Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

v3.21.2
Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2021
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 June 30, 2021 and December 31, 2020, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
June 30, 2021
  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
 $ 1,450  $ —  $ —  $ —  $ 1,450 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  163,344  —  —  163,344 
Trading account assets:          
U.S. Treasury and agency securities (2)
40,733  1,299  —  —  42,032 
Corporate securities, trading loans and other —  36,707  1,764  —  38,471 
Equity securities 104,218  39,316  260  —  143,794 
Non-U.S. sovereign debt 10,621  20,919  414  —  31,954 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  23,567  97  —  23,664 
Mortgage trading loans, ABS and other MBS —  10,417  1,401  —  11,818 
Total trading account assets (3)
155,572  132,225  3,936  —  291,733 
Derivative assets 17,487  331,302  3,312  (310,603) 41,498 
AFS debt securities:          
U.S. Treasury and agency securities 159,245  1,088  —  —  160,333 
Mortgage-backed securities:          
Agency —  57,889  —  —  57,889 
Agency-collateralized mortgage obligations —  4,226  —  —  4,226 
Non-agency residential —  647  205  —  852 
Commercial —  18,919  —  —  18,919 
Non-U.S. securities —  17,156  11  —  17,167 
Other taxable securities —  2,847  74  —  2,921 
Tax-exempt securities —  15,823  51  —  15,874 
Total AFS debt securities 159,245  118,595  341  —  278,181 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 518  —  —  —  518 
Non-agency residential MBS —  451  281  —  732 
Non-U.S. and other securities
 3,491  5,991  —  —  9,482 
Total other debt securities carried at fair value 4,009  6,442  281  —  10,732 
Loans and leases —  6,093  857  —  6,950 
Loans held-for-sale —  1,944  263  —  2,207 
Other assets (4)
10,034  3,119  1,775  —  14,928 
Total assets (5)
$ 347,797  $ 763,064  $ 10,765  $ (310,603) $ 811,023 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 515  $ —  $ —  $ 515 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  165,781  —  —  165,781 
Trading account liabilities:        
U.S. Treasury and agency securities 22,888  289  —  —  23,177 
Equity securities 47,288  4,358  —  —  51,646 
Non-U.S. sovereign debt 17,404  9,074  —  —  26,478 
Corporate securities and other —  8,766  17  —  8,783 
Total trading account liabilities 87,580  22,487  17  —  110,084 
Derivative liabilities 16,945  330,062  6,196  (314,287) 38,916 
Short-term borrowings —  4,490  —  —  4,490 
Accrued expenses and other liabilities 11,899  3,275  —  —  15,174 
Long-term debt —  29,301  1,060  —  30,361 
Total liabilities (5)
$ 116,424  $ 555,911  $ 7,273  $ (314,287) $ 365,321 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $23.7 billion of GSE obligations.
(3)Includes securities with a fair value of $8.6 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. Trading account assets also includes certain commodities inventory of $2.1 billion that are accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(4)Includes MSRs of $976 million which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.36 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.26 percent of total consolidated liabilities.
December 31, 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
 $ 1,649  $ —  $ —  $ —  $ 1,649 
Federal funds sold and securities borrowed or purchased under agreements to resell
 —  108,856  —  —  108,856 
Trading account assets:          
U.S. Treasury and agency securities (2)
45,219  3,051  —  —  48,270 
Corporate securities, trading loans and other —  22,817  1,359  —  24,176 
Equity securities 36,372  31,372  227  —  67,971 
Non-U.S. sovereign debt 5,753  20,884  354  —  26,991 
Mortgage trading loans, MBS and ABS:
U.S. government-sponsored agency guaranteed (2)
—  21,566  75  —  21,641 
Mortgage trading loans, ABS and other MBS —  8,440  1,365  —  9,805 
Total trading account assets (3)
87,344  108,130  3,380  —  198,854 
Derivative assets 15,624  416,175  2,751  (387,371) 47,179 
AFS debt securities:          
U.S. Treasury and agency securities 115,266  1,114  —  —  116,380 
Mortgage-backed securities:          
Agency —  61,849  —  —  61,849 
Agency-collateralized mortgage obligations —  5,260  —  —  5,260 
Non-agency residential —  631  378  —  1,009 
Commercial —  16,491  —  —  16,491 
Non-U.S. securities —  13,999  18  —  14,017 
Other taxable securities —  2,640  71  —  2,711 
Tax-exempt securities —  16,598  176  —  16,774 
Total AFS debt securities 115,266  118,582  643  —  234,491 
Other debt securities carried at fair value:
U.S. Treasury and agency securities 93  —  —  —  93 
Non-agency residential MBS —  506  267  —  773 
Non-U.S. and other securities 2,619  8,625  —  —  11,244 
Total other debt securities carried at fair value 2,712  9,131  267  —  12,110 
Loans and leases —  5,964  717  —  6,681 
