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Fair value measurement (Tables)
6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
Assets and Liabilities Measured at Fair Value on Recurring Basis
The following tables present the financial instruments carried at fair value at June 30, 2017 and Dec. 31, 2016, by caption on the consolidated balance sheet and by the three-level valuation hierarchy. We have included credit ratings information in certain of the tables because the information indicates the degree of credit risk to which we are exposed, and significant changes in ratings classifications could result in increased risk for us. There were no material transfers between Level 1 and Level 2 during the second quarter of 2017.

Assets measured at fair value on a recurring basis at June 30, 2017
Total carrying
value

(dollar amounts in millions)
Level 1

Level 2

Level 3

Netting (a)

Available-for-sale securities:
 
 
 
 
 
U.S. Treasury
$
15,169

$

$

$

$
15,169

U.S. government agencies

555



555

Sovereign debt/sovereign guaranteed
72

12,216



12,288

State and political subdivisions

3,282



3,282

Agency RMBS

23,900



23,900

Non-agency RMBS

559



559

Other RMBS

329



329

Commercial MBS

818



818

Agency commercial MBS

8,726



8,726

CLOs

2,642



2,642

Other asset-backed securities

1,330



1,330

Equity securities
3




3

Money market funds (b)
896




896

Corporate bonds

1,318



1,318

Other debt securities

2,830



2,830

Foreign covered bonds
2,154

236



2,390

Non-agency RMBS (c)

1,239



1,239

Total available-for-sale securities
18,294

59,980



78,274

Trading assets:
 
 
 
 
 
Debt and equity instruments (b)
718

1,505



2,223

Derivative assets not designated as hedging:
 
 
 
 
 
Interest rate
4

6,912


(5,481
)
1,435

Foreign exchange

4,464


(2,862
)
1,602

Equity and other contracts

64


(45
)
19

Total derivative assets not designated as hedging
4

11,440


(8,388
)
3,056

Total trading assets
722

12,945


(8,388
)
5,279

Other assets:
 
 
 
 
 
Derivative assets designated as hedging:
 
 
 
 
 
Interest rate

389



389

Foreign exchange

34



34

Total derivative assets designated as hedging

423



423

Other assets (d)
247

80



327

Other assets measured at net asset value (d)
 
 
 
 
161

Total other assets
247

503



911

Subtotal assets of operations at fair value
19,263

73,428


(8,388
)
84,464

Percentage of assets prior to netting
21
%
79
%
%
 
 
Assets of consolidated investment management funds
337

365



702

Total assets
$
19,600

$
73,793

$

$
(8,388
)
$
85,166

Percentage of assets prior to netting
21
%
79
%
%
 
 
Liabilities measured at fair value on a recurring basis at June 30, 2017
Total carrying
value

(dollar amounts in millions)
Level 1

Level 2

Level 3

Netting (a)

Trading liabilities:
 
 
 
 
 
Debt and equity instruments
$
752

$
201

$

$

$
953

Derivative liabilities not designated as hedging:
 
 
 
 
 
Interest rate
5

6,873


(5,794
)
1,084

Foreign exchange

4,554


(2,545
)
2,009

Equity and other contracts

126


(72
)
54

Total derivative liabilities not designated as hedging
5

11,553


(8,411
)
3,147

Total trading liabilities
757

11,754


(8,411
)
4,100

Long-term debt (b)

368



368

Other liabilities  derivative liabilities designated as hedging:
 
 
 
 
 
Interest rate

518



518

Foreign exchange

297



297

Total other liabilities – derivative liabilities designated as hedging

815



815

Subtotal liabilities of operations at fair value
757

12,937


(8,411
)
5,283

Percentage of liabilities prior to netting
6
%
94
%
%
 
 
Liabilities of consolidated investment management funds
1

21



22

Total liabilities
$
758

$
12,958

$

$
(8,411
)
$
5,305

Percentage of liabilities prior to netting
6
%
94
%
%
 
 
(a)
ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities, and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)
Includes certain interests in securitizations.
(c)
Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.
(d)
Includes private equity investments and seed capital.
Assets measured at fair value on a recurring basis at Dec. 31, 2016
Total carrying
value

(dollar amounts in millions)
Level 1

Level 2

Level 3

Netting (a)

Available-for-sale securities:
 
 
 
 
 
