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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 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 September 30, 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
September 30, 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	$	5,603	$	193	$	—	$	5,796	$	—	$	5,796

Asset-backed securities:
Collateralized debt obligations	—		64		—		64		—		64
Residential mortgages	—		—		15		15		—		15
Student loans	—		68		—		68		—		68



Debt securities issued by foreign entities	9,175		15		—		9,190		—		9,190
Equity securities	6,169		—		—		6,169		—		6,169
Precious metals trading	—		9,536		—		9,536		—		9,536
Derivatives:⁽¹⁾
Interest rate contracts	11		7,653		34		7,698		—		7,698
Foreign exchange contracts	—		15,594		—		15,594		—		15,594
Equity contracts	—		5,131		227		5,358		—		5,358
Precious metals contracts	6		1,834		—		1,840		—		1,840
Credit contracts	—		592		73		665		—		665
Other contracts⁽²⁾	—		—		9		9		—		9
Derivatives netting	—		—		—		—		(28,216)		(28,216)
Total derivatives	17		30,804		343		31,164		(28,216)		2,948
Securities available-for-sale:⁽³⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	20,393		15,948		—		36,341		—		36,341
Asset-backed securities:


Home equity	—		—		27		27		—		27

Other	—		—		100		100		—		100

Debt securities issued by foreign entities	4,823		37		—		4,860		—		4,860
Loans⁽⁴⁾	—		34		—		34		—		34
Loans held for sale⁽⁴⁾	—		41		—		41		—		41
Other assets:
Equity securities	—		149		—		149		—		149
Equity securities measured at net asset value⁽⁵⁾	—		—		—		134		—		134
Total assets	$	46,180	$	56,889	$	485	$	103,688	$	(28,216)	$	75,472
Liabilities:
Domestic deposits⁽⁴⁾	$	—	$	4,073	$	650	$	4,723	$	—	$	4,723
Trading liabilities, excluding derivatives	695		—		—		695		—		695
Derivatives:⁽¹⁾
Interest rate contracts	9		8,048		—		8,057		—		8,057
Foreign exchange contracts	1		14,317		2		14,320		—		14,320
Equity contracts	—		4,507		161		4,668		—		4,668
Precious metals contracts	104		1,690		—		1,794		—		1,794
Credit contracts	—		676		8		684		—		684
Other contracts⁽²⁾	—		—		68		68		—		68
Derivatives netting	—		—		—		—		(26,623)		(26,623)
Total derivatives	114		29,238		239		29,591		(26,623)		2,968

Long-term debt⁽⁴⁾	—		9,416		372		9,788		—		9,788
Total liabilities	$	809	$	42,727	$	1,261	$	44,797	$	(26,623)	$	18,174


	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 $2,916 million and $3,055 million and trading derivative liabilities of $2,822 million and $1,929 million at September 30, 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 and nine months ended September 30, 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.


	Jul. 1, 2020		Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Sep. 30, 2020		Current Period Unrealized Gains (Losses) Still Held Included in
					Earnings		Other Compre- hensive Income																Earnings	Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾

Residential mortgage asset-backed securities	$	15	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	—	$	—

Corporate and other domestic debt securities	501		(4)		—		—		—		(497)		—		—		—		—		—

Derivatives, net:⁽²⁾
Interest rate contracts	33		1		—		—		—		—		—		—		34		1		—
Foreign exchange contracts	(2)		—		—		—		—		—		—		—		(2)		—		—
Equity contracts	92		50		—		—		—		(75)		—		(1)		66		44		—

Credit contracts	62		(16)		—		—		—		19		—		—		65		(16)		—
Other contracts⁽³⁾	(64)		(2)		—		—		—		7		—		—		(59)		—		—
Asset-backed securities available-for-sale⁽⁴⁾	117		—		(8)		—		—		(2)		20		—		127		—		(8)


