|
Fair Value Measurements (Tables)
|
9 Months Ended |
|
Sep. 30, 2014
|
| 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 September 30, 2014 and December 31, 2013, 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, 2014 |
|
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 |
$ |
— |
|
|
$ |
63,514 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
63,514 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities (3)
|
22,775 |
|
|
17,845 |
|
|
87 |
|
|
— |
|
|
40,707 |
|
Corporate securities, trading loans and other |
1,065 |
|
|
33,381 |
|
|
3,039 |
|
|
— |
|
|
37,485 |
|
Equity securities |
38,023 |
|
|
21,100 |
|
|
357 |
|
|
— |
|
|
59,480 |
|
Non-U.S. sovereign debt |
24,038 |
|
|
12,655 |
|
|
594 |
|
|
— |
|
|
37,287 |
|
Mortgage trading loans and ABS |
— |
|
|
11,640 |
|
|
1,890 |
|
|
— |
|
|
13,530 |
|
Total trading account assets |
85,901 |
|
|
96,621 |
|
|
5,967 |
|
|
— |
|
|
188,489 |
|
Derivative assets (4)
|
5,157 |
|
|
843,982 |
|
|
6,947 |
|
|
(806,993 |
) |
|
49,093 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
55,235 |
|
|
2,238 |
|
|
— |
|
|
— |
|
|
57,473 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
159,161 |
|
|
— |
|
|
— |
|
|
159,161 |
|
Agency-collateralized mortgage obligations |
— |
|
|
14,252 |
|
|
— |
|
|
— |
|
|
14,252 |
|
Non-agency residential |
— |
|
|
4,704 |
|
|
10 |
|
|
— |
|
|
4,714 |
|
Commercial |
— |
|
|
2,726 |
|
|
— |
|
|
— |
|
|
2,726 |
|
Non-U.S. securities |
3,467 |
|
|
2,993 |
|
|
190 |
|
|
— |
|
|
6,650 |
|
Corporate/Agency bonds |
— |
|
|
601 |
|
|
93 |
|
|
— |
|
|
694 |
|
Other taxable securities |
20 |
|
|
9,998 |
|
|
2,056 |
|
|
— |
|
|
12,074 |
|
Tax-exempt securities |
— |
|
|
8,482 |
|
|
614 |
|
|
— |
|
|
9,096 |
|
Total AFS debt securities |
58,722 |
|
|
205,155 |
|
|
2,963 |
|
|
— |
|
|
266,840 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
3,180 |
|
|
— |
|
|
— |
|
|
— |
|
|
3,180 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
15,711 |
|
|
— |
|
|
— |
|
|
15,711 |
|
Non-agency residential |
— |
|
|
3,717 |
|
|
— |
|
|
— |
|
|
3,717 |
|
Commercial |
— |
|
|
787 |
|
|
— |
|
|
— |
|
|
787 |
|
Non-U.S. securities |
15,533 |
|
|
1,872 |
|
|
— |
|
|
— |
|
|
17,405 |
|
Other taxable securities |
— |
|
|
309 |
|
|
— |
|
|
— |
|
|
309 |
|
Total other debt securities carried at fair value |
18,713 |
|
|
22,396 |
|
|
— |
|
|
— |
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|
41,109 |
|
Loans and leases |
— |
|
|
6,141 |
|
|
2,042 |
|
|
— |
|
|
8,183 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
4,243 |
|
|
— |
|
|
4,243 |
|
Loans held-for-sale |
— |
|
|
5,282 |
|
|
173 |
|
|
— |
|
|
5,455 |
|
Other assets |
9,873 |
|
|
1,922 |
|
|
931 |
|
|
— |
|
|
12,726 |
|
Total assets |
$ |
178,366 |
|
|
$ |
1,245,013 |
|
|
$ |
23,266 |
|
|
$ |
(806,993 |
) |
|
$ |
639,652 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,520 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,520 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
30,304 |
|
|
— |
|
|
— |
|
|
30,304 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
21,563 |
|
|
208 |
|
|
— |
|
|
— |
|
|
21,771 |
|
Equity securities |
24,728 |
|
|
2,699 |
|
|
— |
|
|
— |
|
|
27,427 |
|
Non-U.S. sovereign debt |
18,385 |
|
|
1,704 |
|
|
— |
|
|
— |
|
|
20,089 |
|
Corporate securities and other |
930 |
|
|
6,621 |
|
|
26 |
|
|
— |
|
|
7,577 |
|
Mortgage trading loans and ABS |
— |
|
|
3 |
|
|
— |
|
|
— |
|
|
3 |
|
Total trading account liabilities |
65,606 |
|
|
11,235 |
|
|
26 |
|
|
— |
|
|
76,867 |
|
Derivative liabilities (4)
|
5,043 |
|
|
835,381 |
|
|
7,480 |
|
|
(803,666 |
) |
|
44,238 |
|
Short-term borrowings |
— |
|
|
2,418 |
|
|
— |
|
|
— |
|
|
2,418 |
|
Accrued expenses and other liabilities |
9,850 |
|
|
1,117 |
|
|
8 |
|
|
— |
|
|
10,975 |
|
Long-term debt |
— |
|
|
37,699 |
|
|
2,349 |
|
|
— |
|
|
40,048 |
|
Total liabilities |
$ |
80,499 |
|
|
$ |
919,674 |
|
|
$ |
9,863 |
|
|
$ |
(803,666 |
) |
|
$ |
206,370 |
|
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|
(1) |
During the nine months ended September 30, 2014, approximately $3.3 billion of assets were transferred from Level 1 to Level 2 as a result of additional information related to U.S. government and agency securities and non-U.S. government securities.
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|
|
(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(3) |
Includes $17.6 billion of government-sponsored enterprise obligations.
