Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2020

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis at March 31, 2020 and December 31, 2019, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value. Unless otherwise noted below, assets and liabilities in the following table are recorded at fair value through net income (loss).



	Fair Value Measurements on a Recurring Basis
March 31, 2020	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁶⁾			Net Balance
	(in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	8,207	$	60	$	—	$	8,267	$	—		$	8,267
Asset-backed securities:
Collateralized debt obligations	—		67		—		67		—			67
Residential mortgages	—		—		16		16		—			16
Student loans	—		73		—		73		—			73
Corporate and other domestic debt securities	—		—		465		465		—			465
Debt securities issued by foreign entities	8,803		97		—		8,900		—			8,900
Equity securities	1,432		—		—		1,432		—			1,432
Precious metals trading	—		4,604		—		4,604		—			4,604
Derivatives:⁽¹⁾
Interest rate contracts	11		19,790		41		19,842		—			19,842
Foreign exchange contracts	—		31,123		2		31,125		—			31,125
Equity contracts	1		4,380		225		4,606		—			4,606
Precious metals contracts	1		2,210		—		2,211		—			2,211
Credit contracts	—		1,640		351		1,991		—			1,991
Other contracts⁽²⁾	—		—		9		9		—			9
Derivatives netting	—		—		—		—		(54,277		)	(54,277		)
Total derivatives	13		59,143		628		59,784		(54,277		)	5,507
Securities available-for-sale:⁽³⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	21,844		14,573		—		36,417		—			36,417
Asset-backed securities:
Home equity	—		28		—		28		—			28
Other	—		—		116		116		—			116
Debt securities issued by foreign entities	4,193		38		—		4,231		—			4,231
Loans⁽⁴⁾	—		37		—		37		—			37
Loans held for sale⁽⁴⁾	—		206		—		206		—			206
Other assets:
Equity securities	—		147		—		147		—			147
Equity securities measured at net asset value⁽⁵⁾	—		—		—		131		—			131
Total assets	$	44,492	$	79,073	$	1,225	$	124,921	$	(54,277	)	$	70,644
Liabilities:
Domestic deposits⁽⁴⁾	$	—	$	5,718	$	653	$	6,371	$	—		$	6,371
Trading liabilities, excluding derivatives	429		5		—		434		—			434
Derivatives:⁽¹⁾
Interest rate contracts	11		22,481		—		22,492		—			22,492
Foreign exchange contracts	7		29,732		5		29,744		—			29,744
Equity contracts	—		3,909		221		4,130		—			4,130
Precious metals contracts	147		2,040		—		2,187		—			2,187
Credit contracts	—		2,075		253		2,328		—			2,328
Other contracts⁽²⁾	—		—		67		67		—			67
Derivatives netting	—		—		—		—		(57,230		)	(57,230		)
Total derivatives	165		60,237		546		60,948		(57,230		)	3,718
Long-term debt⁽⁴⁾	—		8,004		371		8,375		—			8,375
Total liabilities	$	594	$	73,964	$	1,570	$	76,128	$	(57,230	)	$	18,898



