Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

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, 2021 and December 31, 2020, 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, 2021	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	$	2,352	$	291	$	—	$	2,643	$	—	$	2,643
Debt securities issued by foreign entities	606		162		—		768		—		768
Equity securities	13,287		—		—		13,287		—		13,287
Precious metals trading	—		3,316		—		3,316		—		3,316
Derivatives:(1)
Interest rate contracts	2		3,140		1		3,143		—		3,143
Foreign exchange contracts	—		11,789		15		11,804		—		11,804
Equity contracts	1		2,056		298		2,355		—		2,355
Precious metals contracts	4		1,404		—		1,408		—		1,408
Credit contracts	—		36		—		36		—		36
Other contracts(2)	—		—		5		5		—		5
Derivatives netting	—		—		—		—		(16,749)		(16,749)
Total derivatives	7		18,425		319		18,751		(16,749)		2,002
Securities available-for-sale:(3)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	13,734		20,392		—		34,126		—		34,126
Asset-backed securities:
Home equity	—		—		20		20		—		20
Other	—		—		101		101		—		101
Debt securities issued by foreign entities	2,073		187		—		2,260		—		2,260
Loans(4)	—		27		—		27		—		27
Loans held for sale(4)	—		63		—		63		—		63
Other assets:
Mortgage servicing rights	—		—		14		14		—		14
Equity securities	—		145		—		145		—		145
Equity securities measured at net asset value(5)	—		—		—		144		—		144
Total assets	$	32,059	$	43,008	$	454	$	75,665	$	(16,749)	$	58,916
Liabilities:
Domestic deposits(4)	$	—	$	2,454	$	516	$	2,970	$	—	$	2,970
Trading liabilities, excluding derivatives	947		90		—		1,037		—		1,037
Derivatives:(1)
Interest rate contracts	2		2,994		1		2,997		—		2,997
Foreign exchange contracts	2		11,527		16		11,545		—		11,545
Equity contracts	4		636		184		824		—		824
Precious metals contracts	1		951		—		952		—		952
Credit contracts	—		76		2		78		—		78
Other contracts(2)	—		—		44		44		—		44
Derivatives netting	—		—		—		—		(14,690)		(14,690)
Total derivatives	9		16,184		247		16,440		(14,690)		1,750
Long-term debt(4)	—		8,252		1,483		9,735		—		9,735
Total liabilities	$	956	$	26,980	$	2,246	$	30,182	$	(14,690)	$	15,492

	Fair Value Measurements on a Recurring Basis
December 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	$	5,145	$	192	$	—	$	5,337	$	—	$	5,337
Asset-backed securities:
Collateralized debt obligations	—		63		—		63		—		63
Residential mortgages	—		—		15		15		—		15
Student loans	—		65		—		65		—		65
Debt securities issued by foreign entities	7,953		18		—		7,971		—		7,971
Equity securities	6,043		—		—		6,043		—		6,043
Precious metals trading	—		4,989		—		4,989		—		4,989
Derivatives:(1)
Interest rate contracts	15		6,637		35		6,687		—		6,687
Foreign exchange contracts	—		18,452		15		18,467		—		18,467
Equity contracts	—		5,051		565		5,616		—		5,616
Precious metals contracts	—		1,323		—		1,323		—		1,323
Credit contracts	—		298		69		367		—		367
Other contracts(2)	—		—		8		8		—		8
Derivatives netting	—		—		—		—		(29,616)		(29,616)
Total derivatives	15		31,761		692		32,468		(29,616)		2,852
Securities available-for-sale:(3)
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,880		12,528		—		35,408		—		35,408
Asset-backed securities:
Home equity	—		—		27		27		—		27
Other	—		—		104		104		—		104
Debt securities issued by foreign entities	1,942		3,191		—		5,133		—		5,133
Loans(4)	—		32		—		32		—		32
Loans held for sale(4)	—		36		—		36		—		36
Other assets:
Mortgage servicing rights	—		—		7		7		—		7
Equity securities	—		149		—		149		—		149
Equity securities measured at net asset value(5)	—		—		—		135		—		135
Total assets	$	43,978	$	53,024	$	845	$	97,982	$	(29,616)	$	68,366
Liabilities:
Domestic deposits(4)	$	—	$	3,509	$	646	$	4,155	$	—	$	4,155
Trading liabilities, excluding derivatives	727		2,312		—		3,039		—		3,039
Derivatives:(1)
Interest rate contracts	9		6,615		1		6,625		—		6,625
Foreign exchange contracts	—		18,597		6		18,603		—		18,603
Equity contracts	—		3,845		446		4,291		—		4,291
Precious metals contracts	28		1,550		—		1,578		—		1,578
Credit contracts	—		291		6		297		—		297
Other contracts(2)	—		—		67		67		—		67
Derivatives netting	—		—		—		—		(28,914)		(28,914)
Total derivatives	37		30,898		526		31,461		(28,914)		2,547
Long-term debt(4)	—		10,277		448		10,725		—		10,725
Total liabilities	$	764	$	46,996	$	1,620	$	49,380	$	(28,914)	$	20,466

