Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.20.2
Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2020
Fair Value Disclosures [Abstract]  
Assets and Liabilities Carried at Fair Value on a Recurring Basis
Assets and liabilities carried at fair value on a recurring basis at September 30, 2020 and December 31, 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
September 30, 2020
  Fair Value Measurements
(Dollars in millions) Level 1 Level 2 Level 3
Netting Adjustments (1)
Assets/Liabilities at Fair Value
Assets          
Time deposits placed and other short-term investments
$ 385  $   $   $   $ 385 
Federal funds sold and securities borrowed or purchased under agreements to resell
  103,101      103,101 
Trading account assets:          
U.S. Treasury and agency securities 43,143  2,439      45,582 
Corporate securities, trading loans and other   25,438  1,470    26,908 
Equity securities 82,015  34,097  207    116,319 
Non-U.S. sovereign debt 10,003  26,455  290    36,748 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
  20,896  133    21,029 
Mortgage trading loans, ABS and other MBS   7,277  1,637    8,914 
Total trading account assets (3)
135,161  116,602  3,737    255,500 
Derivative assets 16,129  399,497  2,498  (373,827) 44,297 
AFS debt securities:          
U.S. Treasury and agency securities 101,693  1,185      102,878 
Mortgage-backed securities:          
Agency   69,864      69,864 
Agency-collateralized mortgage obligations   5,837      5,837 
Non-agency residential   843  440    1,283 
Commercial   16,206      16,206 
Non-U.S. securities   16,340  14    16,354 
Other taxable securities   3,608  68    3,676 
Tax-exempt securities   17,414  180    17,594 
Total AFS debt securities 101,693  131,297  702    233,692 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 3        3 
Non-agency residential MBS   751  458    1,209 
Non-U.S. and other securities
5,961  5,132      11,093 
Total other debt securities carried at fair value 5,964  5,883  458    12,305 
Loans and leases   6,609  625    7,234 
Loans held-for-sale   983  922    1,905 
Other assets (4)
6,802  4,048  1,875    12,725 
Total assets (5)
$ 266,134  $ 768,020  $ 10,817  $ (373,827) $ 671,144 
Liabilities          
Interest-bearing deposits in U.S. offices $   $ 626  $   $   $ 626 
Federal funds purchased and securities loaned or sold under agreements to repurchase
  132,322      132,322 
Trading account liabilities:        
U.S. Treasury and agency securities 11,013  200      11,213 
Equity securities 40,609  5,390  1    46,000 
Non-U.S. sovereign debt 9,966  10,731      20,697 
Corporate securities and other   6,755  16    6,771 
Total trading account liabilities 61,588  23,076  17    84,681 
Derivative liabilities 17,292  389,769  6,029  (371,362) 41,728 
Short-term borrowings   4,577      4,577 
Accrued expenses and other liabilities 8,530  4,235      12,765 
Long-term debt   29,485  970    30,455 
Total liabilities (5)
$ 87,410  $ 584,090  $ 7,016  $ (371,362) $ 307,154 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $21.5 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)Includes MSRs of $1.1 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.40 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.28 percent of total consolidated liabilities.