|
|
|
(4) |
For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
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|
December 31, 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 |
$ |
— |
|
|
$ |
75,614 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
75,614 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities (3)
|
34,222 |
|
|
14,625 |
|
|
— |
|
|
— |
|
|
48,847 |
|
Corporate securities, trading loans and other |
1,147 |
|
|
27,746 |
|
|
3,559 |
|
|
— |
|
|
32,452 |
|
Equity securities |
41,324 |
|
|
22,741 |
|
|
386 |
|
|
— |
|
|
64,451 |
|
Non-U.S. sovereign debt |
24,357 |
|
|
12,399 |
|
|
468 |
|
|
— |
|
|
37,224 |
|
Mortgage trading loans and ABS |
— |
|
|
13,388 |
|
|
4,631 |
|
|
— |
|
|
18,019 |
|
Total trading account assets |
101,050 |
|
|
90,899 |
|
|
9,044 |
|
|
— |
|
|
200,993 |
|
Derivative assets (4)
|
2,374 |
|
|
910,602 |
|
|
7,277 |
|
|
(872,758 |
) |
|
47,495 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
6,591 |
|
|
2,363 |
|
|
— |
|
|
— |
|
|
8,954 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
164,935 |
|
|
— |
|
|
— |
|
|
164,935 |
|
Agency-collateralized mortgage obligations |
— |
|
|
22,492 |
|
|
— |
|
|
— |
|
|
22,492 |
|
Non-agency residential |
— |
|
|
6,239 |
|
|
— |
|
|
— |
|
|
6,239 |
|
Commercial |
— |
|
|
2,480 |
|
|
— |
|
|
— |
|
|
2,480 |
|
Non-U.S. securities |
3,698 |
|
|
3,415 |
|
|
107 |
|
|
— |
|
|
7,220 |
|
Corporate/Agency bonds |
— |
|
|
873 |
|
|
— |
|
|
— |
|
|
873 |
|
Other taxable securities |
20 |
|
|
12,963 |
|
|
3,847 |
|
|
— |
|
|
16,830 |
|
Tax-exempt securities |
— |
|
|
5,122 |
|
|
806 |
|
|
— |
|
|
5,928 |
|
Total AFS debt securities |
10,309 |
|
|
220,882 |
|
|
4,760 |
|
|
— |
|
|
235,951 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
4,062 |
|
|
— |
|
|
— |
|
|
— |
|
|
4,062 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
16,500 |
|
|
— |
|
|
— |
|
|
16,500 |
|
Agency-collateralized mortgage obligations |
— |
|
|
218 |
|
|
— |
|
|
— |
|
|
218 |
|
Commercial |
— |
|
|
749 |
|
|
— |
|
|
— |
|
|
749 |
|
Non-U.S. securities |
7,457 |
|
|
3,858 |
|
|
— |
|
|
— |
|
|
11,315 |
|
Total other debt securities carried at fair value |
11,519 |
|
|
21,325 |
|
|
— |
|
|
— |
|
|
32,844 |
|
Loans and leases |
— |
|
|
6,985 |
|
|
3,057 |
|
|
— |
|
|
10,042 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
5,042 |
|
|
— |
|
|
5,042 |
|
Loans held-for-sale |
— |
|
|
5,727 |
|
|
929 |
|
|
— |
|
|
6,656 |
|
Other assets |
14,474 |
|
|
1,912 |
|
|
1,669 |
|
|
— |
|
|
18,055 |
|
Total assets |
$ |
139,726 |
|
|
$ |
1,333,946 |
|
|
$ |
31,778 |
|
|
$ |
(872,758 |
) |
|
$ |
632,692 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,899 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,899 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
33,684 |
|
|
— |
|
|
— |
|
|
33,684 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
26,915 |
|
|
348 |
|
|
— |
|
|
— |
|
|
27,263 |
|
Equity securities |
23,874 |
|
|
3,711 |
|
|
— |
|
|
— |
|
|
27,585 |
|
Non-U.S. sovereign debt |
20,755 |
|
|
1,387 |
|
|
— |
|
|
— |
|
|
22,142 |
|
Corporate securities and other |
518 |
|
|
5,926 |
|
|
35 |
|
|
— |
|
|
6,479 |
|
Total trading account liabilities |
72,062 |
|
|
11,372 |
|
|
35 |
|
|
— |
|
|
83,469 |
|
Derivative liabilities (4)
|
1,968 |
|
|
897,107 |
|
|
7,301 |
|
|
(868,969 |
) |
|
37,407 |
|
Short-term borrowings |
— |
|
|
1,520 |
|
|
— |
|
|
— |
|
|
1,520 |
|
Accrued expenses and other liabilities |
10,130 |
|
|
1,093 |
|
|
10 |
|
|
— |
|
|
11,233 |
|
Long-term debt |
— |
|
|
45,045 |
|
|
1,990 |
|
|
— |
|
|
47,035 |
|
Total liabilities |
$ |
84,160 |
|
|
$ |
991,720 |
|
|
$ |
9,336 |
|
|
$ |
(868,969 |
) |
|
$ |
216,247 |
|
|
|
(1) |
During 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 that was subsequently sold once the restriction was lifted.
|
|
|
(2) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(3) |
Includes $15.6 billion of government-sponsored enterprise obligations.
|
|
|
(4) |
For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
|
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
|
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|
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|
|
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 net monoline exposure to a single counterparty and private equity investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Nine Months Ended September 30, 2014 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2014
|
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
2014 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
Corporate securities, trading loans and other |
3,559 |
|
213 |
|
— |
|
1,129 |
|
(693 |
) |
— |
|
(700 |
) |
929 |
|
(1,398 |
) |
3,039 |
|
Equity securities |
386 |
|
14 |
|
— |
|
95 |
|
(64 |
) |
— |
|
(15 |
) |
72 |
|
(131 |
) |
357 |
|
Non-U.S. sovereign debt |
468 |
|
59 |
|
— |
|
120 |
|
(34 |
) |
— |
|
(17 |
) |
— |
|
(2 |
) |
594 |
|
Mortgage trading loans and ABS |
4,631 |
|
222 |
|
— |
|
1,203 |
|
(1,084 |
) |
— |
|
(524 |
) |
25 |
|
(2,583 |
) |
1,890 |
|
Total trading account assets |
9,044 |
|
508 |
|
— |
|
2,634 |
|
(1,875 |
) |
— |
|
(1,256 |
) |
1,026 |
|
(4,114 |
) |
5,967 |
|
Net derivative assets (2)
|
(24 |
) |
44 |
|
— |
|
653 |
|
(1,356 |
) |
— |
|
(131 |
) |
(97 |
) |
378 |
|
(533 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
(1 |
) |
— |
|
11 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
Non-U.S. securities |
107 |
|
— |
|
(11 |
) |
228 |
|
— |
|
— |
|
(134 |
) |
— |
|
— |
|
190 |
|
Corporate/Agency bonds |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
93 |
|
— |
|
93 |
|
Other taxable securities |
3,847 |
|
9 |
|
(5 |
) |
133 |
|
— |
|
— |
|
(974 |
) |
— |
|
(954 |
) |
2,056 |
|
Tax-exempt securities |
806 |
|
8 |
|
1 |
|
— |
|
(16 |
) |
— |
|
(221 |
) |
36 |
|
— |
|
614 |
|
Total AFS debt securities |
4,760 |
|
16 |
|
(15 |
) |
372 |
|
(16 |
) |
— |
|
(1,329 |
) |
129 |
|
(954 |
) |
2,963 |
|
Loans and leases (3, 4)
|
