Fair value Assets and liabilities measured on Recurring basis |
Assets and liabilities carried at fair value on a recurring basis at September 30, 2013 and December 31, 2012, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
|
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|
|
|
September 30, 2013 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 (1)
|
|
Level 2 (1)
|
|
Level 3 |
|
Netting
Adjustments (2)
|
|
Assets/Liabilities
at Fair Value
|
Assets |
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
102,899 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
102,899 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
46,478 |
|
|
12,772 |
|
|
— |
|
|
— |
|
|
59,250 |
|
Corporate securities, trading loans and other |
974 |
|
|
29,513 |
|
|
3,780 |
|
|
— |
|
|
34,267 |
|
Equity securities |
31,911 |
|
|
16,051 |
|
|
338 |
|
|
— |
|
|
48,300 |
|
Non-U.S. sovereign debt |
32,134 |
|
|
11,603 |
|
|
388 |
|
|
— |
|
|
44,125 |
|
Mortgage trading loans and ABS |
— |
|
|
10,744 |
|
|
4,520 |
|
|
— |
|
|
15,264 |
|
Total trading account assets |
111,497 |
|
|
80,683 |
|
|
9,026 |
|
|
— |
|
|
201,206 |
|
Derivative assets (3)
|
4,329 |
|
|
977,921 |
|
|
7,527 |
|
|
(936,616 |
) |
|
53,161 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
514 |
|
|
2,457 |
|
|
— |
|
|
— |
|
|
2,971 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
169,025 |
|
|
— |
|
|
— |
|
|
169,025 |
|
Agency-collateralized mortgage obligations |
— |
|
|
27,335 |
|
|
— |
|
|
— |
|
|
27,335 |
|
Non-agency residential |
— |
|
|
6,929 |
|
|
— |
|
|
— |
|
|
6,929 |
|
Commercial |
— |
|
|
2,827 |
|
|
— |
|
|
— |
|
|
2,827 |
|
Non-U.S. securities |
2,467 |
|
|
3,668 |
|
|
105 |
|
|
— |
|
|
6,240 |
|
Corporate/Agency bonds |
— |
|
|
1,162 |
|
|
8 |
|
|
— |
|
|
1,170 |
|
Other taxable securities |
20 |
|
|
9,132 |
|
|
4,013 |
|
|
— |
|
|
13,165 |
|
Tax-exempt securities |
— |
|
|
4,417 |
|
|
817 |
|
|
— |
|
|
5,234 |
|
Total AFS debt securities |
3,001 |
|
|
226,952 |
|
|
4,943 |
|
|
— |
|
|
234,896 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
18,626 |
|
|
— |
|
|
— |
|
|
18,626 |
|
Agency-collateralized mortgage obligations |
— |
|
|
563 |
|
|
— |
|
|
— |
|
|
563 |
|
Commercial |
— |
|
|
758 |
|
|
— |
|
|
— |
|
|
758 |
|
Non-U.S. securities |
9,740 |
|
|
1,766 |
|
|
— |
|
|
— |
|
|
11,506 |
|
Total other debt securities carried at fair value |
9,740 |
|
|
21,713 |
|
|
— |
|
|
— |
|
|
31,453 |
|
Loans and leases |
— |
|
|
7,180 |
|
|
3,016 |
|
|
— |
|
|
10,196 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
5,058 |
|
|
— |
|
|
5,058 |
|
Loans held-for-sale |
— |
|
|
7,304 |
|
|
913 |
|
|
— |
|
|
8,217 |
|
Other assets |
14,009 |
|
|
2,317 |
|
|
1,878 |
|
|
— |
|
|
18,204 |
|
Total assets |
$ |
142,576 |
|
|
$ |
1,426,969 |
|
|
$ |
32,361 |
|
|
$ |
(936,616 |
) |
|
$ |
665,290 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,916 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,916 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
