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Fair Value Measurements (Tables)
12 Months Ended
Dec. 31, 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 December 31, 2020 and 2019, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
December 31, 2020
 Fair Value Measurements
(Dollars in millions)Level 1Level 2Level 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 securities45,219 3,051   48,270 
Corporate securities, trading loans and other 22,817 1,359  24,176 
Equity securities36,372 31,372 227  67,971 
Non-U.S. sovereign debt5,753 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 assets15,624 416,175 2,751 (387,371)47,179 
AFS debt securities:     
U.S. Treasury and agency securities115,266 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 securities115,266 118,582 643  234,491 
Other debt securities carried at fair value:
U.S. Treasury and agency securities93    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 value2,712 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 securities9,425 139   9,564 
Equity securities38,189 4,235   42,424 
Non-U.S. sovereign debt5,853 8,043   13,896 
Corporate securities and other 5,420 16  5,436 
Total trading account liabilities53,467 17,837 16  71,320 
Derivative liabilities14,907 412,881 6,219 (388,481)45,526 
Short-term borrowings 5,874   5,874 
Accrued expenses and other liabilities12,297 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 precious metal inventories 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.
December 31, 2019
Fair Value Measurements
(Dollars in millions)Level 1Level 2Level 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 securities49,517 4,157 — — 53,674 
Corporate securities, trading loans and other— 25,226 1,507 — 26,733 
Equity securities53,597 32,619 239 — 86,455 
Non-U.S. sovereign debt3,965 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 assets14,079 328,442 2,226 (304,262)40,485 
AFS debt securities:     
U.S. Treasury and agency securities67,332 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 securities67,332 177,708 599 — 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 securities400 6,088 — — 6,488 
Total other debt securities carried at fair value403 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 securities13,140 282 — — 13,422 
Equity securities38,148 4,144 — 42,294 
Non-U.S. sovereign debt10,751 11,310 — — 22,061 
Corporate securities and other— 5,478 15 — 5,493 
Total trading account liabilities62,039 21,214 17 — 83,270 
Derivative liabilities11,904 320,479 4,764 (298,918)38,229 
Short-term borrowings— 3,941 — — 3,941 
Accrued expenses and other liabilities13,927 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 2020, 2019 and 2018, 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
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI
(3)
GrossGross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
PurchasesSalesIssuancesSettlements
Year Ended December 31, 2020
Trading account assets:       
Corporate securities, trading loans and other
$1,507 $(138)$(1)$430 $(242)$10 $(282)$639 $(564)$1,359 $(102)
Equity securities
239 (43) 78 (53) (3)58 (49)227 (31)
Non-U.S. sovereign debt
482 45 (46)76 (61) (39)150 (253)354 47 
Mortgage trading loans, ABS and other MBS
1,553 (120)(3)577 (746)11 (96)757 (493)1,440 (92)
Total trading account assets3,781 (256)(50)1,161 (1,102)21 (420)1,604 (1,359)3,380 (178)
Net derivative assets (liabilities) (4)
(2,538)(235) 120 (646) (112)(235)178 (3,468)(953)
AFS debt securities:          
Non-agency residential MBS424 (2)3 23 (54) (44)158 (130)378 (2)
Non-U.S. securities
2 1   (1) (1)17  18 1 
Other taxable securities
65   9 (4)  1  71  
Tax-exempt securities108 (21)3    (169)265 (10)176 (20)
Total AFS debt securities599 (22)6 32 (59) (214)441 (140)643 (21)
Other debt securities carried at fair value – Non-agency residential MBS