(1)Includes trading derivative assets of $1,971 million and $2,801 million and trading derivative liabilities of $1,633 million and $2,358 million at September 30, 2021 and December 31, 2020, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives. See Note 10, "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 (loss), 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 (loss). Changes in the allowance for credit losses on securities available-for-sale are recorded through net income (loss).

(4)See Note 11, "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 (loss), 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, 2021 and 2020. 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, 2021		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Sep. 30, 2021		Current Period Unrealized Gains (Losses) Still Held Included in
			Earnings		Other Compre- hensive Income														Earnings		Other Compre- hensive Income
	(in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts	$	8	$	(8)	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Foreign exchange contracts	(1)		—		—		—		—		—		—		—		(1)		—		—
Equity contracts	(13)		(91)		—		—		—		256		(38)		—		114		(2)		—
Credit contracts	46		(49)		—		—		—		1		—		—		(2)		—		—
Other contracts(2)	(48)		3		—		—		—		6		—		—		(39)		—		—
Asset-backed securities available-for-sale(3)	126		—		(2)		—		—		(3)		—		—		121		—		(2)
Mortgage servicing rights(4)	12		1		—		—		1		—		—		—		14		1		—
Total assets	$	130	$	(144)	$	(2)	$	—	$	1	$	260	$	(38)	$	—	$	207	$	(1)	$	(2)
Liabilities:
Domestic deposits(5)	$	(593)	$	9	$	1	$	—	$	—	$	58	$	—	$	9	$	(516)	$	6	$	1
Long-term debt(5)	(919)		33		—		—		(660)		54		(9)		18		(1,483)		34		—
Total liabilities	$	(1,512)	$	42	$	1	$	—	$	(660)	$	112	$	(9)	$	27	$	(1,999)	$	40	$	1

	Jan. 1, 2021		Total Realized / Unrealized Gains (Losses) Included in				Purch- ases		Issu- ances		Settle- ments		Transfers Into Level 3		Transfers Out of Level 3		Sep. 30, 2021		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:(6)
Residential mortgage asset-backed securities	$	15	$	9	$	—	$	—	$	—	$	—	$	—	$	(24)	$	—	$	—	$	—
Derivatives, net:(1)
Interest rate contracts	34		(34)		—		—		—		—		—		—		—		(5)		—
Foreign exchange contracts	9		(10)		—		—		—		—		—		—		(1)		(11)		—
Equity contracts	119		(230)		—		—		—		283		(30)		(28)		114		22		—
Credit contracts	63		(65)		—		—		—		—		—		—		(2)		(2)		—
Other contracts(2)	(59)		—		—		—		—		20		—		—		(39)		—		—
Asset-backed securities available-for-sale(3)	131		—		(3)		—		—		(7)		—		—		121		—		(3)
Mortgage servicing rights(4)	7		—		—		—		7		—		—		—		14		—		—
Total assets	$	319	$	(330)	$	(3)	$	—	$	7	$	296	$	(30)	$	(52)	$	207	$	4	$	(3)
Liabilities:
Domestic deposits(5)	$	(646)	$	1	$	2	$	—	$	—	$	146	$	(109)	$	90	$	(516)	$	3	$	2
Long-term debt(5)	(448)		10		(1)		—		(1,201)		177		(45)		25		(1,483)		14		(1)
Total liabilities	$	(1,094)	$	11	$	1	$	—	$	(1,201)	$	323	$	(154)	$	115	$	(1,999)	$	17	$	1