61,917 |
|
|
— |
|
|
— |
|
|
61,917 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
24,046 |
|
|
349 |
|
|
— |
|
|
— |
|
|
24,395 |
|
Equity securities |
23,256 |
|
|
3,604 |
|
|
— |
|
|
— |
|
|
26,860 |
|
Non-U.S. sovereign debt |
22,119 |
|
|
1,502 |
|
|
— |
|
|
— |
|
|
23,621 |
|
Corporate securities and other |
529 |
|
|
7,259 |
|
|
49 |
|
|
— |
|
|
7,837 |
|
Total trading account liabilities |
69,950 |
|
|
12,714 |
|
|
49 |
|
|
— |
|
|
82,713 |
|
Derivative liabilities (3)
|
5,167 |
|
|
962,675 |
|
|
6,759 |
|
|
(930,033 |
) |
|
44,568 |
|
Short-term borrowings |
— |
|
|
2,844 |
|
|
— |
|
|
— |
|
|
2,844 |
|
Accrued expenses and other liabilities |
8,627 |
|
|
964 |
|
|
31 |
|
|
— |
|
|
9,622 |
|
Long-term debt |
— |
|
|
45,338 |
|
|
2,063 |
|
|
— |
|
|
47,401 |
|
Total liabilities |
$ |
83,744 |
|
|
$ |
1,088,368 |
|
|
$ |
8,902 |
|
|
$ |
(930,033 |
) |
|
$ |
250,981 |
|
|
|
(1) |
During the nine months ended September 30, 2013, $500 million of other assets were transferred from Level 1 to Level 2 primarily due to a restriction that became effective for a private equity investment.
|
|
|
(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(3) |
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
|
|
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|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
December 31, 2012 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 (1)
|
|
Level 2 (1)
|
|
Level 3 |
|
Netting
Adjustments (2)
|
|
Assets/Liabilities
at Fair Value
|
Assets |
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
98,670 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
98,670 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
57,655 |
|
|
29,319 |
|
|
— |
|
|
— |
|
|
86,974 |
|
Corporate securities, trading loans and other |
1,292 |
|
|
32,882 |
|
|
3,726 |
|
|
— |
|
|
37,900 |
|
Equity securities |
28,144 |
|
|
14,626 |
|
|
545 |
|
|
— |
|
|
43,315 |
|
Non-U.S. sovereign debt |
29,254 |
|
|
13,139 |
|
|
353 |
|
|
— |
|
|
42,746 |
|
Mortgage trading loans and ABS |
— |
|
|
11,905 |
|
|
4,935 |
|
|
— |
|
|
16,840 |
|
Total trading account assets |
116,345 |
|
|
101,871 |
|
|
9,559 |
|
|
— |
|
|
227,775 |
|
Derivative assets (3)
|
2,997 |
|
|
1,372,398 |
|
|
8,073 |
|
|
(1,329,971 |
) |
|
53,497 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
21,514 |
|
|
2,958 |
|
|
— |
|
|
— |
|
|
24,472 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
188,149 |
|
|
— |
|
|
— |
|
|
188,149 |
|
Agency-collateralized mortgage obligations |
— |
|
|
37,538 |
|
|
— |
|
|
— |
|
|
37,538 |
|
Non-agency residential |
— |
|
|
9,494 |
|
|
— |
|
|
— |
|
|
9,494 |
|
Non-agency commercial |
— |
|
|
3,914 |
|
|
10 |
|
|
— |
|
|
3,924 |
|
Non-U.S. securities |
2,637 |
|
|
2,981 |
|
|
— |
|
|
— |
|
|
5,618 |
|
Corporate/Agency bonds |
— |
|
|
1,358 |
|
|
92 |
|
|
— |
|
|
1,450 |
|
Other taxable securities |
20 |
|
|
8,180 |
|
|