3,057 |
|
71 |
|
— |
|
— |
|
(3 |
) |
699 |
|
(1,538 |
) |
20 |
|
(264 |
) |
2,042 |
|
Mortgage servicing rights (4)
|
5,042 |
|
(634 |
) |
— |
|
— |
|
(47 |
) |
581 |
|
(699 |
) |
— |
|
— |
|
4,243 |
|
Loans held-for-sale (3)
|
929 |
|
57 |
|
— |
|
53 |
|
(725 |
) |
— |
|
(213 |
) |
81 |
|
(9 |
) |
173 |
|
Other assets (5)
|
1,669 |
|
(71 |
) |
— |
|
— |
|
(420 |
) |
— |
|
(237 |
) |
3 |
|
(13 |
) |
931 |
|
Trading account liabilities – Corporate securities and other |
(35 |
) |
1 |
|
— |
|
13 |
|
(7 |
) |
— |
|
— |
|
— |
|
2 |
|
(26 |
) |
Accrued expenses and other liabilities (3)
|
(10 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
(8 |
) |
Long-term debt (3)
|
(1,990 |
) |
4 |
|
— |
|
153 |
|
— |
|
(496 |
) |
404 |
|
(1,199 |
) |
775 |
|
(2,349 |
) |
|
|
(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 $6.9 billion and derivative liabilities of $7.5 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 and certain long-term fixed-rate margin loans that are accounted for under the fair value option. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 net monoline exposure to a single counterparty and private equity investments. |
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, 2014 and 2013, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended September 30, 2014 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
July 1
2014
|
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
2014 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
Corporate securities, trading loans and other |
2,772 |
|
50 |
|
— |
|
451 |
|
(252 |
) |
— |
|
(191 |
) |
532 |
|
(323 |
) |
3,039 |
|
Equity securities |
356 |
|
2 |
|
— |
|
49 |
|
(31 |
) |
— |
|
(15 |
) |
56 |
|
(60 |
) |
357 |
|
Non-U.S. sovereign debt |
640 |
|
(28 |
) |
— |
|
21 |
|
(28 |
) |
— |
|
(11 |
) |
— |
|
— |
|
594 |
|
Mortgage trading loans and ABS |
4,311 |
|
21 |
|
— |
|
384 |
|
(270 |
) |
— |
|
(63 |
) |
25 |
|
(2,518 |
) |
1,890 |
|
Total trading account assets |
8,079 |
|
45 |
|
— |
|
992 |
|
(581 |
) |
— |
|
(280 |
) |
613 |
|
(2,901 |
) |
5,967 |
|
Net derivative assets (2)
|
(796 |
) |
241 |
|
— |
|
339 |
|
(372 |
) |
— |
|
115 |
|
(138 |
) |
78 |
|
(533 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
(1 |
) |
— |
|
11 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
Non-U.S. securities |
— |
|
— |
|
(11 |
) |
228 |
|
— |
|
— |
|
(27 |
) |
— |
|
— |
|
190 |
|
Corporate/Agency bonds |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
93 |
|
— |
|
93 |
|
Other taxable securities |
3,266 |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
(257 |
) |
— |
|
(954 |
) |
2,056 |
|
Tax-exempt securities |
735 |
|
5 |
|
(3 |
) |
— |
|
(16 |
) |
— |
|
(142 |
) |
35 |
|
— |
|
614 |
|
Total AFS debt securities |
4,001 |
|
5 |
|
(14 |
) |
239 |
|
(16 |
) |
— |
|
(426 |
) |
128 |
|
(954 |
) |
2,963 |
|
Loans and leases (3, 4)
|
3,018 |
|
12 |
|
— |
|
— |
|
— |
|
10 |
|
(757 |
) |
7 |
|
(248 |
) |
2,042 |
|
Mortgage servicing rights (4)
|
4,368 |
|
(95 |
) |
— |
|
— |
|
(1 |
) |
203 |
|
(232 |
) |
— |
|
— |
|
4,243 |
|
Loans held-for-sale (3)
|
110 |
|
(14 |
) |
— |
|
29 |
|
(11 |
) |
— |
|
(1 |
) |
67 |
|
(7 |
) |
173 |
|
Other assets (5)
|
972 |
|
15 |
|
— |
|
— |
|
(39 |
) |
— |
|
(7 |
) |
3 |
|
(13 |
) |
931 |
|
Trading account liabilities – Corporate securities and other |
(27 |
) |
— |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(26 |
) |
Accrued expenses and other liabilities (3)
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(8 |
) |
Long-term debt (3)
|
(2,416 |
) |
123 |
|
— |
|
50 |
|
— |
|
(445 |
) |
168 |
|
(379 |
) |
550 |
|
(2,349 |
) |
|
|
(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 $6.9 billion and derivative liabilities of $7.5 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 and certain long-term fixed-rate margin loans that are accounted for under the fair value option. |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Nine Months Ended September 30, 2014 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2014
|
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
2014 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
Corporate securities, trading loans and other |
3,559 |
|
213 |
|
— |
|
1,129 |
|
(693 |
) |
— |
|
(700 |
) |
929 |
|
(1,398 |
) |
3,039 |
|
Equity securities |
386 |
|
14 |
|
— |
|
95 |
|
(64 |
) |
— |
|
(15 |
) |
72 |
|
(131 |
) |
357 |
|
Non-U.S. sovereign debt |
468 |
|
59 |
|
— |
|
120 |
|
(34 |
) |
— |
|
(17 |
) |
— |
|
(2 |
) |
594 |
|
Mortgage trading loans and ABS |
4,631 |
|
222 |
|
— |
|
1,203 |
|
(1,084 |
) |
— |
|
(524 |
) |
25 |
|
(2,583 |
) |
1,890 |
|
Total trading account assets |
9,044 |
|
508 |
|
— |
|
2,634 |
|
(1,875 |
) |
— |
|
(1,256 |
) |
1,026 |
|
(4,114 |
) |
5,967 |
|
Net derivative assets (2)
|
(24 |
) |
44 |
|
— |
|
653 |
|
(1,356 |
) |
— |
|
(131 |
) |
(97 |
) |
378 |
|
(533 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
(1 |
) |
— |
|
11 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
Non-U.S. securities |
107 |
|
— |
|
(11 |
) |
228 |
|
— |
|
— |
|
(134 |
) |
— |
|
— |
|
190 |
|
Corporate/Agency bonds |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
93 |
|
— |
|
93 |
|
Other taxable securities |
3,847 |
|
9 |
|
(5 |
) |
133 |
|
— |
|
— |
|
(974 |
) |
— |
|
(954 |
) |
2,056 |
|
Tax-exempt securities |
806 |
|
8 |
|
1 |
|
— |
|
(16 |
) |
— |
|
(221 |
) |
36 |
|
— |
|
614 |
|
Total AFS debt securities |
4,760 |
|
16 |
|
(15 |
) |
372 |
|
(16 |
) |
— |
|
(1,329 |
) |
129 |
|
(954 |
) |
2,963 |
|
Loans and leases (3, 4)
|
3,057 |
|
71 |
|
— |
|
— |
|
(3 |
) |
699 |
|
(1,538 |
) |
20 |
|
(264 |
) |
2,042 |
|
Mortgage servicing rights (4)
|
5,042 |
|
(634 |
) |
— |
|
— |
|
(47 |
) |
581 |
|
(699 |
) |
— |
|
— |
|
4,243 |
|
Loans held-for-sale (3)
|
929 |
|
57 |
|
— |
|
53 |
|
(725 |
) |
— |
|
(213 |
) |
81 |
|
(9 |
) |
173 |
|
Other assets (5)
|
1,669 |
|
(71 |
) |
— |
|
— |
|
(420 |
) |
— |
|
(237 |
) |
3 |
|
(13 |
) |
931 |
|
