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Fair Value Measurements (Tables)
6 Months Ended
Jun. 30, 2023
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 June 30, 2023 and December 31, 2022, 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.
 Fair Value Measurements on a Recurring Basis
June 30, 2023Level 1Level 2Level 3Gross
Balance
Netting(1)
Net
Balance
 (in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises$2,791 $764 $ $3,555 $ $3,555 
Debt securities issued by foreign entities1,649   1,649  1,649 
Equity securities10,261   10,261  10,261 
Precious metals trading 2,605  2,605  2,605 
Derivatives:(2)
Interest rate contracts5 1,457 1 1,463  1,463 
Foreign exchange contracts 14,805 8 14,813  14,813 
Equity contracts 775 170 945  945 
Precious metals contracts7 1,197  1,204  1,204 
Credit contracts 75 2 77  77 
Other contracts(3)
  3 3  3 
Derivatives netting    (17,056)(17,056)
Total derivatives12 18,309 184 18,505 (17,056)1,449 
Securities available-for-sale:(4)
U.S. Treasury, U.S. Government agencies and sponsored enterprises8,236 16,268  24,504  24,504 
Asset-backed securities:
Home equity  13 13  13 
Other  92 92  92 
Debt securities issued by foreign entities1,543 107  1,650  1,650 
Loans(5)
 17  17  17 
Loans held for sale(5)
 371 3 374  374 
Other assets:
Mortgage servicing rights  21 21  21 
Equity securities 126  126  126 
Equity securities measured at net asset value(6)
   141  141 
Other(5)(7)
 61  61  61 
Total assets$24,492 $38,628 $313 $63,574 $(17,056)$46,518 
Liabilities:
Domestic deposits(5)
$ $1,111 $241 $1,352 $ $1,352 
Trading liabilities, excluding derivatives1,267   1,267  1,267 
Derivatives:(2)
Interest rate contracts11 1,187 6 1,204  1,204 
Foreign exchange contracts 13,730 8 13,738  13,738 
Equity contracts 879 195 1,074  1,074 
Precious metals contracts 1,104  1,104  1,104 
Credit contracts 105  105  105 
Other contracts(3)
  27 27  27 
Derivatives netting    (15,671)(15,671)
Total derivatives11 17,005 236 17,252 (15,671)1,581 
Long-term debt(5)
 6,915 2,291 9,206  9,206 
Other liabilities(5)(7)
 61  61  61 
Total liabilities$1,278 $25,092 $2,768 $29,138 $(15,671)$13,467 
 Fair Value Measurements on a Recurring Basis
December 31, 2022Level 1Level 2Level 3Gross
Balance
Netting(1)
Net
Balance
 (in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises$1,670 $369 $— $2,039 $— $2,039 
Debt securities issued by foreign entities6,337 54 — 6,391 — 6,391 
Equity securities7,855 — — 7,855 — 7,855 
Precious metals trading— 3,831 — 3,831 — 3,831 
Derivatives:(2)
Interest rate contracts1,846 1,856 — 1,856 
Foreign exchange contracts— 15,734 10 15,744 — 15,744 
Equity contracts— 956 72 1,028 — 1,028 
Precious metals contracts— 1,201 — 1,201 — 1,201 
Credit contracts— 108 110 — 110 
Other contracts(3)
— — — 
Derivatives netting— — — — (18,278)(18,278)
Total derivatives19,845 91 19,944 (18,278)1,666 
Securities available-for-sale:(4)
U.S. Treasury, U.S. Government agencies and sponsored enterprises8,195 17,196 — 25,391 — 25,391 
Asset-backed securities:
Home equity— — 15 15 — 15 
Other— — 93 93 — 93 
Debt securities issued by foreign entities1,740 106 — 1,846 — 1,846 
Loans(5)
— 20 — 20 — 20 
Loans held for sale(5)
— 188 49 237 — 237 
Other assets:
Mortgage servicing rights— — 22 22 — 22 
Equity securities127 127 — 127 
Equity securities measured at net asset value(6)
— — — 140 — 140 
Other(5)(7)
— 325 — 325 — 325 
Total assets$25,805 $42,061 $270 $68,276 $(18,278)$49,998 
Liabilities:
Domestic deposits(5)
$— $1,181 $373 $1,554 $— $1,554 
Trading liabilities, excluding derivatives837 — — 837 — 837 
Derivatives:(2)
Interest rate contracts1,471 1,484 — 1,484 
Foreign exchange contracts— 15,500 10 15,510 — 15,510 
Equity contracts625 298 927 — 927 
Precious metals contracts1,254 — 1,255 — 1,255 
Credit contracts— 106 — 106 — 106 
Other contracts(3)
— — 38 38 — 38 
Derivatives netting— — — — (17,154)(17,154)
Total derivatives11 18,956 353 19,320 (17,154)2,166 
Long-term debt(5)
— 5,739 2,639 8,378 — 8,378 
Other liabilities(5)(7)
— 325 — 325 — 325 
Total liabilities$848 $26,201 $3,365 $30,414 $(17,154)$13,260 
(1)Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.
