Fair Values of Assets and Liabilities | 6 Months Ended |
Jun. 30, 2014 |
Fair Value Disclosures [Abstract] | ' |
Fair Values of Assets and Liabilities | ' |
Note 13: Fair Values of Assets and Liabilities |
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We use fair value measurements to record fair value adjustments to certain assets and liabilities and to determine fair value disclosures. Assets and liabilities recorded at fair value on a recurring basis are presented in the recurring table in this Note. From time to time, we may be required to record at fair value other assets on a nonrecurring basis, such as certain residential and commercial MHFS, certain LHFS, loans held for investment and certain other assets. These nonrecurring fair value adjustments typically involve application of lower-of-cost-or-market accounting or write-downs of individual assets. |
See Note 1 (Summary of Significant Accounting Policies) to Financial Statements in our 2013 Form 10-K for discussion of how we determine fair value. For descriptions of the valuation methodologies we use for assets and liabilities recorded at fair value on a recurring or nonrecurring basis and for estimating fair value for financial instruments not recorded at fair value, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2013 Form 10-K. |
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Fair Value Hierarchy We group our assets and liabilities measured at fair value in three levels based on the markets in which the assets and liabilities are traded and the reliability of the assumptions used to determine fair value. These levels are: |
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Level 1 – Valuation is based upon quoted prices for identical instruments traded in active markets. |
Level 2 – Valuation is based upon quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques for which all significant assumptions are observable in the market. |
Level 3 – Valuation is generated from techniques that use significant assumptions not observable in the market. These unobservable assumptions reflect estimates of assumptions that market participants would use in pricing the asset or liability. Valuation techniques include use of option pricing models, discounted cash flow models and similar techniques. |
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Fair Value Measurements from Brokers or Third Party Pricing Services |
For certain assets and liabilities, we obtain fair value measurements from brokers or third party pricing services and record the unadjusted fair value in our financial statements. The detail by level is shown in the table below. Fair value measurements obtained from brokers or third party pricing services that we have adjusted to determine the fair value recorded in our financial statements are not included in the following table. |
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(in millions) | | Level 1 | Level 2 | Level 3 | | Level 1 | Level 2 | Level 3 | | | | |
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30-Jun-14 | | | | | | | | | | | | |
Trading assets (excluding derivatives) | $ | - | - | - | | 1,913 | 185 | - | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | | - | - | - | | 537 | 5,876 | - | | | | |
| Securities of U.S. states and political subdivisions | | - | - | - | | - | 41,600 | 89 | | | | |
| Mortgage-backed securities | | - | 377 | - | | - | 145,882 | 177 | | | | |
| Other debt securities (1) | | - | 304 | 703 | | - | 44,393 | 683 | | | | |
| | Total debt securities | | - | 681 | 703 | | 537 | 237,751 | 949 | | | | |
| | Total marketable equity securities | | - | - | - | | 3 | 589 | - | | | | |
| | | Total available-for-sale securities | | - | 681 | 703 | | 540 | 238,340 | 949 | | | | |
Derivatives (trading and other assets) | | - | 4 | - | | - | 315 | 1 | | | | |
Derivatives (liabilities) | | - | -6 | - | | - | -318 | - | | | | |
Other liabilities | | - | - | - | | - | - | - | | | | |
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31-Dec-13 | | | | | | | | | | | | |
Trading assets (excluding derivatives) | $ | - | 122 | 1 | | 1,804 | 652 | 3 | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | | - | - | - | | 557 | 5,723 | - | | | | |
| Securities of U.S. states and political subdivisions | | - | - | - | | - | 39,257 | 63 | | | | |
| Mortgage-backed securities | | - | 621 | - | | - | 148,074 | 180 | | | | |
| Other debt securities (1) | | - | 1,537 | 722 | | - | 44,681 | 746 | | | | |
| | Total debt securities | | - | 2,158 | 722 | | 557 | 237,735 | 989 | | | | |
| | Total marketable equity securities | | - | - | - | | - | 630 | - | | | | |
| | | Total available-for-sale securities | | - | 2,158 | 722 | | 557 | 238,365 | 989 | | | | |
Derivatives (trading and other assets) | | - | 5 | - | | - | 417 | 3 | | | | |
Derivatives (liabilities) | | - | -12 | - | | - | -418 | - | | | | |
Other liabilities | | - | -115 | - | | - | -36 | - | | | | |
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-1 | Includes corporate debt securities, collateralized loan and other debt obligations, asset-backed securities, and other debt securities. | | | | |
Assets and Liabilities Recorded at Fair Value on a Recurring Basis |
The following two tables present the balances of assets and liabilities recorded at fair value on a recurring basis. |
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(in millions) | | Level 1 | Level 2 | Level 3 | | Netting | | Total | | | | |
30-Jun-14 | | | | | | | | | | | | |
Trading assets (excluding derivatives) | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | $ | 13,073 | 3,982 | - | | - | | 17,055 | | | | |
| Securities of U.S. states and political subdivisions | | - | 2,433 | 8 | | - | | 2,441 | | | | |
| Collateralized loan and other debt obligations (1) | | - | 146 | 581 | | - | | 727 | | | | |
| Corporate debt securities | | 1 | 8,470 | 62 | | - | | 8,533 | | | | |
| Mortgage-backed securities | | - | 16,147 | 1 | | - | | 16,148 | | | | |
| Asset-backed securities | | - | 756 | 91 | | - | | 847 | | | | |
| Equity securities | | 8,525 | 25 | 13 | | - | | 8,563 | | | | |
| | Total trading securities (2) | | 21,599 | 31,959 | 756 | | - | | 54,314 | | | | |
| Other trading assets | | 2,808 | 2,056 | 49 | | - | | 4,913 | | | | |
| | | Total trading assets (excluding derivatives) | | 24,407 | 34,015 | 805 | | - | | 59,227 | | | | |
Securities of U.S. Treasury and federal agencies | | 537 | 5,877 | - | | - | | 6,414 | | | | |
Securities of U.S. states and political subdivisions | | - | 41,610 | 3,169 | -3 | - | | 44,779 | | | | |
Mortgage-backed securities: | | | | | | | | | | | | |
| Federal agencies | | - | 116,908 | - | | - | | 116,908 | | | | |
| Residential | | - | 11,178 | 41 | | - | | 11,219 | | | | |
| Commercial | | - | 18,078 | 136 | | - | | 18,214 | | | | |
| | Total mortgage-backed securities | | - | 146,164 | 177 | | - | | 146,341 | | | | |
Corporate debt securities | | 85 | 19,210 | 284 | | - | | 19,579 | | | | |
Collateralized loan and other debt obligations (4) | | - | 19,505 | 1,326 | -3 | - | | 20,831 | | | | |
Asset-backed securities: | | | | | | | | | | | | |
| Auto loans and leases | | - | 41 | 272 | -3 | - | | 313 | | | | |
| Home equity loans | | - | 845 | - | | - | | 845 | | | | |
| Other asset-backed securities | | - | 5,409 | 1,295 | -3 | - | | 6,704 | | | | |
| | Total asset-backed securities | | - | 6,295 | 1,567 | | - | | 7,862 | | | | |
Other debt securities | | - | 40 | - | | - | | 40 | | | | |
| | | Total debt securities | | 622 | 238,701 | 6,523 | | - | | 245,846 | | | | |
Marketable equity securities: | | | | | | | | | | | | |
| Perpetual preferred securities (5) | | 477 | 585 | 700 | -3 | - | | 1,762 | | | | |
| Other marketable equity securities | | 1,349 | 4 | - | | - | | 1,353 | | | | |
| | | Total marketable equity securities | | 1,826 | 589 | 700 | | - | | 3,115 | | | | |
| | | | Total available-for-sale securities | | 2,448 | 239,290 | 7,223 | | - | | 248,961 | | | | |
Mortgages held for sale | | - | 14,052 | 2,396 | | - | | 16,448 | | | | |
Loans held for sale | | - | 1 | - | | - | | 1 | | | | |
Loans | | - | - | 5,926 | | - | | 5,926 | | | | |
Mortgage servicing rights (residential) | | - | - | 13,900 | | - | | 13,900 | | | | |
Derivative assets: | | | | | | | | | | | | |
| Interest rate contracts | | 29 | 49,292 | 429 | | - | | 49,750 | | | | |
| Commodity contracts | | - | 3,308 | 6 | | - | | 3,314 | | | | |
| Equity contracts | | 2,888 | 5,332 | 1,689 | | - | | 9,909 | | | | |
| Foreign exchange contracts | | 129 | 4,012 | 3 | | - | | 4,144 | | | | |
| Credit contracts | | - | 605 | 563 | | - | | 1,168 | | | | |
| Other derivative contracts | | - | - | 1 | | - | | 1 | | | | |
| | Netting | | - | - | - | | -50,874 | -6 | -50,874 | | | | |
| | | Total derivative assets (7) | | 3,046 | 62,549 | 2,691 | | -50,874 | | 17,412 | | | | |
Other assets | | - | - | 2,005 | | - | | 2,005 | | | | |
| | | | | Total assets recorded at fair value | $ | 29,901 | 349,907 | 34,946 | | -50,874 | | 363,880 | | | | |
Derivative liabilities: | | | | | | | | | | | | |
| Interest rate contracts | $ | -24 | -48,835 | -246 | | - | | -49,105 | | | | |
| Commodity contracts | | - | -3,184 | -4 | | - | | -3,188 | | | | |
| Equity contracts | | -845 | -6,110 | -1,739 | | - | | -8,694 | | | | |
| Foreign exchange contracts | | -119 | -3,033 | -1 | | - | | -3,153 | | | | |
| Credit contracts | | - | -621 | -829 | | - | | -1,450 | | | | |
| Other derivative contracts | | - | - | -14 | | - | | -14 | | | | |
| | Netting | | - | - | - | | 56,574 | -6 | 56,574 | | | | |
| | | Total derivative liabilities (7) | | -988 | -61,783 | -2,833 | | 56,574 | | -9,030 | | | | |
Short sale liabilities: | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | | -6,028 | -1,937 | - | | - | | -7,965 | | | | |
| Securities of U.S. states and political subdivisions | | - | -24 | - | | - | | -24 | | | | |
| Corporate debt securities | | - | -5,164 | - | | - | | -5,164 | | | | |
| Equity securities | | -1,954 | -6 | - | | - | | -1,960 | | | | |
| Other securities | | - | -25 | - | | - | | -25 | | | | |
| | Total short sale liabilities | | -7,982 | -7,156 | - | | - | | -15,138 | | | | |
Other liabilities (excluding derivatives) | | - | - | -45 | | - | | -45 | | | | |
| | | | | Total liabilities recorded at fair value | $ | -8,970 | -68,939 | -2,878 | | 56,574 | | -24,213 | | | | |
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Includes collateralized debt obligations of $1 million. |
Net gains (losses) from trading activities recognized in the income statement for the first half of 2014 and 2013 include $216 million and $(646) million in net unrealized gains (losses) on trading securities held at June 30, 2014 and 2013, respectively. |
Balances consist of securities that are mostly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity. |
Includes collateralized debt obligations of $580 million. |
Perpetual preferred securities include ARS and corporate preferred securities. See Note 7 (Securitizations and Variable Interest Entities) for additional information. |
Represents balance sheet netting of derivative asset and liability balances and related cash collateral. See Note 12 (Derivatives) for additional information. |
Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively. |