299 26   (180) (24)190 (44)267 3 
Loans and leases (5,6)
693 (4) 145 (76)22 (161)98  717 9 
Loans held-for-sale (5,6)
375 26 (28) (489)691 (119)93 (313)236 (5)
Other assets (6,7)
2,360 (288)3 178 (4)224 (506)5 (2)1,970 (374)
Trading account liabilities – Equity securities
(2)1       1   
Trading account liabilities – Corporate securities
   and other
(15)8  (7)(3) 1   (16) 
Long-term debt (5)
(1,149)(46)2 (104) (47)218 (52)14 (1,164)(5)
Year Ended December 31, 2019
Trading account assets:     
Corporate securities, trading loans and other
$1,558 $105 $— $534 $(390)$18 $(578)$699 $(439)$1,507 $29 
Equity securities276 (12)— 38 (87)— (9)79 (46)239 (18)
Non-U.S. sovereign debt465 46 (12)— — (51)39 (6)482 47 
Mortgage trading loans, ABS and other MBS
1,635 99 (2)662 (899)— (175)738 (505)1,553 26 
Total trading account assets3,934 238 (14)1,235 (1,376)18 (813)1,555 (996)3,781 84 
Net derivative assets (liabilities) (4,8)
(935)(37)— 298 (837)— (97)147 (1,077)(2,538)228 
AFS debt securities:       
Non-agency residential MBS597 13 64 — (73)— (40)206 (343)424 — 
Non-U.S. securities— — — — — — — — — 
Other taxable securities— — — — (5)61 — 65 — 
Tax-exempt securities— — — — — — — 108 — 108 — 
Total AFS debt securities606 15 64 — (73)— (45)375 (343)599 — 
Other debt securities carried at fair value – Non-agency residential MBS
172 36 — — — — (17)155 (47)299 38 
Loans and leases (5,6)
338 — — 230 (35)217 (57)— — 693 (1)
Loans held-for-sale (5,6)
542 48 (6)12 (71)36 (245)59 — 375 22 
Other assets (6,7)
2,932 (81)19 — (10)179 (683)(1)2,360 (267)
Trading account liabilities – Equity securities
— (2)— — — — — — — (2)(2)
Trading account liabilities – Corporate securities
   and other
(18)— (1)(3)(1)— — — (15)— 
Long-term debt (5,8)
(817)(59)(64)— — (40)180 (350)(1,149)(55)
(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 - predominantly 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 $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 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.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
Level 3 – Fair Value Measurements (1)
(Dollars in millions)Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
PurchasesSalesIssuancesSettlements
Year Ended December 31, 2018
Trading account assets:      
Corporate securities, trading loans and other$1,864 $(32)$(1)$436 $(403)$$(568)$804 $(547)$1,558 $(117)
Equity securities235 (17)— 44 (11)— (4)78 (49)276 (22)
Non-U.S. sovereign debt556 47 (44)13 (57)— (30)117 (137)465 48 
Mortgage trading loans, ABS and other MBS1,498 148 585 (910)— (158)705 (236)1,635 97 
Total trading account assets4,153 146 (42)1,078 (1,381)(760)1,704 (969)3,934 
Net derivative assets (liabilities) (4)
(1,714)106 — 531 (1,179)— 778 39 504 (935)(116)
AFS debt securities:       
Non-agency residential MBS— 27 (33)— (71)— (25)774 (75)597 — 
Non-U.S. securities25 — (1)— (10)— (15)— — 
Other taxable securities509 (3)— (23)— (11)60 (526)— 
Tax-exempt securities469 — — — — — (1)(469)— — 
Total AFS debt securities (5)
1,003 28 (37)— (104)— (52)838 (1,070)606 — 
Other debt securities carried at fair value - Non-agency residential MBS— (18)— — (8)— (34)365 (133)172 (18)
Loans and leases (6,7)
571 (16)— — (134)— (83)— — 338 (9)
Loans held-for-sale (6)
690 44 (26)71 — (201)23 (60)542 31 
Other assets (5,7,8)
2,425 414 (38)(69)96 (792)929 (35)2,932 149 
Trading account liabilities – Corporate securities and other(24)11 — (12)(2)— — — (18)(7)
Accrued expenses and other liabilities (6)
(8)— — — — — — — — — 
Long-term debt (6)
(1,863)103 — (141)486 (262)847 (817)95 
(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; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily 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 losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.
(6)Amounts represent instruments that are accounted for under the fair value option.
