Financial Instruments Carried at Fair Value on Recurring Basis |
The following tables present the financial instruments carried at fair value at Sept. 30, 2021 and Dec. 31, 2020, 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. | | | | | | | | | | | | | | | | | | Assets measured at fair value on a recurring basis at Sept. 30, 2021 | Total carrying value | (dollars in millions) | Level 1 | Level 2 | Level 3 | Netting (a) | Assets: | | | | | | Available-for-sale securities: | | | | | | U.S. Treasury | $ | 25,961 | | $ | — | | $ | — | | $ | — | | $ | 25,961 | | Agency RMBS | — | | 14,908 | | — | | — | | 14,908 | | Sovereign debt/sovereign guaranteed | 5,587 | | 7,482 | | — | | — | | 13,069 | | Agency commercial MBS | — | | 8,544 | | — | | — | | 8,544 | | Supranational | — | | 7,939 | | — | | — | | 7,939 | | Foreign covered bonds | — | | 6,946 | | — | | — | | 6,946 | | CLOs | — | | 5,204 | | — | | — | | 5,204 | | Non-agency commercial MBS | — | | 3,182 | | — | | — | | 3,182 | | Foreign government agencies | — | | 2,679 | | — | | — | | 2,679 | | State and political subdivisions | — | | 2,644 | | — | | — | | 2,644 | | U.S. government agencies | — | | 2,643 | | — | | — | | 2,643 | | Non-agency RMBS (b) | — | | 2,598 | | — | | — | | 2,598 | | Corporate bonds | — | | 2,377 | | — | | — | | 2,377 | | Other ABS | — | | 2,312 | | — | | — | | 2,312 | | | | | | | | Other debt securities | — | | 1 | | — | | — | | 1 | | Total available-for-sale securities | 31,548 | | 69,459 | | — | | — | | 101,007 | | Trading assets: | | | | | | Debt instruments | 1,811 | | 2,604 | | — | | — | | 4,415 | | Equity instruments (c) | 9,274 | | — | | — | | — | | 9,274 | | Derivative assets not designated as hedging: | | | | | | Interest rate | 4 | | 3,420 | | — | | (1,455) | | 1,969 | | Foreign exchange | — | | 6,351 | | — | | (4,251) | | 2,100 | | Equity and other contracts | 6 | | 259 | | — | | (169) | | 96 | | Total derivative assets not designated as hedging | 10 | | 10,030 | | — | | (5,875) | | 4,165 | | Total trading assets | 11,095 | | 12,634 | | — | | (5,875) | | 17,854 | | Other assets: | | | | | | Derivative assets designated as hedging: | | | | | | | | | | | | Foreign exchange | — | | 238 | | — | | — | | 238 | | Total derivative assets designated as hedging | — | | 238 | | — | | — | | 238 | | Other assets (d) | 531 | | 325 | | — | | — | | 856 | | Total other assets | 531 | | 563 | | — | | — | | 1,094 | | Assets measured at NAV (d) | | | | | 219 | | Total assets | $ | 43,174 | | $ | 82,656 | | $ | — | | $ | (5,875) | | $ | 120,174 | | Percentage of total assets prior to netting | 34 | % | 66 | % | — | % | | |
| | | | | | | | | | | | | | | | | | Liabilities measured at fair value on a recurring basis at Sept. 30, 2021 | Total carrying value | (dollars in millions) | Level 1 | Level 2 | Level 3 | Netting (a) | Liabilities: | | | | | | Trading liabilities: | | | | | | Debt instruments | $ | 2,331 | | $ | 68 | | $ | — | | $ | — | | $ | 2,399 | | Equity instruments | 61 | | — | | — | | — | | 61 | | Derivative liabilities not designated as hedging: | | | | | | Interest rate | 3 | | 2,986 | | — | | (1,844) | | 1,145 | | Foreign exchange | — | | 6,218 | | — | | (4,685) | | 1,533 | | Equity and other contracts | — | | 14 | | — | | — | | 14 | | Total derivative liabilities not designated as hedging | 3 | | 9,218 | | — | | (6,529) | | 2,692 | | Total trading liabilities | 2,395 | | 9,286 | | — | | (6,529) | | 5,152 | | Long-term debt (c) | — | | 400 | | — | | — | | 400 | | Other liabilities: | | | | | | Derivative liabilities designated as hedging: | | | | | | Interest rate | — | | 421 | | — | | — | | 421 | | Foreign exchange | — | | 7 | | — | | — | | 7 | | Total derivative liabilities designated as hedging | — | | 428 | | — | | — | | 428 | | Other liabilities | 1 | | 4 | | — | | — | | 5 | | Total other liabilities | 1 | | 432 | | — | | — | | 433 | | Total liabilities | $ | 2,396 | | $ | 10,118 | | $ | — | | $ | (6,529) | | $ | 5,985 | | Percentage of total liabilities prior to netting | 19 | % | 81 | % | — | % | | |