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(in millions) | | Level 1 | Level 2 | Level 3 | | Netting | | Total | | | | |
31-Dec-13 | | | | | | | | | | | | |
Trading assets (excluding derivatives) | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | $ | 8,301 | 3,669 | - | | - | | 11,970 | | | | |
| Securities of U.S. states and political subdivisions | | - | 2,043 | 39 | | - | | 2,082 | | | | |
| Collateralized loan and other debt obligations (1) | | - | 212 | 541 | | - | | 753 | | | | |
| Corporate debt securities | | - | 7,052 | 53 | | - | | 7,105 | | | | |
| Mortgage-backed securities | | - | 14,608 | 1 | | - | | 14,609 | | | | |
| Asset-backed securities | | - | 487 | 122 | | - | | 609 | | | | |
| Equity securities | | 5,908 | 87 | 13 | | - | | 6,008 | | | | |
| | Total trading securities (2) | | 14,209 | 28,158 | 769 | | - | | 43,136 | | | | |
| Other trading assets | | 2,694 | 2,487 | 54 | | - | | 5,235 | | | | |
| | | Total trading assets (excluding derivatives) | | 16,903 | 30,645 | 823 | | - | | 48,371 | | | | |
Securities of U.S. Treasury and federal agencies | | 557 | 5,723 | - | | - | | 6,280 | | | | |
Securities of U.S. states and political subdivisions | | - | 39,322 | 3,214 | -3 | - | | 42,536 | | | | |
Mortgage-backed securities: | | | | | | | | | | | | |
| Federal agencies | | - | 117,591 | - | | - | | 117,591 | | | | |
| Residential | | - | 12,389 | 64 | | - | | 12,453 | | | | |
| Commercial | | - | 18,609 | 138 | | - | | 18,747 | | | | |
| | Total mortgage-backed securities | | - | 148,589 | 202 | | - | | 148,791 | | | | |
Corporate debt securities | | 113 | 20,833 | 281 | | - | | 21,227 | | | | |
Collateralized loan and other debt obligations (4) | | - | 18,739 | 1,420 | -3 | - | | 20,159 | | | | |
Asset-backed securities: | | | | | | | | | | | | |
| Auto loans and leases | | - | 21 | 492 | -3 | - | | 513 | | | | |
| Home equity loans | | - | 843 | - | | - | | 843 | | | | |
| Other asset-backed securities | | - | 6,577 | 1,657 | -3 | - | | 8,234 | | | | |
| | Total asset-backed securities | | - | 7,441 | 2,149 | | - | | 9,590 | | | | |
Other debt securities | | - | 39 | - | | - | | 39 | | | | |
| | | Total debt securities | | 670 | 240,686 | 7,266 | | - | | 248,622 | | | | |
Marketable equity securities: | | | | | | | | | | | | |
| Perpetual preferred securities (5) | | 508 | 628 | 729 | -3 | - | | 1,865 | | | | |
| Other marketable equity securities | | 1,511 | 9 | - | | - | | 1,520 | | | | |
| | | Total marketable equity securities | | 2,019 | 637 | 729 | | - | | 3,385 | | | | |
| | | | Total available-for-sale securities | | 2,689 | 241,323 | 7,995 | | - | | 252,007 | | | | |
Mortgages held for sale | | - | 11,505 | 2,374 | | - | | 13,879 | | | | |
Loans held for sale | | - | 1 | - | | - | | 1 | | | | |
Loans | | - | 272 | 5,723 | | - | | 5,995 | | | | |
Mortgage servicing rights (residential) | | - | - | 15,580 | | - | | 15,580 | | | | |
Derivative assets: | | | | | | | | | | | | |
| Interest rate contracts | | 36 | 55,466 | 344 | | - | | 55,846 | | | | |
| Commodity contracts | | - | 2,667 | 6 | | - | | 2,673 | | | | |
| Equity contracts | | 1,522 | 4,221 | 2,081 | | - | | 7,824 | | | | |
| Foreign exchange contracts | | 44 | 4,789 | 10 | | - | | 4,843 | | | | |
| Credit contracts | | - | 782 | 719 | | - | | 1,501 | | | | |
| Other derivative contracts | | - | - | 13 | | - | | 13 | | | | |
| | Netting | | - | - | - | | -56,894 | -6 | -56,894 | | | | |
| | | Total derivative assets (7) | | 1,602 | 67,925 | 3,173 | | -56,894 | | 15,806 | | | | |
Other assets | | - | - | 1,503 | | - | | 1,503 | | | | |
| | | | | Total assets recorded at fair value | $ | 21,194 | 351,671 | 37,171 | | -56,894 | | 353,142 | | | | |
Derivative liabilities: | | | | | | | | | | | | |
| Interest rate contracts | $ | -26 | -56,128 | -384 | | - | | -56,538 | | | | |
| Commodity contracts | | - | -2,587 | -16 | | - | | -2,603 | | | | |
| Equity contracts | | -449 | -5,218 | -2,127 | | - | | -7,794 | | | | |
| Foreign exchange contracts | | -75 | -4,432 | -1 | | - | | -4,508 | | | | |
| Credit contracts | | - | -806 | -1,094 | | - | | -1,900 | | | | |
| Other derivative contracts | | - | - | -16 | | - | | -16 | | | | |
| | Netting | | - | - | - | | 63,739 | -6 | 63,739 | | | | |
| | | Total derivative liabilities (7) | | -550 | -69,171 | -3,638 | | 63,739 | | -9,620 | | | | |
Short sale liabilities: | | | | | | | | | | | | |
| Securities of U.S. Treasury and federal agencies | | -4,311 | -2,063 | - | | - | | -6,374 | | | | |
| Securities of U.S. states and political subdivisions | | - | -24 | - | | - | | -24 | | | | |
| Corporate debt securities | | - | -4,683 | - | | - | | -4,683 | | | | |
| Equity securities | | -1,788 | -48 | - | | - | | -1,836 | | | | |
| Other securities | | - | -95 | - | | - | | -95 | | | | |
| | Total short sale liabilities | | -6,099 | -6,913 | - | | - | | -13,012 | | | | |
Other liabilities (excluding derivatives) | | - | - | -39 | | - | | -39 | | | | |
| | | | | Total liabilities recorded at fair value | $ | -6,649 | -76,084 | -3,677 | | 63,739 | | -22,671 | | | | |
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Includes collateralized debt obligations of $2 million. |
Net gains from trading activities recognized in the income statement for the year ended December 31, 2013, include $(29) million in net unrealized losses on trading securities held at December 31, 2013. |
Balances consist of securities that are mostly investment grade based on ratings received from the ratings agencies or internal credit grades categorized as investment grade if external ratings are not available. The securities are classified as Level 3 due to limited market activity. |
Includes collateralized debt obligations of $693 million. |
Perpetual preferred securities include ARS and corporate preferred securities. See Note 7 (Securitizations and Variable Interest Entities) for additional information. |
Represents balance sheet netting of derivative asset and liability balances and related cash collateral. See Note 12 (Derivatives) for additional information. |
Derivative assets and derivative liabilities include contracts qualifying for hedge accounting, economic hedges, and derivatives included in trading assets and trading liabilities, respectively. |
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Changes in Fair Value Levels |
We monitor the availability of observable market data to assess the appropriate classification of financial instruments within the fair value hierarchy and transfer between Level 1, Level 2, and Level 3 accordingly. Observable market data includes but is not limited to quoted prices and market transactions. Changes in economic conditions or market liquidity generally will drive changes in availability of observable market data. Changes in availability of observable market data, which also may result in changing the valuation technique used, are generally the cause of transfers between Level 1, Level 2, and Level 3. |
Transfers into and out of Level 1, Level 2, and Level 3 for the periods presented are provided within the following table. The amounts reported as transfers represent the fair value as of the beginning of the quarter in which the transfer occurred. |
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| | | Transfers Between Fair Value Levels | | | | | | | | |
| | | Level 1 | | Level 2 | | Level 3 (1) | | | | | | | | |
(in millions) | | In | Out | | In | Out | | In | Out | Total | | | | | | | |
Quarter ended June 30, 2014 | | | | | | | | | | | | | | | | | |
Trading assets (excluding derivatives) | $ | - | - | | 38 | - | | - | -38 | - | | | | | | | |
Available-for-sale securities | | - | - | | 97 | -53 | | 53 | -97 | - | | | | | | | |
Mortgages held for sale | | - | - | | 98 | -139 | | 139 | -98 | - | | | | | | | |
Loans | | - | - | | - | -270 | | 270 | - | - | | | | | | | |
Net derivative assets and liabilities | | - | - | | -132 | 3 | | -3 | 132 | - | | | | | | | |
| Total transfers | $ | - | - | | 101 | -459 | | 459 | -101 | - | | | | | | | |
Quarter ended June 30, 2013 | | | | | | | | | | | | | | | | | |
Trading assets (excluding derivatives) | $ | - | -246 | | 266 | -1 | | 1 | -20 | - | | | | | | | |
Available-for-sale securities | | - | - | | 165 | - | | - | -165 | - | | | | | | | |
Mortgages held for sale | | - | - | | 46 | -81 | | 81 | -46 | - | | | | | | | |
Loans | | - | - | | 58 | - | | - | -58 | - | | | | | | | |
Net derivative assets and liabilities | | - | - | | 70 | - | | - | -70 | - | | | | | | | |
| Total transfers | $ | - | -246 | | 605 | -82 | | 82 | -359 | - | | | | | | | |
Six months ended June 30, 2014 | | | | | | | | | | | | | | | | | |
Trading assets (excluding derivatives) | $ | - | - | | 40 | -28 | | 28 | -40 | - | | | | | | | |
Available-for-sale securities | | - | -8 | | 105 | -148 | | 148 | -97 | - | | | | | | | |
Mortgages held for sale | | - | - | | 122 | -196 | | 196 | -122 | - | | | | | | | |
Loans | | - | - | | 49 | -270 | | 270 | -49 | - | | | | | | | |
Net derivative assets and liabilities | | - | - | | -87 | - | | - | 87 | - | | | | | | | |
| Total transfers | $ | - | -8 | | 229 | -642 | | 642 | -221 | - | | | | | | | |
Six months ended June 30, 2013 | | | | | | | | | | | | | | | | | |
Trading assets (excluding derivatives) (2) | $ | - | -246 | | 468 | -26 | | 26 | -222 | - | | | | | | | |
Available-for-sale securities (2) | | 17 | - | | 10,841 | -17 | | - | -10,841 | - | | | | | | | |
Mortgages held for sale | | - | - | | 139 | -178 | | 178 | -139 | - | | | | | | | |
Loans | | - | - | | 106 | - | | - | -106 | - | | | | | | | |
Net derivative assets and liabilities | | - | - | | 49 | - | | - | -49 | - | | | | | | | |
| Total transfers | $ | 17 | -246 | | 11,603 | -221 | | 204 | -11,357 | - | | | | | | | |
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All transfers in and out of Level 3 are disclosed within the recurring Level 3 rollforward table in this Note. |
For the first half of 2013, consists of $202 million of collateralized loan obligations classified as trading assets and $10.6 billion classified as available-for-sale securities that we transferred from Level 3 to Level 2 in first quarter 2013 as a result of increased observable market data in the valuation of such instruments. |
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The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2014, are summarized as follows: |
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| | | | | | | | | | | | | | | Net unrealized | | | |
| | | | | | | | | Total net gains | Purchases, | | | | gains (losses) | | | |
| | | | | | | | | (losses) included in | sales, | | | | included in | | | |
| | | | | | | | | | Other | issuances | | | | income related | | | |
| | | | | | | | Balance, | | compre- | and | Transfers | Transfers | Balance, | to assets and | | | |
| | | | | | | beginning | Net | hensive | settlements, | into | out of | end of | liabilities held | | | |
(in millions) | | | of period | income | income | net (1) | Level 3 | Level 3 | period | at period end | -2 | | |
Quarter ended June 30, 2014 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 40 | - | - | -1 | - | -31 | 8 | - | | | |
| Collateralized loan and other debt obligations | | 608 | 3 | - | -26 | - | -4 | 581 | -10 | | | |
| Corporate debt securities | | 86 | -4 | - | -20 | - | - | 62 | 1 | | | |
| Mortgage-backed securities | | 1 | - | - | - | - | - | 1 | - | | | |