(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(8)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 2020, 2019 and 2018, 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
January 1
Total Realized/Unrealized Gains (Losses) in Net
Income (2)
Gains
(Losses)
in OCI
(3)
GrossGross
Transfers
into
Level 3 
Gross
Transfers
out of
Level 3 
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
(Dollars in millions)
PurchasesSalesIssuancesSettlements
Year Ended December 31, 2020
Trading account assets:       
Corporate securities, trading loans and other
$1,507 $(138)$(1)$430 $(242)$10 $(282)$639 $(564)$1,359 $(102)
Equity securities
239 (43) 78 (53) (3)58 (49)227 (31)
Non-U.S. sovereign debt
482 45 (46)76 (61) (39)150 (253)354 47 
Mortgage trading loans, ABS and other MBS
1,553 (120)(3)577 (746)11 (96)757 (493)1,440 (92)
Total trading account assets3,781 (256)(50)1,161 (1,102)21 (420)1,604 (1,359)3,380 (178)
Net derivative assets (liabilities) (4)
(2,538)(235) 120 (646) (112)(235)178 (3,468)(953)
AFS debt securities:          
Non-agency residential MBS424 (2)3 23 (54) (44)158 (130)378 (2)
Non-U.S. securities
2 1   (1) (1)17  18 1 
Other taxable securities
65   9 (4)  1  71  
Tax-exempt securities108 (21)3    (169)265 (10)176 (20)
Total AFS debt securities599 (22)6 32 (59) (214)441 (140)643 (21)
Other debt securities carried at fair value – Non-agency residential MBS
299 26   (180) (24)190 (44)267 3 
Loans and leases (5,6)
693 (4) 145 (76)22 (161)98  717 9 
Loans held-for-sale (5,6)
375 26 (28) (489)691 (119)93 (313)236 (5)
Other assets (6,7)
2,360 (288)3 178 (4)224 (506)5 (2)1,970 (374)
Trading account liabilities – Equity securities
(2)1       1   
Trading account liabilities – Corporate securities
   and other
(15)8  (7)(3) 1   (16) 
Long-term debt (5)
(1,149)(46)2 (104) (47)218 (52)14 (1,164)(5)
Year Ended December 31, 2019
Trading account assets:     
Corporate securities, trading loans and other
$1,558 $105 $— $534 $(390)$18 $(578)$699 $(439)$1,507 $29 
Equity securities276 (12)— 38 (87)— (9)79 (46)239 (18)
Non-U.S. sovereign debt465 46 (12)— — (51)39 (6)482 47 
Mortgage trading loans, ABS and other MBS
1,635 99 (2)662 (899)— (175)738 (505)1,553 26 
Total trading account assets3,934 238 (14)1,235 (1,376)18 (813)1,555 (996)3,781 84 
Net derivative assets (liabilities) (4,8)
(935)(37)— 298 (837)— (97)147 (1,077)(2,538)228 
AFS debt securities:       
Non-agency residential MBS597 13 64 — (73)— (40)206 (343)424 — 
Non-U.S. securities— — — — — — — — — 
Other taxable securities— — — — (5)61 — 65 — 
Tax-exempt securities— — — — — — — 108 — 108 — 
Total AFS debt securities606 15 64 — (73)— (45)375 (343)599 — 
Other debt securities carried at fair value – Non-agency residential MBS
172 36 — — — — (17)155 (47)299 38 
Loans and leases (5,6)
338 — — 230 (35)217 (57)— — 693 (1)
Loans held-for-sale (5,6)
542 48 (6)12 (71)36 (245)59 — 375 22 
Other assets (6,7)
2,932 (81)19 — (10)179 (683)(1)2,360 (267)
Trading account liabilities – Equity securities
— (2)— — — — — — — (2)(2)
Trading account liabilities – Corporate securities
   and other
(18)— (1)(3)(1)— — — (15)— 
Long-term debt (5,8)
(817)(59)(64)— — (40)180 (350)(1,149)(55)
(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 - predominantly 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 $(41) million and $3 million related to financial instruments still held at December 31, 2020 and 2019.
(4)Net derivative assets (liabilities) include derivative assets of $2.8 billion and $2.2 billion and derivative liabilities of $6.2 billion and $4.8 billion at December 31, 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.
(8)Transfers into long-term debt include a $1.4 billion transfer in of Level 3 derivative assets to reflect the Corporation's change to present bifurcated embedded derivatives with their respective host instruments.