December 31, 2019
Fair Value Measurements
(Dollars in millions) Level 1 Level 2 Level 3
Netting Adjustments (1)
Assets/Liabilities at Fair Value
Assets          
Time deposits placed and other short-term investments
$ 1,000  $ —  $ —  $ —  $ 1,000 
Federal funds sold and securities borrowed or purchased under agreements to resell
—  50,364  —  —  50,364 
Trading account assets:          
U.S. Treasury and agency securities 49,517  4,157  —  —  53,674 
Corporate securities, trading loans and other —  25,226  1,507  —  26,733 
Equity securities 53,597  32,619  239  —  86,455 
Non-U.S. sovereign debt 3,965  23,854  482  —  28,301 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  24,324  —  —  24,324 
Mortgage trading loans, ABS and other MBS —  8,786  1,553  —  10,339 
Total trading account assets (3)
107,079  118,966  3,781  —  229,826 
Derivative assets 14,079  328,442  2,226  (304,262) 40,485 
AFS debt securities:          
U.S. Treasury and agency securities 67,332  1,196  —  —  68,528 
Mortgage-backed securities:          
Agency —  122,528  —  —  122,528 
Agency-collateralized mortgage obligations —  4,641  —  —  4,641 
Non-agency residential —  653  424  —  1,077 
Commercial —  15,021  —  —  15,021 
Non-U.S. securities —  11,989  —  11,991 
Other taxable securities —  3,876  65  —  3,941 
Tax-exempt securities —  17,804  108  —  17,912 
Total AFS debt securities 67,332  177,708  599  —  245,639 
Other debt securities carried at fair value:
U.S. Treasury and agency securities —  —  — 
Agency MBS —  3,003  —  —  3,003 
Non-agency residential MBS —  1,035  299  —  1,334 
Non-U.S. and other securities 400  6,088  —  —  6,488 
Total other debt securities carried at fair value 403  10,126  299  —  10,828 
Loans and leases —  7,642  693  —  8,335 
Loans held-for-sale —  3,334  375  —  3,709 
Other assets (4)
11,782  1,376  2,360  —  15,518 
Total assets (5)
$ 201,675  $ 697,958  $ 10,333  $ (304,262) $ 605,704 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 508  $ —  $ —  $ 508 
Federal funds purchased and securities loaned or sold under agreements to repurchase
—  16,008  —  —  16,008 
Trading account liabilities:        
U.S. Treasury and agency securities 13,140  282  —  —  13,422 
Equity securities 38,148  4,144  —  42,294 
Non-U.S. sovereign debt 10,751  11,310  —  —  22,061 
Corporate securities and other —  5,478  15  —  5,493 
Total trading account liabilities 62,039  21,214  17  —  83,270 
Derivative liabilities 11,904  320,479  4,764  (298,918) 38,229 
Short-term borrowings —  3,941  —  —  3,941 
Accrued expenses and other liabilities 13,927  1,507  —  —  15,434 
Long-term debt —  33,826  1,149  —  34,975 
Total liabilities (5)
$ 87,870  $ 397,483  $ 5,930  $ (298,918) $ 192,365 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $26.7 billion of GSE obligations.
(3)Includes securities with a fair value of $14.7 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet.
(4)Includes MSRs of $1.5 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.42 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.27 percent of total consolidated liabilities.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2020 and 2019, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due
to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance
July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI
(3)
Gross Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,548  $ (20) $   $   $ (49) $   $ (91) $ 136  $ (54) $ 1,470  $ (34)
Equity securities 194  8    4  (3)     7  (3) 207  3 
Non-U.S. sovereign debt 248  7  (6) 1  (2)   (1) 83  (40) 290  6 
Mortgage trading loans, ABS and other MBS
1,736  2    36  (108) 11  (12) 167  (62) 1,770  10 
Total trading account assets 3,726  (3) (6) 41  (162) 11  (104) 393  (159) 3,737  (15)
Net derivative assets (liabilities) (4)
(3,343) 228    39  (177)   (58) 3  (223) (3,531) 196 
AFS debt securities:                    
Non-agency residential MBS 462    5        (10) 25  (42) 440   
Non-U.S. securities 5            (1) 10    14   
Other taxable securities 65      3            68   
Tax-exempt securities 337  15          (167)   (5) 180  15 
Total AFS debt securities 869  15  5  3      (178) 35  (47) 702  15 
Other debt securities carried at fair value – Non-agency residential MBS
