Fair Value Measurements (Tables)
|
3 Months Ended |
Mar. 31, 2016 |
|---|
| 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 March 31, 2016 and December 31, 2015, including financial instruments which the Corporation accounts for under the fair value option, are summarized in the following tables.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2016 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting
Adjustments (1)
|
|
Assets/Liabilities
at Fair Value
|
Assets |
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
53,379 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
53,379 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities (2)
|
37,321 |
|
|
19,865 |
|
|
— |
|
|
— |
|
|
57,186 |
|
Corporate securities, trading loans and other |
341 |
|
|
24,052 |
|
|
2,954 |
|
|
— |
|
|
27,347 |
|
Equity securities |
31,857 |
|
|
21,336 |
|
|
417 |
|
|
— |
|
|
53,610 |
|
Non-U.S. sovereign debt |
16,263 |
|
|
14,660 |
|
|
572 |
|
|
— |
|
|
31,495 |
|
Mortgage trading loans and ABS |
— |
|
|
7,735 |
|
|
1,614 |
|
|
— |
|
|
9,349 |
|
Total trading account assets (3)
|
85,782 |
|
|
87,648 |
|
|
5,557 |
|
|
— |
|
|
178,987 |
|
Derivative assets (4)
|
6,447 |
|
|
848,297 |
|
|
5,459 |
|
|
(807,948 |
) |
|
52,255 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
20,669 |
|
|
1,547 |
|
|
— |
|
|
— |
|
|
22,216 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
207,736 |
|
|
— |
|
|
— |
|
|
207,736 |
|
Agency-collateralized mortgage obligations |
— |
|
|
10,558 |
|
|
— |
|
|
— |
|
|
10,558 |
|
Non-agency residential |
— |
|
|
2,079 |
|
|
150 |
|
|
— |
|
|
2,229 |
|
Commercial |
— |
|
|
10,233 |
|
|
— |
|
|
— |
|
|
10,233 |
|
Non-U.S. securities |
2,884 |
|
|
3,196 |
|
|
— |
|
|
— |
|
|
6,080 |
|
Other taxable securities |
— |
|
|
9,741 |
|
|
739 |
|
|
— |
|
|
10,480 |
|
Tax-exempt securities |
— |
|
|
14,026 |
|
|
562 |
|
|
— |
|
|
14,588 |
|
Total AFS debt securities |
23,553 |
|
|
259,116 |
|
|
1,451 |
|
|
— |
|
|
284,120 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
6 |
|
|
— |
|
|
— |
|
|
6 |
|
Non-agency residential |
— |
|
|
3,294 |
|
|
29 |
|
|
— |
|
|
3,323 |
|
Non-U.S. securities |
13,406 |
|
|
1,222 |
|
|
— |
|
|
— |
|
|
14,628 |
|
Other taxable securities |
— |
|
|
256 |
|
|
— |
|
|
— |
|
|
256 |
|
Total other debt securities carried at fair value |
13,406 |
|
|
4,778 |
|
|
29 |
|
|
— |
|
|
18,213 |
|
Loans and leases (5)
|
— |
|
|
6,515 |
|
|
1,697 |
|
|
— |
|
|
8,212 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
2,631 |
|
|
— |
|
|
2,631 |
|
Loans held-for-sale |
— |
|
|
2,643 |
|
|
660 |
|
|
— |
|
|
3,303 |
|
Other assets |
11,024 |
|
|
1,894 |
|
|
375 |
|
|
— |
|
|
13,293 |
|
Total assets |
$ |
140,212 |
|
|
$ |
1,264,270 |
|
|
$ |
17,859 |
|
|
$ |
(807,948 |
) |
|
$ |
614,393 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,038 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,038 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
24,024 |
|
|
345 |
|
|
— |
|
|
24,369 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
15,933 |
|
|
224 |
|
|
— |
|
|
— |
|
|
16,157 |
|
Equity securities |
30,795 |
|
|
4,099 |
|
|
— |
|
|
— |
|
|
34,894 |
|
Non-U.S. sovereign debt |
14,204 |
|
|
1,863 |
|
|
— |
|
|
— |
|
|
16,067 |
|
Corporate securities and other |
153 |
|
|
6,704 |
|
|
28 |
|
|
— |
|
|
6,885 |
|
Total trading account liabilities |
61,085 |
|
|
12,890 |
|
|
28 |
|
|
— |
|
|
74,003 |
|
Derivative liabilities (4)
|
6,374 |
|
|
838,510 |
|
|
5,774 |
|
|
(809,595 |
) |
|
41,063 |
|
Short-term borrowings |
— |
|
|
1,482 |
|
|
— |
|
|
— |
|
|
1,482 |
|
Accrued expenses and other liabilities |
10,683 |
|
|
2,184 |
|
|
9 |
|
|
— |
|
|
12,876 |
|
Long-term debt |
— |
|
|
29,447 |
|
|
1,814 |
|
|
— |
|
|
31,261 |
|
Total liabilities |
$ |
78,142 |
|
|
$ |
909,575 |
|
|
$ |
7,970 |
|
|
$ |
(809,595 |
) |
|
$ |
186,092 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(2) |
Includes $19.2 billion of GSE obligations.