Level 3 – Fair Value Measurements (1)
(Dollars in millions)Balance
January 1
Total Realized/Unrealized Gains (Losses) in Net
 Income (2)
Gains
(Losses)
in OCI (3)
GrossGross
Transfers
into
Level 3
Gross
Transfers
out of
Level 3
Balance
December 31
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
PurchasesSalesIssuancesSettlements
Year Ended December 31, 2018
Trading account assets:      
Corporate securities, trading loans and other$1,864 $(32)$(1)$436 $(403)$$(568)$804 $(547)$1,558 $(117)
Equity securities235 (17)— 44 (11)— (4)78 (49)276 (22)
Non-U.S. sovereign debt556 47 (44)13 (57)— (30)117 (137)465 48 
Mortgage trading loans, ABS and other MBS1,498 148 585 (910)— (158)705 (236)1,635 97 
Total trading account assets4,153 146 (42)1,078 (1,381)(760)1,704 (969)3,934 
Net derivative assets (liabilities) (4)
(1,714)106 — 531 (1,179)— 778 39 504 (935)(116)
AFS debt securities:       
Non-agency residential MBS— 27 (33)— (71)— (25)774 (75)597 — 
Non-U.S. securities25 — (1)— (10)— (15)— — 
Other taxable securities509 (3)— (23)— (11)60 (526)— 
Tax-exempt securities469 — — — — — (1)(469)— — 
Total AFS debt securities (5)
1,003 28 (37)— (104)— (52)838 (1,070)606 — 
Other debt securities carried at fair value - Non-agency residential MBS— (18)— — (8)— (34)365 (133)172 (18)
Loans and leases (6,7)
571 (16)— — (134)— (83)— — 338 (9)
Loans held-for-sale (6)
690 44 (26)71 — (201)23 (60)542 31 
Other assets (5,7,8)
2,425 414 (38)(69)96 (792)929 (35)2,932 149 
Trading account liabilities – Corporate securities and other(24)11 — (12)(2)— — — (18)(7)
Accrued expenses and other liabilities (6)
(8)— — — — — — — — — 
Long-term debt (6)
(1,863)103 — (141)486 (262)847 (817)95 
(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; Other debt securities carried at fair value - other income; Loans and leases - predominantly other income; Loans held-for-sale - other income; Other assets - primarily other income related to MSRs; Long-term debt - primarily 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 losses of $105 million related to financial instruments still held at December 31, 2018.
(4)Net derivative assets (liabilities) include derivative assets of $3.5 billion and derivative liabilities of $4.4 billion.
(5)Transfers out of AFS debt securities and into other assets primarily relate to the reclassifcation of certain securities.
(6)Amounts represent instruments that are accounted for under the fair value option.
(7)Issuances represent loan originations and MSRs recognized following securitizations or whole-loan sales.
(8)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 December 31, 2020 and 2019.
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2020
(Dollars in millions)Inputs
Financial InstrumentFair
Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets$1,543 Discounted cash flow, Market comparables Yield
(3)% to 25%
%
Trading account assets – Mortgage trading loans, ABS and other MBS
467 Prepayment speed
1% to 56% CPR
20% CPR
Loans and leases431 Default rate
0% to 3% CDR
1% CDR
AFS debt securities – Non-agency residential378 Price
$0 to $168
$110
Other debt securities carried at fair value – Non-agency residential267 Loss severity
0% to 47%
18 %
Instruments backed by commercial real estate assets$407 Discounted cash
flow
Yield
0% to 25%
%
Trading account assets – Corporate securities, trading loans and other262 Price
$0 to $100
$52
Trading account assets – Mortgage trading loans, ABS and other MBS43 
AFS debt securities, primarily other taxable securities89 
Loans held-for-sale13 
Commercial loans, debt securities and other$3,066 Discounted cash flow, Market comparablesYield
0% to 26%
%
Trading account assets – Corporate securities, trading loans and other
1,097 Prepayment speed
10% to 20%
14 %
Trading account assets – Non-U.S. sovereign debt354 Default rate
3% to 4%
%
Trading account assets – Mortgage trading loans, ABS and other MBS930 Loss severity
35% to 40%
38 %
AFS debt securities – Tax-exempt securities176 Price
$0 to $142
$66
Loans and leases286 Long-dated equity volatilities
77%
n/a
Loans held-for-sale223 
Other assets, primarily auction rate securities$937 Discounted cash flow, Market comparablesPrice
$10 to $97
$91

Discount rate%n/a
MSRs$1,033 Discounted cash
flow
Weighted-average life, fixed rate (5)
0 to 13 years
4 years
Weighted-average life, variable rate (5)