U.S. Treasury
$
14,307

$

$

$

$
14,307

U.S. government agencies

359



359

Sovereign debt/sovereign guaranteed
66

12,423



12,489

State and political subdivisions

3,378



3,378

Agency RMBS

22,736



22,736

Non-agency RMBS

638



638

Other RMBS

513



513

Commercial MBS

928



928

Agency commercial MBS

6,449



6,449

CLOs

2,598



2,598

Other asset-backed securities

1,727



1,727

Equity securities
3




3

Money market funds (b)
842




842

Corporate bonds

1,396



1,396

Other debt securities

1,961



1,961

Foreign covered bonds
1,876

265



2,141

Non-agency RMBS (c)

1,357



1,357

Total available-for-sale securities
17,094

56,728



73,822

Trading assets:
 
 
 
 
 
Debt and equity instruments (b)
240

2,013



2,253

Derivative assets not designated as hedging:
 
 
 
 
 
Interest rate
4

7,583


(6,047
)
1,540

Foreign exchange

6,104


(4,172
)
1,932

Equity and other contracts

46


(38
)
8

Total derivative assets not designated as hedging
4

13,733


(10,257
)
3,480

Total trading assets
244

15,746


(10,257
)
5,733

Other assets:
 
 
 
 
 
Derivative assets designated as hedging:
 
 
 
 
 
Interest rate

415



415

Foreign exchange

369



369

Total derivative assets designated as hedging

784



784

Other assets (d)
268

73



341

Other assets measured at net asset value (d)
 
 
 
 
214

Total other assets
268

857



1,339

Subtotal assets of operations at fair value
17,606

73,331


(10,257
)
80,894

Percentage of assets prior to netting
19
%
81
%
%
 
 
Assets of consolidated investment management funds
464

767



1,231

Total assets
$
18,070

$
74,098

$

$
(10,257
)
$
82,125

Percentage of assets prior to netting
20
%
80
%
%
 
 


Liabilities measured at fair value on a recurring basis at Dec. 31, 2016
Total carrying
value

(dollar amounts in millions)
Level 1

Level 2

Level 3

Netting (a)

Trading liabilities:
 
 
 
 
 
Debt and equity instruments
$
349

$
236

$

$

$
585

Derivative liabilities not designated as hedging:
 
 
 
 
 
Interest rate
4

7,629


(6,634
)
999

Foreign exchange

6,103


(3,363
)
2,740

Equity and other contracts

115


(50
)
65

Total derivative liabilities not designated as hedging
4

13,847


(10,047
)
3,804

Total trading liabilities
353

14,083


(10,047
)
4,389

Long-term debt (b)

363



363

Other liabilities  derivative liabilities designated as hedging:
 
 
 
 
 
Interest rate

545



545

Foreign exchange

52



52

Total other liabilities – derivative liabilities designated as hedging

597



597

Subtotal liabilities of operations at fair value
353

15,043


(10,047
)
5,349

Percentage of liabilities prior to netting
2
%
98
%
%
 
 
Liabilities of consolidated investment management funds
3

312



315

Total liabilities
$
356

$
15,355

$

$
(10,047
)
$
5,664

Percentage of liabilities prior to netting
2
%
98
%
%
 
 
(a)
ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities, and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.
(b)
Includes certain interests in securitizations.
(c)
Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.
(d)
Includes private equity investments and seed capital.

Details Of Certain Items Measured At Fair Value on Recurring Basis
Details of certain items measured at fair value
 on a recurring basis
June 30, 2017
 
Dec. 31, 2016
Total
carrying
value (a)

 
Ratings
 
Total
carrying value (a)

 
Ratings
AAA/
AA-

A+/
A-

BBB+/
BBB-

BB+ and
lower

 
 
AAA/
AA-

A+/
A-

BBB+/
BBB-

BB+ and
lower

(dollar amounts in millions)
 
Non-agency RMBS, originated in:
 
 
 
 
 
 
 
 
 
 
 
 
 
2007
$
49

 
%
%
%
100
%
 
$
58

 
%
%
%
100
%
2006
88

 



100

 
98

 



100

2005
161

 
22

3

7

68

 
180

 
23

5

9

63

2004 and earlier
261

 
4

3

26

67

 
302

 
5

3

24

68

Total non-agency RMBS
$
559

 
8
%
2
%
14
%
76
%
 
$
638

 
9
%
3
%
14
%
74
%
Commercial MBS - Domestic, originated in:
 
 
 
 
 
 
 
 
 
 
 
 
 