|
|
|
(3) |
Includes securities with a fair value of $13.6 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
|
|
|
(4) |
During the three months ended March 31, 2016, $609 million of derivative assets and $744 million of derivative liabilities were transferred from Level 1 to Level 2 and $312 million of derivative assets and $230 million of derivative liabilities were transferred from Level 2 to Level 1 based on the inputs used to measure fair value. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
|
|
|
(5) |
Includes $765 million from CFEs that were measured using the fair value of the financial liabilities of those entities as the measurement basis.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
|
Fair Value Measurements |
|
|
|
|
(Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting
Adjustments (1)
|
|
Assets/Liabilities
at Fair Value
|
Assets |
|
|
|
|
|
|
|
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
$ |
— |
|
|
$ |
55,143 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
55,143 |
|
Trading account assets: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities (2)
|
33,034 |
|
|
15,501 |
|
|
— |
|
|
— |
|
|
48,535 |
|
Corporate securities, trading loans and other |
325 |
|
|
22,738 |
|
|
2,838 |
|
|
— |
|
|
25,901 |
|
Equity securities |
41,735 |
|
|
20,887 |
|
|
407 |
|
|
— |
|
|
63,029 |
|
Non-U.S. sovereign debt |
15,651 |
|
|
12,915 |
|
|
521 |
|
|
— |
|
|
29,087 |
|
Mortgage trading loans and ABS |
— |
|
|
8,107 |
|
|
1,868 |
|
|
— |
|
|
9,975 |
|
Total trading account assets (3)
|
90,745 |
|
|
80,148 |
|
|
5,634 |
|
|
— |
|
|
176,527 |
|
Derivative assets (4)
|
5,149 |
|
|
679,458 |
|
|
5,134 |
|
|
(639,751 |
) |
|
49,990 |
|
AFS debt securities: |
|
|
|
|
|
|
|
|
|
U.S. Treasury and agency securities |
23,374 |
|
|
1,903 |
|
|
— |
|
|
— |
|
|
25,277 |
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency |
— |
|
|
228,947 |
|
|
— |
|
|
— |
|
|
228,947 |
|
Agency-collateralized mortgage obligations |
— |
|
|
10,985 |
|
|
— |
|
|
— |
|
|
10,985 |
|
Non-agency residential |
— |
|
|
3,073 |
|
|
106 |
|
|
— |
|
|
3,179 |
|
Commercial |
— |
|
|
7,165 |
|
|
— |
|
|
— |
|
|
7,165 |
|
Non-U.S. securities |
2,768 |
|
|
2,999 |
|
|
— |
|
|
— |
|
|
5,767 |
|
Other taxable securities |
— |
|
|
9,688 |
|
|
757 |
|
|
— |
|
|
10,445 |
|
Tax-exempt securities |
— |
|
|
13,439 |
|
|
569 |
|
|
— |
|
|
14,008 |
|
Total AFS debt securities |
26,142 |
|
|
278,199 |
|
|
1,432 |
|
|
— |
|
|
305,773 |
|
Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
Agency-collateralized mortgage obligations |
— |
|
|
7 |
|
|
— |
|
|
— |
|
|
7 |
|
Non-agency residential |
— |
|
|
3,460 |
|
|
30 |
|
|
— |
|
|
3,490 |
|
Non-U.S. securities |
11,691 |
|
|
1,152 |
|
|
— |
|
|
— |
|
|
12,843 |
|
Other taxable securities |
— |
|
|
267 |
|
|
— |
|
|
— |
|
|
267 |
|
Total other debt securities carried at fair value |
11,691 |
|
|
4,886 |
|
|
30 |
|
|
— |
|
|
16,607 |
|
Loans and leases |
— |
|
|
5,318 |
|
|
1,620 |
|
|
— |
|
|
6,938 |
|
Mortgage servicing rights |
— |
|
|
— |
|
|
3,087 |
|
|
— |
|
|
3,087 |
|
Loans held-for-sale |
— |
|
|
4,031 |
|
|
787 |
|
|
— |
|
|
4,818 |
|
Other assets (5)
|
11,923 |
|
|
2,023 |
|
|
374 |
|
|
— |
|
|
14,320 |
|
Total assets |
$ |
145,650 |
|
|
$ |
1,109,206 |
|
|
$ |
18,098 |
|
|
$ |
(639,751 |
) |
|
$ |
633,203 |
|
Liabilities |
|
|
|
|
|
|
|
|
|
Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,116 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,116 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
24,239 |
|
|
335 |
|
|
— |
|
|
24,574 |
|
Trading account liabilities: |
|
|
|
|
|
|
|
|
|
U.S. government and agency securities |
14,803 |
|
|
169 |
|
|
— |
|
|
— |
|
|
14,972 |
|
Equity securities |
27,898 |
|
|
2,392 |
|
|
— |
|
|
— |
|
|
30,290 |
|
Non-U.S. sovereign debt |
13,589 |
|
|
1,951 |
|
|
— |
|
|
— |
|
|
15,540 |
|
Corporate securities and other |
193 |
|
|
5,947 |
|
|
21 |
|
|
— |
|
|
6,161 |
|
Total trading account liabilities |
56,483 |
|
|
10,459 |
|
|
21 |
|
|
— |
|
|
66,963 |
|
Derivative liabilities (4)
|
4,941 |
|
|
671,613 |
|
|
5,575 |
|
|
(643,679 |
) |
|
38,450 |
|
Short-term borrowings |
— |
|
|
1,295 |
|
|
30 |
|
|
— |
|
|
1,325 |
|
Accrued expenses and other liabilities |
11,656 |
|
|
2,234 |
|
|
9 |
|
|
— |
|
|
13,899 |
|
Long-term debt |
— |
|
|
28,584 |
|
|
1,513 |
|
|
— |
|
|
30,097 |
|
Total liabilities |
$ |
73,080 |
|
|
$ |
739,540 |
|
|
$ |
7,483 |
|
|
$ |
(643,679 |
) |
|
$ |
176,424 |
|
|
|
(1) |
Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties. |
|
|
(2) |
Includes $14.8 billion of GSE obligations.
|
|
|
(3) |
Includes securities with a fair value of $16.4 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
|
|
|
(4) |
During 2015, $6.6 billion of derivative assets and $6.7 billion of derivative liabilities were transferred from Level 1 to Level 2 based on inputs used to measure fair value. Additionally, $6.4 billion of derivative assets and $6.2 billion of derivative liabilities were transferred from Level 2 to Level 1 due to additional information related to certain options. For further disaggregation of derivative assets and liabilities, see Note 2 – Derivatives.
|
|
|
(5) |
During 2015, approximately $327 million of assets were transferred from Level 2 to Level 1 due to a restriction that was lifted for an equity investment.