3,928 |
|
|
— |
|
|
12,128 |
|
Tax-exempt securities |
— |
|
|
3,072 |
|
|
1,061 |
|
|
— |
|
|
4,133 |
|
Total AFS debt securities |
24,171 |
|
|
257,644 |
|
|
5,091 |
|
|
— |
|
|
286,906 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury securities and agency securities |
491 |
|
|
— |
|
|
— |
|
|
— |
|
|
491 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
13,073 |
|
|
— |
|
|
— |
|
|
13,073 |
|
Agency-collateralized mortgage obligations |
— |
|
|
929 |
|
|
— |
|
|
— |
|
|
929 |
|
Non-U.S. securities |
9,151 |
|
|
300 |
|
|
— |
|
|
— |
|
|
9,451 |
|
Total other debt securities carried at fair value |
9,642 |
|
|
14,302 |
|
|
— |
|
|
— |
|
|
23,944 |
|
Loans and leases |
— |
|
|
6,715 |
|
|
2,287 |
|
|
— |
|
|
9,002 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
5,716 |
|
|
— |
|
|
5,716 |
|
Loans held-for-sale |
— |
|
|
8,926 |
|
|
2,733 |
|
|
— |
|
|
11,659 |
|
Other assets |
18,535 |
|
|
4,826 |
|
|
3,129 |
|
|
— |
|
|
26,490 |
|
Total assets |
$ |
171,690 |
|
|
$ |
1,865,352 |
|
|
$ |
36,588 |
|
|
$ |
(1,329,971 |
) |
|
$ |
743,659 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
2,262 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
2,262 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
42,639 |
|
|
— |
|
|
— |
|
|
42,639 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
22,351 |
|
|
1,079 |
|
|
— |
|
|
— |
|
|
23,430 |
|
Equity securities |
19,852 |
|
|
2,640 |
|
|
— |
|
|
— |
|
|
22,492 |
|
Non-U.S. sovereign debt |
18,875 |
|
|
1,369 |
|
|
— |
|
|
— |
|
|
20,244 |
|
Corporate securities and other |
487 |
|
|
6,870 |
|
|
64 |
|
|
— |
|
|
7,421 |
|
Total trading account liabilities |
61,565 |
|
|
11,958 |
|
|
64 |
|
|
— |
|
|
73,587 |
|
Derivative liabilities (3)
|
2,859 |
|
|
1,355,309 |
|
|
6,605 |
|
|
(1,318,757 |
) |
|
46,016 |
|
Short-term borrowings |
— |
|
|
4,074 |
|
|
— |
|
|
— |
|
|
4,074 |
|
Accrued expenses and other liabilities |
15,457 |
|
|
1,122 |
|
|
15 |
|
|
— |
|
|
16,594 |
|
Long-term debt |
— |
|
|
46,860 |
|
|
2,301 |
|
|
— |
|
|
49,161 |
|
Total liabilities |
$ |
79,881 |
|
|
$ |
1,464,224 |
|
|
$ |
8,985 |
|
|
$ |
(1,318,757 |
) |
|
$ |
234,333 |
|
|
|
(1) |
During 2012, $2.0 billion and $350 million of assets and liabilities were transferred from Level 1 to Level 2, and $785 million and $40 million of assets and liabilities were transferred from Level 2 to Level 1. Of the asset transfers from Level 1 to Level 2, $940 million was due to a restriction that became effective for a private equity investment during 2012, while $535 million of the transfers from Level 2 to Level 1 was due to the lapse of this restriction during 2012. The remaining transfers were the result of additional information associated with certain equities, derivative contracts and private equity investments.
|
|
|
(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(3) |
For further disaggregation of derivative assets and liabilities, see Note 3 – Derivatives.