(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 $387 million in Level 2 that was included in the former Grantor Trust. (c) Includes certain interests in securitizations. (d) Includes seed capital, private equity investments and other assets. | | | | | | | | | | | | | | | | | | Assets measured at fair value on a recurring basis at Dec. 31, 2020 | Total carrying value | (dollars in millions) | Level 1 | Level 2 | Level 3 | Netting (a) | Assets: | | | | | | Available-for-sale securities: | | | | | | U.S. Treasury | $ | 24,894 | | $ | — | | $ | — | | $ | — | | $ | 24,894 | | Agency RMBS | — | | 22,347 | | — | | — | | 22,347 | | Sovereign debt/sovereign guaranteed | 5,909 | | 6,482 | | — | | — | | 12,391 | | Agency commercial MBS | — | | 9,228 | | — | | — | | 9,228 | | Supranational | — | | 7,160 | | — | | — | | 7,160 | | Foreign covered bonds | — | | 6,725 | | — | | — | | 6,725 | | CLOs | — | | 4,703 | | — | | — | | 4,703 | | Foreign government agencies | — | | 4,135 | | — | | — | | 4,135 | | U.S. government agencies | — | | 3,853 | | — | | — | | 3,853 | | Other ABS | — | | 3,164 | | — | | — | | 3,164 | | Non-agency commercial MBS | — | | 3,017 | | — | | — | | 3,017 | | Non-agency RMBS (b) | — | | 2,326 | | — | | — | | 2,326 | | State and political subdivisions | — | | 2,308 | | — | | — | | 2,308 | | Corporate bonds | — | | 1,994 | | — | | — | | 1,994 | | Commercial paper/CDs | — | | 249 | | — | | — | | 249 | | Other debt securities | — | | 1 | | — | | — | | 1 | | Total available-for-sale securities | 30,803 | | 77,692 | | — | | — | | 108,495 | | Trading assets: | | | | | | Debt instruments | 1,803 | | 3,868 | | — | | — | | 5,671 | | Equity instruments (c) | 5,775 | | — | | — | | — | | 5,775 | | Derivative assets not designated as hedging: | | | | | | Interest rate | 5 | | 4,477 | | — | | (1,952) | | 2,530 | | Foreign exchange | — | | 7,688 | | — | | (6,392) | | 1,296 | | Equity and other contracts | — | | 2 | | — | | (2) | | — | | Total derivative assets not designated as hedging | 5 | | 12,167 | | — | | (8,346) | | 3,826 | | Total trading assets | 7,583 | | 16,035 | | — | | (8,346) | | 15,272 | | Other assets: | | | | | | Derivative assets designated as hedging: | | | | | | | | | | | | Foreign exchange | — | | 19 | | — | | — | | 19 | | Total derivative assets designated as hedging | — | | 19 | | — | | — | | 19 | | Other assets (d) | 504 | | 285 | | — | | — | | 789 | | Total other assets | 504 | | 304 | | — | | — | | 808 | | Assets measured at NAV (d) | | | | | 201 | | Total assets | $ | 38,890 | | $ | 94,031 | | $ | — | | $ | (8,346) | | $ | 124,776 | | Percentage of total assets prior to netting | 29 | % | 71 | % | — | % | | |