|
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2016 and 2015, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2016 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2016
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31
2016 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,838 |
|
$ |
50 |
|
$ |
1 |
|
$ |
227 |
|
$ |
(147 |
) |
$ |
— |
|
$ |
(148 |
) |
$ |
158 |
|
$ |
(25 |
) |
$ |
2,954 |
|
Equity securities |
407 |
|
60 |
|
— |
|
10 |
|
(2 |
) |
— |
|
(62 |
) |
4 |
|
— |
|
417 |
|
Non-U.S. sovereign debt |
521 |
|
42 |
|
49 |
|
3 |
|
(1 |
) |
— |
|
(42 |
) |
— |
|
— |
|
572 |
|
Mortgage trading loans and ABS |
1,868 |
|
28 |
|
(2 |
) |
194 |
|
(404 |
) |
— |
|
(73 |
) |
31 |
|
(28 |
) |
1,614 |
|
Total trading account assets |
5,634 |
|
180 |
|
48 |
|
434 |
|
(554 |
) |
— |
|
(325 |
) |
193 |
|
(53 |
) |
5,557 |
|
Net derivative assets (3)
|
(441 |
) |
403 |
|
— |
|
89 |
|
(175 |
) |
— |
|
12 |
|
(116 |
) |
(87 |
) |
(315 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
106 |
|
— |
|
5 |
|
135 |
|
(92 |
) |
— |
|
(4 |
) |
— |
|
— |
|
150 |
|
Other taxable securities |
757 |
|
1 |
|
(3 |
) |
— |
|
— |
|
— |
|
(16 |
) |
— |
|
— |
|
739 |
|
Tax-exempt securities |
569 |
|
— |
|
(7 |
) |
1 |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
562 |
|
Total AFS debt securities |
1,432 |
|
1 |
|
(5 |
) |
136 |
|
(92 |
) |
— |
|
(21 |
) |
— |
|
— |
|
1,451 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
30 |
|
(1 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
Loans and leases (4, 5)
|
1,620 |
|
43 |
|
— |
|
69 |
|
— |
|
25 |
|
(35 |
) |
5 |
|
(30 |
) |
1,697 |
|
Mortgage servicing rights (5)
|
3,087 |
|
(380 |
) |
— |
|
— |
|
(1 |
) |
136 |
|
(211 |
) |
— |
|
— |
|
2,631 |
|
Loans held-for-sale (4)
|
787 |
|
73 |
|
27 |
|
20 |
|
(163 |
) |
— |
|
(34 |
) |
13 |
|
(63 |
) |
660 |
|
Other assets |
374 |
|
(25 |
) |
— |
|
34 |
|
— |
|
— |
|
(10 |
) |
2 |
|
— |
|
375 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (4)
|
(335 |
) |
(3 |
) |
— |
|
— |
|
— |
|
(14 |
) |
7 |
|
— |
|
— |
|
(345 |
) |
Trading account liabilities – Corporate securities and other |
(21 |
) |
1 |
|
— |
|
— |
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
(28 |
) |
Short-term borrowings (4)
|
(30 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
— |
|
— |
|
— |
|
Accrued expenses and other liabilities |
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
Long-term debt (4)
|
(1,513 |
) |
(91 |
) |
(7 |
) |
9 |
|
— |
|
(169 |
) |
56 |
|
(186 |
) |
87 |
|
(1,814 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(3) |
Net derivatives include derivative assets of $5.5 billion and derivative liabilities of $5.8 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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2015 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2015
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31
2015 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,270 |
|
$ |
(21 |
) |
$ |
— |
|
$ |
139 |
|
$ |
(95 |
) |
$ |
— |
|
$ |
(435 |
) |
$ |
171 |
|
$ |
(269 |
) |
$ |
2,760 |
|
Equity securities |
352 |
|
3 |
|
— |
|
— |
|
(1 |
) |
— |
|
(5 |
) |
9 |
|
(18 |
) |
340 |
|
Non-U.S. sovereign debt |
574 |
|
66 |
|
(90 |
) |
2 |
|
— |
|
— |
|
(44 |
) |
— |
|
— |
|
508 |
|
Mortgage trading loans and ABS |
2,063 |
|
60 |
|
— |
|
319 |
|
(249 |
) |
— |
|
(83 |
) |
9 |
|
(13 |
) |
2,106 |
|
Total trading account assets |
6,259 |
|
108 |
|
(90 |
) |
460 |
|
(345 |
) |
— |
|
(567 |
) |
189 |
|
(300 |
) |
5,714 |
|
Net derivative assets (3)
|
(920 |
) |
(44 |
) |
— |
|
56 |
|
(176 |
) |
— |
|
25 |
|
(46 |
) |
24 |
|
(1,081 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
279 |
|
(19 |
) |
(2 |
) |
21 |
|
— |
|
— |
|
(9 |
) |
132 |
|
— |
|
402 |
|
Non-U.S. securities |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
9 |
|
Other taxable securities |
1,667 |
|
— |
|
(2 |
) |
— |
|
— |
|
— |
|
(42 |
) |
— |
|
(933 |
) |
690 |
|
Tax-exempt securities |
599 |
|
— |
|
(3 |
) |
— |
|
— |
|
— |
|
(13 |
) |
— |
|
— |
|
583 |
|
Total AFS debt securities |
2,555 |
|
(19 |
) |
(7 |
) |
21 |
|
— |
|
— |
|
(65 |
) |
132 |
|
(933 |
) |
1,684 |
|
Loans and leases (4, 5)
|
1,983 |
|
15 |
|
— |
|
— |
|
(1 |
) |
— |
|
(43 |
) |
6 |
|
(6 |
) |
1,954 |
|
Mortgage servicing rights (5)
|
3,530 |
|
(85 |
) |
— |
|
— |
|
— |
|
179 |
|
(230 |
) |
— |
|
— |
|
3,394 |
|
Loans held-for-sale (4)
|
173 |
|
(70 |
) |
— |
|
406 |
|
(82 |
) |
21 |
|
(6 |
) |
138 |
|
(37 |
) |
543 |
|
Other assets |
911 |
|
10 |
|
— |
|
— |
|
(31 |
) |
— |
|
(9 |
) |
— |
|
(34 |
) |
847 |
|
Trading account liabilities – Corporate securities and other |
(36 |
) |
1 |
|
— |
|
2 |
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
(41 |
) |
Short-term borrowings (4)
|
— |
|
5 |
|
— |
|
— |
|
— |
|
(21 |
) |
1 |
|
(4 |
) |
4 |
|
(15 |
) |
Accrued expenses and other liabilities |
(10 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(10 |
) |
Long-term debt (4)
|
(2,362 |
) |
4 |
|
— |
|
132 |
|
— |
|
(90 |
) |
97 |
|
(713 |
) |
126 |
|
(2,806 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(3) |
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $8.5 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. |
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2015 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2015
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31