|
|
Level 3 Total Realized and Unrealized Gains (Losses) Included in Earnings |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2013 and 2012, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended September 30, 2013 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
July 1
2013
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance September 30 2013 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,763 |
|
$ |
133 |
|
$ |
— |
|
$ |
2,002 |
|
$ |
(892 |
) |
$ |
22 |
|
$ |
(205 |
) |
$ |
187 |
|
$ |
(230 |
) |
$ |
3,780 |
|
Equity securities |
464 |
|
4 |
|
— |
|
20 |
|
(16 |
) |
— |
|
(100 |
) |
8 |
|
(42 |
) |
338 |
|
Non-U.S. sovereign debt |
401 |
|
11 |
|
— |
|
3 |
|
(14 |
) |
— |
|
(10 |
) |
— |
|
(3 |
) |
388 |
|
Mortgage trading loans and ABS |
4,685 |
|
(7 |
) |
— |
|
350 |
|
(443 |
) |
— |
|
(74 |
) |
13 |
|
(4 |
) |
4,520 |
|
Total trading account assets |
8,313 |
|
141 |
|
— |
|
2,375 |
|
(1,365 |
) |
22 |
|
(389 |
) |
208 |
|
(279 |
) |
9,026 |
|
Net derivative assets (2)
|
1,173 |
|
(499 |
) |
— |
|
126 |
|
(102 |
) |
— |
|
(147 |
) |
116 |
|
101 |
|
768 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-U.S. securities |
— |
|
5 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
100 |
|
— |
|
105 |
|
Corporate/Agency bonds |
8 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
8 |
|
Other taxable securities |
4,157 |
|
2 |
|
(2 |
) |
215 |
|
— |
|
— |
|
(359 |
) |
— |
|
— |
|
4,013 |
|
Tax-exempt securities |
877 |
|
2 |
|
1 |
|
— |
|
— |
|
— |
|
(63 |
) |
— |
|
— |
|
817 |
|
Total AFS debt securities |
5,042 |
|
9 |
|
(1 |
) |
215 |
|
— |
|
— |
|
(422 |
) |
100 |
|
— |
|
4,943 |
|
Loans and leases (3, 4)
|
1,901 |
|
(20 |
) |
— |
|
— |
|
— |
|
1,247 |
|
(119 |
) |
12 |
|
(5 |
) |
3,016 |
|
Mortgage servicing rights (4)
|
5,827 |
|
71 |
|
— |
|
— |
|
(729 |
) |
129 |
|
(240 |
) |
— |
|
— |
|
5,058 |
|
Loans held-for-sale (3)
|
2,153 |
|
40 |
|
— |
|
— |
|
— |
|
3 |
|
(1,283 |
) |
— |
|
— |
|
913 |
|
Other assets (5)
|
1,700 |
|
3 |
|
— |
|
1 |
|
(35 |
) |
— |
|
(30 |
) |
239 |
|
— |
|
1,878 |
|
Trading account liabilities – Corporate securities and other |
(55 |
) |
1 |
|
— |
|
6 |
|
(9 |
) |
— |
|
— |
|
— |
|
8 |
|
(49 |
) |
Accrued expenses and other liabilities (3)
|
(230 |
) |
8 |
|
— |
|
— |
|
— |
|
— |
|
189 |
|
— |
|
2 |
|
(31 |
) |
Long-term debt (3)
|
(1,890 |
) |
(62 |
) |
— |
|
47 |
|
— |
|
(47 |
) |
46 |
|
(485 |
) |
328 |
|
(2,063 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $6.8 billion.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(4) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(5) |
Other assets is primarily comprised of private equity investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Nine Months Ended September 30, 2013 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2013
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance September 30 2013 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,726 |
|
$ |
256 |