0 to 10 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
%
Option-adjusted spread, variable rate
9% to 15%
12 %
Structured liabilities
Long-term debt $(1,164)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
0% to 11%
%
Equity correlation
2% to 100%
64 %
Long-dated equity volatilities
7% to 64%
32 %
Price
$0 to $124
$86
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3 /MMBtu
Net derivative assets (liabilities)
Credit derivatives$(112)Discounted cash flow, Stochastic recovery correlation modelYield
5%
n/a
Upfront points
0 to 100 points
 75 points
Prepayment speed
15% to 100% CPR
22% CPR
Default rate
2% CDR
n/a
Credit correlation
21% to 64%
57 %
Price
$0 to $122
$69
Equity derivatives$(1,904)
Industry standard derivative pricing (3)
Equity correlation
2% to 100%
64 %
Long-dated equity volatilities
7% to 64%
32 %
Commodity derivatives$(1,426)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $4/MMBtu
$3 /MMBtu
Correlation
39% to 85%
73 %
Volatilities
23% to 70%
39 %
Interest rate derivatives$(26)
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 96%
34 %
Correlation (FX/IR)
0% to 46%
%
Long-dated inflation rates
 (7)% to 84%
14 %
Long-dated inflation volatilities
0% to 1%
%
Interest rate volatilities
0% to 2%
%
Total net derivative assets (liabilities)$(3,468)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 156: Trading account assets – Corporate securities, trading loans and other of $1.4 billion, Trading account assets – Non-U.S. sovereign debt of $354 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.4 billion, AFS debt securities of $643 million, Other debt securities carried at fair value - Non-agency residential of $267 million, Other assets, including MSRs, of $2.0 billion, Loans and leases of $717 million and LHFS of $236 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Quantitative Information about Level 3 Fair Value Measurements at December 31, 2019
(Dollars in millions)Inputs
Financial InstrumentFair
Value
Valuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted Average (1)
Loans and Securities (2)
Instruments backed by residential real estate assets$1,407 Discounted cash flow, Market comparablesYield
0% to 25%
%
Trading account assets – Mortgage trading loans, ABS and other MBS
332 
Prepayment speed
1% to 27% CPR
17% CPR
Loans and leases281 Default rate
0% to 3% CDR
1% CDR
Loans held-for-saleLoss severity
0% to 47%
14 %
AFS debt securities, primarily non-agency residential491 Price
$0 to $160
$94
Other debt securities carried at fair value - Non-agency residential299 
Instruments backed by commercial real estate assets$303 Discounted cash flowYield
0% to 30%
14 %
Trading account assets – Corporate securities, trading loans and other201 Price
$0 to $100
$55
Trading account assets – Mortgage trading loans, ABS and other MBS85 
Loans held-for-sale17 
Commercial loans, debt securities and other$3,798 Discounted cash flow, Market comparablesYield
1% to 20%
%
Trading account assets – Corporate securities, trading loans and other
1,306 
Prepayment speed
10% to 20%
13 %
Trading account assets – Non-U.S. sovereign debt482 Default rate
3% to 4%
%
Trading account assets – Mortgage trading loans, ABS and other MBS1,136 Loss severity
35% to 40%
38 %
AFS debt securities – Tax-exempt securities108 Price
 $0 to $142
$72
Loans and leases412 Long-dated equity volatilities
35%
n/a
Loans held-for-sale354 
Other assets, primarily auction rate securities$815 Discounted cash flow, Market comparables
Price
$10 to $100
$96

MSRs$1,545 Discounted cash flow
Weighted-average life, fixed rate (5)
0 to 14 years
5 years
Weighted-average life, variable rate (5)
0 to 9 years
3 years
Option-adjusted spread, fixed rate
7% to 14%
%
Option-adjusted spread, variable rate
9% to 15%
11 %
Structured liabilities
Long-term debt $(1,149)
Discounted cash flow, Market comparables, Industry standard derivative pricing (3)
Yield
2% to 6%
%
Equity correlation
 9% to 100%
63 %
Long-dated equity volatilities
4% to 101%
32 %
Price
$0 to $116
$74
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3/MMBtu
Net derivative assets (liabilities)
Credit derivatives
$13 Discounted cash flow, Stochastic recovery correlation model
Yield
5%
n/a
Upfront points
0 to 100 points
 63 points
Prepayment speed
15% to 100% CPR
22% CPR
Default rate
1% to 4% CDR
2% CDR
Loss severity
35%
n/a
Price
$0 to $104
$73
Equity derivatives