2015 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
3,270 |
|
$ |
(21 |
) |
$ |
— |
|
$ |
139 |
|
$ |
(95 |
) |
$ |
— |
|
$ |
(435 |
) |
$ |
171 |
|
$ |
(269 |
) |
$ |
2,760 |
|
Equity securities |
352 |
|
3 |
|
— |
|
— |
|
(1 |
) |
— |
|
(5 |
) |
9 |
|
(18 |
) |
340 |
|
Non-U.S. sovereign debt |
574 |
|
66 |
|
(90 |
) |
2 |
|
— |
|
— |
|
(44 |
) |
— |
|
— |
|
508 |
|
Mortgage trading loans and ABS |
2,063 |
|
60 |
|
— |
|
319 |
|
(249 |
) |
— |
|
(83 |
) |
9 |
|
(13 |
) |
2,106 |
|
Total trading account assets |
6,259 |
|
108 |
|
(90 |
) |
460 |
|
(345 |
) |
— |
|
(567 |
) |
189 |
|
(300 |
) |
5,714 |
|
Net derivative assets (3)
|
(920 |
) |
(44 |
) |
— |
|
56 |
|
(176 |
) |
— |
|
25 |
|
(46 |
) |
24 |
|
(1,081 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
279 |
|
(19 |
) |
(2 |
) |
21 |
|
— |
|
— |
|
(9 |
) |
132 |
|
— |
|
402 |
|
Non-U.S. securities |
10 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
9 |
|
Other taxable securities |
1,667 |
|
— |
|
(2 |
) |
— |
|
— |
|
— |
|
(42 |
) |
— |
|
(933 |
) |
690 |
|
Tax-exempt securities |
599 |
|
— |
|
(3 |
) |
— |
|
— |
|
— |
|
(13 |
) |
— |
|
— |
|
583 |
|
Total AFS debt securities |
2,555 |
|
(19 |
) |
(7 |
) |
21 |
|
— |
|
— |
|
(65 |
) |
132 |
|
(933 |
) |
1,684 |
|
Loans and leases (4, 5)
|
1,983 |
|
15 |
|
— |
|
— |
|
(1 |
) |
— |
|
(43 |
) |
6 |
|
(6 |
) |
1,954 |
|
Mortgage servicing rights (5)
|
3,530 |
|
(85 |
) |
— |
|
— |
|
— |
|
179 |
|
(230 |
) |
— |
|
— |
|
3,394 |
|
Loans held-for-sale (4)
|
173 |
|
(70 |
) |
— |
|
406 |
|
(82 |
) |
21 |
|
(6 |
) |
138 |
|
(37 |
) |
543 |
|
Other assets |
911 |
|
10 |
|
— |
|
— |
|
(31 |
) |
— |
|
(9 |
) |
— |
|
(34 |
) |
847 |
|
Trading account liabilities – Corporate securities and other |
(36 |
) |
1 |
|
— |
|
2 |
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
(41 |
) |
Short-term borrowings (4)
|
— |
|
5 |
|
— |
|
— |
|
— |
|
(21 |
) |
1 |
|
(4 |
) |
4 |
|
(15 |
) |
Accrued expenses and other liabilities |
(10 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(10 |
) |
Long-term debt (4)
|
(2,362 |
) |
4 |
|
— |
|
132 |
|
— |
|
(90 |
) |
97 |
|
(713 |
) |
126 |
|
(2,806 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(3) |
Net derivatives include derivative assets of $7.5 billion and derivative liabilities of $8.5 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. |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2016 and 2015, including net realized and unrealized gains (losses) included in earnings and accumulated OCI.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
Three Months Ended March 31, 2016 |
|
|
|
|
Gross |
|
|
|
(Dollars in millions) |
Balance
January 1
2016
|
Gains
(Losses) in
Earnings
|
Gains
(Losses) in
OCI (2)
|
Purchases |
Sales |
Issuances |
Settlements |
Gross
Transfers
into
Level 3
|
Gross
Transfers
out of
Level 3
|
Balance March 31
2016 |
Trading account assets: |
|
|
|
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
2,838 |
|
$ |
50 |
|
$ |
1 |
|
$ |
227 |
|
$ |
(147 |
) |
$ |
— |
|
$ |
(148 |
) |
$ |
158 |
|
$ |
(25 |
) |
$ |
2,954 |
|
Equity securities |
407 |
|
60 |
|
— |
|
10 |
|
(2 |
) |
— |
|
(62 |
) |
4 |
|
— |
|
417 |
|
Non-U.S. sovereign debt |
521 |
|
42 |
|
49 |
|
3 |
|
(1 |
) |
— |
|
(42 |
) |
— |
|
— |
|
572 |
|
Mortgage trading loans and ABS |
1,868 |
|
28 |
|
(2 |
) |
194 |
|
(404 |
) |
— |
|
(73 |
) |
31 |
|
(28 |
) |
1,614 |
|
Total trading account assets |
5,634 |
|
180 |
|
48 |
|
434 |
|
(554 |
) |
— |
|
(325 |
) |
193 |
|
(53 |
) |
5,557 |
|
Net derivative assets (3)
|
(441 |
) |
403 |
|
— |
|
89 |
|
(175 |
) |
— |
|
12 |
|
(116 |
) |
(87 |
) |
(315 |
) |
AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
Non-agency residential MBS |
106 |
|
— |
|
5 |
|
135 |
|
(92 |
) |
— |
|
(4 |
) |
— |
|
— |
|
150 |
|
Other taxable securities |
757 |
|
1 |
|
(3 |
) |
— |
|
— |
|
— |
|
(16 |
) |
— |
|
— |
|
739 |
|
Tax-exempt securities |
569 |
|
— |
|
(7 |
) |
1 |
|
— |
|
— |
|
(1 |
) |
— |
|
— |
|
562 |
|
Total AFS debt securities |
1,432 |
|
1 |
|
(5 |
) |
136 |
|
(92 |
) |
— |
|
(21 |
) |
— |
|
— |
|
1,451 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
30 |
|
(1 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
Loans and leases (4, 5)
|
1,620 |
|
43 |
|
— |
|
69 |
|
— |
|
25 |
|
(35 |
) |
5 |
|
(30 |
) |
1,697 |
|
Mortgage servicing rights (5)
|
3,087 |
|
(380 |
) |
— |
|
— |
|
(1 |
) |
136 |
|
(211 |
) |
— |
|
— |
|
2,631 |
|
Loans held-for-sale (4)
|
787 |
|
73 |
|
27 |
|
20 |
|
(163 |
) |
— |
|
(34 |
) |
13 |
|
(63 |
) |
660 |
|
Other assets |
374 |
|
(25 |
) |
— |
|
34 |
|
— |
|
— |
|
(10 |
) |
2 |
|
— |
|
375 |
|
Federal funds purchased and securities loaned or sold under agreements to repurchase (4)
|
(335 |
) |
(3 |
) |
— |
|
— |
|
— |
|
(14 |
) |
7 |
|
— |
|
— |
|
(345 |
) |
Trading account liabilities – Corporate securities and other |
(21 |
) |
1 |
|
— |
|
— |
|
(8 |
) |
— |
|
— |
|
— |
|
— |
|
(28 |
) |
Short-term borrowings (4)
|
(30 |
) |
1 |
|
— |
|
— |
|
— |
|
— |
|
29 |
|
— |
|
— |
|
— |
|
Accrued expenses and other liabilities |
(9 |
) |
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9 |
) |
Long-term debt (4)
|
(1,513 |
) |
(91 |
) |
(7 |
) |
9 |
|
— |
|
(169 |
) |
56 |
|
(186 |
) |
87 |
|
(1,814 |
) |
|
|
(1) |
Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3. |
|
|
(2) |