Trading account liabilities – Corporate securities and other |
(35 |
) |
1 |
|
— |
|
13 |
|
(7 |
) |
— |
|
— |
|
— |
|
2 |
|
(26 |
) |
Accrued expenses and other liabilities (3)
|
(10 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
1 |
|
(8 |
) |
Long-term debt (3)
|
(1,990 |
) |
4 |
|
— |
|
153 |
|
— |
|
(496 |
) |
404 |
|
(1,199 |
) |
775 |
|
(2,349 |
) |
|
|
(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 $6.9 billion and derivative liabilities of $7.5 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 and certain long-term fixed-rate margin loans that are accounted for under the fair value option. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 net monoline exposure to a single counterparty and private equity investments. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 net monoline exposure to a single counterparty and private equity investments. |
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, 2014 and 2013, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended September 30, 2014 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
July 1
2014
|
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
2014 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
— |
|
$ |
87 |
|
Corporate securities, trading loans and other |
2,772 |
|
50 |
|
— |
|
451 |
|
(252 |
) |
— |
|
(191 |
) |
532 |
|
(323 |
) |
3,039 |
|
Equity securities |
356 |
|
2 |
|
— |
|
49 |
|
(31 |
) |
— |
|
(15 |
) |
56 |
|
(60 |
) |
357 |
|
Non-U.S. sovereign debt |
640 |
|
(28 |
) |
— |
|
21 |
|
(28 |
) |
— |
|
(11 |
) |
— |
|
— |
|
594 |
|
Mortgage trading loans and ABS |
4,311 |
|
21 |
|
— |
|
384 |
|
(270 |
) |
— |
|
(63 |
) |
25 |
|
(2,518 |
) |
1,890 |
|
Total trading account assets |
8,079 |
|
45 |
|
— |
|
992 |
|
(581 |
) |
— |
|
(280 |
) |
613 |
|
(2,901 |
) |
5,967 |
|
Net derivative assets (2)
|
(796 |
) |
241 |
|
— |
|
339 |
|
(372 |
) |
— |
|
115 |
|
(138 |
) |
78 |
|
(533 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
(1 |
) |
— |
|
11 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
10 |
|
Non-U.S. securities |
— |
|
— |
|
(11 |
) |
228 |
|
— |
|
— |
|
(27 |
) |
— |
|
— |
|
190 |
|
Corporate/Agency bonds |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
93 |
|
— |
|
93 |
|
Other taxable securities |
3,266 |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
(257 |
) |
— |
|
(954 |
) |
2,056 |
|
Tax-exempt securities |
735 |
|
5 |
|
(3 |
) |
— |
|
(16 |
) |
— |
|
(142 |
) |
35 |
|
— |
|
614 |
|
Total AFS debt securities |
4,001 |
|
5 |
|
(14 |
) |
239 |
|
(16 |
) |
— |
|
(426 |
) |
128 |
|
(954 |
) |
2,963 |
|
Loans and leases (3, 4)
|
3,018 |
|
12 |
|
— |
|
— |
|
— |
|
10 |
|
(757 |
) |
7 |
|
(248 |
) |
2,042 |
|
Mortgage servicing rights (4)
|
4,368 |
|
(95 |
) |
— |
|
— |
|
(1 |
) |
203 |
|
(232 |
) |
— |
|
— |
|
4,243 |
|
Loans held-for-sale (3)
|
110 |
|
(14 |
) |
— |
|
29 |
|
(11 |
) |
— |
|
(1 |
) |
67 |
|
(7 |
) |
173 |
|
Other assets (5)
|
972 |
|
15 |
|
— |
|
— |
|
(39 |
) |
— |
|
(7 |
) |
3 |
|
(13 |
) |
931 |
|
Trading account liabilities – Corporate securities and other |
(27 |
) |
— |
|
— |
|
1 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(26 |
) |
Accrued expenses and other liabilities (3)
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(8 |
) |
Long-term debt (3)
|
(2,416 |
) |
123 |
|
— |
|
50 |
|
— |
|
(445 |
) |
168 |
|
(379 |
) |
550 |
|
(2,349 |
) |
|
|
(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 $6.9 billion and derivative liabilities of $7.5 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 and certain long-term fixed-rate margin loans that are accounted for under the fair value option. |
|
| Fair Value, Measured on Recurring Basis, Gain (Loss) Included in Earnings |
The following tables summarize gains (losses) due to changes in fair value, including both realized and unrealized gains (losses), recorded in earnings for Level 3 assets and liabilities during the three and nine months ended September 30, 2014 and 2013. These amounts include gains (losses) on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings |
|
Three Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other (2)
|
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
50 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
50 |
|
Equity securities |
2 |
|
|
— |
|
|
— |
|
|
2 |
|
Non-U.S. sovereign debt |
(28 |
) |
|
— |
|
|
— |
|
|
(28 |
) |
Mortgage trading loans and ABS |
21 |
|
|
— |
|
|
— |
|
|
21 |
|
Total trading account assets |
45 |
|
|
— |
|
|
— |
|
|
45 |
|
Net derivative assets |
72 |
|
|
169 |
|
|
— |
|
|
241 |
|
AFS debt securities: |
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
|
— |
|
|
(1 |
) |
|
(1 |
) |
Other taxable securities |
— |
|
|
— |
|
|
1 |
|
|
1 |
|
Tax-exempt securities |
— |
|
|
— |
|
|
5 |
|
|
5 |
|
Total AFS debt securities |
— |
|
|
— |
|
|
5 |
|
|
5 |
|
Loans and leases (3)
|
— |
|
|
— |
|
|
12 |
|
|
12 |
|
Mortgage servicing rights |
(9 |
) |
|
(86 |
) |
|
— |
|
|
(95 |
) |
Loans held-for-sale (3)
|
(2 |
) |
|
— |
|
|
(12 |
) |
|
(14 |
) |
Other assets |
— |
|
|
16 |
|
|
(1 |
) |
|
15 |
|
Long-term debt (3)
|
96 |
|
|
— |
|
|
27 |
|
|
123 |
|
Total |
$ |
202 |
|
|
$ |
99 |
|
|
$ |
31 |
|
|
$ |
332 |
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2013 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
133 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
133 |
|
Equity securities |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
Non-U.S. sovereign debt |
11 |
|
|
— |
|
|
— |
|
|
11 |
|
Mortgage trading loans and ABS |
(7 |
) |
|
— |
|
|
— |
|
|
(7 |
) |
Total trading account assets |
141 |
|
|
— |
|
|
— |
|
|
141 |
|
Net derivative assets |
(727 |
) |
|
228 |
|
|
— |
|
|
(499 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
Non-U.S. securities |
— |
|
|
— |
|
|
5 |
|
|
5 |
|
Other taxable securities |
— |
|
|
— |
|
|
2 |
|
|
2 |
|
Tax-exempt securities |
— |
|
|
— |
|
|
2 |
|
|
2 |
|
Total AFS debt securities |
— |
|
|
— |
|
|
9 |
|
|
9 |
|
Loans and leases (3)
|
— |