| | | | | | | | | | | | | | | | | | Liabilities measured at fair value on a recurring basis at Dec. 31, 2020 | Total carrying value | (dollars in millions) | Level 1 | Level 2 | Level 3 | Netting (a) | Liabilities: | | | | | | Trading liabilities: | | | | | | Debt instruments | $ | 2,287 | | $ | 35 | | $ | — | | $ | — | | $ | 2,322 | | Equity instruments | 11 | | — | | — | | — | | 11 | | Derivative liabilities not designated as hedging: | | | | | | Interest rate | 2 | | 3,878 | | — | | (2,348) | | 1,532 | | Foreign exchange | — | | 7,622 | | — | | (5,484) | | 2,138 | | Equity and other contracts | 7 | | 34 | | — | | (13) | | 28 | | Total derivative liabilities not designated as hedging | 9 | | 11,534 | | — | | (7,845) | | 3,698 | | Total trading liabilities | 2,307 | | 11,569 | | — | | (7,845) | | 6,031 | | Long-term debt (c) | — | | 400 | | — | | — | | 400 | | Other liabilities: | | | | | | Derivative liabilities designated as hedging: | | | | | | Interest rate | — | | 666 | | — | | — | | 666 | | Foreign exchange | — | | 441 | | — | | — | | 441 | | Total derivative liabilities designated as hedging | — | | 1,107 | | — | | — | | 1,107 | | Other liabilities | 1 | | 2 | | — | | — | | 3 | | Total other liabilities | 1 | | 1,109 | | — | | — | | 1,110 | | Total liabilities | $ | 2,308 | | $ | 13,078 | | $ | — | | $ | (7,845) | | $ | 7,541 | | Percentage of total liabilities prior to netting | 15 | % | 85 | % | — | % | | |
(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 $487 million in Level 2 that was included in the former Grantor Trust. (c) Includes certain interests in securitizations. (d) Includes seed capital, private equity investments and other assets.
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Details Of Certain Items Measured At Fair Value on Recurring Basis |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Details of certain available-for-sale securities measured at fair value on a recurring basis | Sept. 30, 2021 | | Dec. 31, 2020 | Total carrying value (b) | | Ratings (a) | | Total carrying value (b) | | Ratings (a) | AAA/ AA- | A+/ A- | BBB+/ BBB- | BB+ and lower | A1+/A2 & SP-1 | Not rated | | AAA/ AA- | A+/ A- | BBB+/ BBB- | BB+ and lower | A1+/A2 & SP-1 | Not rated | (dollars in millions) | | | Non-agency RMBS (c), originated in: | | | | | | | | | | | | | | | | | | 2008-2021 | $ | 1,996 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 1,548 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | 2007 | 124 | | | — | | 4 | | — | | 40 | | — | | 56 | | | 179 | | | 12 | | 3 | | — | | 42 | | — | | 43 | | 2006 | 194 | | | — | | 24 | | — | | 33 | | — | | 43 | | | 237 | | | — | | 23 | | — | | 40 | | — | | 37 | | 2005 | 179 | | | 3 | | 5 | | 1 | | 40 | | — | | 51 | | | 227 | | | 3 | | — | | 7 | | 52 | | — | | 38 | | 2004 and earlier | 105 | | | 16 | | 10 | | 5 | | 57 | | — | | 12 | | | 135 | | | 19 | | 10 | | 11 | | 54 | | — | | 6 | | Total non-agency RMBS | $ | 2,598 | | | 78 | % | 3 | % | — | % | 9 | % | — | % | 10 | % | | $ | 2,326 | | | 69 | % | 3 | % | 1 | % | 16 | % | — | % | 11 | % | Non-agency commercial MBS originated in: | | | | | | | | | | | | | | | | | | 2009-2021 | $ | 3,182 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 3,017 | | | 99 | % | 1 | % | — | % | — | % | — | % | — | % | Foreign covered bonds: | | | | | | | | | | | | | | | | | | Canada | $ | 2,537 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 2,552 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | UK | 1,220 | | | 100 | | — | | — | | — | | — | | — | | | 1,259 | | | 100 | | — | | — | | — | | — | | — | | Australia | 865 | | | 100 | | — | | — | | — | | — | | — | | | 951 | | | 100 | | — | | — | | — | | — | | — | | Germany | 666 | | | 100 | | — | | — | | — | | — | | — | | | 494 | | | 100 | | — | | — | | — | | — | | — | | Norway | 621 | | | 100 | | — | | — | | — | | — | | — | | | 703 | | | 100 | | — | | — | | — | | — | | — | | Other | 1,037 | | | 100 | | — | | — | | — | | — | | — | | | 766 | | | 100 | | — | | — | | — | | — | | — | | Total foreign covered bonds | $ | 6,946 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 6,725 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | Sovereign debt/sovereign guaranteed: | | | | | | | | | | | | | | | | | | Germany | $ | 3,651 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 2,222 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | France | 1,852 | | | 100 | | — | | — | | — | | — | | — | | | 1,697 | | | 100 | | — | | — | | — | | — | | — | | Italy | 1,536 | | | — | | — | | 100 | | — | | — | | — | | | 2,010 | | | — | | — | | 100 | | — | | — | | — | | UK | 1,203 | | | 99 | | — | | — | | — | | 1 | | — | | | 1,089 | | | 100 | | — | | — | | — | | — | | — | | Singapore | 1,102 | | | 100 | | — | | — | | — | | — | | — | | | 984 | | | 100 | | — | | — | | — | | — | | — | | Spain | 998 | | | — | | 9 | | 91 | | — | | — | | — | | | 1,920 | | | — | | 5 | | 95 | | — | | — | | — | | Canada | 651 | | | 100 | | — | | — | | — | | — | | — | | | 572 | | | 100 | | — | | — | | — | | — | | — | | Hong Kong | 568 | | | 100 | | — | | — | | — | | — | | — | | | 29 | | | 100 | | — | | — | | — | | — | | — | | Netherlands | 340 | | | 100 | | — | | — | | — | | — | | — | | | 491 | | | 100 | | — | | — | | — | | — | | — | | Austria | 306 | | | 100 | | — | | — | | — | | — | | — | | | 256 | | | 100 | | — | | — | | — | | — | | — | | Japan | 296 | | | — | | 100 | | — | | — | | — | | — | | | 408 | | | — | | 100 | | — | | — | | — | | — | | Ireland | 235 | | | — | | 100 | | — | | — | | — | | — | | | 252 | | | — | | 100 | | — | | — | | — | | — | | Other (d) | 331 | | | 60 | | — | | — | | 40 | | — | | — | | | 461 | | | 73 | | — | | — | | 27 | | — | | — | | Total sovereign debt/sovereign guaranteed | $ | 13,069 | | | 75 | % | 5 | % | 19 | % | 1 | % | — | % | — | % | | $ | 12,391 | | | 62 | % | 6 | % | 31 | % | 1 | % | — | % | — | % | Foreign government agencies: | | | | | | | | | | | | | | | | | | Netherlands | $ | 834 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | | $ | 847 | | | 100 | % | — | % | — | % | — | % | — | % | — | % | Canada | 572 | | | 78 | | 22 | | — | | — | | — | | — | | | 511 | | | 75 | | 25 | | — | | — | | — | | — | | France | 277 | | | 100 | | — | | — | | — | | — | | — | | | 305 | | | 100 | | — | | — | | — | | — | | — | | Norway | 270 | | | 100 | | — | | — | | — | | — | | — | | | 273 | | | 100 | | — | | — | | — | | — | | — | | Sweden | 253 | | | 100 | | — | | — | | — | | — | | — | | | 281 | | | 100 | | — | | — | | — | | — | | — | | Finland | 205 | | | 100 | | — | | — | | — | | — | | — | | | 225 | | | 100 | | — | | — | | — | | — | | — | | Germany | — | | | — | | — | | — | | — | | — | | — | | | 1,473 | | | 100 | | — | | — | | — | | — | | — | | Other | 268 | | | 64 | | 36 | | — | | — | | — | | — | | | 220 | | | 55 | | 45 | | — | | — | | — | | — | | Total foreign government agencies | $ | 2,679 | | | 92 | % | 8 | % | — | % | — | % | — | % | — | % | | $ | 4,135 | | | 95 | % | 5 | % | — | % | — | % | — | % | — | % |
(a) Represents ratings by S&P or the equivalent. (b) At Sept. 30, 2021 and Dec. 31, 2020, sovereign debt/sovereign guaranteed securities 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. (c) Includes $387 million at Sept. 30, 2021 and $487 million at Dec. 31, 2020 that were included in the former Grantor Trust. (d) Includes non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of $134 million at Sept. 30, 2021 and $125 million at Dec. 31, 2020.