	Fair Value Measurements on a Recurring Basis
December 31, 2019	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁶⁾			Net Balance
	(in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	6,763	$	38	$	—	$	6,801	$	—		$	6,801
Asset-backed securities:
Collateralized debt obligations	—		71		—		71		—			71
Residential mortgages	—		—		17		17		—			17
Student loans	—		80		—		80		—			80
Corporate and other domestic debt securities	—		—		510		510		—			510
Debt securities issued by foreign entities	10,095		221		—		10,316		—			10,316
Equity securities	5,693		—		—		5,693		—			5,693
Precious metals trading	—		1,909		—		1,909		—			1,909
Derivatives:⁽¹⁾
Interest rate contracts	110		12,275		10		12,395		—			12,395
Foreign exchange contracts	80		16,456		—		16,536		—			16,536
Equity contracts	—		4,922		185		5,107		—			5,107
Precious metals contracts	70		1,085		3		1,158		—			1,158
Credit contracts	—		1,060		79		1,139		—			1,139
Other contracts⁽²⁾	—		—		10		10		—			10
Derivatives netting	—		—		—		—		(33,193		)	(33,193		)
Total derivatives	260		35,798		287		36,345		(33,193		)	3,152
Securities available-for-sale:⁽³⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	17,532		14,702		—		32,234		—			32,234
Asset-backed securities:
Home equity	—		32		—		32		—			32
Other	—		—		111		111		—			111
Debt securities issued by foreign entities	3,158		128		—		3,286		—			3,286
Loans held for sale⁽⁴⁾	—		178		—		178		—			178
Other assets:
Equity securities	—		147		—		147		—			147
Equity securities measured at net asset value⁽⁵⁾	—		—		—		136		—			136
Total assets	$	43,501	$	53,304	$	925	$	97,866	$	(33,193	)	$	64,673
Liabilities:
Domestic deposits⁽⁴⁾	$	—	$	6,435	$	774	$	7,209	$	—		$	7,209
Trading liabilities, excluding derivatives	1,182		124		—		1,306		—			1,306
Derivatives:⁽¹⁾
Interest rate contracts	3		13,570		—		13,573		—			13,573
Foreign exchange contracts	—		15,805		1		15,806		—			15,806
Equity contracts	—		3,955		113		4,068		—			4,068
Precious metals contracts	80		1,306		3		1,389		—			1,389
Credit contracts	—		1,048		20		1,068		—			1,068
Other contracts⁽²⁾	—		—		85		85		—			85
Derivatives netting	—		—		—		—		(33,900		)	(33,900		)
Total derivatives	83		35,684		222		35,989		(33,900		)	2,089
Short-term borrowings⁽⁴⁾	—		373		—		373		—			373
Long-term debt⁽⁴⁾	—		9,993		354		10,347		—			10,347
Total liabilities	$	1,265	$	52,609	$	1,350	$	55,224	$	(33,900	)	$	21,324

⁽¹⁾

Includes trading derivative assets of $5,393 million and $3,055 million and trading derivative liabilities of $3,489 million and $1,929 million at March 31, 2020 and December 31, 2019, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives. See Note 9, "Derivative Financial Instruments," for additional information. Excluding changes in fair value of a derivative instrument associated with a qualifying cash flow hedge, which are recognized initially in other comprehensive income, derivative assets and liabilities are recorded at fair value through net income (loss).


⁽²⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.


⁽³⁾	Securities available-for-sale are recorded at fair value through other comprehensive income. Changes in the allowance for credit losses on securities available-for-sale are recorded through net income (loss).


⁽⁴⁾	See Note 10, "Fair Value Option," for additional information. Excluding the fair value movement on fair value option liabilities attributable to our own credit spread, which is recorded in other comprehensive income, fair value option assets and liabilities are recorded at fair value through net income (loss).


⁽⁵⁾	Investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy.


⁽⁶⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during the three months ended March 31, 2020 and 2019. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Jan. 1, 2020			Total Realized / Unrealized Gains (Losses) Included in					Purch- ases		Issu- ances			Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2020			Current Period Unrealized Gains (Losses) Still Held Included in
	Jan. 1, 2020			Earnings			Other Compre- hensive Income		Purch- ases		Issu- ances			Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2020			Earnings			Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Residential mortgage asset-backed securities	$	17		$	(1	)	$	—	$	—	$	—		$	—	$	—	$	—	$	16		$	(1	)	$	—
Corporate and other domestic debt securities	510			(45		)	—		—		—			—		—		—		465			(45		)	—
Derivatives, net:⁽²⁾
Interest rate contracts	10			31			—		—		—			—		—		—		41			31			—
Foreign exchange contracts	(1		)	(2		)	—		—		—			—		—		—		(3		)	(2		)	—
Equity contracts	72			(74		)	—		—		—			6		—		—		4			12			—
Credit contracts	59			35			—		—		—			4		—		—		98			35			—
Other contracts⁽³⁾	(75		)	11			—		—		—			6		—		—		(58		)	—			—
Other asset-backed securities available-for-sale⁽⁴⁾	111			—			5		—		—			—		—		—		116			—			5
Total assets	$	703		$	(45	)	$	5	$	—	$	—		$	16	$	—	$	—	$	679		$	30		$	5
Liabilities:
Domestic deposits⁽⁵⁾	$	(774	)	$	1		$	18	$	—	$	(36	)	$	105	$	—	$	33	$	(653	)	$	—		$	18
Long-term debt⁽⁵⁾	(354		)	5			10		—		(101		)	65		—		4		(371		)	4			10
Total liabilities	$	(1,128	)	$	6		$	28	$	—	$	(137	)	$	170	$	—	$	37	$	(1,024	)	$	4		$	28



