securities carried at fair value - Non-agency residential of $299 million, Other assets, including MSRs, of $2.4 billion, Loans and leases of $693 million and LHFS of $375 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|
| Fair Value Measurements, Nonrecurring |
The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during 2020, 2019 and 2018.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured at Fair Value on a Nonrecurring Basis |
|
|
|
|
|
December 31, 2020 |
|
|
|
|
December 31, 2019 |
(Dollars in millions)
|
Level 2 |
|
Level 3 |
|
|
|
|
Level 2 |
|
Level 3 |
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans held-for-sale |
$ |
1,020
|
|
|
$ |
792
|
|
|
|
|
|
$ |
53 |
|
|
$ |
102 |
|
Loans and leases (1)
|
—
|
|
|
301
|
|
|
|
|
|
— |
|
|
257 |
|
Foreclosed properties (2, 3)
|
—
|
|
|
17
|
|
|
|
|
|
— |
|
|
17 |
|
|
|
|
|
|
|
|
|
|
|
|
| Other assets |
323
|
|
|
576
|
|
|
|
|
|
178 |
|
|
646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Gains (Losses) |
|
|
|
2020 |
|
|
|
|
2019 |
|
2018 |
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Loans held-for-sale |
|
|
$ |
(79) |
|
|
|
|
|
$ |
(14) |
|
|
$ |
(18) |
|
Loans and leases (1)
|
|
|
(73) |
|
|
|
|
|
(81) |
|
|
(202) |
|
| Foreclosed properties |
|
|
(6) |
|
|
|
|
|
(9) |
|
|
(24) |
|
|
|
|
|
|
|
|
|
|
|
|
| Other assets |
|
|
(98) |
|
|
|
|
|
(2,145) |
|
|
(64) |
|
(1)Includes $30 million, $36 million and $83 million of losses on loans that were written down to a collateral value of zero during 2020, 2019 and 2018, respectively.
(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 $119 million and $260 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2020 and 2019.
|
| Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques |
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during 2020 and 2019.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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) |
2020 |
| Loans held-for-sale |
$ |
792
|
|
Discounted cash flow |
Price |
$8 to $99 |
$95 |
Loans and leases (2)
|
301
|
|
Market comparables |
OREO discount |
13% to 59% |
24 |
% |
|
|
|
Costs to sell |
8% to 26% |
9 |
% |
Other assets (3)
|
576
|
|
Discounted cash flow |
Revenue attrition |
2% to 19% |
7 |
% |
|
|
|
Discount rate |
11% to 14% |
12 |
% |
|
2019 |
| Loans held-for-sale |
$ |
102 |
|
Discounted cash flow |
Price |
$85 to $97 |
$88 |
Loans and leases (2)
|
257 |
|
Market comparables |
OREO discount |
13% to 59% |
24 |
% |
|
|
|
Costs to sell |
8% to 26% |
9 |
% |
Other assets (4)
|
640 |
|
Discounted cash flow |
Customer attrition |
0% to 19% |
5 |
% |
|
|
|
Cost to service |
11% to 19% |
15 |
% |
(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)The fair value of the intangible asset related to the merchant contracts received from the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the revenue attrition rate and the discount rate. For more information, see Note 7 – Goodwill and Intangible Assets.
(4)Reflects the measurement of the Corporation’s merchant services equity method investment on which the Corporation recorded an impairment charge in 2019. The fair value of the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the customer attrition rate and the cost-to-service rate.
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