|
|
(38 |
) |
|
18 |
|
|
(20 |
) |
Mortgage servicing rights |
— |
|
|
71 |
|
|
— |
|
|
71 |
|
Loans held-for-sale (3)
|
— |
|
|
— |
|
|
40 |
|
|
40 |
|
Other assets |
— |
|
|
— |
|
|
3 |
|
|
3 |
|
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Accrued expenses and other liabilities (3)
|
— |
|
|
8 |
|
|
— |
|
|
8 |
|
Long-term debt (3)
|
(31 |
) |
|
— |
|
|
(31 |
) |
|
(62 |
) |
Total |
$ |
(616 |
) |
|
$ |
269 |
|
|
$ |
39 |
|
|
$ |
(308 |
) |
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
Amounts included are primarily recorded in other income (loss). Equity investment gains of $1 million and $16 million recorded on other assets were also included for the three months ended September 30, 2014 and 2013.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings |
|
Nine Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other (2)
|
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
213 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
213 |
|
Equity securities |
14 |
|
|
— |
|
|
— |
|
|
14 |
|
Non-U.S. sovereign debt |
59 |
|
|
— |
|
|
— |
|
|
59 |
|
Mortgage trading loans and ABS |
222 |
|
|
— |
|
|
— |
|
|
222 |
|
Total trading account assets |
508 |
|
|
— |
|
|
— |
|
|
508 |
|
Net derivative assets |
(523 |
) |
|
567 |
|
|
— |
|
|
44 |
|
AFS debt securities: |
|
|
|
|
|
|
|
Non-agency residential MBS |
— |
|
|
— |
|
|
(1 |
) |
|
(1 |
) |
Other taxable securities |
— |
|
|
— |
|
|
9 |
|
|
9 |
|
Tax-exempt securities |
— |
|
|
— |
|
|
8 |
|
|
8 |
|
Total AFS debt securities |
— |
|
|
— |
|
|
16 |
|
|
16 |
|
Loans and leases (3)
|
— |
|
|
— |
|
|
71 |
|
|
71 |
|
Mortgage servicing rights |
3 |
|
|
(637 |
) |
|
— |
|
|
(634 |
) |
Loans held-for-sale (3)
|
(2 |
) |
|
— |
|
|
59 |
|
|
57 |
|
Other assets |
— |
|
|
(49 |
) |
|
(22 |
) |
|
(71 |
) |
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Accrued expenses and other liabilities (3)
|
— |
|
|
— |
|
|
1 |
|
|
1 |
|
Long-term debt (3)
|
32 |
|
|
— |
|
|
(28 |
) |
|
4 |
|
Total |
$ |
19 |
|
|
$ |
(119 |
) |
|
$ |
97 |
|
|
$ |
(3 |
) |
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2013 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
256 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
256 |
|
Equity securities |
54 |
|
|
— |
|
|
— |
|
|
54 |
|
Non-U.S. sovereign debt |
56 |
|
|
— |
|
|
— |
|
|
56 |
|
Mortgage trading loans and ABS |
165 |
|
|
— |
|
|
— |
|
|
165 |
|
Total trading account assets |
531 |
|
|
— |
|
|
— |
|
|
531 |
|
Net derivative assets |
(581 |
) |
|
767 |
|
|
— |
|
|
186 |
|
AFS debt securities: |
|
|
|
|
|
|
|
Non-U.S. securities |
— |
|
|
— |
|
|
5 |
|
|
5 |
|
Other taxable securities |
— |
|
|
— |
|
|
5 |
|
|
5 |
|
Tax-exempt securities |
— |
|
|
— |
|
|
3 |
|
|
3 |
|
Total AFS debt securities |
— |
|
|
— |
|
|
13 |
|
|
13 |
|
Loans and leases (3)
|
— |
|
|
(38 |
) |
|
118 |
|
|
80 |
|
Mortgage servicing rights |
— |
|
|
1,531 |
|
|
— |
|
|
1,531 |
|
Loans held-for-sale (3)
|
— |
|
|
2 |
|
|
18 |
|
|
20 |
|
Other assets |
— |
|
|
124 |
|
|
(448 |
) |
|
(324 |
) |
Trading account liabilities – Corporate securities and other |
7 |
|
|
— |
|
|
— |
|
|
7 |
|
Accrued expenses and other liabilities (3)
|
— |
|
|
30 |
|
|
— |
|
|
30 |
|
Long-term debt (3)
|
49 |
|
|
— |
|
|
(8 |
) |
|
41 |
|
Total |
$ |
6 |
|
|
$ |
2,416 |
|
|
$ |
(307 |
) |
|
$ |
2,115 |
|
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
Amounts included are primarily recorded in other income (loss). Equity investment losses of $20 million and gains of $52 million recorded on other assets were also included for the nine months ended September 30, 2014 and 2013.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
| Level 3 Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date |
The following tables summarize changes in unrealized gains (losses) recorded in earnings during the three and nine months ended September 30, 2014 and 2013 for Level 3 assets and liabilities that were still held at September 30, 2014 and 2013. These amounts include changes in fair value on loans, LHFS, loan commitments and structured liabilities that are accounted for under the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date |
|
Three Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other (2)
|
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
14 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
14 |
|
Equity securities |
12 |
|
|
— |
|
|
— |
|
|
12 |
|
Non-U.S. sovereign debt |
(28 |
) |
|
— |
|
|
— |
|
|
(28 |
) |
Mortgage trading loans and ABS |
(14 |
) |
|
— |
|
|
— |
|
|
(14 |
) |
Total trading account assets |
(16 |
) |
|
— |
|
|
— |
|
|
(16 |
) |
Net derivative assets |
36 |
|
|
59 |
|
|
— |
|
|
95 |
|
Loans and leases (3)
|
— |
|
|
— |
|
|
10 |
|
|
10 |
|
Mortgage servicing rights |
(9 |
) |
|
(195 |
) |
|
— |
|
|
(204 |
) |
Loans held-for-sale (3)
|
(2 |
) |
|
— |
|
|
1 |
|
|
(1 |
) |
Other assets |
— |
|
|
22 |
|
|
1 |
|
|
23 |
|
Long-term debt (3)
|
96 |
|
|
— |
|
|
27 |
|
|
123 |
|
Total |
$ |
105 |
|
|
$ |
(114 |
) |
|
$ |
39 |
|
|
$ |
30 |
|
|
|
|
|
|
|
|
|
|
Three Months Ended September 30, 2013 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
(6 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(6 |
) |
Equity securities |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
Non-U.S. sovereign debt |
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Mortgage trading loans and ABS |
(55 |
) |
|
— |
|
|
— |
|
|
(55 |
) |
Total trading account assets |
(52 |
) |
|
— |
|
|
— |
|
|
(52 |
) |
Net derivative assets |
(754 |
) |
|
91 |
|
|
— |
|
|
(663 |
) |
Loans and leases (3)
|
— |
|
|
(35 |
) |
|
27 |
|
|
(8 |
) |
Mortgage servicing rights |
— |
|
|
(14 |
) |
|
— |
|
|
(14 |
) |
Loans held-for-sale (3)
|
— |
|
|
— |
|
|
35 |
|
|
35 |
|
Other assets |
— |
|
|
11 |
|
|
4 |
|
|
15 |
|
Long-term debt (3)
|
(31 |
) |
|
— |
|
|
(31 |
) |
|
(62 |
) |
Total |
$ |
(837 |
) |
|
$ |
53 |
|
|
$ |
35 |
|
|
$ |
(749 |
) |
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