Loans held-for-sale —  1,349  236  —  1,585 
Other assets (4)
9,898  3,850  1,970  —  15,718 
Total assets (5)
$ 232,493  $ 772,037  $ 9,964  $ (387,371) $ 627,123 
Liabilities          
Interest-bearing deposits in U.S. offices $ —  $ 481  $ —  $ —  $ 481 
Federal funds purchased and securities loaned or sold under agreements to repurchase
 —  135,391  —  —  135,391 
Trading account liabilities:        
U.S. Treasury and agency securities 9,425  139  —  —  9,564 
Equity securities 38,189  4,235  —  —  42,424 
Non-U.S. sovereign debt 5,853  8,043  —  —  13,896 
Corporate securities and other —  5,420  16  —  5,436 
Total trading account liabilities 53,467  17,837  16  —  71,320 
Derivative liabilities 14,907  412,881  6,219  (388,481) 45,526 
Short-term borrowings —  5,874  —  —  5,874 
Accrued expenses and other liabilities 12,297  4,014  —  —  16,311 
Long-term debt —  31,036  1,164  —  32,200 
Total liabilities (5)
$ 80,671  $ 607,514  $ 7,399  $ (388,481) $ 307,103 
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes $22.2 billion of GSE obligations.
(3)Includes securities with a fair value of $16.8 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $576 million that are accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(4)Includes MSRs of $1.0 billion which are classified as Level 3 assets.
(5)Total recurring Level 3 assets were 0.35 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.29 percent of total consolidated liabilities.
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 six months ended June 30, 2021 and 2020, 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
April 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
June 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 June 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,516  $ 38  $ —  $ 185  $ (110) $ —  $ (116) $ 306  $ (55) $ 1,764  $ 16 
Equity securities 273  32  —  8  (26) —  —  26  (53) 260  23 
Non-U.S. sovereign debt 334  20  34  —  —  —  —  26  —  414  20 
Mortgage trading loans, MBS and ABS 1,561  (10) —  119  (274) —  (28) 188  (58) 1,498  (10)
Total trading account assets 3,684  80  34  312  (410) —  (144) 546  (166) 3,936  49 
Net derivative assets (liabilities) (4)
(3,206) 5  —  211  (88) —  36  (83) 241  (2,884) (19)
AFS debt securities:                    
Non-agency residential MBS 284  1  3  —  —  —  (8) —  (75) 205  — 
Non-U.S. securities 13  (1) —  —  —  —  (1) —  —  11  — 
Other taxable securities 73  —  1  —  —  —  —  —  —  74  — 
Tax-exempt securities 98  3  —  —  —  —  —  —  (50) 51  3 
Total AFS debt securities 468  3  4  —  —  —  (9) —  (125) 341  3 
Other debt securities carried at fair value – Non-agency residential MBS
 260  3  —  —  —  —  (14) 32  —  281  3 
Loans and leases (5,6)
793  34  —  —  —  60  (46) 16  —  857  34 
Loans held-for-sale (5,6)
220  10  11  38  —  —  (23) 7  —  263  4 
Other assets (6,7)
2,090  (153) 4  55  (144) 23  (100) —  —  1,775  (117)
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) — 
Long-term debt (5)
(1,028) (67) 15  2  —  (2) 19  —  1  (1,060) (66)
Three Months Ended June 30, 2020
Trading account assets:
Corporate securities, trading loans and other
 $ 1,640  $ (27) $ —  $ 64  $ (42) $ —  $ (42) $ 147  $ (192) $ 1,548  $ (27)
Equity securities 249  1  —  3  (23) —  —  —  (36) 194  — 
Non-U.S. sovereign debt 250  26  (10) 2  (11) —  (9) —  —  248  26 
Mortgage trading loans, MBS and ABS 1,733  (22) (1) 104  (229) —  (21) 259  (87) 1,736  (36)
Total trading account assets 3,872  (22) (11) 173  (305) —  (72) 406  (315) 3,726  (37)
Net derivative assets (liabilities) (4)
(2,909) (463) —  137  (233) —  (178) 252  51  (3,343) (558)
AFS debt securities:              
Non-agency residential MBS 524  (2) 4  23  —  —  (10) 5  (82) 462  (2)
Non-U.S. securities 1  —  —  —  —  —  —  4  —  5  — 
Other taxable securities 68  —  —  —  (4) —  —  1  —  65  — 
Tax-exempt securities 100  (24) 1  —  —  —  —  265  (5) 337  (24)
Total AFS debt securities 693  (26) 5  23  (4) —  (10) 275  (87) 869  (26)
Other debt securities carried at fair value – Non-agency residential MBS
 269  43  —  —  —  —  (4) 150  (9) 449  43 
Loans and leases (5,6)
558  47  —  32  (1) 22  (15) 98  —  741  46 
Loans held-for-sale (5,6)
1,077  9  (5) —  (81) —  (30) —  —  970  5 
Other assets (6,7)
1,960  (68) 13  —  —  133  (128) 3  (2) 1,911  (91)
Trading account liabilities – Equity securities
 (1) —  —  —  —  —  —  —  —  (1) — 
Trading account liabilities – Corporate securities
   and other
 (20) 4  —  (1) —  —  1  —  —  (16) — 
Long-term debt (5)
(721) (72) (127) —  —  (32) 14  (29) 11  (956) (74)
(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 - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $67 million and $(126) million related to financial instruments still held at June 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $2.6 billion and derivative liabilities of $6.2 billion and $5.9 billion at June 30, 2021 and 2020.