|
$ |
— |
|
$ |
3,519 |
|
$ |
(2,817 |
) |
$ |
22 |
|
$ |
(444 |
) |
$ |
629 |
|
$ |
(1,111 |
) |
$ |
3,780 |
|
Equity securities |
545 |
|
54 |
|
— |
|
77 |
|
(160 |
) |
— |
|
(100 |
) |
45 |
|
(123 |
) |
338 |
|
Non-U.S. sovereign debt |
353 |
|
56 |
|
— |
|
29 |
|
(15 |
) |
— |
|
(32 |
) |
1 |
|
(4 |
) |
388 |
|
Mortgage trading loans and ABS |
4,935 |
|
165 |
|
— |
|
1,981 |
|
(1,777 |
) |
— |
|
(775 |
) |
18 |
|
(27 |
) |
4,520 |
|
Total trading account assets |
9,559 |
|
531 |
|
— |
|
5,606 |
|
(4,769 |
) |
22 |
|
(1,351 |
) |
693 |
|
(1,265 |
) |
9,026 |
|
Net derivative assets (2)
|
1,468 |
|
186 |
|
— |
|
509 |
|
(762 |
) |
— |
|
(1,190 |
) |
(46 |
) |
603 |
|
768 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Commercial MBS |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(10 |
) |
— |
|
— |
|
— |
|
Non-U.S. securities |
— |
|
5 |
|
— |
|
1 |
|
(1 |
) |
— |
|
— |
|
100 |
|
— |
|
105 |
|
Corporate/Agency bonds |
92 |
|
— |
|
4 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(88 |
) |
8 |
|
Other taxable securities |
3,928 |
|
5 |
|
10 |
|
825 |
|
— |
|
— |
|
(750 |
) |
— |
|
(5 |
) |
4,013 |
|
Tax-exempt securities |
1,061 |
|
3 |
|
15 |
|
— |
|
— |
|
— |
|
(94 |
) |
— |
|
(168 |
) |
817 |
|
Total AFS debt securities |
5,091 |
|
13 |
|
29 |
|
826 |
|
(1 |
) |
— |
|
(854 |
) |
100 |
|
(261 |
) |
4,943 |
|
Loans and leases (3, 4)
|
2,287 |
|
80 |
|
— |
|
71 |
|
— |
|
1,252 |
|
(665 |
) |
12 |
|
(21 |
) |
3,016 |
|
Mortgage servicing rights (4)
|
5,716 |
|
1,531 |
|
— |
|
— |
|
(1,774 |
) |
399 |
|
(814 |
) |
— |
|
— |
|
5,058 |
|
Loans held-for-sale (3)
|
2,733 |
|
20 |
|
— |
|
8 |
|
(390 |
) |
3 |
|
(1,492 |
) |
34 |
|
(3 |
) |
913 |
|
Other assets (5)
|
3,129 |
|
(324 |
) |
— |
|
43 |
|
(218 |
) |
— |
|
(936 |
) |
239 |
|
(55 |
) |
1,878 |
|
Trading account liabilities – Corporate securities and other |
(64 |
) |
7 |
|
— |
|
24 |
|
(40 |
) |
(5 |
) |
— |
|
(9 |
) |
38 |
|
(49 |
) |
Accrued expenses and other liabilities (3)
|
(15 |
) |
30 |
|
— |
|
— |
|
— |
|
(751 |
) |
703 |
|
(1 |
) |
3 |
|
(31 |
) |
Long-term debt (3)
|
(2,301 |
) |
41 |
|
— |
|
306 |
|
(4 |
) |
(149 |
) |
172 |
|
(1,017 |
) |
889 |
|
(2,063 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $6.8 billion.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(4) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(5) |
Other assets is primarily comprised of private equity investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended September 30, 2012 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
July 1
2012
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance September 30 2012 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
4,459 |
|
$ |
69 |
|
$ |
— |
|
$ |
750 |
|
$ |
(848 |
) |
$ |
— |
|
$ |
(101 |
) |
$ |
158 |
|
$ |
(314 |
) |
$ |
4,173 |
|
Equity securities |
597 |
|
15 |
|
— |
|
43 |
|
(12 |
) |
— |
|
(9 |
) |
5 |
|
(66 |
) |
573 |
|
Non-U.S. sovereign debt |
389 |
|
7 |
|
— |
|
30 |
|