Total assets	$	754	$	29	$	(8)	$	—	$	—	$	(548)	$	20	$	(1)	$	246	$	29	$	(8)
Liabilities:
Domestic deposits⁽⁵⁾	$	(672)	$	(10)	$	(3)	$	—	$	—	$	27	$	—	$	8	$	(650)	$	(8)	$	(3)
Long-term debt⁽⁵⁾	(347)		(21)		—		—		(24)		18		(1)		3		(372)		(17)		—
Total liabilities	$	(1,019)	$	(31)	$	(3)	$	—	$	(24)	$	45	$	(1)	$	11	$	(1,022)	$	(25)	$	(3)


	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		Sep. 30, 2020		Current Period Unrealized Gains (Losses) Still Held Included in
					Earnings		Other Compre- hensive Income																Earnings	Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾

Residential mortgage asset-backed securities	$	17	$	(2)	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	(2)	$	—

Corporate and other domestic debt securities	510		(13)		—		—		—		(497)		—		—		—		—		—

Derivatives, net:⁽²⁾
Interest rate contracts	10		24		—		—		—		—		—		—		34		24		—
Foreign exchange contracts	(1)		(1)		—		—		—		—		—		—		(2)		(1)		—
Equity contracts	72		62		—		—		—		(69)		—		1		66		76		—

Credit contracts	59		10		—		—		—		(4)		—		—		65		(5)		—
Other contracts⁽³⁾	(75)		(3)		—		—		—		19		—		—		(59)		—		—
Asset-backed securities available-for-sale⁽⁴⁾	111		—		(10)		—		—		(2)		28		—		127		—		(10)


Total assets	$	703	$	77	$	(10)	$	—	$	—	$	(553)	$	28	$	1	$	246	$	92	$	(10)
Liabilities:
Domestic deposits⁽⁵⁾	$	(774)	$	3	$	(1)	$	—	$	(43)	$	109	$	—	$	56	$	(650)	$	(1)	$	(1)
Long-term debt⁽⁵⁾	(354)		17		2		—		(162)		107		(1)		19		(372)		5		2
Total liabilities	$	(1,128)	$	20	$	1	$	—	$	(205)	$	216	$	(1)	$	75	$	(1,022)	$	4	$	1


	Jul. 1, 2019		Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Sep. 30, 2019		Current Period Unrealized Gains (Losses) Still Held Included in
					Earnings		Other Compre- hensive Income																Earnings	Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	86	$	(1)	$	—	$	—	$	—	$	(1)	$	—	$	—	$	84	$	(1)	$	—
Residential mortgage asset-backed securities	16		1		—		—		—		—		—		—		17		—		—
Student loan asset-backed securities	90		—		—		—		—		(4)		—		—		86		—		—
Corporate and other domestic debt securities	510		—		—		—		—		—		—		—		510		—		—

Derivatives, net:⁽²⁾
Interest rate contracts	10		18		—		—		—		—		—		—		28		17		—
Foreign exchange contracts	(1)		4		—		—		—		—		(21)		—		(18)		3		—
Equity contracts	62		3		—		—		—		(2)		—		4		67		—		—

Credit contracts	46		(2)		—		—		—		(4)		—		—		40		(2)		—
Other contracts⁽³⁾	(35)		(4)		—		—		—		6		—		—		(33)		—		—

Asset-backed securities available-for-sale⁽⁴⁾	113		—		2		—		—		—		—		—		115		—		2
Other assets⁽⁶⁾	1		—		—		—		—		(1)		—		—		—		—		—
Total assets	$	898	$	19	$	2	$	—	$	—	$	(6)	$	(21)	$	4	$	896	$	17	$	2
Liabilities:
Domestic deposits⁽⁵⁾	$	(930)	$	(27)	$	(5)	$	—	$	(30)	$	57	$	(1)	$	83	$	(853)	$	(24)	$	(5)
Long-term debt⁽⁵⁾	(441)		16		(2)		—		(27)		73		—		45		(336)		24		(2)
Total liabilities	$	(1,371)	$	(11)	$	(7)	$	—	$	(57)	$	130	$	(1)	$	128	$	(1,189)	$	—	$	(7)