| Asset-backed securities | | 97 | 12 | - | -15 | - | -3 | 91 | 12 | | | |
| Equity securities | | 13 | - | - | - | - | - | 13 | - | | | |
| | Total trading securities | | 845 | 11 | - | -62 | - | -38 | 756 | 3 | | | |
| Other trading assets | | 52 | -3 | - | - | - | - | 49 | -1 | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 897 | 8 | - | -62 | - | -38 | 805 | 2 | -3 | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | 3,099 | - | 7 | 107 | 53 | -97 | 3,169 | -2 | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | 41 | - | 1 | -1 | - | - | 41 | - | | | |
| | Commercial | | 141 | -2 | -3 | - | - | - | 136 | -1 | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | 182 | -2 | -2 | -1 | - | - | 177 | -1 | | | |
| Corporate debt securities | | 297 | 9 | -12 | -10 | - | - | 284 | - | | | |
| Collateralized loan and other debt obligations | | 1,420 | 27 | -8 | -113 | - | - | 1,326 | -2 | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 274 | - | -2 | - | - | - | 272 | - | | | |
| | Home equity loans | | - | - | - | - | - | - | - | - | | | |
| | Other asset-backed securities | | 1,280 | - | 1 | 14 | - | - | 1,295 | - | | | |
| | | Total asset-backed securities | | 1,554 | - | -1 | 14 | - | - | 1,567 | - | | | |
| | | | Total debt securities | | 6,552 | 34 | -16 | -3 | 53 | -97 | 6,523 | -5 | -4 | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | 708 | 1 | -6 | -3 | - | - | 700 | - | | | |
| | Other marketable equity securities | | - | 4 | - | -4 | - | - | - | - | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | 708 | 5 | -6 | -7 | - | - | 700 | - | -5 | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 7,260 | 39 | -22 | -10 | 53 | -97 | 7,223 | -5 | | | |
Mortgages held for sale | | 2,363 | 21 | - | -29 | 139 | -98 | 2,396 | 24 | -6 | | |
Loans | | 5,689 | 3 | - | -36 | 270 | - | 5,926 | 7 | -6 | | |
Mortgage servicing rights (residential) (7) | | 14,953 | -1,324 | - | 271 | - | - | 13,900 | -835 | -6 | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | 58 | 551 | - | -426 | - | - | 183 | 199 | | | |
| Commodity contracts | | -43 | 10 | - | -2 | - | 37 | 2 | - | | | |
| Equity contracts | | -24 | -3 | - | -115 | -3 | 95 | -50 | -50 | | | |
| Foreign exchange contracts | | 6 | 3 | - | -7 | - | - | 2 | -3 | | | |
| Credit contracts | | -268 | 2 | - | - | - | - | -266 | -14 | | | |
| Other derivative contracts | | -11 | -2 | - | - | - | - | -13 | - | | | |
| | Total derivative contracts | | -282 | 561 | - | -550 | -3 | 132 | -142 | 132 | -8 | | |
Other assets | | 2,040 | -30 | - | -5 | - | - | 2,005 | -2 | -3 | | |
Short sale liabilities | | -5 | -1 | - | 6 | - | - | - | - | -3 | | |
Other liabilities (excluding derivatives) | | -37 | -7 | - | -1 | - | - | -45 | - | -6 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
|
See next page for detail. |
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time. |
Included in net gains (losses) from trading activities and other noninterest income in the income statement. |
Included in net gains (losses) from debt securities in the income statement. |
Included in net gains (losses) from equity investments in the income statement. |
Included in mortgage banking and other noninterest income in the income statement. |
For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities). |
Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement. |
|
The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2014. |
|
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
(in millions) | | | Purchases | Sales | Issuances | Settlements | Net | | | | | | |
Quarter ended June 30, 2014 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 1 | -1 | - | -1 | -1 | | | | | | |
| Collateralized loan and other debt obligations | | 127 | -151 | - | -2 | -26 | | | | | | |
| Corporate debt securities | | 8 | -34 | - | 6 | -20 | | | | | | |
| Mortgage-backed securities | | - | - | - | - | - | | | | | | |
| Asset-backed securities | | 1 | -6 | - | -10 | -15 | | | | | | |
| Equity securities | | - | - | - | - | - | | | | | | |
| | Total trading securities | | 137 | -192 | - | -7 | -62 | | | | | | |
| Other trading assets | | 1 | -1 | - | - | - | | | | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 138 | -193 | - | -7 | -62 | | | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | - | - | 257 | -150 | 107 | | | | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | - | -1 | - | - | -1 | | | | | | |
| | Commercial | | - | - | - | - | - | | | | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | - | -1 | - | - | -1 | | | | | | |
| Corporate debt securities | | 7 | -8 | -1 | -8 | -10 | | | | | | |
| Collateralized loan and other debt obligations | | 9 | - | - | -122 | -113 | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | - | - | - | - | - | | | | | | |
| | Home equity loans | | - | - | - | - | - | | | | | | |
| | Other asset-backed securities | | 75 | - | 50 | -111 | 14 | | | | | | |
| | | Total asset-backed securities | | 75 | - | 50 | -111 | 14 | | | | | | |
| | | | Total debt securities | | 91 | -9 | 306 | -391 | -3 | | | | | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | - | - | - | -3 | -3 | | | | | | |
| | Other marketable equity securities | | - | -4 | - | - | -4 | | | | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | - | -4 | - | -3 | -7 | | | | | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 91 | -13 | 306 | -394 | -10 | | | | | | |
Mortgages held for sale | | 59 | - | - | -88 | -29 | | | | | | |
Loans | | 1 | - | 104 | -141 | -36 | | | | | | |
Mortgage servicing rights (residential) | | - | - | 271 | - | 271 | | | | | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | - | - | - | -426 | -426 | | | | | | |
| Commodity contracts | | - | - | - | -2 | -2 | | | | | | |
| Equity contracts | | - | -57 | - | -58 | -115 | | | | | | |
| Foreign exchange contracts | | - | - | - | -7 | -7 | | | | | | |
| Credit contracts | | 2 | 72 | - | -74 | - | | | | | | |
| Other derivative contracts | | - | - | - | - | - | | | | | | |
| | Total derivative contracts | | 2 | 15 | - | -567 | -550 | | | | | | |
Other assets | | 1 | -1 | - | -5 | -5 | | | | | | |
Short sale liabilities | | 11 | -5 | - | - | 6 | | | | | | |
Other liabilities (excluding derivatives) | | - | - | - | -1 | -1 | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2013, are summarized as follows: |
|
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net unrealized | | | |
| | | | | | | | | Total net gains | Purchases, | | | | gains (losses) | | | |
| | | | | | | | | (losses) included in | sales, | | | | included in | | | |
| | | | | | | | | | Other | issuances | | | | income related | | | |
| | | | | | | | Balance, | | compre- | and | Transfers | Transfers | Balance, | to assets and | | | |
| | | | | | | beginning | Net | hensive | settlements, | into | out of | end of | liabilities held | | | |
(in millions) | | | of period | income | income | net (1) | Level 3 | Level 3 | period | at period end | -2 | | |
Quarter ended June 30, 2013 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 36 | -1 | - | 5 | - | - | 40 | - | | | |
| Collateralized loan and other debt obligations | | 505 | 25 | - | -35 | - | - | 495 | -13 | | | |
| Corporate debt securities | | 29 | - | - | -16 | 1 | - | 14 | -1 | | | |
| Mortgage-backed securities | | 5 | 1 | - | 3 | - | - | 9 | - | | | |
| Asset-backed securities | | 143 | -3 | - | -11 | - | -20 | 109 | -10 | | | |
| Equity securities | | - | - | - | - | - | - | - | - | | | |
| | Total trading securities | | 718 | 22 | - | -54 | 1 | -20 | 667 | -24 | | | |
| Other trading assets | | 70 | -7 | - | - | - | - | 63 | -2 | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 788 | 15 | - | -54 | 1 | -20 | 730 | -26 | -3 | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | 3,529 | 2 | -58 | 451 | - | -165 | 3,759 | - | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | 95 | 1 | 5 | -3 | - | - | 98 | - | | | |
| | Commercial | | 192 | -4 | 9 | -3 | - | - | 194 | -3 | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | 287 | -3 | 14 | -6 | - | - | 292 | -3 | | | |
| Corporate debt securities | | 281 | 2 | -17 | -23 | - | - | 243 | - | | | |
| Collateralized loan and other debt obligations | | 2,938 | -3 | 22 | 270 | - | - | 3,227 | - | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 5,704 | - | -34 | -798 | - | - | 4,872 | - | | | |
| | Home equity loans | | - | - | - | - | - | - | - | - | | | |
| | Other asset-backed securities | | 3,436 | -4 | 5 | -489 | - | - | 2,948 | -7 | | | |
| | | Total asset-backed securities | | 9,140 | -4 | -29 | -1,287 | - | - | 7,820 | -7 | | | |
| | | | Total debt securities | | 16,175 | -6 | -68 | -595 | - | -165 | 15,341 | -10 | -4 | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | 807 | 2 | 2 | -23 | - | - | 788 | - | | | |
| | Other marketable equity securities | | - | - | - | - | - | - | - | - | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | 807 | 2 | 2 | -23 | - | - | 788 | - | -5 | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 16,982 | -4 | -66 | -618 | - | -165 | 16,129 | -10 | | | |
Mortgages held for sale | | 3,187 | 34 | - | -615 | 81 | -46 | 2,641 | -54 | -6 | | |
Loans | | 5,975 | -107 | - | 50 | - | -58 | 5,860 | -99 | -6 | | |
Mortgage servicing rights (residential) (7) | | 12,061 | 1,225 | - | 899 | - | - | 14,185 | 1,867 | -6 | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | 558 | -1,251 | - | 132 | - | - | -561 | -707 | | | |
| Commodity contracts | | -3 | -3 | - | -8 | - | 2 | -12 | 20 | | | |
| Equity contracts | | -129 | 10 | - | 218 | - | -72 | 27 | -3 | | | |
| Foreign exchange contracts | | -34 | -1 | - | 6 | - | - | -29 | 9 | | | |
| Credit contracts | | -1,025 | - | - | 226 | - | - | -799 | 30 | | | |
| Other derivative contracts | | -52 | 15 | - | 1 | - | - | -36 | - | | | |
| | Total derivative contracts | | -685 | -1,230 | - | 575 | - | -70 | -1,410 | -651 | -8 | | |
Other assets | | 348 | 38 | - | 345 | - | - | 731 | 16 | -3 | | |
Short sale liabilities | | -8 | - | - | 8 | - | - | - | - | -3 | | |
Other liabilities (excluding derivatives) | | -48 | 5 | - | - | - | - | -43 | 4 | -6 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
|
See next page for detail. |
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time. |
Included in net gains (losses) from trading activities and other noninterest income in the income statement. |
Included in net gains (losses) from debt securities in the income statement. |
Included in net gains (losses) from equity investments in the income statement. |
Included in mortgage banking and other noninterest income in the income statement. |
For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities). |
Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement. |
|
The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended June 30, 2013. |
|
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
(in millions) | | | Purchases | Sales | Issuances | Settlements | Net | | | | | | |
Quarter ended June 30, 2013 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 46 | -41 | - | - | 5 | | | | | | |
| Collateralized loan and other debt obligations | | 270 | -302 | - | -3 | -35 | | | | | | |
| Corporate debt securities | | 8 | -24 | - | - | -16 | | | | | | |
| Mortgage-backed securities | | 4 | -1 | - | - | 3 | | | | | | |
| Asset-backed securities | | 6 | -7 | - | -10 | -11 | | | | | | |