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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 Sept. 30, 2021 and Dec. 31, 2020, by caption on the consolidated balance sheet and by the valuation hierarchy.
| | | | | | | | | | | | | | | | | | Summary of financial instruments | Sept. 30, 2021 | (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 | $ | — | | $ | 126,959 | | $ | — | | $ | 126,959 | | $ | 126,959 | | Interest-bearing deposits with banks | — | | 20,063 | | — | | 20,063 | | 20,057 | | Federal funds sold and securities purchased under resale agreements | — | | 28,497 | | — | | 28,497 | | 28,497 | | Securities held-to-maturity | 11,538 | | 45,170 | | — | | 56,708 | | 56,267 | | Loans (a) | — | | 63,513 | | — | | 63,513 | | 63,322 | | Other financial assets | 6,752 | | 1,186 | | — | | 7,938 | | 7,938 | | Total | $ | 18,290 | | $ | 285,388 | | $ | — | | $ | 303,678 | | $ | 303,040 | | Liabilities: | | | | | | Noninterest-bearing deposits | $ | — | | $ | 100,498 | | $ | — | | $ | 100,498 | | $ | 100,498 | | Interest-bearing deposits | — | | 241,183 | | — | | 241,183 | | 242,641 | | Federal funds purchased and securities sold under repurchase agreements | — | | 11,973 | | — | | 11,973 | | 11,973 | | Payables to customers and broker-dealers | — | | 26,002 | | — | | 26,002 | | 26,002 | | | | | | | | Borrowings | — | | 929 | | — | | 929 | | 929 | | Long-term debt | — | | 25,741 | | — | | 25,741 | | 24,643 | | Total | $ | — | | $ | 406,326 | | $ | — | | $ | 406,326 | | $ | 406,686 | |
(a) Does not include the leasing portfolio. | | | | | | | | | | | | | | | | | | Summary of financial instruments | Dec. 31, 2020 | (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 | $ | — | | $ | 141,775 | | $ | — | | $ | 141,775 | | $ | 141,775 | | Interest-bearing deposits with banks | — | | 17,310 | | — | | 17,310 | | 17,300 | | Federal funds sold and securities purchased under resale agreements | — | | 30,907 | | — | | 30,907 | | 30,907 | | Securities held-to-maturity | 4,120 | | 45,104 | | — | | 49,224 | | 47,946 | | Loans (a) | — | | 53,586 | | — | | 53,586 | | 55,121 | | Other financial assets | 6,252 | | 1,160 | | — | | 7,412 | | 7,412 | | Total | $ | 10,372 | | $ | 289,842 | | $ | — | | $ | 300,214 | | $ | 300,461 | | Liabilities: | | | | | | Noninterest-bearing deposits | $ | — | | $ | 83,854 | | $ | — | | $ | 83,854 | | $ | 83,854 | | Interest-bearing deposits | — | | 257,287 | | — | | 257,287 | | 257,691 | | Federal funds purchased and securities sold under repurchase agreements | — | | 11,305 | | — | | 11,305 | | 11,305 | | Payables to customers and broker-dealers | — | | 25,085 | | — | | 25,085 | | 25,085 | | Borrowings | — | | 563 | | — | | 563 | | 563 | | Long-term debt | — | | 27,306 | | — | | 27,306 | | 25,584 | | Total | $ | — | | $ | 405,400 | | $ | — | | $ | 405,400 | | $ | 404,082 | |
(a) Does not include the leasing portfolio.
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