	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		Sep. 30, 2019		Current Period Unrealized Gains (Losses) Still Held Included in
					Earnings		Other Compre- hensive Income																Earnings	Other Compre- hensive Income
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	100	$	2	$	—	$	—	$	—	$	(18)	$	—	$	—	$	84	$	(11)	$	—
Residential mortgage asset-backed securities	16		1		—		—		—		—		—		—		17		—		—
Student loan asset-backed securities	92		5		—		—		—		(11)		—		—		86		(2)		—
Corporate and other domestic debt securities	1,803		—		—		—		—		(1,293)		—		—		510		—		—

Derivatives, net:⁽²⁾
Interest rate contracts	2		31		—		—		—		—		—		(5)		28		25		—
Foreign exchange contracts	(1)		4		—		—		—		—		(21)		—		(18)		3		—
Equity contracts	(52)		113		—		—		—		3		—		3		67		115		—

Credit contracts	52		(42)		—		—		—		30		—		—		40		(4)		—
Other contracts⁽³⁾	(35)		(13)		—		—		—		15		—		—		(33)		—		—
Asset-backed securities available-for-sale⁽⁴⁾	107		—		8		—		—		—		—		—		115		—		8
Other assets⁽⁶⁾	4		—		—		—		—		(4)		—		—		—		—		—
Total assets	$	2,088	$	101	$	8	$	—	$	—	$	(1,278)	$	(21)	$	(2)	$	896	$	126	$	8
Liabilities:
Domestic deposits⁽⁵⁾	$	(925)	$	(91)	$	(8)	$	—	$	(175)	$	166	$	(6)	$	186	$	(853)	$	(156)	$	(8)
Long-term debt⁽⁵⁾	(412)		(27)		(4)		—		(91)		106		—		92		(336)		(35)		(4)
Total liabilities	$	(1,337)	$	(118)	$	(12)	$	—	$	(266)	$	272	$	(6)	$	278	$	(1,189)	$	(191)	$	(12)

⁽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 $343 million and derivative liabilities of $239 million at September 30, 2020 and derivative assets of $436 million and derivative liabilities of $352 million at September 30, 2019. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain (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 gain (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 certain private banking client relationships, 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 September 30, 2020 and December 31, 2019:


September 30, 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	$	15	Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	3%	N/A
				Conditional default rates	4%	N/A
				Loss severity rates	70%	N/A
				Discount margin	575bps	N/A






Interest rate derivative contracts	$	34	Market comparable adjusted for probability to fund and, where applicable, discounted cash flows	Probability to fund for rate lock commitments	41% - 100%	79%
				Likelihood of transaction being executed	90%	N/A
Foreign exchange derivative contracts⁽²⁾	$	(2)	Option pricing model	Implied volatility of currency pairs	9% - 12%	10%
Equity derivative contracts⁽²⁾	$	66	Option pricing model	Equity / Equity Index volatility	7% - 66%	26%
				Equity / Equity and Equity / Index correlation	13% - 78%	51%
				Equity dividend yields and forward price	(8)% - 5%	(1)%

Credit derivative contracts	$	65	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	133bps	N/A
Other derivative contracts	$	(59)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	2 years	N/A
Asset-backed securities available-for-sale	$	127	Discounted cash flows	Market assumptions related to yields for comparable instruments	4%	N/A
Domestic deposits (structured deposits)⁽²⁾⁽³⁾	$	(650)	Option adjusted discounted cash flows	Implied volatility of currency pairs	9% - 12%	10%
				Equity / Equity Index volatility	7% - 46%	20%
				Equity / Equity and Equity / Index correlation	44% - 64%	53%
Long-term debt (structured notes)⁽²⁾⁽³⁾	$	(372)	Option adjusted discounted cash flows	Implied volatility of currency pairs	9% - 12%	10%
				Equity / Equity Index volatility	7% - 66%	25%
				Equity / Equity and Equity / Index correlation	13% - 78%	52%


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
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 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 September 30, 2020 and December 31, 2019. The gains (losses) during the three and nine months ended September 30, 2020 and 2019 are also included.