| Equity securities | | - | - | - | - | - | | | | | | |
| | Total trading securities | | 334 | -375 | - | -13 | -54 | | | | | | |
| Other trading assets | | - | - | - | - | - | | | | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 334 | -375 | - | -13 | -54 | | | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | - | - | 630 | -179 | 451 | | | | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | - | - | - | -3 | -3 | | | | | | |
| | Commercial | | - | - | - | -3 | -3 | | | | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | - | - | - | -6 | -6 | | | | | | |
| Corporate debt securities | | - | - | - | -23 | -23 | | | | | | |
| Collateralized loan and other debt obligations | | 371 | - | - | -101 | 270 | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 1 | - | 156 | -955 | -798 | | | | | | |
| | Home equity loans | | - | - | - | - | - | | | | | | |
| | Other asset-backed securities | | 11 | -2 | 306 | -804 | -489 | | | | | | |
| | | Total asset-backed securities | | 12 | -2 | 462 | -1,759 | -1,287 | | | | | | |
| | | | Total debt securities | | 383 | -2 | 1,092 | -2,068 | -595 | | | | | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | - | -20 | - | -3 | -23 | | | | | | |
| | Other marketable equity securities | | - | - | - | - | - | | | | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | - | -20 | - | -3 | -23 | | | | | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 383 | -22 | 1,092 | -2,071 | -618 | | | | | | |
Mortgages held for sale | | 101 | -572 | - | -144 | -615 | | | | | | |
Loans | | 21 | - | 115 | -86 | 50 | | | | | | |
Mortgage servicing rights (residential) | | - | -161 | 1,060 | - | 899 | | | | | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | - | 8 | - | 124 | 132 | | | | | | |
| Commodity contracts | | 1 | -1 | - | -8 | -8 | | | | | | |
| Equity contracts | | 170 | -142 | - | 190 | 218 | | | | | | |
| Foreign exchange contracts | | - | - | - | 6 | 6 | | | | | | |
| Credit contracts | | 8 | -2 | - | 220 | 226 | | | | | | |
| Other derivative contracts | | - | - | - | 1 | 1 | | | | | | |
| | Total derivative contracts | | 179 | -137 | - | 533 | 575 | | | | | | |
Other assets | | 360 | -1 | - | -14 | 345 | | | | | | |
Short sale liabilities | | 8 | - | - | - | 8 | | | | | | |
Other liabilities (excluding derivatives) | | - | - | -1 | 1 | - | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2014 are summarized as follows: |
|
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net unrealized | | | |
| | | | | | | | | Total net gains | Purchases, | | | | gains (losses) | | | |
| | | | | | | | | (losses) included in | sales, | | | | included in | | | |
| | | | | | | | | | Other | issuances | | | | income related | | | |
| | | | | | | | Balance, | | compre- | and | Transfers | Transfers | Balance, | to assets and | | | |
| | | | | | | beginning | Net | hensive | settlements, | into | out of | end of | liabilities held | | | |
(in millions) | | | of period | income | income | net (1) | Level 3 | Level 3 | period | at period end | -2 | | |
Six months ended June 30, 2014 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 39 | - | - | - | - | -31 | 8 | - | | | |
| Collateralized loan and other debt obligations | | 541 | 14 | - | 26 | 4 | -4 | 581 | -23 | | | |
| Corporate debt securities | | 53 | -3 | - | -11 | 24 | -1 | 62 | 1 | | | |
| Mortgage-backed securities | | 1 | - | - | - | - | - | 1 | - | | | |
| Asset-backed securities | | 122 | 26 | - | -53 | - | -4 | 91 | 26 | | | |
| Equity securities | | 13 | - | - | - | - | - | 13 | - | | | |
| | Total trading securities | | 769 | 37 | - | -38 | 28 | -40 | 756 | 4 | | | |
| Other trading assets | | 54 | -5 | - | - | - | - | 49 | - | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 823 | 32 | - | -38 | 28 | -40 | 805 | 4 | -3 | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | 3,214 | 9 | 9 | -25 | 59 | -97 | 3,169 | -2 | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | 64 | 10 | -2 | -31 | - | - | 41 | - | | | |
| | Commercial | | 138 | -1 | 8 | -9 | - | - | 136 | -1 | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | 202 | 9 | 6 | -40 | - | - | 177 | -1 | | | |
| Corporate debt securities | | 281 | 13 | -5 | -5 | - | - | 284 | - | | | |
| Collateralized loan and other debt obligations | | 1,420 | 70 | -21 | -143 | - | - | 1,326 | -2 | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 492 | - | -5 | -215 | - | - | 272 | - | | | |
| | Home equity loans | | - | - | - | - | - | - | - | - | | | |
| | Other asset-backed securities | | 1,657 | 1 | -3 | -449 | 89 | - | 1,295 | - | | | |
| | | Total asset-backed securities | | 2,149 | 1 | -8 | -664 | 89 | - | 1,567 | - | | | |
| | | | Total debt securities | | 7,266 | 102 | -19 | -877 | 148 | -97 | 6,523 | -5 | -4 | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | 729 | 4 | -10 | -23 | - | - | 700 | - | | | |
| | Other marketable equity securities | | - | 4 | - | -4 | - | - | - | - | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | 729 | 8 | -10 | -27 | - | - | 700 | - | -5 | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 7,995 | 110 | -29 | -904 | 148 | -97 | 7,223 | -5 | | | |
Mortgages held for sale | | 2,374 | 23 | - | -75 | 196 | -122 | 2,396 | 22 | -6 | | |
Loans | | 5,723 | 5 | - | -23 | 270 | -49 | 5,926 | 12 | -6 | | |
Mortgage servicing rights (residential) (7) | | 15,580 | -2,240 | - | 560 | - | - | 13,900 | -1,276 | -6 | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | -40 | 913 | - | -690 | - | - | 183 | 236 | | | |
| Commodity contracts | | -10 | -21 | - | -1 | -3 | 37 | 2 | - | | | |
| Equity contracts | | -46 | 19 | - | -76 | 3 | 50 | -50 | 64 | | | |
| Foreign exchange contracts | | 9 | 5 | - | -12 | - | - | 2 | -5 | | | |
| Credit contracts | | -375 | 13 | - | 96 | - | - | -266 | -14 | | | |
| Other derivative contracts | | -3 | -10 | - | - | - | - | -13 | - | | | |
| | Total derivative contracts | | -465 | 919 | - | -683 | - | 87 | -142 | 281 | -8 | | |
Other assets | | 1,503 | -93 | - | 595 | - | - | 2,005 | -7 | -3 | | |
Short sale liabilities | | - | -1 | - | 1 | - | - | - | - | -3 | | |
Other liabilities (excluding derivatives) | | -39 | -7 | - | 1 | - | - | -45 | -1 | -6 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
|
See next page for detail. |
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time. |
Included in net gains (losses) from trading activities and other noninterest income in the income statement. |
Included in net gains (losses) from debt securities in the income statement. |
Included in net gains (losses) from equity investments in the income statement. |
Included in mortgage banking and other noninterest income in the income statement. |
For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities). |
Included in mortgage banking, trading activities, equity investments and other noninterest income in the income statement. |
|
The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2014. |
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| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
(in millions) | | | Purchases | Sales | Issuances | Settlements | Net | | | | | | |
Six months ended June 30, 2014 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 6 | -5 | - | -1 | - | | | | | | |
| Collateralized loan and other debt obligations | | 451 | -421 | - | -4 | 26 | | | | | | |
| Corporate debt securities | | 23 | -40 | - | 6 | -11 | | | | | | |
| Mortgage-backed securities | | - | - | - | - | - | | | | | | |
| Asset-backed securities | | 11 | -44 | - | -20 | -53 | | | | | | |
| Equity securities | | - | - | - | - | - | | | | | | |
| | Total trading securities | | 491 | -510 | - | -19 | -38 | | | | | | |
| Other trading assets | | 1 | -1 | - | - | - | | | | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 492 | -511 | - | -19 | -38 | | | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | 73 | -55 | 268 | -311 | -25 | | | | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | - | -29 | - | -2 | -31 | | | | | | |
| | Commercial | | - | -8 | - | -1 | -9 | | | | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | - | -37 | - | -3 | -40 | | | | | | |
| Corporate debt securities | | 7 | -9 | 10 | -13 | -5 | | | | | | |
| Collateralized loan and other debt obligations | | 133 | -32 | - | -244 | -143 | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | - | - | - | -215 | -215 | | | | | | |
| | Home equity loans | | - | - | - | - | - | | | | | | |
| | Other asset-backed securities | | 87 | -12 | 114 | -638 | -449 | | | | | | |
| | | Total asset-backed securities | | 87 | -12 | 114 | -853 | -664 | | | | | | |
| | | | Total debt securities | | 300 | -145 | 392 | -1,424 | -877 | | | | | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | - | - | - | -23 | -23 | | | | | | |
| | Other marketable equity securities | | - | -4 | - | - | -4 | | | | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | - | -4 | - | -23 | -27 | | | | | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 300 | -149 | 392 | -1,447 | -904 | | | | | | |
Mortgages held for sale | | 106 | -21 | - | -160 | -75 | | | | | | |
Loans | | 2 | - | 206 | -231 | -23 | | | | | | |
Mortgage servicing rights (residential) | | - | - | 560 | - | 560 | | | | | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | - | - | - | -690 | -690 | | | | | | |
| Commodity contracts | | - | - | - | -1 | -1 | | | | | | |
| Equity contracts | | - | -115 | - | 39 | -76 | | | | | | |
| Foreign exchange contracts | | - | - | - | -12 | -12 | | | | | | |
| Credit contracts | | 2 | 72 | - | 22 | 96 | | | | | | |
| Other derivative contracts | | - | - | - | - | - | | | | | | |
| | Total derivative contracts | | 2 | -43 | - | -642 | -683 | | | | | | |
Other assets | | 609 | -1 | - | -13 | 595 | | | | | | |
Short sale liabilities | | 6 | -5 | - | - | 1 | | | | | | |
Other liabilities (excluding derivatives) | | - | - | - | 1 | 1 | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2013 are summarized as follows: |
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| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Net unrealized | | | |
| | | | | | | | | Total net gains | Purchases, | | | | gains (losses) | | | |
| | | | | | | | | (losses) included in | sales, | | | | included in | | | |
| | | | | | | | | | Other | issuances | | | | income related | | | |
| | | | | | | | Balance, | | compre- | and | Transfers | Transfers | Balance, | to assets and | | | |
| | | | | | | beginning | Net | hensive | settlements, | into | out of | end of | liabilities held | | | |
(in millions) | | | of period | income | income | net (1) | Level 3 | Level 3 | period | at period end | -2 | | |
Six months ended June 30, 2013 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 46 | 2 | - | -8 | - | - | 40 | - | | | |
| Collateralized loan and other debt obligations | | 742 | 64 | - | -109 | - | -202 | 495 | -11 | | | |
| Corporate debt securities | | 52 | 2 | - | -41 | 1 | - | 14 | - | | | |
| Mortgage-backed securities | | 6 | 1 | - | 2 | - | - | 9 | 1 | | | |
| Asset-backed securities | | 138 | 2 | - | -36 | 25 | -20 | 109 | -9 | | | |
| Equity securities | | 3 | - | - | -3 | - | - | - | - | | | |
| | Total trading securities | | 987 | 71 | - | -195 | 26 | -222 | 667 | -19 | | | |