449  18          (11) 2    458  17 
Loans and leases (5,6)
741  (2)     (25)   (89)     625  (5)
Loans held-for-sale (5,6)
970  (7) (2)   (25)   (14)     922  (10)
Other assets (6,7)
1,911  25  6    1  53  (121)     1,875  4 
Trading account liabilities – Equity securities
(1)                 (1)  
Trading account liabilities – Corporate securities
   and other
(16) 2      (2)         (16)  
Long-term debt (5)
(956) (50) (10)       46      (970) (50)
Three Months Ended September 30, 2019
Trading account assets:
Corporate securities, trading loans and other
$ 1,393  $ 28  $ —  $ 158  $ (153) $ —  $ (143) $ 356  $ (48) $ 1,591  $ — 
Equity securities 296  (8) —  17  (81) —  (1) 66  (10) 279  (31)
Non-U.S. sovereign debt 481  (28) —  —  —  (36) 39  —  465  10 
Mortgage trading loans, ABS and other MBS
1,389  (8) —  91  (156) —  (48) 316  (21) 1,563  (24)
Total trading account assets 3,559  21  (28) 266  (390) —  (228) 777  (79) 3,898  (45)
Net derivative assets (liabilities) (4)
(1,114) 73  —  81  (270) —  (36) —  34  (1,232) 52 
AFS debt securities:              
Non-agency residential MBS 568  —  (13) —  —  —  (8) —  (39) 508  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  —  —  —  —  — 
Total AFS debt securities 573  —  (13) —  —  —  (8) —  (39) 513  — 
Other debt securities carried at fair value – Non-agency residential MBS
273  (8) —  —  —  —  (5) 48  —  308  (8)
Loans and leases (5,6)
355  —  27  (17) 44  (16) —  —  401 
Loans held-for-sale (5,6)
486  (11) —  —  (96) —  —  386  (7)
Other assets (6,7)
2,551  (40) (5) —  —  53  (163) —  2,400  (82)
Trading account liabilities – Equity securities
(2) —  —  —  —  —  —  —  —  (2) — 
Trading account liabilities – Corporate securities
   and other
(13) —  (1) —  —  —  —  —  (13) (1)
Long-term debt (5)
(902) 16  (27) —  —  49  (1) —  (864) 16 
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(8) million and $53 million related to financial instruments still held at September 30, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI
(3)
Gross Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,507  $ (150) $ (1) $ 280  $ (181) $ 8  $ (165) $ 520  $ (348) $ 1,470  $ (128)
Equity securities
239  (17)   33  (37)     32  (43) 207  (20)
Non-U.S. sovereign debt
482  35  (69) 76  (61)   (20) 100  (253) 290  33 
Mortgage trading loans, ABS and other MBS
1,553  (145) (3) 502  (582) 11  (52) 659  (173) 1,770  (135)
Total trading account assets 3,781  (277) (73) 891  (861) 19  (237) 1,311  (817) 3,737  (250)
Net derivative assets (liabilities) (4)
(2,538) 111    216  (558)   (224) (273) (265) (3,531) (356)
AFS debt securities:                    
Non-agency residential MBS 424  (5) (4) 23      (32) 158  (124) 440  (5)
Non-U.S. securities
2        (1)   (1) 14    14   
Other taxable securities
65      6  (4)     1    68   
Tax-exempt securities 108  (19) 3        (167) 265  (10) 180  (18)
Total AFS debt securities 599  (24) (1) 29  (5)   (200) 438  (134) 702  (23)
Other debt securities carried at fair value – Non-agency residential MBS
299  12          (19) 178  (12) 458  (12)
Loans and leases (5,6)
693  (74)   32  (26) 22  (120) 98    625  (61)
Loans held-for-sale (5,6)
375  (7) (35)   (106) 691  (89) 93    922  (19)
Other assets (6,7)
2,360  (294) (11)   2  206  (391) 5  (2) 1,875  (373)
Trading account liabilities – Equity securities
(2) 1                (1) 1 
Trading account liabilities – Corporate securities
   and other
(15) 7    (7) (2)   1      (16)  
Long-term debt (5)
(1,149) 5  50  8    (45) 201  (52) 12  (970) (10)
Nine Months Ended September 30, 2019
Trading account assets:          
Corporate securities, trading loans and other
$ 1,558  $ 86  $ —  $ 352  $ (305) $ —  $ (349) $ 602  $ (353) $ 1,591  $ 33 
Equity securities 276  14  —  38  (87) —  (4) 69  (27) 279  (14)
Non-U.S. sovereign debt 465  36  (24) —  —  (47) 39  (5) 465  37 
Mortgage trading loans, ABS and other MBS
1,635  80  (2) 488  (817) —  (172) 583  (232) 1,563  13 
Total trading account assets 3,934  216  (26) 879  (1,209) —  (572) 1,293  (617) 3,898  69 
Net derivative assets (liabilities) (4)
(935) (43) —  248  (676) —  (124) 139  159  (1,232) (110)
AFS debt securities:              
Non-agency residential MBS 597  —  77  —  —  —  (29) 206  (343) 508  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  —  (4) —  —  — 