	Jan. 1, 2019			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2019			Current Period Unrealized Gains (Losses) Still Held Included in
	Jan. 1, 2019			Earnings			Other Compre- hensive Income			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3		Transfers Out of Level 3		Mar. 31, 2019			Earnings			Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	100		$	1		$	—		$	—	$	—		$	(11	)	$	—	$	—	$	90		$	(6	)	$	—
Residential mortgage asset-backed securities	16			—			—			—		—			—			—		—		16			—			—
Student loan asset-backed securities	92			5			—			—		—			(2		)	—		—		95			3			—
Corporate and other domestic debt securities	1,803			—			—			—		—			(1,293		)	—		—		510			—			—
Derivatives, net:⁽²⁾
Interest rate contracts	2			5			—			—		—			—			—		—		7			5			—
Foreign exchange contracts	(1		)	—			—			—		—			—			—		—		(1		)	—			—
Equity contracts	(52		)	71			—			—		—			4			—		1		24			75			—
Credit contracts	52			(37		)	—			—		—			38			—		—		53			—			—
Other contracts⁽³⁾	(35		)	(6		)	—			—		—			4			—		—		(37		)	—			—
Other asset-backed securities available-for-sale⁽⁴⁾	107			—			2			—		—			—			—		—		109			—			2
Other assets⁽⁶⁾	4			—			—			—		—			—			—		—		4			—			—
Total assets	$	2,088		$	39		$	2		$	—	$	—		$	(1,260	)	$	—	$	1	$	870		$	77		$	2
Liabilities:
Domestic deposits⁽⁵⁾	$	(925	)	$	(29	)	$	(5	)	$	—	$	(96	)	$	45		$	—	$	61	$	(949	)	$	(100	)	$	(5	)
Long-term debt⁽⁵⁾	(412		)	(28		)	(3		)	—		(31		)	13			—		8		(453		)	(49		)	(3		)
Total liabilities	$	(1,337	)	$	(57	)	$	(8	)	$	—	$	(127	)	$	58		$	—	$	69	$	(1,402	)	$	(149	)	$	(8	)


⁽¹⁾	Gains (losses) on trading assets, excluding derivatives are included in trading revenue in the consolidated statement of income (loss).

⁽²⁾

Level 3 net derivatives included derivative assets of $628 million and derivative liabilities of $546 million at March 31, 2020 and derivative assets of $288 million and derivative liabilities of $242 million at March 31, 2019. Gains (losses) on derivatives, net are predominantly included in trading revenue and loss on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).


⁽³⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares. Gains (losses) on these swap agreements are included in other income (loss) in the consolidated statement of income (loss).

⁽⁴⁾

Realized gains (losses) on securities available-for-sale are included in other securities gains, net in the consolidated statement of income (loss). Changes in the allowance for credit losses on securities available-for-sale are included in the provision for credit losses in the consolidated statement of income (loss). Unrealized gains (losses) on securities available-for-sale are included in other comprehensive income.


⁽⁵⁾	Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive income, gains (losses) on fair value option liabilities are included in loss on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).


⁽⁶⁾	Represented contingent consideration receivable associated with the sale of a portion of our PB business, which concluded in 2019. Gains (losses) associated with this transaction were included in other income (loss) in the consolidated statement of income (loss).

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements at March 31, 2020 and December 31, 2019:



March 31, 2020
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average⁽¹⁾
Residential mortgage asset-backed securities	$	16		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	3%	N/A
					Conditional default rates	8%	N/A
					Loss severity rates	70%	N/A
					Discount margin	879bps	N/A
Corporate and other domestic debt securities	$	465		Discounted cash flows	Spread volatility on collateral assets	4%	N/A
					Correlation between insurance claim shortfall and collateral value	80%	N/A
Interest rate derivative contracts	$	41		Market comparable adjusted for probability to fund and, where applicable, discounted cash flows	Probability to fund for rate lock commitments	41% - 100%	72%
					Likelihood of transaction being executed	90%	N/A
Foreign exchange derivative contracts⁽²⁾	$	(3	)	Option pricing model	Implied volatility of currency pairs	10% - 17%	13%
Equity derivative contracts⁽²⁾	$	4		Option pricing model	Equity / Equity Index volatility	6% - 81%	35%
					Equity / Equity and Equity / Index correlation	43% - 78%	50%
					Equity dividend yields and forward price	(7)% - 3%	0%
Credit derivative contracts	$	98		Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	200bps	N/A
Other derivative contracts	$	(58	)	Discounted cash flows	Conversion rate	1.6 times	N/A
					Expected duration	3 years	N/A
Other asset-backed securities available-for-sale	$	116		Discounted cash flows	Market assumptions related to yields for comparable instruments	4% - 5%	5%
Domestic deposits (structured deposits)⁽²⁾⁽³⁾	$	(653	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%	13%
					Equity / Equity Index volatility	7% - 60%	29%
					Equity / Equity and Equity / Index correlation	43% - 60%	46%
Long-term debt (structured notes)⁽²⁾⁽³⁾	$	(371	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	10% - 17%	13%
					Equity / Equity Index volatility	8% - 71%	33%
					Equity / Equity and Equity / Index correlation	55% - 78%	66%



