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 | ) |
|