2009-2017
$
733

 
87
%
13
%
%
%
 
$
674

 
84
%
16
%
%
%
2008
11

 
100




 
14

 
100




2007
24

 
100




 
190

 
71

29



2006

 




 
3

 
7

93



Total commercial MBS - Domestic
$
768

 
87
%
13
%
%
%
 
$
881

 
81
%
19
%
%
%
Foreign covered bonds:
 
 
 
 
 
 
 
 
 
 
 
 
 
Canada
$
1,556

 
100
%
%
%
%
 
$
1,320

 
100
%
%
%
%
Netherlands
172

 
100




 
160

 
100




United Kingdom
131

 
100




 
280

 
100




Other
531

 
100




 
381

 
100




Total foreign covered bonds
$
2,390

 
100
%
%
%
%
 
$
2,141

 
100
%
%
%
%
European floating rate notes - available-for-sale:
 
 
 
 
 
 
 
 
 
 
 
 
 
United Kingdom
$
299

 
88
%
12
%
%
%
 
$
379

 
90
%
10
%
%
%
Netherlands
81

 
100




 
125

 
100




Ireland

 




 
58

 


100


Total European floating rate notes - available-for-sale
$
380

 
90
%
10
%
%
%
 
$
562

 
83
%
7
%
10
%
%
Sovereign debt/sovereign guaranteed:
 
 
 
 
 
 
 
 
 
 
 
 
 
United Kingdom
$
2,853

 
100
%
%
%
%
 
$
3,209

 
100
%
%
%
%
France
2,378

 
100




 
1,998

 
100




Spain
1,656

 


100


 
1,749

 


100


Germany
1,542

 
100




 
1,347

 
100




Italy
1,018

 


100


 
1,130

 


100


Netherlands
981

 
100




 
1,061

 
100




Ireland
807

 

100



 
736

 

100



Belgium
785

 
100




 
1,005

 
100




Other (b)
268

 
49



51

 
254

 
71



29

Total sovereign debt/sovereign guaranteed
$
12,288

 
70
%
7
%
22
%
1
%
 
$
12,489

 
70
%
6
%
23
%
1
%
Non-agency RMBS (c), originated in:
 
 
 
 
 
 
 
 
 
 
 
 
 
2007
$
354

 
%
%
%
100
%
 
$
387

 
%
%
%
100
%
2006
360

 



100

 
391

 



100

2005
400

 
1

1

1

97

 
437

 

2

1

97

2004 and earlier
125

 
2

2

24

72

 
142

 
2

2

17

79

Total non-agency RMBS (c)
$
1,239

 
%
1
%
3
%
96
%
 
$
1,357

 
%
1
%
2
%
97
%

(a)
At June 30, 2017 and Dec. 31, 2016, foreign covered bonds and sovereign debt were included in Level 1 and Level 2 in the valuation hierarchy. All other assets in the table are Level 2 assets in the valuation hierarchy.
(b)
Included noninvestment grade sovereign debt related to Brazil of $136 million at June 30, 2017 and $73 million at Dec. 31, 2016.
(c)
Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011.
Unobservable Input Reconciliation of Assets and Liabilities Measured on a Recurring Basis
The table below includes a roll forward of the balance sheet amount for the three and six months ended June 30, 2016 (including the change in fair value), for financial instruments classified in Level 3 of the valuation hierarchy.

Fair value measurements for assets using significant unobservable inputs
Loans
(in millions)
2Q16

YTD16

Fair value at the beginning of the period
$
69

$

Transfers into Level 3

19

Total gains for the period included in earnings (a)

2

Purchases and sales:
 
 
Purchases
65

113

Sales
(33
)
(33
)
Fair value at June 30, 2016
$
101

$
101

Change in unrealized gains for the period included in earnings for assets held at the end of the reporting period
$

$
2

(a)
Reported in investment and other income.

Assets Measured at Fair Value on Nonrecurring Basis
The following tables present the financial instruments carried on the consolidated balance sheet by caption and by level in the fair value hierarchy as of June 30, 2017 and Dec. 31, 2016, for which a nonrecurring change in fair value has been recorded during the quarters ended June 30, 2017 and Dec. 31, 2016.