Includes unrealized gains (losses) on AFS debt securities, foreign currency translation adjustments and the impact on structured liabilities of changes in the Corporation's credit spreads. For more information, see Note 1 – Summary of Significant Accounting Principles.
|
|
|
(3) |
Net derivatives include derivative assets of $5.5 billion and derivative liabilities of $5.8 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. |
|
| 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 months ended March 31, 2016 and 2015. These amounts include gains (losses) on financial instruments that are accounted for under the fair value option.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Total Realized and Unrealized Gains (Losses) Included in Earnings |
|
Three Months Ended March 31, 2016 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other |
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
50 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
50 |
|
Equity securities |
60 |
|
|
— |
|
|
— |
|
|
60 |
|
Non-U.S. sovereign debt |
42 |
|
|
— |
|
|
— |
|
|
42 |
|
Mortgage trading loans and ABS |
28 |
|
|
— |
|
|
— |
|
|
28 |
|
Total trading account assets |
180 |
|
|
— |
|
|
— |
|
|
180 |
|
Net derivative assets |
237 |
|
|
151 |
|
|
15 |
|
|
403 |
|
AFS debt securities – Other taxable securities |
— |
|
|
— |
|
|
1 |
|
|
1 |
|
Other debt securities carried at fair value – Non-agency residential MBS |
— |
|
|
— |
|
|
(1 |
) |
|
(1 |
) |
Loans and leases (2)
|
8 |
|
|
— |
|
|
35 |
|
|
43 |
|
Mortgage servicing rights |
34 |
|
|
(414 |
) |
|
— |
|
|
(380 |
) |
Loans held-for-sale (2)
|
10 |
|
|
— |
|
|
63 |
|
|
73 |
|
Other assets |
— |
|
|
(23 |
) |
|
(2 |
) |
|
(25 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (2)
|
(3 |
) |
|
— |
|
|
— |
|
|
(3 |
) |
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Short-term borrowings (2)
|
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Long-term debt (2)
|
(92 |
) |
|
— |
|
|
1 |
|
|
(91 |
) |
Total |
$ |
376 |
|
|
$ |
(286 |
) |
|
$ |
112 |
|
|
$ |
202 |
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2015 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
(21 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(21 |
) |
Equity securities |
3 |
|
|
— |
|
|
— |
|
|
3 |
|
Non-U.S. sovereign debt |
66 |
|
|
— |
|
|
— |
|
|
66 |
|
Mortgage trading loans and ABS |
60 |
|
|
— |
|
|
— |
|
|
60 |
|
Total trading account assets |
108 |
|
|
— |
|
|
— |
|
|
108 |
|
Net derivative assets |
(351 |
) |
|
282 |
|
|
25 |
|
|
(44 |
) |
AFS debt securities – Non-agency residential MBS |
— |
|
|
— |
|
|
(19 |
) |
|
(19 |
) |
Loans and leases (2)
|
3 |
|
|
— |
|
|
12 |
|
|
15 |
|
Mortgage servicing rights |
(15 |
) |
|
(70 |
) |
|
— |
|
|
(85 |
) |
Loans held-for-sale (2)
|
(69 |
) |
|
— |
|
|
(1 |
) |
|
(70 |
) |
Other assets |
— |
|
|
(21 |
) |
|
31 |
|
|
10 |
|
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Short-term borrowings (2)
|
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Long-term debt (2)
|
58 |
|
|
— |
|
|
(54 |
) |
|
4 |
|
Total |
$ |
(260 |
) |
|
$ |
191 |
|
|
$ |
(6 |
) |
|
$ |
(75 |
) |
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
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 months ended March 31, 2016 and 2015 for Level 3 assets and liabilities that were still held at March 31, 2016 and 2015. These amounts include changes in fair value on financial 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 |
|
Three Months Ended March 31, 2016 |
(Dollars in millions) |
Trading
Account
Profits
(Losses)
|
|
Mortgage
Banking
Income
(Loss) (1)
|
|
Other |
|
Total |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
33 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
33 |
|
Equity securities |
7 |
|
|
— |
|
|
— |
|
|
7 |
|
Non-U.S. sovereign debt |
41 |
|
|
— |
|
|
— |
|
|
41 |
|
Mortgage trading loans and ABS |
4 |
|
|
— |
|
|
— |
|
|
4 |
|
Total trading account assets |
85 |
|
|
— |
|
|
— |
|
|
85 |
|
Net derivative assets |
189 |
|
|
53 |
|
|
15 |
|
|
257 |
|
Loans and leases (2)
|
8 |
|
|
— |
|
|
40 |
|
|
48 |
|
Mortgage servicing rights |
34 |
|
|
(471 |
) |
|
— |
|
|
(437 |
) |
Loans held-for-sale (2)
|
(2 |
) |
|
— |
|
|
60 |
|
|
58 |
|
Other assets |
— |
|
|
(18 |
) |
|
(4 |
) |
|
(22 |
) |
Federal funds purchased and securities loaned or sold under agreements to repurchase (2)
|
(9 |
) |
|
— |
|
|
— |
|
|
(9 |
) |
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Long-term debt (2)
|
(93 |
) |
|
— |
|
|
— |
|
|
(93 |
) |
Total |
$ |
213 |
|
|
$ |
(436 |
) |
|
$ |
111 |
|
|
$ |
(112 |
) |
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, 2015 |
Trading account assets: |
|
|
|
|
|
|
|
Corporate securities, trading loans and other |
$ |
(58 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(58 |
) |
Equity securities |
(2 |
) |
|
— |
|
|
— |
|
|
(2 |
) |
Non-U.S. sovereign debt |
63 |
|
|
— |
|
|
— |
|
|
63 |
|
Mortgage trading loans and ABS |
(9 |
) |
|
— |
|
|
— |
|
|
(9 |
) |
Total trading account assets |
(6 |
) |
|
— |
|
|
— |
|
|
(6 |
) |
Net derivative assets |
(363 |
) |
|
101 |
|
|
25 |
|
|
(237 |
) |
Loans and leases (2)
|
3 |
|
|
— |
|
|
26 |
|
|
29 |
|
Mortgage servicing rights |
(15 |
) |
|
(173 |
) |
|
— |
|
|
(188 |
) |
Loans held-for-sale (2)
|
(64 |
) |
|
— |
|
|
(1 |
) |
|
(65 |
) |
Other assets |
— |
|
|
(16 |
) |
|
54 |
|
|
38 |
|
Trading account liabilities – Corporate securities and other |
1 |
|
|
— |
|
|
— |
|
|
1 |
|
Short-term borrowings (2)
|
5 |
|
|
— |
|
|
— |
|
|
5 |
|
Long-term debt (2)
|
50 |
|
|