$(1,081)
Industry standard derivative pricing (3)
Equity correlation
9% to 100%
63 %
Long-dated equity volatilities
4% to 101%
32 %
Commodity derivatives
$(1,357)
Discounted cash flow, Industry standard derivative pricing (3)
Natural gas forward price
$1/MMBtu to $5/MMBtu
$3/MMBtu
Correlation
30% to 69%
68 %
Volatilities
14% to 54%
27 %
Interest rate derivatives
$(113)
Industry standard derivative pricing (4)
Correlation (IR/IR)
15% to 94%
52 %
Correlation (FX/IR)
0% to 46%
%
Long-dated inflation rates
G(23)% to 56%
16 %
Long-dated inflation volatilities
0% to 1%
%
Total net derivative assets (liabilities)$(2,538)
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 157: Trading account assets – Corporate securities, trading loans and other of $1.5 billion, Trading account assets – Non-U.S. sovereign debt of $482 million, Trading account assets – Mortgage trading loans, ABS and other MBS of $1.6 billion, AFS debt securities of $599 million, Other debt securities carried at fair value - Non-agency residential of $299 million, Other assets, including MSRs, of $2.4 billion, Loans and leases of $693 million and LHFS of $375 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
Fair Value Measurements, Nonrecurring The amounts below represent assets still held as of the reporting date for which a nonrecurring fair value adjustment was recorded during 2020, 2019 and 2018.
Assets Measured at Fair Value on a Nonrecurring Basis
December 31, 2020December 31, 2019
(Dollars in millions)
 
Level 2Level 3Level 2Level 3
Assets   
Loans held-for-sale$1,020 $792 $53 $102 
Loans and leases (1)
 301 — 257 
Foreclosed properties (2, 3)
 17 — 17 
Other assets323 576 178 646 
Gains (Losses)
202020192018
Assets   
Loans held-for-sale$(79)$(14)$(18)
Loans and leases (1)
(73)(81)(202)
Foreclosed properties(6)(9)(24)
Other assets(98)(2,145)(64)
(1)Includes $30 million, $36 million and $83 million of losses on loans that were written down to a collateral value of zero during 2020, 2019 and 2018, respectively.
(2)Amounts are included in other assets on the Consolidated Balance Sheet and represent the carrying value of foreclosed properties that were written down subsequent to their initial classification as foreclosed properties. Losses on foreclosed properties include losses recorded during the first 90 days after transfer of a loan to foreclosed properties.
(3)Excludes $119 million and $260 million of properties acquired upon foreclosure of certain government-guaranteed loans (principally FHA-insured loans) at December 31, 2020 and 2019.
Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques
The table below presents information about significant unobservable inputs utilized in the Corporation's nonrecurring Level 3 fair value measurements during 2020 and 2019.
Quantitative Information about Nonrecurring Level 3 Fair Value Measurements
Inputs
Financial InstrumentFair ValueValuation
Technique
Significant Unobservable
Inputs
Ranges of
Inputs
Weighted
Average (1)
(Dollars in millions)2020
Loans held-for-sale$792 Discounted cash flowPrice
$8 to $99
$95
Loans and leases (2)
301 Market comparablesOREO discount
13% to 59%
24 %
Costs to sell
8% to 26%
%
Other assets (3)
576 Discounted cash flowRevenue attrition
2% to 19%
%
Discount rate
11% to 14%
12 %
2019
Loans held-for-sale$102 Discounted cash flowPrice
$85 to $97
$88
Loans and leases (2)
257 Market comparablesOREO discount
13% to 59%
24 %
Costs to sell
8% to 26%
%
Other assets (4)
640 Discounted cash flowCustomer attrition
0% to 19%
%
Cost to service
11% to 19%
15 %
(1)The weighted average is calculated based upon the fair value of the loans.
(2)Represents residential mortgages where the loan has been written down to the fair value of the underlying collateral.
(3)The fair value of the intangible asset related to the merchant contracts received from the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the revenue attrition rate and the discount rate. For more information, see Note 7 – Goodwill and Intangible Assets.
(4)Reflects the measurement of the Corporation’s merchant services equity method investment on which the Corporation recorded an impairment charge in 2019. The fair value of the merchant services joint venture was measured using a discounted cash flow method for which the two key assumptions were the customer attrition rate and the cost-to-service rate.