| Other trading assets | | 76 | -13 | - | - | - | - | 63 | -4 | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 1,063 | 58 | - | -195 | 26 | -222 | 730 | -23 | -3 | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | 3,631 | 4 | -67 | 356 | - | -165 | 3,759 | - | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | 94 | -3 | 11 | -3 | - | -1 | 98 | - | | | |
| | Commercial | | 203 | -7 | 17 | -8 | - | -11 | 194 | -3 | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | 297 | -10 | 28 | -11 | - | -12 | 292 | -3 | | | |
| Corporate debt securities | | 274 | 4 | -9 | -23 | - | -3 | 243 | - | | | |
| Collateralized loan and other debt obligations | | 13,188 | -4 | 91 | 565 | - | -10,613 | 3,227 | - | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 5,921 | - | -25 | -1,024 | - | - | 4,872 | - | | | |
| | Home equity loans | | 51 | 3 | -1 | -5 | - | -48 | - | - | | | |
| | Other asset-backed securities | | 3,283 | 24 | - | -359 | - | - | 2,948 | -7 | | | |
| | | Total asset-backed securities | | 9,255 | 27 | -26 | -1,388 | - | -48 | 7,820 | -7 | | | |
| | | | Total debt securities | | 26,645 | 21 | 17 | -501 | - | -10,841 | 15,341 | -10 | -4 | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | 794 | 3 | 23 | -32 | - | - | 788 | - | | | |
| | Other marketable equity securities | | - | - | - | - | - | - | - | - | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | 794 | 3 | 23 | -32 | - | - | 788 | - | -5 | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 27,439 | 24 | 40 | -533 | - | -10,841 | 16,129 | -10 | | | |
Mortgages held for sale | | 3,250 | 27 | - | -675 | 178 | -139 | 2,641 | -62 | -6 | | |
Loans | | 6,021 | -154 | - | 99 | - | -106 | 5,860 | -137 | -6 | | |
Mortgage servicing rights (residential) (7) | | 11,538 | 1,236 | - | 1,411 | - | - | 14,185 | 2,628 | -6 | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | 659 | -983 | - | -237 | - | - | -561 | -710 | | | |
| Commodity contracts | | 21 | 7 | - | -31 | - | -9 | -12 | 26 | | | |
| Equity contracts | | -122 | -29 | - | 218 | - | -40 | 27 | -31 | | | |
| Foreign exchange contracts | | 21 | -54 | - | 4 | - | - | -29 | -46 | | | |
| Credit contracts | | -1,150 | -13 | - | 364 | - | - | -799 | 37 | | | |
| Other derivative contracts | | -78 | 41 | - | 1 | - | - | -36 | - | | | |
| | Total derivative contracts | | -649 | -1,031 | - | 319 | - | -49 | -1,410 | -724 | -8 | | |
Other assets | | 162 | 36 | - | 533 | - | - | 731 | 39 | -3 | | |
Short sale liabilities | | - | - | - | - | - | - | - | - | -3 | | |
Other liabilities (excluding derivatives) | | -49 | 6 | - | - | - | - | -43 | 4 | -6 | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
|
See next page for detail. |
Represents only net gains (losses) that are due to changes in economic conditions and management's estimates of fair value and excludes changes due to the collection/realization of cash flows over time. |
Included in net gains (losses) from trading activities and other noninterest income in the income statement. |
Included in net gains (losses) from debt securities in the income statement. |
Included in net gains (losses) from equity investments in the income statement. |
Included in mortgage banking and other noninterest income in the income statement. |
For more information on the changes in mortgage servicing rights, see Note 8 (Mortgage Banking Activities). |
Included in mortgage banking, trading activities and other noninterest income in the income statement. |
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|
|
|
The following table presents gross purchases, sales, issuances and settlements related to the changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the first half of 2013. |
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| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
(in millions) | | | Purchases | Sales | Issuances | Settlements | Net | | | | | | |
Six months ended June 30, 2013 | | | | | | | | | | | | |
Trading assets | | | | | | | | | | | | |
| (excluding derivatives): | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | $ | 123 | -131 | - | - | -8 | | | | | | |
| Collateralized loan and other debt obligations | | 519 | -625 | - | -3 | -109 | | | | | | |
| Corporate debt securities | | 66 | -107 | - | - | -41 | | | | | | |
| Mortgage-backed securities | | 4 | -2 | - | - | 2 | | | | | | |
| Asset-backed securities | | 12 | -27 | - | -21 | -36 | | | | | | |
| Equity securities | | - | -3 | - | - | -3 | | | | | | |
| | Total trading securities | | 724 | -895 | - | -24 | -195 | | | | | | |
| Other trading assets | | - | - | - | - | - | | | | | | |
| | | Total trading assets | | | | | | | | | | | | |
| | | | (excluding derivatives) | | 724 | -895 | - | -24 | -195 | | | | | | |
Available-for-sale securities: | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | |
| | political subdivisions | | - | -67 | 705 | -282 | 356 | | | | | | |
| Mortgage-backed securities: | | | | | | | | | | | | |
| | Residential | | - | - | - | -3 | -3 | | | | | | |
| | Commercial | | - | -1 | - | -7 | -8 | | | | | | |
| | | Total mortgage-backed | | | | | | | | | | | | |
| | | | securities | | - | -1 | - | -10 | -11 | | | | | | |
| Corporate debt securities | | - | - | - | -23 | -23 | | | | | | |
| Collateralized loan and other debt obligations | | 773 | -14 | - | -194 | 565 | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | |
| | Auto loans and leases | | 352 | - | 304 | -1,680 | -1,024 | | | | | | |
| | Home equity loans | | - | -5 | - | - | -5 | | | | | | |
| | Other asset-backed securities | | 522 | -36 | 608 | -1,453 | -359 | | | | | | |
| | | Total asset-backed securities | | 874 | -41 | 912 | -3,133 | -1,388 | | | | | | |
| | | | Total debt securities | | 1,647 | -123 | 1,617 | -3,642 | -501 | | | | | | |
| Marketable equity securities: | | | | | | | | | | | | |
| | Perpetual preferred securities | | - | -20 | - | -12 | -32 | | | | | | |
| | Other marketable equity securities | | - | - | - | - | - | | | | | | |
| | | | Total marketable | | | | | | | | | | | | |
| | | | | equity securities | | - | -20 | - | -12 | -32 | | | | | | |
| | | | | Total available-for-sale | | | | | | | | | | | | |
| | | | | | securities | | 1,647 | -143 | 1,617 | -3,654 | -533 | | | | | | |
Mortgages held for sale | | 203 | -572 | - | -306 | -675 | | | | | | |
Loans | | 22 | - | 232 | -155 | 99 | | | | | | |
Mortgage servicing rights (residential) | | - | -584 | 1,995 | - | 1,411 | | | | | | |
Net derivative assets and liabilities: | | | | | | | | | | | | |
| Interest rate contracts | | - | 9 | - | -246 | -237 | | | | | | |
| Commodity contracts | | 2 | -2 | - | -31 | -31 | | | | | | |
| Equity contracts | | 269 | -209 | - | 158 | 218 | | | | | | |
| Foreign exchange contracts | | - | - | - | 4 | 4 | | | | | | |
| Credit contracts | | 5 | -1 | - | 360 | 364 | | | | | | |
| Other derivative contracts | | - | - | - | 1 | 1 | | | | | | |
| | Total derivative contracts | | 276 | -203 | - | 246 | 319 | | | | | | |
Other assets | | 557 | -1 | - | -23 | 533 | | | | | | |
Short sale liabilities | | 8 | -8 | - | - | - | | | | | | |
Other liabilities (excluding derivatives) | | - | - | -4 | 4 | - | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
The following table provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities measured at fair value on a recurring basis for which we use an internal model. |
The significant unobservable inputs for Level 3 assets and liabilities that are valued using fair values obtained from third party vendors are not included in the table, as the specific inputs applied are not provided by the vendor. In addition, the table excludes the valuation techniques and significant unobservable inputs for certain classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 assets and liabilities. We made this determination based upon an evaluation of each class which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs. For information on how changes in significant unobservable inputs affect the fair values of Level 3 assets and liabilities, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2013 Form 10-K. |
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| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | Fair Value | | | Significant | Range of | | Weighted | | | | |
($ in millions, except cost to service amounts) | Level 3 | | Valuation Technique(s) | Unobservable Input | Inputs | Average (1) | | | | |
30-Jun-14 | | | | | | | | | | | | | | |
Trading and available-for-sale securities: | | | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | | | |
| political subdivisions: | | | | | | | | | | | | | | |
| | Government, healthcare and | | | | | | | | | | | | | | |
| | | other revenue bonds | $ | 2,717 | | Discounted cash flow | Discount rate | 0.3 | - | 5.7 | % | 1.4 | | | | |
| | | | | | 89 | | Vendor priced | | | | | | | | | | |
| | Auction rate securities and other municipal bonds | | 371 | | Discounted cash flow | Discount rate | 1.4 | - | 9.5 | | 4 | | | | |
| | | | | | | | Weighted average life | 1.9 | - | 14 | yrs | 3.6 | | | | |
| Collateralized loan and other debt obligations (2) | 746 | | Market comparable pricing | Comparability adjustment | -24.5 | - | 25 | % | 3.4 | | | | |
| | | | 1,161 | | Vendor priced | | | | | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | | | |
| | Auto loans and leases | | 272 | | Discounted cash flow | Discount rate | 0.7 | - | 0.7 | | 0.7 | | | | |
| | Other asset-backed securities: | | | | | | | | | | | | | | |
| | | Diversified payment rights (3) | | 737 | | Discounted cash flow | Discount rate | 0.8 | - | 5.2 | | 2.5 | | | | |
| | | Other commercial and consumer | | 580 | -4 | Discounted cash flow | Discount rate | 0.2 | - | 21.4 | | 5 | | | | |
| | | | | | | | | Weighted average life | 1 | - | 15.3 | yrs | 3.8 | | | | |
| | | | | | 69 | | Vendor priced | | | | | | | | | | |
| Marketable equity securities: perpetual | | | | | | | | | | | | | | |
| preferred | | 700 | -5 | Discounted cash flow | Discount rate | 4.6 | - | 7.6 | % | 5.4 | | | | |
| | | | | | | | Weighted average life | 1 | - | 15 | yrs | 10 | | | | |
Mortgages held for sale (residential) | | 2,396 | | Discounted cash flow | Default rate | 0.5 | - | 14 | % | 2.7 | | | | |
| | | | | | | | | Discount rate | 3.5 | - | 7.9 | | 5.4 | | | | |
| | | | | | | | | Loss severity | 0.7 | - | 27.4 | | 20.1 | | | | |
| | | | | | | | | Prepayment rate | 2 | - | 13.6 | | 6.9 | | | | |
Loans | | 5,926 | -6 | Discounted cash flow | Discount rate | 2.7 | - | 3.7 | | 3.3 | | | | |
| | | | | | | | | Prepayment rate | 0.6 | - | 33.2 | | 4.9 | | | | |
| | | | | | | | | Utilization rate | 0 | - | 2 | | 0.8 | | | | |
Mortgage servicing rights (residential) | | 13,900 | | Discounted cash flow | Cost to service per loan (7) | $87 | - | 729 | | 184 | | | | |
| | | | | | | | | Discount rate | 5.3 | - | 11.5 | % | 7.7 | | | | |
| | | | | | | | | Prepayment rate (8) | 8.1 | - | 21.8 | | 12.1 | | | | |
Net derivative assets and (liabilities): | | | | | | | | | | | | | | |
| Interest rate contracts | | 59 | | Discounted cash flow | Default rate | 0.1 | - | 8.2 | | 1.7 | | | | |
| | | | | | | | | Loss severity | 36 | - | 50 | | 50 | | | | |
| | | | | | | | | Prepayment rate | 14 | - | 14 | | 14 | | | | |
| Interest rate contracts: derivative loan | | | | | | | | | | | | | | |
| | commitments | | 124 | | Discounted cash flow | Fall-out factor | 1 | - | 99 | | 26.9 | | | | |
| | | | | | | Initial-value servicing | -39.9 | - | 88.5 | bps | 30 | | | | |