(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
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Six Months Ended June 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ 25  $ —  $ 426  $ (257) $ —  $ (133) $ 458  $ (114) $ 1,764  $ (5)
Equity securities
 227  22  —  53  (49) —  —  78  (71) 260  14 
Non-U.S. sovereign debt
 354  20  12  2  —  —  —  26  —  414  23 
Mortgage trading loans, ABS and other MBS
 1,440  39  —  247  (495) 1  (64) 444  (114) 1,498  16 
Total trading account assets 3,380  106  12  728  (801) 1  (197) 1,006  (299) 3,936  48 
Net derivative assets (liabilities) (4)
(3,468) 291  —  349  (349) —  183  (191) 301  (2,884) 192 
AFS debt securities:                    
Non-agency residential MBS 378  (15) (94) —  —  —  (25) 36  (75) 205  (2)
Non-U.S. securities
 18  (1) —  —  —  —  (6) —  —  11  — 
Other taxable securities
 71  —  (5) 8  —  —  —  —  —  74  — 
Tax-exempt securities 176  17  —  —  —  —  —  —  (142) 51  16 
Total AFS debt securities 643  1  (99) 8  —  —  (31) 36  (217) 341  14 
Other debt securities carried at fair value – Non-agency residential MBS
 267  2  —  —  —  —  (20) 32  —  281  2 
Loans and leases (5,6)
717  104  —  —  —  70  (80) 46  —  857  111 
Loans held-for-sale (5,6)
236  4  3  38  —  —  (40) 26  (4) 263  (5)
Other assets (6,7)
1,970  21  8  55  (145) 64  (205) 7  —  1,775  46 
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) 1 
Long-term debt (5)
(1,164) (18) 2  2  —  (2) 37  (32) 115  (1,060) (34)
Six Months Ended June 30, 2020
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,507  $ (130) $ (1) $ 280  $ (132) $ 8  $ (74) $ 384  $ (294) $ 1,548  $ (122)
Equity securities 239  (25) —  29  (34) —  —  25  (40) 194  (23)
Non-U.S. sovereign debt 482  28  (63) 75  (59) —  (19) 17  (213) 248  28 
Mortgage trading loans, ABS and other MBS
 1,553  (147) (3) 466  (474) —  (40) 492  (111) 1,736  (139)
Total trading account assets 3,781  (274) (67) 850  (699) 8  (133) 918  (658) 3,726  (256)
Net derivative assets (liabilities) (4)
(2,538) (117) —  177  (381) —  (166) (276) (42) (3,343) (500)
AFS debt securities:              
Non-agency residential MBS 424  (5) (9) 23  —  —  (22) 133  (82) 462  (5)
Non-U.S. securities 2  —  —  —  (1) —  —  4  —  5  — 
Other taxable securities 65  —  —  3  (4) —  —  1  —  65  — 
Tax-exempt securities 108  (34) 3  —  —  —  —  265  (5) 337  (33)
Total AFS debt securities 599  (39) (6) 26  (5) —  (22) 403  (87) 869  (38)
Other debt securities carried at fair value – Non-agency residential MBS
 299  (6) —  —  —  —  (8) 176  (12) 449  (29)
Loans and leases (5,6)
693  (72) —  32  (1) 22  (31) 98  —  741  (36)
Loans held-for-sale (5,6)
375  —  (33) —  (81) 691  (75) 93  —  970  (10)
Other assets (6,7)
2,360  (319) (17) —  1  153  (270) 5  (2) 1,911  (376)
Trading account liabilities – Equity securities
 (2) 1  —  —  —  —  —  —  —  (1) 1 
Trading account liabilities – Corporate securities
   and other
 (15) 5  —  (7) —  —  1  —  —  (16) 1 
Long-term debt (5)
(1,149) 55  60  8  —  (45) 155  (52) 12  (956) 37 
(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 - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(5) million and $(40) million related to financial instruments still held at June 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $2.6 billion and derivative liabilities of $6.2 billion and $5.9 billion at June 30, 2021 and 2020.