— |
|
|
(54 |
) |
|
(4 |
) |
Total |
$ |
(389 |
) |
|
$ |
(88 |
) |
|
$ |
50 |
|
|
$ |
(427 |
) |
|
|
(1) |
Mortgage banking income (loss) does not reflect the impact of Level 1 and Level 2 hedges on MSRs. |
|
|
(2) |
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 March 31, 2016 and December 31, 2015.
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at March 31, 2016 |
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair Value |
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
2,080 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
411 |
|
Prepayment speed |
0% to 44% CPR |
15 |
% |
Loans and leases |
1,588 |
|
Default rate |
0% to 10% CDR |
4 |
% |
Loans held-for-sale |
81 |
|
Loss severity |
0% to 90% |
42 |
% |
Instruments backed by commercial real estate assets |
$ |
502 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
10 |
% |
Trading account assets – Mortgage trading loans and ABS |
145 |
|
Price |
$0 to $106 |
$81 |
Loans held-for-sale |
357 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,730 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 37% |
15 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,641 |
|
Prepayment speed |
5% to 20% |
15 |
% |
Trading account assets – Non-U.S. sovereign debt |
572 |
|
Default rate |
2% to 5% |
4 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,058 |
|
Loss severity |
25% to 50% |
38 |
% |
AFS debt securities – Other taxable securities |
128 |
|
Duration |
1 to 5 years |
3 years |
|
Loans and leases |
109 |
|
Price |
$0 to $305 |
$66 |
Loans held-for-sale |
222 |
|
|
|
|
Auction rate securities |
$ |
1,486 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
$94 |
Trading account assets – Corporate securities, trading loans and other |
313 |
|
|
|
|
AFS debt securities – Other taxable securities |
611 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
562 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,814 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
12% to 98% |
69 |
% |
|
|
Long-dated equity volatilities |
4% to 105% |
27 |
% |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(67 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
7% to 25% |
17 |
% |
|
|
Upfront points |
1 to 100 points |
65 points |
|
|
|
Credit spreads |
13 bps to 996 bps |
326 bps |
|
|
|
Credit correlation |
23% to 97% |
37 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
19 |
% |
|
|
Default rate |
1% to 4% CDR |
3 |
% |
|
|
Loss severity |
35% to 40% |
35 |
% |
Equity derivatives |
$ |
(741 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
12% to 98% |
69 |
% |
|
|
Long-dated equity volatilities |
4% to 105% |
27 |
% |
Commodity derivatives |
$ |
4 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $6/MMBtu |
$4/MMBtu |
|
|
|
Correlation |
66% to 93% |
84 |
% |
|
|
Volatilities |
19% to 125% |
46 |
% |
Interest rate derivatives |
$ |
489 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 99% |
60 |
% |
|
|
Correlation (FX/IR) |
-2% to 40% |
33 |
% |
|
|
Long-dated inflation rates |
0% to 7% |
3 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(315 |
) |
|
|
|
|
|
|
(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 181: Trading account assets – Corporate securities, trading loans and other of $3.0 billion, Trading account assets – Non-U.S. sovereign debt of $572 million, Trading account assets – Mortgage trading loans and ABS of $1.6 billion, AFS debt securities – Other taxable securities of $739 million, AFS debt securities – Tax-exempt securities of $562 million, Loans and leases of $1.7 billion and LHFS of $660 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
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2015 |
|
(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 |
$ |
2,017 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
400 |
|
Prepayment speed |
0% to 27% CPR |
11 |
% |
Loans and leases |
1,520 |
|
Default rate |
0% to 10% CDR |
4 |
% |
Loans held-for-sale |
97 |
|
Loss severity |
0% to 90% |
40 |
% |
Instruments backed by commercial real estate assets |
$ |
852 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
8 |
% |
Trading account assets – Mortgage trading loans and ABS |
162 |
|
Price |
$0 to $100 |
$73 |
Loans held-for-sale |
690 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,558 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 37% |
13 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,503 |
|
Prepayment speed |
5% to 20% |
16 |
% |
Trading account assets – Non-U.S. sovereign debt |
521 |
|
Default rate |
2% to 5% |
4 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,306 |
|
Loss severity |
25% to 50% |
37 |
% |
AFS debt securities – Other taxable securities |
128 |
|
Duration |
0 to 5 years |
3 years |
|
Loans and leases |
100 |
|
Price |
$0 to $258 |
$64 |
Auction rate securities |
$ |
1,533 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
$94 |
Trading account assets – Corporate securities, trading loans and other |
335 |
|
|
|
|
AFS debt securities – Other taxable securities |
629 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
569 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt
|
$ |
(1,513 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
25% to 100% |
67 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
28 |
% |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(75 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