| Equity contracts | | 210 | | Discounted cash flow | Conversion factor | -19 | - | 0 | % | -14.4 | | | | |
| | | | | | | | | Weighted average life | 0.8 | - | 2.8 | yrs | 1.5 | | | | |
| | | | | | -260 | | Option model | Correlation factor | -5.3 | - | 92 | % | 71.5 | | | | |
| | | | | | | | | Volatility factor | 8.1 | - | 69 | | 24 | | | | |
| Credit contracts | | -270 | | Market comparable pricing | Comparability adjustment | -33.8 | - | 30.7 | | 4.2 | | | | |
| | | | | | 4 | | Option model | Credit spread | 0 | - | 11.8 | | 0.5 | | | | |
| | | | | | Loss severity | 10.5 | - | 72.5 | | 46.4 | | | | |
| | | | | | | | | | | | | | | | | | |
Other assets: nonmarketable equity investments | | 1,902 | | Market comparable pricing | Comparability adjustment | -29.7 | - | -7.1 | | -22.6 | | | | |
| | | | | | | | | | | | | | | | | | |
Insignificant Level 3 assets, | | | | | | | | | | | | | | |
| net of liabilities | | 635 | -9 | | | | | | | | | | | |
| | Total level 3 assets, net of liabilities | $ | 32,068 | -10 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
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Weighted averages are calculated using outstanding unpaid principal balance for cash instruments such as loans and securities, and notional amounts for derivative instruments. |
Includes $581 million of collateralized debt obligations. |
Securities backed by specified sources of current and future receivables generated from foreign originators. |
Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain. |
Consists of auction rate preferred equity securities with no maturity date that are callable by the issuer. |
Consists predominantly of reverse mortgage loans securitized with GNMA which were accounted for as secured borrowing transactions. |
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $87 - $269. |
Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior. |
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, other marketable equity securities, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts and other derivative contracts. |
Consists of total Level 3 assets of $34.9 billion and total Level 3 liabilities of $2.8 billion, before netting of derivative balances. |
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| | | | | Fair Value | | | Significant | Range of | | Weighted | | | | |
($ in millions, except cost to service amounts) | Level 3 | | Valuation Technique(s) | Unobservable Input | Inputs | | Average (1) | | | | |
31-Dec-13 | | | | | | | | | | | | | | |
Trading and available-for-sale securities: | | | | | | | | | | | | | | |
| Securities of U.S. states and | | | | | | | | | | | | | | |
| political subdivisions: | | | | | | | | | | | | | | |
| | Government, healthcare and | | | | | | | | | | | | | | |
| | | other revenue bonds | $ | 2,739 | | Discounted cash flow | Discount rate | 0.4 | - | 6.4 | % | 1.4 | | | | |
| | | | | | 63 | | Vendor priced | | | | | | | | | | |
| | Auction rate securities and other municipal | | | | | | | | | | | | | | |
| | bonds | | 451 | | Discounted cash flow | Discount rate | 0.4 | - | 12.3 | | 4.6 | | | | |
| | | | | | | | Weighted average life | 1.4 | - | 13 | yrs | 4.4 | | | | |
| Collateralized loan and other debt obligations(2) | | 612 | | Market comparable pricing | Comparability adjustment | -12 | - | 23.3 | % | 8.5 | | | | |
| | | | 1,349 | | Vendor priced | | | | | | | | | | |
| Asset-backed securities: | | | | | | | | | | | | | | |
| | Auto loans and leases | | 492 | | Discounted cash flow | Discount rate | 0.6 | - | 0.9 | | 0.8 | | | | |
| | | | | | | | | Weighted average life | 1.4 | - | 1.6 | yrs | 1.5 | | | | |
| | Other asset-backed securities: | | | | | | | | | | | | | | |
| | | Diversified payment rights(3) | | 757 | | Discounted cash flow | Discount rate | 1.4 | - | 4.7 | % | 3 | | | | |
| | | Other commercial and consumer | | 944 | -4 | Discounted cash flow | Discount rate | 0.6 | - | 21.2 | | 4 | | | | |
| | | | | | | | | Weighted average life | 0.6 | - | 7.6 | yrs | 2.2 | | | | |
| | | | | | 78 | | Vendor priced | | | | | | | | | | |
| Marketable equity securities: perpetual | | | | | | | | | | | | | | |
| | preferred | | 729 | -5 | Discounted cash flow | Discount rate | 4.8 | - | 8.3 | % | 7.4 | | | | |
| | | | | | | | Weighted average life | 1 | - | 15 | yrs | 12.2 | | | | |
Mortgages held for sale (residential) | | 2,374 | | Discounted cash flow | Default rate | 0.6 | - | 12.4 | % | 2.8 | | | | |
| | | | | | | | | Discount rate | 3.8 | - | 7.9 | | 5.5 | | | | |
| | | | | | | | | Loss severity | 1.3 | - | 32.5 | | 21.5 | | | | |
| | | | | | | | | Prepayment rate | 2 | - | 9.9 | | 5.4 | | | | |
Loans | | 5,723 | -6 | Discounted cash flow | Discount rate | 2.4 | - | 3.9 | | 3.3 | | | | |
| | | | | | | | | Prepayment rate | 3.3 | - | 37.8 | | 12.2 | | | | |
| | | | | | | | | Utilization rate | 0 | - | 2 | | 0.8 | | | | |
Mortgage servicing rights (residential) | | 15,580 | | Discounted cash flow | Cost to service per loan (7) | $86 | - | 773 | | 191 | | | | |
| | | | | | | | | Discount rate | 5.4 | - | 11.2 | % | 7.8 | | | | |
| | | | | | | | | Prepayment rate (8) | 7.5 | - | 19.4 | | 10.7 | | | | |
Net derivative assets and (liabilities): | | | | | | | | | | | | | | |
| Interest rate contracts | | -14 | | Discounted cash flow | Default rate | 0 | - | 16.5 | | 5 | | | | |
| | | | | | | | | Loss severity | 44.9 | - | 50 | | 50 | | | | |
| | | | | | | | | Prepayment rate | 11.1 | - | 15.6 | | 15.6 | | | | |
| Interest rate contracts: derivative loan | | | | | | | | | | | | | | |
| | commitments | | -26 | | Discounted cash flow | Fall-out factor | 1 | - | 99 | | 21.8 | | | | |
| | | | | | | Initial-value servicing | -21.5 | - | 81.6 | bps | 32.6 | | | | |
| Equity contracts | | 199 | | Discounted cash flow | Conversion factor | -18.4 | - | 0 | % | -14.1 | | | | |
| | | | | | | | | Weighted average life | 0.3 | - | 3.3 | yrs | 1.8 | | | | |
| | | -245 | | Option model | Correlation factor | -5.3 | - | 87.6 | % | 72.2 | | | | |
| | | | | | | | | Volatility factor | 6.8 | - | 81.2 | | 25.4 | | | | |
| Credit contracts | | -378 | | Market comparable pricing | Comparability adjustment | -31.3 | - | 30.4 | | -0.1 | | | | |
| | | | | | 3 | | Option model | Credit spread | 0 | - | 12.2 | | 0.7 | | | | |
| | | | | | | | | Loss severity | 10.5 | - | 72.5 | | 47.4 | | | | |
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Other assets: nonmarketable equity investments | | 1,386 | | Market comparable pricing | Comparability adjustment | -30.6 | - | -5.4 | | -21.9 | | | | |
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Insignificant Level 3 assets, | | | | | | | | | | | | | | |
| net of liabilities | | 678 | -9 | | | | | | | | | | | |
| | Total level 3 assets, net of liabilities | $ | 33,494 | -10 | | | | | | | | | | | |
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Weighted averages are calculated using outstanding unpaid principal balance for cash instruments such as loans and securities, and notional amounts for derivative instruments. |
Includes $695 million of collateralized debt obligations. |
Securities backed by specified sources of current and future receivables generated from foreign originators. |
Consists primarily of investments in asset-backed securities that are revolving in nature, in which the timing of advances and repayments of principal are uncertain. |
Consists of auction rate preferred equity securities with no maturity date that are callable by the issuer. |
Consists predominantly of reverse mortgage loans securitized with GNMA which were accounted for as secured borrowing transactions. |
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $86 - $302. |
Includes a blend of prepayment speeds and expected defaults. Prepayment speeds are influenced by mortgage interest rates as well as our estimation of drivers of borrower behavior. |
Represents the aggregate amount of Level 3 assets and liabilities measured at fair value on a recurring basis that are individually and in the aggregate insignificant. The amount includes corporate debt securities, mortgage-backed securities, asset-backed securities backed by home equity loans, other marketable equity securities, other assets, other liabilities and certain net derivative assets and liabilities, such as commodity contracts, foreign exchange contracts and other derivative contracts. |
Consists of total Level 3 assets of $37.2 billion and total Level 3 liabilities of $3.7 billion, before netting of derivative balances. |
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The valuation techniques used for our Level 3 assets and liabilities, as presented in the previous table, are described as follows: |
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Discounted cash flow - Discounted cash flow valuation techniques generally consist of developing an estimate of future cash flows that are expected to occur over the life of an instrument and then discounting those cash flows at a rate of return that results in the fair value amount. |
Option model - Option model valuation techniques are generally used for instruments in which the holder has a contingent right or obligation based on the occurrence of a future event, such as the price of a referenced asset going above or below a predetermined strike price. Option models estimate the likelihood of the specified event occurring by incorporating assumptions such as volatility estimates, price of the underlying instrument and expected rate of return. |
Market comparable pricing - Market comparable pricing valuation techniques are used to determine the fair value of certain instruments by incorporating known inputs, such as recent transaction prices, pending transactions, or prices of other similar investments that require significant adjustment to reflect differences in instrument characteristics. |
Vendor-priced – Prices obtained from third party pricing vendors or brokers that are used to record the fair value of the asset or liability, of which the related valuation technique and significant unobservable inputs are not provided. |
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Significant unobservable inputs presented in the previous table are those we consider significant to the fair value of the Level 3 asset or liability. We consider unobservable inputs to be significant, if by their exclusion, the fair value of the Level 3 asset or liability would be impacted by a predetermined percentage change or based on qualitative factors, such as nature of the instrument, type of valuation technique used, and the significance of the unobservable inputs relative to other inputs used within the valuation. Following is a description of the significant unobservable inputs provided in the table. |
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Comparability adjustment – is an adjustment made to observed market data, such as a transaction price in order to reflect dissimilarities in underlying collateral, issuer, rating, or other factors used within a market valuation approach, expressed as a percentage of an observed price. |
Conversion Factor – is the risk-adjusted rate in which a particular instrument may be exchanged for another instrument upon settlement, expressed as a percentage change from a specified rate. |