(2)Includes trading derivative assets of $1,321 million and $1,614 million and trading derivative liabilities of $1,432 million and $1,966 million at June 30, 2023 and December 31, 2022, respectively, as well as derivatives held for hedging and other non-qualifying economic hedging activities. 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.
(3)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.
(4)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.
(5)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.
(6)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.
(7)Consists of assets and liabilities associated with certain client share repurchase transactions.
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 six months ended June 30, 2023 and 2022. 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.
Apr. 1,
2023
Total Realized / Unrealized Gains
(Losses) Included in
Purch-
ases
Issu-
ances
Settle-
ments
Transfers
Into
Level 3
Transfers
Out of
Level 3
Jun. 30,
2023
Current Period Unrealized Gains
(Losses) Still Held Included in
EarningsOther Compre-
hensive
Income
(Loss)
EarningsOther Compre-
hensive
Income
(Loss)
 (in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts
$(4)$(1)$ $ $ $ $ $ $(5)$(1)$ 
Foreign exchange contracts
           
Equity contracts(84)61    5  (7)(25)51  
Credit contracts2        2   
Other contracts(2)
(24)(7)   7   (24)  
Asset-backed securities available-for-sale(3)
107  (2) —    105  (2)
Loans held for sale(4)
50   2  (37) (12)3   
Mortgage servicing rights(5)
21        21   
Total assets$68 $53 $(2)$2 $ $(25)$ $(19)$77 $50 $(2)
Liabilities:
Domestic deposits(4)
$(270)$5 $(3)$ $(2)$23 $ $6 $(241)$5 $(3)
Long-term debt(4)
(2,395)(94)(19) (185)237 (35)200 (2,291)(55)(19)
Total liabilities$(2,665)$(89)$(22)$ $(187)$260 $(35)$206 $(2,532)$(50)$(22)
Jan. 1,
2023
Total Realized / Unrealized Gains
(Losses) Included in
Purch-
ases
Issu-
ances
Settle-
ments
Transfers
Into
Level 3
Transfers
Out of
Level 3
Jun. 30,
2023
Current Period Unrealized Gains
(Losses) Still Held Included in
EarningsOther Compre-
hensive
Income (Loss)
EarningsOther Compre-
hensive
Income (Loss)
 (in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts
$(5)$ $ $ $ $ $ $ $(5)$ $ 
Foreign exchange contracts
           
Equity contracts(226)189    17  (5)(25)146  
Credit contracts2        2   
Other contracts(2)
(33)(9)   18   (24)  
Asset-backed securities available-for-sale(3)
108  (1)  (2)  105  (1)
Loans held for sale(4)
49   3  (37) (12)3   
Mortgage servicing rights(5)
22 (1)      21 (1) 
Total assets$(83)$179 $(1)$3 $ $(4)$ $(17)$77 $145 $(1)
Liabilities:
Domestic deposits(4)
$(373)$(1)$1 $ $(2)$103 $ $31 $(241)$3 $1 
Long-term debt(4)
(2,639)(260)3  (374)412 (36)603 (2,291)(159)3 
Total liabilities$(3,012)$(261)$4 $ $(376)$515 $(36)$634 $(2,532)$(156)$4 
Apr. 1,
2022
Total Realized / Unrealized Gains
(Losses) Included in
Purch-
ases
Issu-
ances
Settle-
ments
Transfers
Into
Level 3
Transfers
Out of
Level 3
Jun. 30,
2022
Current Period
Unrealized Gains