6% to 25% |
16 |
% |
|
|
Upfront points |
0 to 100 points |
60 points |
|
|
|
Credit spreads |
0 bps to 447 bps |
111 bps |
|
|
|
Credit correlation |
31% to 99% |
38 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
19 |
% |
|
|
Default rate |
1% to 4% CDR |
3 |
% |
|
|
Loss severity |
35% to 40% |
35 |
% |
Equity derivatives |
$ |
(1,037 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
25% to 100% |
67 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
28 |
% |
Commodity derivatives |
$ |
169 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $6/MMBtu |
$4/MMBtu |
|
|
|
Propane forward price |
$0/Gallon to $1/Gallon |
$1/Gallon |
|
|
|
Correlation |
66% to 93% |
84 |
% |
|
|
Volatilities |
18% to 125% |
39 |
% |
Interest rate derivatives |
$ |
502 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
17% to 99% |
48 |
% |
|
|
Correlation (FX/IR) |
-15% to 40% |
-9 |
% |
|
|
Long-dated inflation rates |
0% to 7% |
3 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(441 |
) |
|
|
|
|
|
|
(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 182: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $521 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $757 million, AFS debt securities – Tax-exempt securities of $569 million, Loans and leases of $1.6 billion and LHFS of $787 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
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 March 31, 2016 and December 31, 2015.
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at March 31, 2016 |
|
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair Value |
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Loans and Securities (1)
|
|
|
|
|
|
Instruments backed by residential real estate assets |
$ |
2,080 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
411 |
|
Prepayment speed |
0% to 44% CPR |
15 |
% |
Loans and leases |
1,588 |
|
Default rate |
0% to 10% CDR |
4 |
% |
Loans held-for-sale |
81 |
|
Loss severity |
0% to 90% |
42 |
% |
Instruments backed by commercial real estate assets |
$ |
502 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
10 |
% |
Trading account assets – Mortgage trading loans and ABS |
145 |
|
Price |
$0 to $106 |
$81 |
Loans held-for-sale |
357 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,730 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 37% |
15 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,641 |
|
Prepayment speed |
5% to 20% |
15 |
% |
Trading account assets – Non-U.S. sovereign debt |
572 |
|
Default rate |
2% to 5% |
4 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,058 |
|
Loss severity |
25% to 50% |
38 |
% |
AFS debt securities – Other taxable securities |
128 |
|
Duration |
1 to 5 years |
3 years |
|
Loans and leases |
109 |
|
Price |
$0 to $305 |
$66 |
Loans held-for-sale |
222 |
|
|
|
|
Auction rate securities |
$ |
1,486 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
$94 |
Trading account assets – Corporate securities, trading loans and other |
313 |
|
|
|
|
AFS debt securities – Other taxable securities |
611 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
562 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt |
$ |
(1,814 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
12% to 98% |
69 |
% |
|
|
Long-dated equity volatilities |
4% to 105% |
27 |
% |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(67 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
7% to 25% |
17 |
% |
|
|
Upfront points |
1 to 100 points |
65 points |
|
|
|
Credit spreads |
13 bps to 996 bps |
326 bps |
|
|
|
Credit correlation |
23% to 97% |
37 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
19 |
% |
|
|
Default rate |
1% to 4% CDR |
3 |
% |
|
|
Loss severity |
35% to 40% |
35 |
% |
Equity derivatives |
$ |
(741 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
12% to 98% |
69 |
% |
|
|
Long-dated equity volatilities |
4% to 105% |
27 |
% |
Commodity derivatives |
$ |
4 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $6/MMBtu |
$4/MMBtu |
|
|
|
Correlation |
66% to 93% |
84 |
% |
|
|
Volatilities |
19% to 125% |
46 |
% |
Interest rate derivatives |
$ |
489 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
15% to 99% |
60 |
% |
|
|
Correlation (FX/IR) |
-2% to 40% |
33 |
% |
|
|
Long-dated inflation rates |
0% to 7% |
3 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(315 |
) |
|
|
|
|
|
|
(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 181: Trading account assets – Corporate securities, trading loans and other of $3.0 billion, Trading account assets – Non-U.S. sovereign debt of $572 million, Trading account assets – Mortgage trading loans and ABS of $1.6 billion, AFS debt securities – Other taxable securities of $739 million, AFS debt securities – Tax-exempt securities of $562 million, Loans and leases of $1.7 billion and LHFS of $660 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
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2015 |
|
(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 |
$ |
2,017 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
6 |
% |
Trading account assets – Mortgage trading loans and ABS |
400 |
|
Prepayment speed |
0% to 27% CPR |
11 |
% |
Loans and leases |
1,520 |
|
Default rate |
0% to 10% CDR |
4 |
% |
Loans held-for-sale |
97 |
|
Loss severity |
0% to 90% |
40 |
% |
Instruments backed by commercial real estate assets |
$ |