December 31, 2019
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average⁽¹⁾
Residential mortgage asset-backed securities	$	17		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	1%	N/A
					Conditional default rates	8%	N/A
					Loss severity rates	70%	N/A
					Discount margin	600bps	N/A
Corporate and other domestic debt securities	$	510		Discounted cash flows	Spread volatility on collateral assets	4%	N/A
					Correlation between insurance claim shortfall and collateral value	80%	N/A
Interest rate derivative contracts	$	10		Market comparable adjusted for probability to fund and, where applicable, discounted cash flows	Probability to fund for rate lock commitments	42% - 100%	80%
					Likelihood of transaction being executed	90%	N/A
Foreign exchange derivative contracts⁽²⁾	$	(1	)	Option pricing model	Implied volatility of currency pairs	6% - 11%	8%
Equity derivative contracts⁽²⁾	$	72		Option pricing model	Equity / Equity Index volatility	7% - 36%	22%
					Equity / Equity and Equity / Index correlation	43% - 79%	49%
					Equity dividend yields	0% - 4%	2%
Credit derivative contracts	$	59		Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	41bps	N/A
Other derivative contracts	$	(75	)	Discounted cash flows	Conversion rate	1.6 times	N/A
					Expected duration	3 years	N/A
Other asset-backed securities available-for-sale	$	111		Discounted cash flows	Market assumptions related to yields for comparable instruments	0% - 3%	2%
Domestic deposits (structured deposits)⁽²⁾⁽³⁾	$	(774	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	6% - 11%	8%
					Equity / Equity Index volatility	7% - 28%	13%
					Equity / Equity and Equity / Index correlation	43% - 49%	46%
Long-term debt (structured notes)⁽²⁾⁽³⁾	$	(354	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	6% - 11%	8%
					Equity / Equity Index volatility	7% - 29%	16%
					Equity / Equity and Equity / Index correlation	54% - 79%	64%


⁽¹⁾	For other asset-backed securities available-for-sale, the value shown is the arithmetic average. For foreign exchange derivatives, equity derivatives, structured deposits and structured notes, weighted averages are calculated based on the fair value of the instruments. For all remaining instrument types, weighted averages are calculated based on the notional value of the instruments.


⁽²⁾	We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.


⁽³⁾	Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs. See equity and foreign exchange derivatives below for a discussion of the uncertainty of Level 3 inputs related to structured deposits and structured notes.

N/A Not Applicable

Assets and Liabilities Recorded at Fair Value on a Non Recurring Basis

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded at March 31, 2020 and December 31, 2019. The gains (losses) during the three months ended March 31, 2020 and 2019 are also included.



	Non-Recurring Fair Value Measurements at March 31, 2020								Total Gains (Losses) For the Three Months Ended March 31, 2020
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	7	$	—	$	7	$	—
Consumer loans⁽²⁾	—		330		—		330		3
Commercial loans⁽³⁾	—		—		58		58		(53		)
Real estate owned⁽⁴⁾	—		3		—		3		—
Goodwill⁽⁵⁾	—		—		—		—		(784		)
Leases⁽⁶⁾	—		—		25		25		(68		)
Total assets at fair value on a non-recurring basis	$	—	$	340	$	83	$	423	$	(902	)



	Non-Recurring Fair Value Measurements at December 31, 2019								Total Gains (Losses) For the Three Months Ended March 31, 2019
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	12	$	—	$	12	$	—
Consumer loans⁽²⁾	—		14		—		14		(2		)
Commercial loans⁽³⁾	—		—		50		50		(1		)
Real estate owned⁽⁴⁾	—		6		—		6		(1		)
Goodwill⁽⁵⁾	—		—		372		372		—
Leases⁽⁶⁾	—		—		2		2		—
Total assets at fair value on a non-recurring basis	$	—	$	32	$	424	$	456	$	(4	)


⁽¹⁾	At March 31, 2020 and December 31, 2019, the fair value of the loans held for sale was below cost.