Assets measured at fair value on a nonrecurring basis at June 30, 2017
Total carrying
value

(in millions)
Level 1

Level 2

Level 3

Loans (a)
$

$
79

$
7

$
86

Other assets (b)

4

2

6

Total assets at fair value on a nonrecurring basis
$

$
83

$
9

$
92

 

Assets measured at fair value on a nonrecurring basis at Dec. 31, 2016
Total carrying
value

(in millions)
Level 1

Level 2

Level 3

Loans (a)
$

$
84

$
7

$
91

Other assets (b)

4


4

Total assets at fair value on a nonrecurring basis
$

$
88

$
7

$
95

(a)
During the quarters ended June 30, 2017 and Dec. 31, 2016, the fair value of these loans decreased less than $1 million and $1 million, respectively, based on the fair value of the underlying collateral based on guidance in ASC 310, Receivables, with an offset to the allowance for credit losses.
(b)
Includes other assets received in satisfaction of debt.

Summary of Financial Instruments Not Carried at Fair Value
The following tables present the estimated fair value and the carrying amount of financial instruments not carried at fair value on the consolidated balance sheet at June 30, 2017 and Dec. 31, 2016, by caption on the consolidated balance sheet and by the valuation hierarchy. See Note 18 of the Notes to Consolidated Financial Statements in our 2016 Annual Report for additional information regarding the financial instruments within the scope of this disclosure, and the methods and significant assumptions used to estimate their fair value.

Summary of financial instruments
June 30, 2017
(in millions)
Level 1

Level 2

Level 3

Total
estimated
fair value

Carrying
amount

Assets:
 
 
 
 
 
Interest-bearing deposits with the Federal Reserve and other central banks
$

$
74,130

$

$
74,130

$
74,130

Interest-bearing deposits with banks

13,601


13,601

13,601

Federal funds sold and securities purchased under resale agreements

27,440


27,440

27,440

Securities held-to-maturity
10,445

30,417


40,862

40,986

Loans (a)

60,360


60,360

60,134

Other financial assets
4,725

1,122


5,847

5,847

Total
$
15,170

$
207,070

$

$
222,240

$
222,138

Liabilities:
 
 
 
 
 
Noninterest-bearing deposits
$

$
89,063

$

$
89,063

$
89,063

Interest-bearing deposits

144,896


144,896

146,614

Federal funds purchased and securities sold under repurchase agreements

10,934


10,934

10,934

Payables to customers and broker-dealers

21,622


21,622

21,622

Commercial paper

876


876

876

Borrowings

1,553


1,553

1,553

Long-term debt

27,601


27,601

27,331

Total
$

$
296,545

$

$
296,545

$
297,993

(a)
Does not include the leasing portfolio.


Summary of financial instruments
Dec. 31, 2016
(in millions)
Level 1

Level 2

Level 3

Total estimated
fair value

Carrying
amount

Assets:
 
 
 
 
 
Interest-bearing deposits with the Federal Reserve and other central banks
$

$
58,041

$

$
58,041

$
58,041

Interest-bearing deposits with banks

15,091


15,091

15,086

Federal funds sold and securities purchased under resale agreements

25,801


25,801

25,801

Securities held-to-maturity
11,173

29,496


40,669

40,905

Loans (a)

62,829


62,829

62,564

Other financial assets
4,822

1,112


5,934

5,934

Total
$
15,995

$
192,370

$

$
208,365

$
208,331

Liabilities:
 
 
 
 
 
Noninterest-bearing deposits
$

$
78,342

$

$
78,342

$
78,342

Interest-bearing deposits

141,418


141,418

143,148

Federal funds purchased and securities sold under repurchase agreements

9,989


9,989

9,989

Payables to customers and broker-dealers

20,987


20,987

20,987

Borrowings

960


960

960

Long-term debt

24,184


24,184

24,100

Total
$

$
275,880

$

$
275,880

$
277,526


(a)
Does not include the leasing portfolio.

Summary of the Carrying Amount, Notional Amount and Unrealized Gain (Loss) of Hedged Financial Instruments
The table below summarizes the carrying amount of the hedged financial instruments, the notional amount of the hedge and the unrealized gain (loss) (estimated fair value) of the derivatives.

Hedged financial instruments
Carrying
amount

Notional amount of hedge

 
 
 
Unrealized
(in millions)
Gain

(Loss)

June 30, 2017
 
 
 
 
Securities available-for-sale
$
12,159

$
12,064

$
53

$
(354
)
Long-term debt
23,543

23,450

336

(164
)
Dec. 31, 2016
 
Securities available-for-sale
$
9,184

$
9,233

$
83

$
(342
)
Long-term debt
20,511

20,450

330

(203
)