Amounts included are primarily recorded in other income (loss). Equity investment gains of $5 million and $17 million recorded on other assets were also included for the three months ended September 30, 2014 and 2013.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Changes in Unrealized Gains (Losses) Relating to Assets and Liabilities Still Held at Reporting Date |
|
Nine Months Ended September 30, 2014 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other (2)
|
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
165 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
165 |
|
Equity securities |
17 |
|
|
— |
|
|
— |
|
|
17 |
|
Non-U.S. sovereign debt |
74 |
|
|
— |
|
|
— |
|
|
74 |
|
Mortgage trading loans and ABS |
130 |
|
|
— |
|
|
— |
|
|
130 |
|
Total trading account assets |
386 |
|
|
— |
|
|
— |
|
|
386 |
|
Net derivative assets |
(464 |
) |
|
61 |
|
|
— |
|
|
(403 |
) |
Loans and leases (3)
|
— |
|
|
— |
|
|
69 |
|
|
69 |
|
Mortgage servicing rights |
3 |
|
|
(1,071 |
) |
|
— |
|
|
(1,068 |
) |
Loans held-for-sale (3)
|
9 |
|
|
— |
|
|
9 |
|
|
18 |
|
Other assets |
— |
|
|
(28 |
) |
|
36 |
|
|
8 |
|
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Long-term debt (3)
|
30 |
|
|
— |
|
|
(36 |
) |
|
(6 |
) |
Total |
$ |
(35 |
) |
|
$ |
(1,038 |
) |
|
$ |
78 |
|
|
$ |
(995 |
) |
|
|
|
|
|
|
|
|
|
Nine Months Ended September 30, 2013 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
48 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
48 |
|
Equity securities |
26 |
|
|
— |
|
|
— |
|
|
26 |
|
Non-U.S. sovereign debt |
70 |
|
|
— |
|
|
— |
|
|
70 |
|
Mortgage trading loans and ABS |
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Total trading account assets |
149 |
|
|
— |
|
|
— |
|
|
149 |
|
Net derivative assets |
(853 |
) |
|
92 |
|
|
— |
|
|
(761 |
) |
Loans and leases (3)
|
— |
|
|
(35 |
) |
|
133 |
|
|
98 |
|
Mortgage servicing rights |
— |
|
|
1,276 |
|
|
— |
|
|
1,276 |
|
Loans held-for-sale (3)
|
— |
|
|
6 |
|
|
25 |
|
|
31 |
|
Other assets |
— |
|
|
159 |
|
|
(28 |
) |
|
131 |
|
Long-term debt (3)
|
6 |
|
|
— |
|
|
(9 |
) |
|
(3 |
) |
Total |
$ |
(698 |
) |
|
$ |
1,498 |
|
|
$ |
121 |
|
|
$ |
921 |
|
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
Amounts included are primarily recorded in other income (loss). Equity investment gains of $37 million and $23 million recorded on other assets were also included for the nine months ended September 30, 2014 and 2013.
|
|
|
(3) |
Amounts represent instruments that are accounted for under the fair value option. |
|
| 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 September 30, 2014 and December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2014 |
|
(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 |
$ |
2,534 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
|
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
348 |
|
Prepayment speed |
0% to 35% CPR |
|
13 |
% |
Loans and leases |
2,013 |
|
Default rate |
1% to 15% CDR |
|
7 |
% |
Loans held-for-sale |
173 |
|
Loss severity |
19% to 100% |
|
30 |
% |
Commercial loans, debt securities and other |
$ |
6,668 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 79% |
|
9 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,943 |
|
Enterprise value/EBITDA multiple |
1x to 20x |
|
7x |
|
Trading account assets – Non-U.S. sovereign debt |
594 |
|
Prepayment speed |
5% to 40% |
|
17 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,542 |
|
Default rate |
1% to 5% |
|
4 |
% |
AFS debt securities – Other taxable securities |
1,560 |
|
Loss severity |
25% to 40% |
|
37 |
% |
Loans and leases |
29 |
|
Duration |
0 years to 5 years |
|
3 years |
|
|
|
Price |
$0 to $105 |
|
$70 |
Auction rate securities |
$ |
1,206 |
|
Discounted cash flow, Market comparables |
Price |
$60 to $100 |
|
$96 |
Trading account assets – Corporate securities, trading loans and other |
96 |
|
|
|
AFS debt securities – Other taxable securities |
496 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
614 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(2,349 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
17% to 98% |
|
64 |
% |
|
|
Long-dated equity volatilities |
5% to 68% |
|
25 |
% |
|
|
Long-dated volatilities (IR) |
0% to 2% |
|
1 |
% |
Net derivatives assets |
|
|
|
|
|
Credit derivatives |
$ |
126 |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
0% to 25% |
|
11 |
% |
|
|
Upfront points |
1 points to 100 points |
|
66 points |
|
|
|
Spread to index |
25 bps to 475 bps |
|
159 bps |
|
|
|
Credit correlation |
23% to 99% |
|
52 |
% |
|
|
Prepayment speed |
0% to 20% CPR |
|
10 |
% |
|
|
Default rate |
4% CDR |
|
n/a |
|
|
|
Loss severity |
35 |
% |
n/a |
|
Equity derivatives |
$ |
(1,377 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
17% to 98% |
|
64 |
% |
|
|
Long-dated equity volatilities |
5% to 68% |
|
25 |
% |
Commodity derivatives |
$ |
8 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$3/MMBtu to $8/MMBtu |
|
$5/MMBtu |
|
|
|
Correlation |
67% to 93% |
|
87 |
% |
|
|
Volatilities |
11% to 98% |
|
37 |
% |
Interest rate derivatives |
$ |
710 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
14% to 99% |
|
48 |
% |
|
|
Correlation (FX/IR) |
-30% to 40% |
|
-6 |
% |
|
|
Long-dated inflation rates |
0% to 3% |
|
2 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
|
1 |
% |
Total net derivative assets |
$ |
(533 |
) |
|
|
|
|
|
|
(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 223: Trading account assets – Corporate securities, trading loans and other of $3.0 billion, Trading account assets – Non-U.S. sovereign debt of $594 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $2.1 billion, AFS debt securities – Tax-exempt securities of $614 million, Loans and leases of $2.0 billion and LHFS of $173 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. |
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
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2013 |
|