(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 six months ended June 30, 2021 and 2020, 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
April 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
June 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 June 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,516  $ 38  $ —  $ 185  $ (110) $ —  $ (116) $ 306  $ (55) $ 1,764  $ 16 
Equity securities 273  32  —  8  (26) —  —  26  (53) 260  23 
Non-U.S. sovereign debt 334  20  34  —  —  —  —  26  —  414  20 
Mortgage trading loans, MBS and ABS 1,561  (10) —  119  (274) —  (28) 188  (58) 1,498  (10)
Total trading account assets 3,684  80  34  312  (410) —  (144) 546  (166) 3,936  49 
Net derivative assets (liabilities) (4)
(3,206) 5  —  211  (88) —  36  (83) 241  (2,884) (19)
AFS debt securities:                    
Non-agency residential MBS 284  1  3  —  —  —  (8) —  (75) 205  — 
Non-U.S. securities 13  (1) —  —  —  —  (1) —  —  11  — 
Other taxable securities 73  —  1  —  —  —  —  —  —  74  — 
Tax-exempt securities 98  3  —  —  —  —  —  —  (50) 51  3 
Total AFS debt securities 468  3  4  —  —  —  (9) —  (125) 341  3 
Other debt securities carried at fair value – Non-agency residential MBS
 260  3  —  —  —  —  (14) 32  —  281  3 
Loans and leases (5,6)
793  34  —  —  —  60  (46) 16  —  857  34 
Loans held-for-sale (5,6)
220  10  11  38  —  —  (23) 7  —  263  4 
Other assets (6,7)
2,090  (153) 4  55  (144) 23  (100) —  —  1,775  (117)
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) — 
Long-term debt (5)
(1,028) (67) 15  2  —  (2) 19  —  1  (1,060) (66)
Three Months Ended June 30, 2020
Trading account assets:
Corporate securities, trading loans and other
 $ 1,640  $ (27) $ —  $ 64  $ (42) $ —  $ (42) $ 147  $ (192) $ 1,548  $ (27)
Equity securities 249  1  —  3  (23) —  —  —  (36) 194  — 
Non-U.S. sovereign debt 250  26  (10) 2  (11) —  (9) —  —  248  26 
Mortgage trading loans, MBS and ABS 1,733  (22) (1) 104  (229) —  (21) 259  (87) 1,736  (36)
Total trading account assets 3,872  (22) (11) 173  (305) —  (72) 406  (315) 3,726  (37)
Net derivative assets (liabilities) (4)
(2,909) (463) —  137  (233) —  (178) 252  51  (3,343) (558)
AFS debt securities:              
Non-agency residential MBS 524  (2) 4  23  —  —  (10) 5  (82) 462  (2)
Non-U.S. securities 1  —  —  —  —  —  —  4  —  5  — 
Other taxable securities 68  —  —  —  (4) —  —  1  —  65  — 
Tax-exempt securities 100  (24) 1  —  —  —  —  265  (5) 337  (24)
Total AFS debt securities 693  (26) 5  23  (4) —  (10) 275  (87) 869  (26)
Other debt securities carried at fair value – Non-agency residential MBS
 269  43  —  —  —  —  (4) 150  (9) 449  43 
Loans and leases (5,6)
558  47  —  32  (1) 22  (15) 98  —  741  46 
Loans held-for-sale (5,6)
1,077  9  (5) —  (81) —  (30) —  —  970  5 
Other assets (6,7)
1,960  (68) 13  —  —  133  (128) 3  (2) 1,911  (91)
Trading account liabilities – Equity securities
 (1) —  —  —  —  —  —  —  —  (1) — 
Trading account liabilities – Corporate securities
   and other
 (20) 4  —  (1) —  —  1  —  —  (16) — 
Long-term debt (5)
(721) (72) (127) —  —  (32) 14  (29) 11  (956) (74)
(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 - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option.  Amounts include net unrealized gains (losses) of $67 million and $(126) million related to financial instruments still held at June 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $2.6 billion and derivative liabilities of $6.2 billion and $5.9 billion at June 30, 2021 and 2020.