Total AFS debt securities 606  —  77  —  —  —  (33) 206  (343) 513  — 
Other debt securities carried at fair value – Non-agency residential MBS
172  41  —  —  —  —  (13) 155  (47) 308  38 
Loans and leases (5,6)
338  12  —  27  (32) 97  (41) —  —  401  11 
Loans held-for-sale (5,6)
542  43  (11) 12  (71) 11  (199) 59  —  386  13 
Other assets (6,7)
2,932  (194) 11  —  (10) 161  (504) —  2,400  (342)
Trading account liabilities – Equity securities
—  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities
   and other
(18) —  —  (3) —  —  —  —  (13) (1)
Long-term debt (5)
(817) (71) —  (27) —  (13) 125  (62) (864) (64)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(47) million and $47 million related to financial instruments still held at September 30, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three and nine months ended September 30, 2020 and 2019, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due
to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
Level 3 – Fair Value Measurements (1)
Balance
July 1
Total
Realized/Unrealized Gains
 (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI
(3)
Gross Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions) Purchases Sales Issuances Settlements
Three Months Ended September 30, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,548  $ (20) $   $   $ (49) $   $ (91) $ 136  $ (54) $ 1,470  $ (34)
Equity securities 194  8    4  (3)     7  (3) 207  3 
Non-U.S. sovereign debt 248  7  (6) 1  (2)   (1) 83  (40) 290  6 
Mortgage trading loans, ABS and other MBS
1,736  2    36  (108) 11  (12) 167  (62) 1,770  10 
Total trading account assets 3,726  (3) (6) 41  (162) 11  (104) 393  (159) 3,737  (15)
Net derivative assets (liabilities) (4)
(3,343) 228    39  (177)   (58) 3  (223) (3,531) 196 
AFS debt securities:                    
Non-agency residential MBS 462    5        (10) 25  (42) 440   
Non-U.S. securities 5            (1) 10    14   
Other taxable securities 65      3            68   
Tax-exempt securities 337  15          (167)   (5) 180  15 
Total AFS debt securities 869  15  5  3      (178) 35  (47) 702  15 
Other debt securities carried at fair value – Non-agency residential MBS
449  18          (11) 2    458  17 
Loans and leases (5,6)
741  (2)     (25)   (89)     625  (5)
Loans held-for-sale (5,6)
970  (7) (2)   (25)   (14)     922  (10)
Other assets (6,7)
1,911  25  6    1  53  (121)     1,875  4 
Trading account liabilities – Equity securities
(1)                 (1)  
Trading account liabilities – Corporate securities
   and other
(16) 2      (2)         (16)  
Long-term debt (5)
(956) (50) (10)       46      (970) (50)
Three Months Ended September 30, 2019
Trading account assets:
Corporate securities, trading loans and other
$ 1,393  $ 28  $ —  $ 158  $ (153) $ —  $ (143) $ 356  $ (48) $ 1,591  $ — 
Equity securities 296  (8) —  17  (81) —  (1) 66  (10) 279  (31)
Non-U.S. sovereign debt 481  (28) —  —  —  (36) 39  —  465  10 
Mortgage trading loans, ABS and other MBS
1,389  (8) —  91  (156) —  (48) 316  (21) 1,563  (24)
Total trading account assets 3,559  21  (28) 266  (390) —  (228) 777  (79) 3,898  (45)
Net derivative assets (liabilities) (4)
(1,114) 73  —  81  (270) —  (36) —  34  (1,232) 52 
AFS debt securities:              
Non-agency residential MBS 568  —  (13) —  —  —  (8) —  (39) 508  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  —  —  —  —  — 
Total AFS debt securities 573  —  (13) —  —  —  (8) —  (39) 513  — 
Other debt securities carried at fair value – Non-agency residential MBS
273  (8) —  —  —  —  (5) 48  —  308  (8)
Loans and leases (5,6)
355  —  27  (17) 44  (16) —  —  401 
Loans held-for-sale (5,6)
486  (11) —  —  (96) —  —  386  (7)
Other assets (6,7)
2,551  (40) (5) —  —  53  (163) —  2,400  (82)
Trading account liabilities – Equity securities
(2) —  —  —  —  —  —  —  —  (2) — 
Trading account liabilities – Corporate securities
   and other
(13) —  (1) —  —  —  —  —  (13) (1)
Long-term debt (5)
(902) 16  (27) —  —  49  (1) —  (864) 16 
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(8) million and $53 million related to financial instruments still held at September 30, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Level 3 – Fair Value Measurements (1)
Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI
(3)
Gross Gross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
September 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)

Purchases Sales Issuances Settlements
Nine Months Ended September 30, 2020
Trading account assets:              
Corporate securities, trading loans and other
$ 1,507  $ (150) $ (1) $ 280  $ (181) $ 8  $ (165) $ 520  $ (348) $ 1,470  $ (128)
Equity securities
239  (17)   33  (37)     32  (43) 207  (20)
Non-U.S. sovereign debt
482  35  (69) 76  (61)   (20) 100  (253) 290  33 
Mortgage trading loans, ABS and other MBS
1,553  (145) (3) 502  (582) 11  (52) 659  (173) 1,770  (135)
Total trading account assets 3,781  (277) (73) 891  (861) 19  (237) 1,311  (817) 3,737  (250)
Net derivative assets (liabilities) (4)
(2,538) 111    216  (558)   (224) (273) (265) (3,531) (356)
AFS debt securities:                    
Non-agency residential MBS 424  (5) (4) 23      (32) 158  (124) 440  (5)
Non-U.S. securities
2        (1)   (1) 14    14   
Other taxable securities
65      6  (4)     1    68   
Tax-exempt securities 108  (19) 3        (167) 265  (10) 180  (18)
Total AFS debt securities 599  (24) (1) 29  (5)   (200) 438  (134) 702  (23)
Other debt securities carried at fair value – Non-agency residential MBS
299  12          (19) 178  (12) 458  (12)
Loans and leases (5,6)
693  (74)   32  (26) 22  (120) 98    625  (61)
Loans held-for-sale (5,6)
375  (7) (35)   (106) 691  (89) 93    922  (19)
Other assets (6,7)
2,360  (294) (11)   2  206  (391) 5  (2) 1,875  (373)
Trading account liabilities – Equity securities
(2) 1                (1) 1 
Trading account liabilities – Corporate securities
   and other
(15) 7    (7) (2)   1      (16)  
Long-term debt (5)
(1,149) 5  50  8    (45) 201  (52) 12  (970) (10)
Nine Months Ended September 30, 2019
Trading account assets:          
Corporate securities, trading loans and other
$ 1,558  $ 86  $ —  $ 352  $ (305) $ —  $ (349) $ 602  $ (353) $ 1,591  $ 33 
Equity securities 276  14  —  38  (87) —  (4) 69  (27) 279  (14)
Non-U.S. sovereign debt 465  36  (24) —  —  (47) 39  (5) 465  37 
Mortgage trading loans, ABS and other MBS
1,635  80  (2) 488  (817) —  (172) 583  (232) 1,563  13 
Total trading account assets 3,934  216  (26) 879  (1,209) —  (572) 1,293  (617) 3,898  69 
Net derivative assets (liabilities) (4)
(935) (43) —  248  (676) —  (124) 139  159  (1,232) (110)
AFS debt securities:              
Non-agency residential MBS 597  —  77  —  —  —  (29) 206  (343) 508  — 
Non-U.S. securities —  —  —  —  —  —  —  —  — 
Other taxable securities —  —  —  —  —  (4) —  —  — 
Total AFS debt securities 606  —  77  —  —  —  (33) 206  (343) 513  — 
Other debt securities carried at fair value – Non-agency residential MBS
172  41  —  —  —  —  (13) 155  (47) 308  38 
Loans and leases (5,6)
338  12  —  27  (32) 97  (41) —  —  401  11 
Loans held-for-sale (5,6)
542  43  (11) 12  (71) 11  (199) 59  —  386  13 
Other assets (6,7)
2,932  (194) 11  —  (10) 161  (504) —  2,400  (342)
Trading account liabilities – Equity securities
—  (2) —  —  —  —  —  —  —  (2) (2)
Trading account liabilities – Corporate securities
   and other
(18) —  —  (3) —  —  —  —  (13) (1)
Long-term debt (5)
(817) (71) —  (27) —  (13) 125  (62) (864) (64)
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - predominantly market making and similar activities; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - primarily other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $(47) million and $47 million related to financial instruments still held at September 30, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.5 billion and $3.4 billion and derivative liabilities of $6.0 billion and $4.6 billion at September 30, 2020 and 2019.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
Fair Value Measurement Inputs and Valuation Techniques
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at September 30, 2020 and December 31, 2019.
Quantitative Information about Level 3 Fair Value Measurements at September 30, 2020
(Dollars in millions) Inputs
Financial Instrument Fair
Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets $ 1,903  Discounted cash flow, Market comparables Yield
0% to 25%