	Non-Recurring Fair Value Measurements at September 30, 2020												Total Gains (Losses) For the Three Months Ended September 30, 2020	Total Gains (Losses) For the Nine Months Ended September 30, 2020
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	4	$	—	$	4	$	—	$	—
Consumer loans⁽²⁾	—		318		—		318		4		11
Commercial loans held for sale⁽³⁾	—		91		—		91		(16)		(25)
Commercial loans⁽⁴⁾	—		—		298		298		6		(164)
Real estate owned⁽⁵⁾	—		1		—		1		—		1
Goodwill⁽⁶⁾	—		—		—		—		—		(784)
Leases⁽⁷⁾	—		—		24		24		(7)		(69)

Total assets at fair value on a non-recurring basis	$	—	$	414	$	322	$	736	$	(13)	$	(1,030)


	Non-Recurring Fair Value Measurements at December 31, 2019												Total Gains (Losses) For the Three Months Ended September 30, 2019	Total Gains (Losses) For the Nine Months Ended September 30, 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)		(6)

Commercial loans⁽⁴⁾	—		—		50		50		1		—
Real estate owned⁽⁵⁾	—		6		—		6		(1)		(1)
Goodwill⁽⁶⁾	—		—		372		372		(365)		(365)
Leases⁽⁷⁾	—		—		2		2		—		—
Total assets at fair value on a non-recurring basis	$	—	$	32	$	424	$	456	$	(367)	$	(372)

⁽¹⁾At September 30, 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 September 30, 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⁾At September 30, 2020, the fair value of the loans held for sale was below cost.

⁽⁴⁾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.

⁽⁵⁾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.

⁽⁶⁾During the first quarter of 2020, the goodwill allocated to our previously separate RBWM and PB businesses were both written down to $0 million. During the third quarter of 2019, the goodwill allocated to our previously separate RBWM business was written down to $372 million. See Note 8, "Goodwill and Other Long-Lived Assets," in this Form 10-Q for further discussion of the results of our goodwill impairment testing, including the events and circumstances leading to the impairments.

⁽⁷⁾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. During the third quarter of 2020, we also wrote down the lease ROU assets associated with certain office space that we determined we would exit. 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 September 30, 2020 and December 31, 2019:

At September 30, 2020

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average⁽¹⁾

Commercial loans

298

Valuation of third party appraisal
on underlying collateral

Loss severity rates

9% - 84%

33%

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 September 30, 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	68		—		68
	Total AAA - A	107		—		107
BBB - B	Collateralized debt obligations	25		—		25
CCC - Unrated	Residential mortgages - Subprime	—		15		15
		$	132	$	15	$	147

Available-for-sale asset-backed securities:

Rating of Securities:⁽¹⁾

Collateral Type:

Level 3

(in millions)

AAA - A

Home equity - Alt A

BBB - B

Other

100

127

⁽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 September 30, 2020 and December 31, 2019, and their classification within the fair value hierarchy:


September 30, 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	$	17,492	$	17,492	$	1,352	$	16,126	$	14
Federal funds sold and securities purchased under agreements to resell	25,579		25,579		—		25,579		—
Securities held-to-maturity, net of allowance for credit losses	10,224		10,644		—		10,644		—
Commercial loans, net of allowance for credit losses	44,903		45,011		—		—		45,011
Commercial loans held for sale	152		152		—		152		—
Consumer loans, net of allowance for credit losses	20,388		19,917		—		—		19,917

Residential mortgage loans held for sale	89		92		—		92		—


Financial liabilities:
Short-term financial liabilities	$	5,530	$	5,530	$	—	$	5,515	$	15
Deposits:
Without fixed maturities	135,941		135,941		—		135,941		—
Fixed maturities	9,664		9,673		—		9,673		—

Long-term debt	10,260		10,607		—		10,607		—


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		—