(112 |
) |
— |
|
(4 |
) |
— |
|
(7 |
) |
303 |
|
Mortgage trading loans and ABS |
4,818 |
|
111 |
|
— |
|
380 |
|
(279 |
) |
— |
|
(124 |
) |
3 |
|
(3 |
) |
4,906 |
|
Total trading account assets |
10,263 |
|
202 |
|
— |
|
1,203 |
|
(1,251 |
) |
— |
|
(238 |
) |
166 |
|
(390 |
) |
9,955 |
|
Net derivative assets (2)
|
4,601 |
|
(256 |
) |
— |
|
78 |
|
(211 |
) |
— |
|
(918 |
) |
(350 |
) |
16 |
|
2,960 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential |
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
Non-agency commercial |
24 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
23 |
|
Corporate/Agency bonds |
93 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
93 |
|
Other taxable securities |
4,558 |
|
— |
|
28 |
|
600 |
|
— |
|
— |
|
(65 |
) |
— |
|
— |
|
5,121 |
|
Tax-exempt securities |
1,140 |
|
7 |
|
(7 |
) |
— |
|
(63 |
) |
— |
|
(16 |
) |
— |
|
— |
|
1,061 |
|
Total AFS debt securities |
5,816 |
|
7 |
|
21 |
|
600 |
|
(63 |
) |
— |
|
(82 |
) |
— |
|
— |
|
6,299 |
|
Loans and leases (3, 4)
|
1,635 |
|
69 |
|
— |
|
317 |
|
(150 |
) |
— |
|
(65 |
) |
450 |
|
(3 |
) |
2,253 |
|
Mortgage servicing rights (4)
|
5,708 |
|
(360 |
) |
— |
|
— |
|
(15 |
) |
100 |
|
(346 |
) |
— |
|
— |
|
5,087 |
|
Loans held-for-sale (3)
|
2,741 |
|
86 |
|
— |
|
596 |
|
(19 |
) |
— |
|
(104 |
) |
13 |
|
— |
|
3,313 |
|
Other assets (5)
|
3,136 |
|
24 |
|
— |
|
40 |
|
(183 |
) |
— |
|
(39 |
) |
— |
|
— |
|
2,978 |
|
Trading account liabilities – Corporate securities and other |
(143 |
) |
4 |
|
— |
|
17 |
|
(45 |
) |
— |
|
— |
|
— |
|
2 |
|
(165 |
) |
Short-term borrowings (3)
|
— |
|
— |
|
— |
|
— |
|
— |
|
(232 |
) |
— |
|
— |
|
— |
|
(232 |
) |
Accrued expenses and other liabilities (3)
|
(2 |
) |
— |
|
— |
|
— |
|
— |
|
(7 |
) |
— |
|
— |
|
— |
|
(9 |
) |
Long-term debt (3)
|
(2,388 |
) |
(91 |
) |
— |
|
70 |
|
— |
|
(115 |
) |
391 |
|
(531 |
) |
374 |
|
(2,290 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
Net derivatives include derivative assets of $10.0 billion and derivative liabilities of $7.0 billion.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(4) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(5) |
Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Nine Months Ended September 30, 2012 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2012
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance September 30 2012 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other (2)
|
$ |
6,880 |
|
$ |
192 |
|
$ |
— |
|
$ |
1,995 |
|
$ |
(3,498 |
) |
$ |
— |
|
$ |
(846 |
) |
$ |
315 |
|
$ |
(865 |
) |
$ |
4,173 |
|
Equity securities |
544 |
|
24 |
|
— |
|
167 |
|
(159 |
) |
— |
|
27 |
|
38 |
|
(68 |
) |
573 |
|
Non-U.S. sovereign debt |
342 |
|
5 |
|
— |
|
338 |
|
(359 |
) |
— |
|
(4 |
) |
— |
|
(19 |
) |
303 |
|
Mortgage trading loans and ABS (2)
|
3,689 |
|
194 |
|
— |
|
1,747 |
|
(915 |
) |
— |
|
(386 |
) |
745 |
|
(168 |
) |
4,906 |
|
Total trading account assets |
11,455 |