Correlation factor - is the likelihood of one instrument changing in price relative to another based on an established relationship expressed as a percentage of relative change in price over a period over time. |
Cost to service - is the expected cost per loan of servicing a portfolio of loans, which includes estimates for unreimbursed expenses (including delinquency and foreclosure costs) that may occur as a result of servicing such loan portfolios. |
Credit spread – is the portion of the interest rate in excess of a benchmark interest rate, such as OIS, LIBOR or U.S. Treasury rates, that when applied to an investment captures changes in the obligor's creditworthiness. |
Default rate – is an estimate of the likelihood of not collecting contractual amounts owed expressed as a constant default rate (CDR). |
Discount rate – is a rate of return used to present value the future expected cash flow to arrive at the fair value of an instrument. The discount rate consists of a benchmark rate component and a risk premium component. The benchmark rate component, for example, OIS, LIBOR or U.S. Treasury rates, is generally observable within the market and is necessary to appropriately reflect the time value of money. The risk premium component reflects the amount of compensation market participants require due to the uncertainty inherent in the instruments' cash flows resulting from risks such as credit and liquidity. |
Fall-out factor - is the expected percentage of loans associated with our interest rate lock commitment portfolio that are likely of not funding. |
Initial-value servicing - is the estimated value of the underlying loan, including the value attributable to the embedded servicing right, expressed in basis points of outstanding unpaid principal balance. |
Loss severity – is the percentage of contractual cash flows lost in the event of a default. |
Prepayment rate – is the estimated rate at which forecasted prepayments of principal of the related loan or debt instrument are expected to occur, expressed as a constant prepayment rate (CPR). |
Utilization rate – is the estimated rate in which incremental portions of existing reverse mortgage credit lines are expected to be drawn by borrowers, expressed as an annualized rate. |
Volatility factor – is the extent of change in price an item is estimated to fluctuate over a specified period of time expressed as a percentage of relative change in price over a period over time. |
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Weighted average life – is the weighted average number of years an investment is expected to remain outstanding based on its expected cash flows reflecting the estimated date the issuer will call or extend the maturity of the instrument or otherwise reflecting an estimate of the timing of an instrument's cash flows whose timing is not contractually fixed. |
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Assets and Liabilities Recorded at Fair Value on a Nonrecurring Basis |
We may be required, from time to time, to measure certain assets at fair value on a nonrecurring basis in accordance with GAAP. These adjustments to fair value usually result from application of LOCOM accounting or write-downs of individual assets. The following table provides the fair value hierarchy and carrying amount of all assets that were still held as of June 30, 2014, and December 31, 2013, and for which a nonrecurring fair value adjustment was recorded during the periods presented. |
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| | | | | | | | 30-Jun-14 | | 31-Dec-13 | | |
(in millions) | | | Level 1 | Level 2 | Level 3 | Total | | Level 1 | Level 2 | Level 3 | Total | | |
Mortgages held for sale (LOCOM) (1) | $ | - | 2,328 | 1,327 | 3,655 | | - | 1,126 | 893 | 2,019 | | |
Loans held for sale | | - | 10 | - | 10 | | - | 14 | - | 14 | | |
Loans: | | | | | | | | | | | | |
| Commercial | | - | 190 | - | 190 | | - | 414 | - | 414 | | |
| Consumer | | - | 1,375 | 5 | 1,380 | | - | 3,690 | 7 | 3,697 | | |
| | Total loans (2) | | - | 1,565 | 5 | 1,570 | | - | 4,104 | 7 | 4,111 | | |
Other assets (3) | | - | 293 | 464 | 757 | | - | 445 | 740 | 1,185 | | |
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Predominantly real estate 1-4 family first mortgage loans. |
Represents carrying value of loans for which adjustments are based on the appraised value of the collateral. |
Includes the fair value of foreclosed real estate, other collateral owned and nonmarketable equity investments. |
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The following table presents the increase (decrease) in value of certain assets for which a nonrecurring fair value adjustment has been recognized during the periods presented. |
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| | | | | | | Six months ended June 30, | | | | | | | | |
(in millions) | | 2014 | | 2013 | | | | | | | | |
Mortgages held for sale (LOCOM) | $ | 57 | | -23 | | | | | | | | |
Loans: | | | | | | | | | | | | |
| Commercial | | -72 | | -195 | | | | | | | | |
| Consumer (1) | | -781 | | -1,380 | | | | | | | | |
| | Total loans | | -853 | | -1,575 | | | | | | | | |
Other assets (2) | | -205 | | -151 | | | | | | | | |
| | | Total | $ | -1,001 | | -1,749 | | | | | | | | |
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Represents write-downs of loans based on the appraised value of the collateral. |
Includes the losses on foreclosed real estate and other collateral owned that were measured at fair value subsequent to their initial classification as foreclosed assets. Also includes impairment losses on nonmarketable equity investments. |
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The table below provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of substantially all of our Level 3 assets and liabilities measured at fair value on a nonrecurring basis for which we use an internal model. |
We have excluded from the table classes of Level 3 assets and liabilities measured using an internal model that we consider, both individually and in the aggregate, insignificant relative to our overall Level 3 nonrecurring measurements. We made this determination based upon an evaluation of each class which considered the magnitude of the positions, nature of the unobservable inputs and potential for significant changes in fair value due to changes in those inputs. |
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| | | | | | | Fair Value | | | Significant | | Range | | Weighted | |
($ in millions) | | Level 3 | | Valuation Technique(s) (1) | Unobservable Inputs (1) | | of inputs | | Average (2) | |
30-Jun-14 | | | | | | | | | | | | |
Residential mortgages | | | | | | | | | | | | |
| held for sale (LOCOM) | $ | 1,327 | -3 | Discounted cash flow | Default rate | -5 | 0.9 | - | 4 | % | 1.9 | % |
| | | | | | | | | | | Discount rate | | 0 | - | 11.7 | | 11.5 | |
| | | | | | | | | | | Loss severity | | 1.7 | - | 36.3 | | 4.4 | |
| | | | | | | | | | | Prepayment rate | -6 | 2 | - | 100 | | 56.3 | |
Other assets: private equity | | | | | | | | | | | | |
| fund investments (4) | | 203 | | Market comparable pricing | Comparability adjustment | | 6 | - | 6 | | 6 | |
Insignificant level 3 assets | | 266 | | | | | | | | | | |
| Total | | | | 1,796 | | | | | | | | | | |
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31-Dec-13 | | | | | | | | | | | | |
Residential mortgages | | | | | | | | | | | | |
| held for sale (LOCOM) | $ | 893 | -3 | Discounted cash flow | Default rate | -5 | 1.2 | - | 4.4 | % | 2.7 | % |
| | | | | | Discount rate | | 4.3 | - | 12 | | 10.9 | |
| | | | | | | | | | | Loss severity | | 1.6 | - | 48.2 | | 5.2 | |
| | | | | | | | | | | Prepayment rate | -6 | 2 | - | 100 | | 67.2 | |
Other assets: private equity | | | | | | | | | | | | |
| fund investments (4) | | 505 | | Market comparable pricing | Comparability adjustment | | 4.6 | - | 4.6 | | 4.6 | |
Insignificant level 3 assets | | 242 | | | | | | | | | | |
| Total | | | | 1,640 | | | | | | | | | | |
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Refer to the narrative following the recurring quantitative Level 3 table of this Note for a definition of the valuation technique(s) and significant unobservable inputs. |
For residential MHFS, weighted averages are calculated using outstanding unpaid principal balance of the loans. |
Consists of approximately $1.2 billion and $825 million government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitizations, at June 30, 2014 and December 31, 2013, respectively and $82 million and $68 million of other mortgage loans which are not government insured/guaranteed at June 30, 2014 and December 31, 2013, respectively. |
Represents a single investment. For additional information, see the “Alternative Investments” section in this Note. |
Applies only to non-government insured/guaranteed loans. |
Includes the impact on prepayment rate of expected defaults for the government insured/guaranteed loans, which affects the frequency and timing of early resolution of loans. |
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Alternative Investments |
The following table summarizes our investments in various types of funds for which we use net asset values (NAVs) per share as a practical expedient to measure fair value on recurring and nonrecurring bases. The investments are included in trading assets, available-for-sale securities, and other assets. The table excludes those investments that are probable of being sold at an amount different from the funds' NAVs. |
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| | | | | | | | | | | Redemption | | | | | | | |
| | | | | | | | Fair | Unfunded | Redemption | notice | | | | | | | |
(in millions) | | value | commitments | frequency | period | | | | | | | |
30-Jun-14 | | | | | | | | | | | | |
Offshore funds | $ | 172 | - | Daily - Quarterly | 1 - 180 days | | | | | | | |
Hedge funds | | 1 | - | Monthly - Quarterly | 45-90 days | | | | | | | |
Private equity funds (1)(2) | | 1,451 | 275 | N/A | N/A | | | | | | | |
Venture capital funds (2) | | 86 | 12 | N/A | N/A | | | | | | | |
| Total (3) | $ | 1,710 | 287 | | | | | | | | | |
31-Dec-13 | | | | | | | | | | | | |
Offshore funds | $ | 308 | - | Daily - Quarterly | 1 - 180 days | | | | | | | |
Hedge funds | | 2 | - | Monthly - Semi Annually | 5 - 95 days | | | | | | | |
Private equity funds (1)(2) | | 1,496 | 316 | N/A | N/A | | | | | | | |
Venture capital funds (2) | | 63 | 14 | N/A | N/A | | | | | | | |
| Total (3) | $ | 1,869 | 330 | | | | | | | | | |
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N/A - Not applicable |
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Excludes a private equity fund investment of $203 million and $505 million at June 30, 2014, and December 31, 2013, respectively, for which we recorded nonrecurring fair value adjustments during the periods then ended. This investment is probable of being sold for an amount different from the fund's NAV; therefore, the investment's fair value has been estimated using recent transaction information. This investment is subject to the Volcker Rule, which includes provisions that restrict banking entities from owning interests in certain types of funds. |
Includes certain investments subject to the Volcker Rule that we may have to divest. |