	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:(6)
Residential mortgage asset-backed securities	$	15	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	—	$	—
Corporate and other domestic debt securities	501		(4)		—		—		—		(497)		—		—		—		—		—
Derivatives, net:(1)
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(2)	(64)		(2)		—		—		—		7		—		—		(59)		—		—
Asset-backed securities available-for-sale(3)	117		—		(8)		—		—		(2)		20		—		127		—		(8)
Mortgage servicing rights(4)	4		—		—		—		2		—		—		—		6		—		—
Total assets	$	758	$	29	$	(8)	$	—	$	2	$	(548)	$	20	$	(1)	$	252	$	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:(6)
Residential mortgage asset-backed securities	$	17	$	(2)	$	—	$	—	$	—	$	—	$	—	$	—	$	15	$	(2)	$	—
Corporate and other domestic debt securities	510		(13)		—		—		—		(497)		—		—		—		—		—
Derivatives, net:(1)
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(2)	(75)		(3)		—		—		—		19		—		—		(59)		—		—
Asset-backed securities available-for-sale(3)	111		—		(10)		—		—		(2)		28		—		127		—		(10)
Mortgage servicing rights(4)	4		(2)		—		—		4		—		—		—		6		(2)		—
Total assets	$	707	$	75	$	(10)	$	—	$	4	$	(553)	$	28	$	1	$	252	$	90	$	(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

(1)Level 3 net derivatives included derivative assets of $319 million and derivative liabilities of $247 million at September 30, 2021 and derivative assets of $343 million and derivative liabilities of $239 million at September 30, 2020. Gains (losses) on derivatives, net are predominantly included in trading revenue (expense) and gain on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).

(2)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).

(3)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 (loss).

(4)Gain (losses) on mortgage servicing rights are included in other income (loss) in the consolidated statement of income (loss).

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

(6)Gains (losses) on trading assets, excluding derivatives are included in trading revenue (expense) 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, 2021 and December 31, 2020:

September 30, 2021
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Interest rate derivative contracts	$	—	Market comparable adjusted for probability to fund and, where applicable, discounted cash flows or option pricing model	Probability to fund for rate lock commitments	25% - 100%	81%
				Interest rate yield curve	8%	N/A
Foreign exchange derivative contracts(2)	$	(1)	Option pricing model	Implied volatility of currency pairs	16%	N/A
				Cross-currency basis	(40)bps	N/A
Equity derivative contracts(2)	$	114	Option pricing model	Equity / Equity Index volatility	8% - 69%	41%
				Equity / Equity and Equity / Index correlation	41% - 98%	72%
				Equity dividend yields and forward price	(4)% - 1%	0%
Credit derivative contracts	$	(2)	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	77bps - 294bps	196bps
Other derivative contracts	$	(39)	Discounted cash flows	Conversion rate	1.6 times	N/A
				Expected duration	1.2 years	N/A
Asset-backed securities available-for-sale	$	121	Discounted cash flows	Market assumptions related to yields for comparable instruments	3% - 4%	3%
Mortgage servicing rights	$	14	Discounted cash flows	Constant prepayment rates	10% - 18%	12%
				Discount rate	8% - 13%	8%
				Estimated annualized costs to service	$72 - $93 per account	$75 per account
Domestic deposits (structured deposits)(2)(3)	$	(516)	Option adjusted discounted cash flows	Equity / Equity Index volatility	8% - 22%	16%
				Equity / Equity and Equity / Index correlation	56% - 85%	57%
Long-term debt (structured notes)(2)(3)	$	(1,483)	Option adjusted discounted cash flows	Implied volatility of currency pairs	16%	N/A
				Equity / Equity Index volatility	8% - 61%	25%
				Equity / Equity and Equity / Index correlation	41% - 98%	73%