(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
June 30
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
 Purchases Sales Issuances Settlements
Six Months Ended June 30, 2021
Trading account assets:              
Corporate securities, trading loans and other
$ 1,359  $ 25  $ —  $ 426  $ (257) $ —  $ (133) $ 458  $ (114) $ 1,764  $ (5)
Equity securities
 227  22  —  53  (49) —  —  78  (71) 260  14 
Non-U.S. sovereign debt
 354  20  12  2  —  —  —  26  —  414  23 
Mortgage trading loans, ABS and other MBS
 1,440  39  —  247  (495) 1  (64) 444  (114) 1,498  16 
Total trading account assets 3,380  106  12  728  (801) 1  (197) 1,006  (299) 3,936  48 
Net derivative assets (liabilities) (4)
(3,468) 291  —  349  (349) —  183  (191) 301  (2,884) 192 
AFS debt securities:                    
Non-agency residential MBS 378  (15) (94) —  —  —  (25) 36  (75) 205  (2)
Non-U.S. securities
 18  (1) —  —  —  —  (6) —  —  11  — 
Other taxable securities
 71  —  (5) 8  —  —  —  —  —  74  — 
Tax-exempt securities 176  17  —  —  —  —  —  —  (142) 51  16 
Total AFS debt securities 643  1  (99) 8  —  —  (31) 36  (217) 341  14 
Other debt securities carried at fair value – Non-agency residential MBS
 267  2  —  —  —  —  (20) 32  —  281  2 
Loans and leases (5,6)
717  104  —  —  —  70  (80) 46  —  857  111 
Loans held-for-sale (5,6)
236  4  3  38  —  —  (40) 26  (4) 263  (5)
Other assets (6,7)
1,970  21  8  55  (145) 64  (205) 7  —  1,775  46 
Trading account liabilities – Corporate securities
   and other
 (16) —  —  —  —  (1) —  —  —  (17) 1 
Long-term debt (5)
(1,164) (18) 2  2  —  (2) 37  (32) 115  (1,060) (34)
Six Months Ended June 30, 2020
Trading account assets:          
Corporate securities, trading loans and other
 $ 1,507  $ (130) $ (1) $ 280  $ (132) $ 8  $ (74) $ 384  $ (294) $ 1,548  $ (122)
Equity securities 239  (25) —  29  (34) —  —  25  (40) 194  (23)
Non-U.S. sovereign debt 482  28  (63) 75  (59) —  (19) 17  (213) 248  28 
Mortgage trading loans, ABS and other MBS
 1,553  (147) (3) 466  (474) —  (40) 492  (111) 1,736  (139)
Total trading account assets 3,781  (274) (67) 850  (699) 8  (133) 918  (658) 3,726  (256)
Net derivative assets (liabilities) (4)
(2,538) (117) —  177  (381) —  (166) (276) (42) (3,343) (500)
AFS debt securities:              
Non-agency residential MBS 424  (5) (9) 23  —  —  (22) 133  (82) 462  (5)
Non-U.S. securities 2  —  —  —  (1) —  —  4  —  5  — 
Other taxable securities 65  —  —  3  (4) —  —  1  —  65  — 
Tax-exempt securities 108  (34) 3  —  —  —  —  265  (5) 337  (33)
Total AFS debt securities 599  (39) (6) 26  (5) —  (22) 403  (87) 869  (38)
Other debt securities carried at fair value – Non-agency residential MBS
 299  (6) —  —  —  —  (8) 176  (12) 449  (29)
Loans and leases (5,6)
693  (72) —  32  (1) 22  (31) 98  —  741  (36)
Loans held-for-sale (5,6)
375  —  (33) —  (81) 691  (75) 93  —  970  (10)
Other assets (6,7)
2,360  (319) (17) —  1  153  (270) 5  (2) 1,911  (376)
Trading account liabilities – Equity securities
 (2) 1  —  —  —  —  —  —  —  (1) 1 
Trading account liabilities – Corporate securities
   and other
 (15) 5  —  (7) —  —  1  —  —  (16) 1 
Long-term debt (5)
(1,149) 55  60  8  —  (45) 155  (52) 12  (956) 37 
(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 - market making and similar activities and other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains (losses) of $(5) million and $(40) million related to financial instruments still held at June 30, 2021 and 2020.
(4)Net derivative assets (liabilities) include derivative assets of $3.3 billion and $2.6 billion and derivative liabilities of $6.2 billion and $5.9 billion at June 30, 2021 and 2020.
(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