(Losses) Still Held
Included in
EarningsOther Compre-
hensive
Income
(Loss)
EarningsOther Compre-
hensive
Income
(Loss)
 (in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts
$(1)$(1)$— $— $— $— $(2)$— $(4)$— $— 
Foreign exchange contracts
(1)— — — — — — — — — 
Equity contracts(1)(221)— — — (53)(7)— (282)(255)— 
Credit contracts(2)— — — — — — (1)— 
Other contracts(2)
(24)(30)— — — — — (47)— — 
Asset-backed securities available-for-sale(3)
114 — (1)— — — — — 113 — (1)
Mortgage servicing rights(5)
21 — — — — — — 22 — — 
Total assets$106 $(250)$(1)$— $$(46)$(9)$— $(199)$(254)$(1)
Liabilities:
Domestic deposits(4)
$(492)$24 $$— $— $46 $(81)$— $(500)$20 $
Long-term debt(4)
(2,072)259 11 — (358)98 (31)— (2,093)252 11 
Total liabilities$(2,564)$283 $14 $— $(358)$144 $(112)$— $(2,593)$272 $14 
Jan. 1,
2022
Total Realized / Unrealized Gains
(Losses) Included in
Purch-
ases
Issu-
ances
Settle-
ments
Transfers
Into
Level 3
Transfers
Out of
Level 3
Jun. 30,
2022
Current Period
Unrealized Gains
(Losses) Still Held
Included in
EarningsOther Compre-
hensive
Income (Loss)
EarningsOther Compre-
hensive
Income (Loss)
 (in millions)
Assets:
Derivatives, net:(1)
Interest rate contracts
$— $(1)$— $— $— $— $(3)$— $(4)$(1)$— 
Foreign exchange contracts
(2)— — — — — — — — — 
Equity contracts46 (341)— — — (52)22 43 (282)(339)— 
Credit contracts(2)— — — — — — (1)— 
Other contracts(2)
(33)(31)— — — 17 — — (47)— — 
Asset-backed securities available-for-sale(3)
120 — (4)— — (3)— — 113 — (4)
Mortgage servicing rights(5)
16 — — — — — 22 — 
Total assets$145 $(366)$(4)$— $$(38)$19 $43 $(199)$(337)$(4)
Liabilities:
Domestic deposits(4)
$(535)$45 $$— $— $116 $(130)$$(500)$38 $
Long-term debt(4)
(1,853)353 16 — (658)200 (237)86 (2,093)319 16 
Total liabilities$(2,388)$398 $17 $— $(658)$316 $(367)$89 $(2,593)$357 $17 
(1)Level 3 net derivatives included derivative assets of $184 million and derivative liabilities of $236 million at June 30, 2023 and derivative assets of $96 million and derivative liabilities of $430 million at June 30, 2022. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income.
(2)Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares. Gains (losses) on these swap agreements are included in other income (loss) in the consolidated statement of income.
(3)Realized gains (losses) on securities available-for-sale are included in other securities gains, net in the consolidated statement of income. Changes in the allowance for credit losses on securities available-for-sale are included in the provision for credit losses in the consolidated statement of income. Unrealized gains (losses) on securities available-for-sale are included in other comprehensive income (loss).
(4)Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive income (loss), gains (losses) on fair value option assets and liabilities are included in gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income.
(5)Gains (losses) on mortgage servicing rights are included in other income (loss) in the consolidated statement of income.
Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3
The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements at June 30, 2023 and December 31, 2022:
June 30, 2023
Financial Instrument TypeFair Value (in millions)Valuation Technique(s)Significant Unobservable InputsRange of Inputs
Weighted Average(1)
Interest rate derivative contracts$(5)Market comparable adjusted for probability to fund and, where applicable, option pricing modelProbability to fund for rate lock commitments
43% - 91%
81%
Interest rate yield curve
8%
N/A
Foreign exchange derivative contracts$ Option pricing modelCross-currency basis
72bps
N/A
Equity derivative contracts(2)
$(25)Option pricing modelEquity / Equity Index volatility
6% - 95%
33%
Equity / Equity and Equity / Index correlation
45% - 97%
83%
Equity forward price
$40 - $6,053
$346
Credit derivative contracts$2 Option pricing model and, where applicable, discounted cash flowsCredit default swap spreads
807bps - 1,346bps
1,239bps
Other derivative contracts$(24)Discounted cash flowsConversion rate1.6 timesN/A
Expected duration0.5 yearsN/A
Asset-backed securities available-for-sale$105 Discounted cash flowsMarket assumptions related to yields for comparable instruments
1% - 3%
2%
Loans held for sale$3 Market comparables and internal assumptionsAdjusted market price
89% - 100%
95%
Mortgage servicing rights$21 Discounted cash flowsConstant prepayment rates
6% - 15%
6%
Discount rate
9% - 13%
9%
Estimated annualized costs to service
$72 - $76 per account
$74 per account
Domestic deposits (structured deposits)(2)(3)
$(241)Option adjusted discounted cash flowsEquity / Equity Index volatility
8% - 27%
13%
Equity / Equity and Equity / Index correlation
49% - 92%
65%
Long-term debt (structured notes)(2)(3)
$(2,291)Option adjusted discounted cash flowsEquity / Equity Index volatility
8% - 95%
18%
Equity / Equity and Equity / Index correlation
45% - 97%
83%
Credit default swap spreads1,150bpsNA
December 31, 2022
Financial Instrument TypeFair Value (in millions)Valuation Technique(s)Significant Unobservable InputsRange of Inputs
Weighted Average(1)
Interest rate derivative contracts
$(5)Market comparable adjusted for probability to fund and, where applicable, option pricing modelProbability to fund for rate lock commitments
51% - 99%
84%
Interest rate yield curve
9%
N/A
Foreign exchange derivative contracts$— Option pricing modelCross-currency basis103bpsN/A
Equity derivative contracts(2)
$(226)Option pricing modelEquity / Equity Index volatility
8% - 101%
42%
Equity / Equity and Equity / Index correlation
45% - 99%
85%
Equity forward price
$39 - $5,271
$1,243
Credit derivative contracts$Option pricing model and, where applicable, discounted cash flowsCredit default swap spreads
491bps - 902bps
885bps
Other derivative contracts$(33)Discounted cash flowsConversion rate1.6 timesN/A
Expected duration
1.0 year
N/A
Asset-backed securities available-for-sale
$108 Discounted cash flowsMarket assumptions related to yields for comparable instruments
2% - 3%
2%
Loans held for sale$49 Market comparables and internal assumptionsAdjusted market price
5% - 80%
42%
Mortgage servicing rights$22 Discounted cash flowsConstant prepayment rates
6% - 14%
6%
Discount rate
9% - 13%
9%
Estimated annualized costs to service
$72 - $76 per account
$74 per account
Domestic deposits (structured deposits)(2)(3)
$(373)Option adjusted discounted cash flowsEquity / Equity Index volatility
8% - 24%
19%
Equity / Equity and Equity / Index correlation
49% - 88%
63%
Long-term debt (structured notes)(2)(3)
$(2,639)Option adjusted discounted cash flowsEquity / Equity Index volatility
8% - 55%
29%
Equity / Equity and Equity / Index correlation
45% - 99%
86%
Credit default swap spreads1,223bpsN/A
(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, except for structured notes and deposits with embedded credit derivative features, 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 risk neutral in substantially all of the structured notes and deposits. The corresponding intra-group derivatives are presented as equity 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 derivatives and credit 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 June 30, 2023 and December 31, 2022. The gains (losses) during the three and six months ended June 30, 2023 and 2022 are also included.