⁽²⁾

Represents residential mortgage loans held for investment whose carrying amount was adjusted during the period based on the fair value of the underlying collateral. The increase at March 31, 2020 reflects the impact of adopting new accounting guidance which requires expected recoveries related to subsequent increases in the fair value of collateral for collateral-dependent loans to be recognized in the allowance for credit losses beginning January 1, 2020. See Note 21, "New Accounting Pronouncements," for additional discussion.


⁽³⁾	Certain commercial loans are individually assessed for impairment. We measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽⁴⁾	Real estate owned is required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value unadjusted for transaction costs.

⁽⁵⁾

During the first quarter of 2020, the goodwill allocated to our RBWM and PB businesses were both written down to $0 million. During the third quarter of 2019, the goodwill allocated to our RBWM business was written down to $372 million. See Note 8, "Goodwill," in this Form 10-Q and Note 9, "Goodwill" in our 2019 Form 10-K for further discussion of the results of our goodwill impairment testing, including the events and circumstances leading to the impairments.

⁽⁶⁾

Beginning in the fourth quarter of 2019 and into the first quarter of 2020, we determined that we would exit certain branches and, as a result, the lease ROU assets and leasehold improvement assets associated with these branches were written down based on their estimated remaining useful lives. See Note 2, "Strategic Initiatives," in this Form 10-Q and Note 10, "Leases" in our 2019 Form 10-K for further discussion.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy at March 31, 2020 and December 31, 2019:

At March 31, 2020

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average⁽¹⁾

Commercial loans

Valuation of third party appraisal
on underlying collateral

Loss severity rates

9% - 93%

53%

At December 31, 2019

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average⁽¹⁾

Commercial loans

Valuation of third party appraisal
on underlying collateral

Loss severity rates

9% - 100%

45%


⁽¹⁾	Weighted average is calculated based on the carrying value of the loans.

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

The following tables provide additional information relating to our asset-backed securities, including CDOs, at March 31, 2020:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA - A	Collateralized debt obligations	$	39	$	—	$	39
	Student loans	73		—		73
	Total AAA -A	112		—		112
BBB - B	Collateralized debt obligations	28		—		28
CCC - Unrated	Residential mortgages - Subprime	—		16		16
		$	140	$	16	$	156

Available-for-sale asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA - A	Home equity - Alt A	$	28	$	—	$	28
BBB -B	Other	—		116		116
		$	28	$	116	$	144


⁽¹⁾	We utilize S&P as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Ratings for CDOs represent the ratings associated with the underlying collateral.

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments, excluding financial instruments that are carried at fair value on a recurring basis, at March 31, 2020 and December 31, 2019, and their classification within the fair value hierarchy:



March 31, 2020	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	27,490	$	27,490	$	983	$	26,496	$	11
Federal funds sold and securities purchased under agreements to resell	4,643		4,643		—		4,643		—
Securities held-to-maturity, net of allowance for credit losses	12,981		13,446		—		13,446		—
Commercial loans, net of allowance for credit losses	60,519		60,987		—		—		60,987
Commercial loans held for sale	28		28		—		28		—
Consumer loans, net of allowance for credit losses	20,278		19,953		—		—		19,953
Residential mortgage loans held for sale	51		51		—		51		—
Financial liabilities:
Short-term financial liabilities	$	17,592	$	17,592	$	—	$	17,579	$	13
Deposits:
Without fixed maturities	115,371		115,371		—		115,371		—
Fixed maturities	14,981		14,917		—		14,917		—
Long-term debt	16,402		16,485		—		16,485		—



December 31, 2019	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	3,800	$	3,800	$	1,744	$	2,038	$	18
Federal funds sold and securities purchased under agreements to resell	17,838		17,838		—		17,838		—
Securities held-to-maturity	13,293		13,431		—		13,431		—
Commercial loans, net of allowance for credit losses	47,704		49,252		—		—		49,252
Commercial loans held for sale	34		34		—		34		—
Consumer loans, net of allowance for credit losses	20,212		19,889		—		—		19,889
Residential mortgage loans held for sale	77		78		—		77		1
Financial liabilities:
Short-term financial liabilities	$	3,304	$	3,304	$	—	$	3,286	$	18
Deposits:
Without fixed maturities	96,161		96,161		—		96,161		—
Fixed maturities	16,323		16,264		—		16,264		—
Long-term debt	16,350		16,696		—		16,696		—