(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 |
$ |
3,443 |
|
Discounted cash flow, Market comparables |
Yield |
2% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
363 |
|
Prepayment speed |
0% to 35% CPR |
9 |
% |
Loans and leases |
2,151 |
|
Default rate |
1% to 20% CDR |
6 |
% |
Loans held-for-sale |
929 |
|
Loss severity |
21% to 80% |
35 |
% |
Commercial loans, debt securities and other |
$ |
12,135 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 45% |
5 |
% |
Trading account assets – Corporate securities, trading loans and other |
3,462 |
|
Enterprise value/EBITDA multiple |
0x to 24x |
7x |
|
Trading account assets – Non-U.S. sovereign debt |
468 |
|
Prepayment speed |
5% to 40% |
19 |
% |
Trading account assets – Mortgage trading loans and ABS |
4,268 |
|
Default rate |
1% to 5% |
4 |
% |
AFS debt securities – Other taxable securities |
3,031 |
|
Loss severity |
25% to 42% |
36 |
% |
Loans and leases |
906 |
|
Duration |
1 year to 5 years |
4 years |
|
Auction rate securities |
$ |
1,719 |
|
Discounted cash flow, Market comparables |
Project tender price/Refinancing level |
60% to 100% |
96 |
% |
Trading account assets – Corporate securities, trading loans and other |
97 |
|
|
|
AFS debt securities – Other taxable securities |
816 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
806 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt
|
$ |
(1,990 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
18% to 98% |
70 |
% |
|
|
Long-dated equity volatilities |
4% to 63% |
27 |
% |
|
|
Long-dated volatilities (IR) |
0% to 2% |
1 |
% |
Net derivatives assets |
|
|
|
|
|
Credit derivatives |
$ |
1,008 |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
3% to 25% |
14 |
% |
|
|
Upfront points |
0 points to 100 points |
63 points |
|
|
|
Spread to index |
-1,407 bps to 1,741 bps |
91 bps |
|
|
|
Credit correlation |
14% to 99% |
47 |
% |
|
|
Prepayment speed |
3% to 40% CPR |
13 |
% |
|
|
Default rate |
1% to 5% CDR |
3 |
% |
|
|
Loss severity |
20% to 42% |
35 |
% |
Equity derivatives |
$ |
(1,596 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
18% to 98% |
70 |
% |
|
|
Long-dated equity volatilities |
4% to 63% |
27 |
% |
Commodity derivatives |
$ |
6 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$3/MMBtu to $11/MMBtu |
$6/MMBtu |
|
|
|
Correlation |
47% to 89% |
81 |
% |
|
|
Volatilities |
9% to 109% |
30 |
% |
Interest rate derivatives |
$ |
558 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
24% to 99% |
60 |
% |
|
|
Correlation (FX/IR) |
-30% to 40% |
-4 |
% |
|
|
Long-dated inflation rates |
0% to 3% |
2 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(24 |
) |
|
|
|
|
|
|
(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 224: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $4.6 billion, AFS debt securities – Other taxable securities of $3.8 billion, AFS debt securities – Tax-exempt securities of $806 million, Loans and leases of $3.1 billion and LHFS of $929 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. |
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
|
| 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 September 30, 2014 and December 31, 2013.
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2014 |
|
(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 |
$ |
2,534 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
|
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
348 |
|
Prepayment speed |
0% to 35% CPR |
|
13 |
% |
Loans and leases |
2,013 |
|
Default rate |
1% to 15% CDR |
|
7 |
% |
Loans held-for-sale |
173 |
|
Loss severity |
19% to 100% |
|
30 |
% |
Commercial loans, debt securities and other |
$ |
6,668 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 79% |
|
9 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,943 |
|
Enterprise value/EBITDA multiple |
1x to 20x |
|
7x |
|
Trading account assets – Non-U.S. sovereign debt |
594 |
|
Prepayment speed |
5% to 40% |
|
17 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,542 |
|
Default rate |
1% to 5% |
|
4 |
% |
AFS debt securities – Other taxable securities |
1,560 |
|
Loss severity |
25% to 40% |
|
37 |
% |
Loans and leases |
29 |
|
Duration |
0 years to 5 years |
|
3 years |
|
|
|
Price |
$0 to $105 |
|
$70 |
Auction rate securities |
$ |
1,206 |
|
Discounted cash flow, Market comparables |
Price |
$60 to $100 |
|
$96 |
Trading account assets – Corporate securities, trading loans and other |
96 |
|
|
|
AFS debt securities – Other taxable securities |
496 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
614 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(2,349 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
17% to 98% |
|
64 |
% |
|
|
Long-dated equity volatilities |
5% to 68% |
|
25 |
% |
|
|
Long-dated volatilities (IR) |
0% to 2% |
|
1 |
% |
Net derivatives assets |
|
|
|
|
|
Credit derivatives |
$ |
126 |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
0% to 25% |
|
11 |
% |
|
|
Upfront points |
1 points to 100 points |
|
66 points |
|
|
|
Spread to index |
25 bps to 475 bps |
|
159 bps |
|
|
|
Credit correlation |
23% to 99% |
|
52 |
% |
|
|
Prepayment speed |
0% to 20% CPR |
|
10 |
% |
|
|
Default rate |
4% CDR |
|
n/a |
|
|
|
Loss severity |
35 |
% |
n/a |
|
Equity derivatives |
$ |
(1,377 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
17% to 98% |
|
64 |
% |
|
|
Long-dated equity volatilities |
5% to 68% |
|
25 |
% |
Commodity derivatives |
$ |
8 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$3/MMBtu to $8/MMBtu |
|
$5/MMBtu |
|
|
|
Correlation |
67% to 93% |
|
87 |
% |
|
|
Volatilities |
11% to 98% |
|
37 |
% |
Interest rate derivatives |
$ |
710 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
14% to 99% |
|
48 |
% |
|
|
Correlation (FX/IR) |
-30% to 40% |
|
-6 |
% |
|
|
Long-dated inflation rates |
0% to 3% |
|
2 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
|
1 |
% |
Total net derivative assets |
$ |
(533 |
) |
|
|
|
|
|
|