December 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	$	15	Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	10%	N/A
				Conditional default rates	5%	N/A
				Loss severity rates	65%	N/A
				Discount margin	500bps	N/A
Interest rate derivative contracts	$	34	Market comparable adjusted for probability to fund and, where applicable, discounted cash flows or option pricing model	Probability to fund for rate lock commitments	41% - 100%	78%
				Likelihood of transaction being executed	90%	N/A
				Interest rate yield curve	4% - 7%	6%
Foreign exchange derivative contracts(2)	$	9	Option pricing model	Implied volatility of currency pairs	9% - 11%	10%
				Cross-currency basis	(9)bps - 40bps	24bps
Equity derivative contracts(2)	$	119	Option pricing model	Equity / Equity Index volatility	0% - 67%	27%
				Equity / Equity and Equity / Index correlation	17% - 62%	30%
				Equity dividend yields and forward price	(1)% - 0%	0%
Credit derivative contracts	$	63	Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	150bps	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	$	131	Discounted cash flows	Market assumptions related to yields for comparable instruments	4%	N/A
Mortgage servicing rights	$	7	Discounted cash flows	Constant prepayment rates	17% - 26%	19%
				Discount rate	9% - 10%	9%
				Estimated annualized costs to service	$73 - $157 per account	$76 per account
Domestic deposits (structured deposits)(2)(3)	$	(646)	Option adjusted discounted cash flows	Implied volatility of currency pairs	9% - 11%	10%
				Equity / Equity Index volatility	0% - 42%	15%
				Equity / Equity and Equity / Index correlation	43% - 47%	45%
Long-term debt (structured notes)(2)(3)	$	(448)	Option adjusted discounted cash flows	Implied volatility of currency pairs	9% - 11%	10%
				Equity / Equity Index volatility	0% - 67%	23%
				Equity / Equity and Equity / Index correlation	32% - 62%	52%

(1)For foreign exchange derivatives, equity derivatives, credit 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, 2021 and December 31, 2020. The gains (losses) during the three and nine months ended September 30, 2021 and 2020 are also included.

	Non-Recurring Fair Value Measurements at September 30, 2021								Total Gains (Losses) For the Three Months Ended September 30, 2021		Total Gains (Losses) For the Nine Months Ended September 30, 2021
	Level 1		Level 2		Level 3		Total
	(in millions)
Consumer loans held for sale(1)	$	—	$	9	$	795	$	804	$	(1)	$	(1)
Consumer loans(2)	—		198		—		198		2		8
Commercial loans held for sale(3)	—		—		92		92		—		(12)
Commercial loans(4)	—		—		142		142		(12)		57
Leases(5)	—		—		—		—		(4)		(59)
Total assets at fair value on a non-recurring basis	$	—	$	207	$	1,029	$	1,236	$	(15)	$	(7)

	Non-Recurring Fair Value Measurements at December 31, 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)
Consumer loans held for sale(1)	$	—	$	4	$	—	$	4	$	—	$	—
Consumer loans(2)	—		312		—		312		4		11
Commercial loans held for sale(3)	—		68		—		68		(16)		(25)
Commercial loans(4)	—		—		270		270		6		(164)
Real estate owned(6)	—		1		—		1		—		1
Goodwill(7)	—		—		—		—		—		(784)
Leases(5)	—		—		3		3		(7)		(69)
Total assets at fair value on a non-recurring basis	$	—	$	385	$	273	$	658	$	(13)	$	(1,030)

(1)At September 30, 2021 and December 31, 2020, the fair value of the loans held for sale was below cost. During the second quarter of 2021, certain consumer loans were transferred to held for sale for which significant inputs in estimating fair value were unobservable.