 
Non-Recurring Fair Value Measurements at June 30, 2023
Total Gains (Losses) For the Three Months Ended June 30, 2023Total Gains (Losses) For the Six Months Ended June 30, 2023
  
Level 1Level 2Level 3Total
 (in millions)
Consumer loans(1)
$ $107 $ $107 $ $(1)
Commercial loans held for sale(2)
 581  581 (36)(37)
Commercial loans(3)
  150 150 (12)(9)
Leases(4)
    1 (14)
Total assets at fair value on a non-recurring basis
$ $688 $150 $838 $(47)$(61)
 
Non-Recurring Fair Value Measurements at December 31, 2022
Total Gains (Losses) For the Three Months Ended June 30, 2022Total Gains (Losses) For the Six Months Ended June 30, 2022
  
Level 1Level 2Level 3Total
 (in millions)
Consumer loans held for sale(5)
$— $$— $$(7)$(8)
Consumer loans(1)
— 112 — 112 
Commercial loans(3)
— — 52 52 (5)— 
Leases(4)
— — — — 
Total assets at fair value on a non-recurring basis
$— $113 $52 $165 $(7)$(2)
(1)Represents residential mortgage loans held for investment whose carrying amount was adjusted during the period based on the fair value of the underlying collateral.
(2)At June 30, 2023, the fair value of the loans held for sale was below cost.
(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)During the six months ended June 30, 2023, we wrote down the lease ROU assets and leasehold improvement assets associated with the exit of certain office space. During the three and six months ended June 30, 2022, we reversed lease ROU asset and leasehold improvement asset impairment charges associated with certain office space that we determined we would exit.
(5)At December 31, 2022, the fair value of the loans held for sale was below cost.
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 June 30, 2023 and December 31, 2022:
At June 30, 2023
Financial Instrument TypeFair Value (in millions)Valuation Technique(s)Significant Unobservable InputsRange of Inputs
Weighted Average(1)
Commercial loans$150 Valuation of third party appraisal
on underlying collateral
Loss severity rates
1% - 54%
28%
At December 31, 2022
Financial Instrument TypeFair Value (in millions)Valuation Technique(s)Significant Unobservable InputsRange of Inputs
Weighted Average(1)
Commercial loans$52 Valuation of third party appraisal
on underlying collateral
Loss severity rates
11% - 47%
31%
(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 available-for-sale asset-backed securities at June 30, 2023:
Rating of Securities:(1)
Collateral Type:Level 3
  (in millions)
AAA - AHome equity - Alt A$13 
BBB - BOther92 
$105 
(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 June 30, 2023 and December 31, 2022, and their classification within the fair value hierarchy:
June 30, 2023Carrying
Value
Fair
Value
Level 1Level 2Level 3
 (in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses $30,339 $30,339 $831 $29,476 $32 
Federal funds sold and securities purchased under agreements to resell
12,519 12,519  12,519  
Securities held-to-maturity, net of allowance for credit losses 13,428 12,872  12,872  
Commercial loans, net of allowance for credit losses39,218 39,568   39,568 
Commercial loans held for sale622 622  622  
Consumer loans, net of allowance for credit losses18,105 16,042   16,042 
Consumer loans held for sale1 1  1  
Financial liabilities:
Short-term financial liabilities$8,259 $8,259 $ $8,227 $32 
Deposits120,284 120,233  120,233  
Long-term debt10,465 11,024  11,024  
December 31, 2022Carrying
Value
Fair
Value
Level 1Level 2Level 3
 (in millions)
Financial assets:
Short-term financial assets, net of allowance for credit losses$18,802 $18,802 $1,004 $17,744 $54 
Federal funds sold and securities purchased under agreements to resell
23,085 23,085 — 23,085 — 
Securities held-to-maturity, net of allowance for credit losses7,317 6,862 — 6,862 — 
Commercial loans, net of allowance for credit losses41,266 42,050 — — 42,050 
Commercial loans held for sale112 112 — 112 — 
Consumer loans, net of allowance for credit losses17,510 15,984 — — 15,984 
Consumer loans held for sale— — 
Financial liabilities:
Short-term financial liabilities$5,999 $5,999 $— $5,945 $54 
Deposits121,669 121,652 — 121,652 — 
Long-term debt9,213 9,769 — 9,769 —