June 30, 2014, and December 31, 2013, include $1.6 billion and 1.5 billion, respectively, of fair value for nonmarketable equity investments carried at cost for which we use NAVs as a practical expedient to determine nonrecurring fair value adjustments. The fair values of investments that had nonrecurring fair value adjustments were $72 million and $88 million at June 30, 2014, and December 31, 2013, respectively. |
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Offshore funds primarily invest in foreign mutual funds. Redemption restrictions are in place for these investments with a fair value of $32 million and $144 million at June 30, 2014 and December 31, 2013, respectively, due to lock-up provisions that will remain in effect until October 2015. |
Private equity funds invest in equity and debt securities issued by private and publicly-held companies in connection with leveraged buyouts, recapitalizations and expansion opportunities. Substantially all of these investments do not allow redemptions. Alternatively, we receive distributions as the underlying assets of the funds liquidate, which we expect to occur over the next 6 years. |
Venture capital funds invest in domestic and foreign companies in a variety of industries, including information technology, financial services and healthcare. These investments can never be redeemed with the funds. Instead, we receive distributions as the underlying assets of the fund liquidate, which we expect to occur over the next 5 years. |
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Fair Value Option |
We elect the fair value option to account for certain financial instruments. For more information, including the basis for the elections, see Note 17 (Fair Values of Assets and Liabilities) to Financial Statements in our 2013 Form 10-K. |
The following table reflects differences between the fair value carrying amount of certain assets and liabilities for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity. |
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| | | | 30-Jun-14 | | 31-Dec-13 | | | | | | | | |
| | | | | | Fair value | | | | Fair value | | | | | | | | |
| | | | | | carrying | | | | carrying | | | | | | | | |
| | | | | | amount | | | | amount | | | | | | | | |
| | | | | | less | | | | less | | | | | | | | |
| | | Fair value | Aggregate | aggregate | | Fair value | Aggregate | aggregate | | | | | | | | |
| | | | carrying | unpaid | unpaid | | carrying | unpaid | unpaid | | | | | | | | |
(in millions) | | amount | principal | principal | | amount | principal | principal | | | | | | | | |
Mortgages held for sale: | | | | | | | | | | | | | | | | |
| Total loans | $ | 16,448 | 16,090 | 358 | | 13,879 | 13,966 | -87 | | | | | | | | |
| Nonaccrual loans | | 216 | 329 | -113 | | 205 | 359 | -154 | | | | | | | | |
| Loans 90 days or more past due and still accruing | | 33 | 37 | -4 | | 39 | 46 | -7 | | | | | | | | |
Loans held for sale: | | | | | | | | | | | | | | | | |
| Total loans | | 1 | 9 | -8 | | 1 | 9 | -8 | | | | | | | | |
| Nonaccrual loans | | 1 | 9 | -8 | | 1 | 9 | -8 | | | | | | | | |
Loans: | | | | | | | | | | | | | | | | |
| Total loans | | 5,926 | 5,604 | 322 | | 5,995 | 5,674 | 321 | | | | | | | | |
| Nonaccrual loans | | 250 | 250 | - | | 188 | 188 | - | | | | | | | | |
Other assets (1) | | 1,902 | n/a | n/a | | 1,386 | n/a | n/a | | | | | | | | |
Long-term debt | | - | - | - | | - | -199 | 199 | -2 | | | | | | | |
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Consists of nonmarketable equity investments carried at fair value. See Note 6 (Other Assets) for more information. |
Represents collateralized, non-recourse debt securities issued by certain of our consolidated securitization VIEs that are held by third party investors. To the extent cash flows from the underlying collateral are not sufficient to pay the unpaid principal amount of the debt, those third party investors absorb losses. |
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The assets and liabilities accounted for under the fair value option are initially measured at fair value. Gains and losses from initial measurement and subsequent changes in fair value are recognized in earnings. The changes in fair value related to initial measurement and subsequent changes in fair value included in earnings for these assets and liabilities measured at fair value are shown below by income statement line item. |
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| | 2014 | | 2013 | | | | | | | | | |
| | | Net gains | | | | Net gains | | | | | | | | | | |
| | Mortgage | (losses) | | | Mortgage | (losses) | | | | | | | | | | |
| | banking | from | Other | | banking | from | Other | | | | | | | | | |
| | noninterest | trading | noninterest | | noninterest | trading | noninterest | | | | | | | | | |
(in millions) | | income | activities | income | | income | activities | income | | | | | | | | | |
Quarter ended June 30, | | | | | | | | | | | | | | | | | |
Mortgages held for sale | $ | 694 | - | - | | 61 | - | - | | | | | | | | | |
Loans | | - | - | 1 | | - | - | -107 | | | | | | | | | |
Other assets | | - | - | -31 | | - | - | 25 | | | | | | | | | |
Other interests held (1) | | - | -4 | 1 | | - | -6 | - | | | | | | | | | |
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Six months ended June 30, | | | | | | | | | | | | | | | | | |
Mortgages held for sale | $ | 1,200 | - | - | | 1,034 | - | - | | | | | | | | | |
Loans | | - | - | 1 | | - | - | -154 | | | | | | | | | |
Other assets | | - | - | -92 | | - | - | 39 | | | | | | | | | |
Other interests held (1) | | - | -5 | - | | - | -13 | 6 | | | | | | | | | |
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-1 | Consists of retained interests in securitizations and changes in fair value of letters of credit. | | | | | | | | | |
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For performing loans, instrument-specific credit risk gains or losses were derived principally by determining the change in fair value of the loans due to changes in the observable or implied credit spread. Credit spread is the market yield on the loans less the relevant risk-free benchmark interest rate. For nonperforming loans, we attribute all changes in fair value to instrument-specific credit risk. The following table shows the estimated gains and losses from earnings attributable to instrument-specific credit risk related to assets accounted for under the fair value option. |
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| | | Quarter ended June 30, | | Six months ended June 30, | | | | | | | | | | |
(in millions) | | 2014 | 2013 | | 2014 | 2013 | | | | | | | | | | |
Gains (losses) attributable to instrument-specific credit risk: | | | | | | | | | | | | | | | | |
| Mortgages held for sale | $ | 45 | 88 | | 55 | 125 | | | | | | | | | | |
| | Total | $ | 45 | 88 | | 55 | 125 | | | | | | | | | | |
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Disclosures about Fair Value of Financial Instruments |
The table below is a summary of fair value estimates for financial instruments, excluding financial instruments recorded at fair value on a recurring basis, as they are included within the Assets and Liabilities Recorded at Fair Value on a Recurring Basis table included earlier in this Note. The carrying amounts in the following table are recorded on the balance sheet under the indicated captions. |
We have not included assets and liabilities that are not financial instruments in our disclosure, such as the value of the long-term relationships with our deposit, credit card and trust customers, amortized MSRs, premises and equipment, goodwill and other intangibles, deferred taxes and other liabilities. The total of the fair value calculations presented does not represent, and should not be construed to represent, the underlying value of the Company. |
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| | | | | | Estimated fair value | | | | | | |
(in millions) | | Carrying amount | | Level 1 | | Level 2 | | Level 3 | | Total | | | | | | |
30-Jun-14 | | | | | | | | | | | | | | | | |
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Financial assets | | | | | | | | | | | | | | | | |
| Cash and due from banks (1) | $ | 20,635 | | 20,635 | | - | | - | | 20,635 | | | | | | |
| Federal funds sold, securities purchased under resale | | | | | | | | | | | | | | | | |
| | agreements and other short-term investments (1) | | 238,719 | | 7,642 | | 231,077 | | - | | 238,719 | | | | | | |
| Held-to-maturity securities | | 30,108 | | 17,914 | | 7,348 | | 5,124 | | 30,386 | | | | | | |
| Mortgages held for sale (2) | | 4,616 | | - | | 3,298 | | 1,327 | | 4,625 | | | | | | |
| Loans held for sale (2) | | 9,761 | | - | | 9,810 | | - | | 9,810 | | | | | | |
| Loans, net (3) | | 798,168 | | - | | 60,825 | | 747,511 | | 808,336 | | | | | | |
| Nonmarketable equity investments (cost method) | | 6,856 | | - | | - | | 8,056 | | 8,056 | | | | | | |
Financial liabilities | | | | | | | | | | | | | | | | |
| Deposits | | 1,118,577 | | - | | 1,080,295 | | 38,574 | | 1,118,869 | | | | | | |
| Short-term borrowings (1) | | 61,849 | | - | | 61,849 | | - | | 61,849 | | | | | | |
| Long-term debt (4) | | 167,868 | | - | | 162,129 | | 9,835 | | 171,964 | | | | | | |
31-Dec-13 | | | | | | | | | | | | | | | | |
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Financial assets | | | | | | | | | | | | | | | | |
| Cash and due from banks (1) | $ | 19,919 | | 19,919 | | - | | - | | 19,919 | | | | | | |
| Federal funds sold, securities purchased under resale | | | | | | | | | | | | | | | | |
| | agreements and other short-term investments (1) | | 213,793 | | 5,160 | | 208,633 | | - | | 213,793 | | | | | | |
| Held-to-maturity securities | | 12,346 | | - | | 6,205 | | 6,042 | | 12,247 | | | | | | |
| Mortgages held for sale (2) | | 2,884 | | - | | 2,009 | | 893 | | 2,902 | | | | | | |
| Loans held for sale (2) | | 132 | | - | | 136 | | - | | 136 | | | | | | |
| Loans, net (3) | | 789,850 | | - | | 58,350 | | 736,551 | | 794,901 | | | | | | |
| Nonmarketable equity investments (cost method) | | 6,978 | | - | | - | | 8,635 | | 8,635 | | | | | | |
Financial liabilities | | - | | - | | - | | - | | | | | | | | |
| Deposits | | 1,079,177 | | - | | 1,037,448 | | 42,079 | | 1,079,527 | | | | | | |
| Short-term borrowings (1) | | 53,883 | | - | | 53,883 | | - | | 53,883 | | | | | | |
| Long-term debt (4) | | 152,987 | | - | | 144,984 | | 10,879 | | 155,863 | | | | | | |
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Amounts consist of financial instruments in which carrying value approximates fair value. |
Balance reflects MHFS and LHFS, as applicable, other than those MHFS and LHFS for which election of the fair value option was made. |
Loans exclude balances for which the fair value option was elected and also exclude lease financing with a carrying amount of $11.9 billion and $12.0 billion at June 30, 2014 and December 31, 2013, respectively. |
The carrying amount and fair value exclude balances for which the fair value option was elected and obligations under capital leases of $10 million and $11 million at June 30, 2014 and December 31, 2013, respectively. |
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Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in the table above. A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the related allowance, which totaled $856 million and $597 million at June 30, 2014 and December 31, 2013, respectively. |