|
415 |
|
— |
|
4,247 |
|
(4,931 |
) |
— |
|
(1,209 |
) |
1,098 |
|
(1,120 |
) |
9,955 |
|
Net derivative assets (3)
|
5,866 |
|
17 |
|
— |
|
791 |
|
(833 |
) |
— |
|
(2,228 |
) |
(283 |
) |
(370 |
) |
2,960 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
|
Agency |
37 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(4 |
) |
— |
|
(33 |
) |
— |
|
Non-agency residential |
860 |
|
(69 |
) |
19 |
|
— |
|
(305 |
) |
— |
|
(2 |
) |
— |
|
(502 |
) |
1 |
|
Non-agency commercial |
40 |
|
— |
|
— |
|
— |
|
(11 |
) |
— |
|
(6 |
) |
— |
|
— |
|
23 |
|
Corporate/Agency bonds |
162 |
|
(2 |
) |
— |
|
(2 |
) |
— |
|
— |
|
(38 |
) |
— |
|
(27 |
) |
93 |
|
Other taxable securities |
4,265 |
|
7 |
|
51 |
|
1,558 |
|
— |
|
— |
|
(551 |
) |
— |
|
(209 |
) |
5,121 |
|
Tax-exempt securities |
2,648 |
|
61 |
|
18 |
|
— |
|
(132 |
) |
— |
|
(1,534 |
) |
— |
|
— |
|
1,061 |
|
Total AFS debt securities |
8,012 |
|
(3 |
) |
88 |
|
1,556 |
|
(448 |
) |
— |
|
(2,135 |
) |
— |
|
(771 |
) |
6,299 |
|
Loans and leases (4, 5)
|
2,744 |
|
284 |
|
— |
|
317 |
|
(1,308 |
) |
— |
|
(229 |
) |
450 |
|
(5 |
) |
2,253 |
|
Mortgage servicing rights (5)
|
7,378 |
|
(1,297 |
) |
— |
|
— |
|
(113 |
) |
268 |
|
(1,149 |
) |
— |
|
— |
|
5,087 |
|
Loans held-for-sale (4)
|
3,387 |
|
265 |
|
— |
|
606 |
|
(40 |
) |
— |
|
(330 |
) |
57 |
|
(632 |
) |
3,313 |
|
Other assets (6)
|
4,235 |
|
(110 |
) |
— |
|
89 |
|
(950 |
) |
— |
|
(275 |
) |
— |
|
(11 |
) |
2,978 |
|
Trading account liabilities – Corporate securities and other |
(114 |
) |
4 |
|
— |
|
72 |
|
(114 |
) |
— |
|
— |
|
(65 |
) |
52 |
|
(165 |
) |
Short-term borrowings (4)
|
— |
|
— |
|
— |
|
— |
|
— |
|
(232 |
) |
— |
|
— |
|
— |
|
(232 |
) |
Accrued expenses and other liabilities (4)
|
(14 |
) |
4 |
|
— |
|
5 |
|
— |
|
(7 |
) |
— |
|
— |
|
3 |
|
(9 |
) |
Long-term debt (4)
|
(2,943 |
) |
(239 |
) |
— |
|
188 |
|
(33 |
) |
(253 |
) |
1,099 |
|
(1,569 |
) |
1,460 |
|
(2,290 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase / (decrease) to Level 3 and for liabilities, (increase) / decrease to Level 3. |
|
|
(2) |
During the nine months ended September 30, 2012, approximately $900 million was reclassified from Trading account assets - Corporate securities, trading loans and other to Trading account assets - Mortgage trading loans and ABS. In the table above, this reclassification is presented as a sale of Trading account assets - Corporate securities, trading loans and other and a purchase of Trading account assets - Mortgage trading loans and ABS.
|
|
|
(3) |
Net derivatives include derivative assets of $10.0 billion and derivative liabilities of $7.0 billion.
|
|
|
(4) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
(5) |
Issuances represent loan originations and mortgage servicing rights retained following securitizations or whole loan sales. |
|
|
(6) |
Other assets is primarily comprised of net monoline exposure to a single counterparty and private equity investments. |
|