(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 223: Trading account assets – Corporate securities, trading loans and other of $3.0 billion, Trading account assets – Non-U.S. sovereign debt of $594 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $2.1 billion, AFS debt securities – Tax-exempt securities of $614 million, Loans and leases of $2.0 billion and LHFS of $173 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. |
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
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2013 |
|
(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 |
$ |
3,443 |
|
Discounted cash flow, Market comparables |
Yield |
2% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
363 |
|
Prepayment speed |
0% to 35% CPR |
9 |
% |
Loans and leases |
2,151 |
|
Default rate |
1% to 20% CDR |
6 |
% |
Loans held-for-sale |
929 |
|
Loss severity |
21% to 80% |
35 |
% |
Commercial loans, debt securities and other |
$ |
12,135 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 45% |
5 |
% |
Trading account assets – Corporate securities, trading loans and other |
3,462 |
|
Enterprise value/EBITDA multiple |
0x to 24x |
7x |
|
Trading account assets – Non-U.S. sovereign debt |
468 |
|
Prepayment speed |
5% to 40% |
19 |
% |
Trading account assets – Mortgage trading loans and ABS |
4,268 |
|
Default rate |
1% to 5% |
4 |
% |
AFS debt securities – Other taxable securities |
3,031 |
|
Loss severity |
25% to 42% |
36 |
% |
Loans and leases |
906 |
|
Duration |
1 year to 5 years |
4 years |
|
Auction rate securities |
$ |
1,719 |
|
Discounted cash flow, Market comparables |
Project tender price/Refinancing level |
60% to 100% |
96 |
% |
Trading account assets – Corporate securities, trading loans and other |
97 |
|
|
|
AFS debt securities – Other taxable securities |
816 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
806 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt
|
$ |
(1,990 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
18% to 98% |
70 |
% |
|
|
Long-dated equity volatilities |
4% to 63% |
27 |
% |
|
|
Long-dated volatilities (IR) |
0% to 2% |
1 |
% |
Net derivatives assets |
|
|
|
|
|
Credit derivatives |
$ |
1,008 |
|
Discounted cash flow, Stochastic recovery correlation model |
Yield |
3% to 25% |
14 |
% |
|
|
Upfront points |
0 points to 100 points |
63 points |
|
|
|
Spread to index |
-1,407 bps to 1,741 bps |
91 bps |
|
|
|
Credit correlation |
14% to 99% |
47 |
% |
|
|
Prepayment speed |
3% to 40% CPR |
13 |
% |
|
|
Default rate |
1% to 5% CDR |
3 |
% |
|
|
Loss severity |
20% to 42% |
35 |
% |
Equity derivatives |
$ |
(1,596 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
18% to 98% |
70 |
% |
|
|
Long-dated equity volatilities |
4% to 63% |
27 |
% |
Commodity derivatives |
$ |
6 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$3/MMBtu to $11/MMBtu |
$6/MMBtu |
|
|
|
Correlation |
47% to 89% |
81 |
% |
|
|
Volatilities |
9% to 109% |
30 |
% |
Interest rate derivatives |
$ |
558 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
24% to 99% |
60 |
% |
|
|
Correlation (FX/IR) |
-30% to 40% |
-4 |
% |
|
|
Long-dated inflation rates |
0% to 3% |
2 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(24 |
) |
|
|
|
|
|
|
(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 224: Trading account assets – Corporate securities, trading loans and other of $3.6 billion, Trading account assets – Non-U.S. sovereign debt of $468 million, Trading account assets – Mortgage trading loans and ABS of $4.6 billion, AFS debt securities – Other taxable securities of $3.8 billion, AFS debt securities – Tax-exempt securities of $806 million, Loans and leases of $3.1 billion and LHFS of $929 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. |
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
|
| Assets and Liabilities Measured at Fair Value on Nonrecurring Basis |
The amounts below represent only balances measured at fair value during the three and nine months ended September 30, 2014 and 2013, and still held as of the reporting date.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured at Fair Value on a Nonrecurring Basis |
|
|
|
September 30, 2014 |
|
Three Months Ended September 30, 2014 |
|
Nine Months Ended September 30, 2014 |
(Dollars in millions) |
Level 2 |
|
Level 3 |
|
Gains (Losses) |
Assets |
|
|
|
|
|
|
|
Loans held-for-sale |
$ |
197 |
|
|
$ |
32 |
|
|
$ |
(17 |
) |
|
$ |
(6 |
) |
Loans and leases |
9 |
|
|
4,298 |
|
|
(286 |
) |
|
(671 |
) |
Foreclosed properties (1)
|
— |
|
|
1,145 |
|
|
(21 |
) |
|
(34 |
) |
Other assets |
24 |
|
|
— |
|
|
(1 |
) |
|
(2 |
) |
|
|
|
|
|
|
|
|
|
September 30, 2013 |
|
Three Months Ended September 30, 2013 |
|
Nine Months Ended September 30, 2013 |
Assets |
|
|
|
|
|
|
|
Loans held-for-sale |
$ |
4,266 |
|
|
$ |
274 |
|
|
$ |
1 |
|
|
$ |
(66 |
) |
Loans and leases |
23 |
|
|
5,114 |
|
|
(281 |
) |
|
(985 |
) |
Foreclosed properties (1)
|
17 |
|
|
1,293 |
|
|
(31 |
) |
|
(37 |
) |
Other assets |
78 |
|
|
10 |
|
|
(7 |
) |
|
(15 |
) |
|
|
(1) |
Amounts are included in other assets on the Consolidated Balance Sheet and represent fair value of, and related losses on, foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. |
|
| 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 September 30, 2014 and December 31, 2013.
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements |
|
|
September 30, 2014 |
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair Value |
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Instruments backed by residential real estate assets |
$ |
4,298 |
|
Market comparables |
OREO discount |
0% to 28% |
8 |
% |
Loans and leases |
4,298 |
|
Cost to sell |
8% |
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2013 |
Instruments backed by residential real estate assets |
$ |
5,240 |
|
Market comparables |
OREO discount |
0% to 19% |
8 |
% |
Loans and leases |
5,240 |
|
Cost to sell |
8% |
n/a |
|
n/a = not applicable
|