(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.

(3)At September 30, 2021 and December 31, 2020, the fair value of the loans held for sale was below cost. During the second quarter of 2021, certain commercial loans were transferred to held for sale for which significant inputs in estimating fair value were unobservable.

(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)During the second quarter of 2021, we determined that we would exit certain branches and, as a result, the lease ROU assets, leasehold improvement assets and equipment assets associated with these branches were written off. During the three and nine months ended September 30, 2021, we also wrote down the lease ROU assets and leasehold improvement assets primarily associated with certain office space that we determined we would exit. During 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 for further discussion.

(6)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.

(7)During the first quarter of 2020, the goodwill allocated to our previously separate RBWM and PB businesses were both written down to $0 million. See Note 9, "Goodwill," in this From 10-Q for further discussion of the results of our goodwill impairment testing, including the events and circumstances leading to the impairments.

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, 2021 and December 31, 2020:

At September 30, 2021
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Consumer loans held for sale	$	795	Market comparables and internal assumptions	Adjusted market price	95% - 100%	99%
Commercial loans held for sale	92		Market comparables and internal assumptions	Adjusted market price	94%	N/A
Commercial loans	142		Valuation of third party appraisal on underlying collateral	Loss severity rates	8% - 78%	30%

At December 31, 2020
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average(1)
Commercial loans	$	270	Valuation of third party appraisal on underlying collateral	Loss severity rates	0% - 76%	35%

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

N/A Not Applicable

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

The following tables provide additional information relating to our available-for-sale asset-backed securities at September 30, 2021:

Rating of Securities:(1)	Collateral Type:	Level 3
		(in millions)
AAA - A	Home equity - Alt A	$	20
BBB - B	Other	101
		$	121

(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.

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, 2021 and December 31, 2020, and their classification within the fair value hierarchy:

September 30, 2021	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses	$	63,204	$	63,204	$	1,018	$	62,140	$	46
Federal funds sold and securities purchased under agreements to resell	7,480		7,480		—		7,480		—
Securities held-to-maturity, net of allowance for credit losses	5,866		6,097		—		6,097		—
Commercial loans, net of allowance for credit losses	38,439		39,026		—		—		39,026
Commercial loans held for sale	1,228		1,231		—		—		1,231
Consumer loans, net of allowance for credit losses	16,585		16,140		—		—		16,140
Consumer loans held for sale	3,636		3,738		—		53		3,685
Financial liabilities:
Short-term financial liabilities	$	6,425	$	6,425	$	—	$	6,377	$	48
Deposits	140,077		140,072		—		140,072		—
Deposits held for sale	9,321		9,321		—		9,321		—
Long-term debt	8,370		8,878		—		8,878		—

December 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	$	15,667	$	15,667	$	1,302	$	14,353	$	12
Federal funds sold and securities purchased under agreements to resell	35,746		35,746		—		35,746		—
Securities held-to-maturity, net of allowance for credit losses	8,981		9,369		—		9,369		—
Commercial loans, net of allowance for credit losses	40,785		41,417		—		—		41,417
Commercial loans held for sale	93		93		—		93		—
Consumer loans, net of allowance for credit losses	20,256		19,865		—		—		19,865
Consumer loans held for sale	208		217		—		217		—
Financial liabilities:
Short-term financial liabilities	$	4,965	$	4,965	$	—	$	4,952	$	13
Deposits	140,995		141,001		—		141,001		—
Long-term debt	9,254		9,720		—		9,720		—