852 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 25% |
8 |
% |
Trading account assets – Mortgage trading loans and ABS |
162 |
|
Price |
$0 to $100 |
$73 |
Loans held-for-sale |
690 |
|
|
|
|
Commercial loans, debt securities and other |
$ |
4,558 |
|
Discounted cash flow, Market comparables |
Yield |
0% to 37% |
13 |
% |
Trading account assets – Corporate securities, trading loans and other |
2,503 |
|
Prepayment speed |
5% to 20% |
16 |
% |
Trading account assets – Non-U.S. sovereign debt |
521 |
|
Default rate |
2% to 5% |
4 |
% |
Trading account assets – Mortgage trading loans and ABS |
1,306 |
|
Loss severity |
25% to 50% |
37 |
% |
AFS debt securities – Other taxable securities |
128 |
|
Duration |
0 to 5 years |
3 years |
|
Loans and leases |
100 |
|
Price |
$0 to $258 |
$64 |
Auction rate securities |
$ |
1,533 |
|
Discounted cash flow, Market comparables |
Price |
$10 to $100 |
$94 |
Trading account assets – Corporate securities, trading loans and other |
335 |
|
|
|
|
AFS debt securities – Other taxable securities |
629 |
|
|
|
|
AFS debt securities – Tax-exempt securities |
569 |
|
|
|
|
Structured liabilities |
|
|
|
|
|
Long-term debt
|
$ |
(1,513 |
) |
Industry standard derivative pricing (2, 3)
|
Equity correlation |
25% to 100% |
67 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
28 |
% |
Net derivative assets |
|
|
|
|
|
Credit derivatives |
$ |
(75 |
) |
Discounted cash flow, Stochastic recovery correlation model |
Yield |
6% to 25% |
16 |
% |
|
|
Upfront points |
0 to 100 points |
60 points |
|
|
|
Credit spreads |
0 bps to 447 bps |
111 bps |
|
|
|
Credit correlation |
31% to 99% |
38 |
% |
|
|
Prepayment speed |
10% to 20% CPR |
19 |
% |
|
|
Default rate |
1% to 4% CDR |
3 |
% |
|
|
Loss severity |
35% to 40% |
35 |
% |
Equity derivatives |
$ |
(1,037 |
) |
Industry standard derivative pricing (2)
|
Equity correlation |
25% to 100% |
67 |
% |
|
|
Long-dated equity volatilities |
4% to 101% |
28 |
% |
Commodity derivatives |
$ |
169 |
|
Discounted cash flow, Industry standard derivative pricing (2)
|
Natural gas forward price |
$1/MMBtu to $6/MMBtu |
$4/MMBtu |
|
|
|
Propane forward price |
$0/Gallon to $1/Gallon |
$1/Gallon |
|
|
|
Correlation |
66% to 93% |
84 |
% |
|
|
Volatilities |
18% to 125% |
39 |
% |
Interest rate derivatives |
$ |
502 |
|
Industry standard derivative pricing (3)
|
Correlation (IR/IR) |
17% to 99% |
48 |
% |
|
|
Correlation (FX/IR) |
-15% to 40% |
-9 |
% |
|
|
Long-dated inflation rates |
0% to 7% |
3 |
% |
|
|
Long-dated inflation volatilities |
0% to 2% |
1 |
% |
Total net derivative assets |
$ |
(441 |
) |
|
|
|
|
|
|
(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 182: Trading account assets – Corporate securities, trading loans and other of $2.8 billion, Trading account assets – Non-U.S. sovereign debt of $521 million, Trading account assets – Mortgage trading loans and ABS of $1.9 billion, AFS debt securities – Other taxable securities of $757 million, AFS debt securities – Tax-exempt securities of $569 million, Loans and leases of $1.6 billion and LHFS of $787 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
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 assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2016 and 2015.
|
|
|
|
|
|
|
|
|
|
|
|
|
Assets Measured at Fair Value on a Nonrecurring Basis |
|
March 31, 2016 |
|
Three Months Ended March 31, 2016 |
(Dollars in millions) |
Level 2 |
|
Level 3 |
|
Gains (Losses) |
Assets |
|
|
|
|
|
Loans held-for-sale |
$ |
775 |
|
|
$ |
29 |
|
|
$ |
(21 |
) |
Loans and leases (1)
|
— |
|
|
758 |
|
|
(182 |
) |
Foreclosed properties (2, 3)
|
— |
|
|
82 |
|
|
(20 |
) |
Other assets |
36 |
|
|
— |
|
|
(18 |
) |
|
|
|
|
|
|
|
March 31, 2015 |
|
Three Months Ended March 31, 2015 |
Assets |
|
|
|
|
|
Loans held-for-sale |
$ |
565 |
|
|
$ |
22 |
|
|
$ |
(33 |
) |
Loans and leases (1)
|
5 |
|
|
1,391 |
|
|
(418 |
) |
Foreclosed properties (2, 3)
|
— |
|
|
400 |
|
|
(15 |
) |
Other assets |
200 |
|
|
— |
|
|
(1 |
) |
|
|
(1) |
Includes $42 million of losses on loans that were written down to a collateral value of zero during the three months ended March 31, 2016 compared to losses of $98 million for the same period in 2015.
|
|
|
(2) |
Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses taken during the first 90 days after transfer of a loan to foreclosed properties.
|
|
|
(3) |
Excludes $1.4 billion and $1.2 billion of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) as of March 31, 2016 and 2015.
|
|
| 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 March 31, 2016 and December 31, 2015. Instruments backed by residential real estate assets represent residential mortgages where the loan has been written down to the fair value of the underlying collateral.
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements |
|
|
March 31, 2016 |
(Dollars in millions) |
|
|
Inputs |
Financial Instrument |
Fair Value |
Valuation
Technique
|
Significant Unobservable
Inputs
|
Ranges of
Inputs
|
Weighted Average |
Loans and leases backed by residential real estate assets |
$ |
758 |
|
Market comparables |
OREO discount |
7% to 55% |
21 |
% |
|
|
Cost to sell |
8% to 45% |
10 |
% |
|
|
|
|
|
|
|
|
|
|
|
December 31, 2015 |
Loans and leases backed by residential real estate assets |
$ |
2,739 |
|
Market comparables |
OREO discount |
7% to 55% |
20 |
% |
|
|
Cost to sell |
8% to 45% |
10 |
% |
|