| Assets and Liabilities Carried at Fair Value on a Recurring Basis |
Assets and liabilities carried at fair value on a recurring basis at March 31, 2026 and December 31, 2025, including financial instruments that the Corporation accounts for under the fair value option, are summarized in the following tables.
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March 31, 2026 |
| |
Fair Value Measurements |
|
|
|
|
| (Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adjustments (1)
|
|
Assets/Liabilities at Fair Value |
| Assets |
|
|
|
|
|
|
|
|
|
Time deposits placed and other short-term investments |
$ |
1,343
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
1,343
|
|
Federal funds sold and securities borrowed or purchased under agreements to resell |
—
|
|
|
640,749
|
|
|
—
|
|
|
(412,736) |
|
|
228,013
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
72,490
|
|
|
1,176
|
|
|
—
|
|
|
—
|
|
|
73,666
|
|
| Corporate securities, trading loans and other |
—
|
|
|
58,530
|
|
|
2,069
|
|
|
—
|
|
|
60,599
|
|
| Equity securities |
80,280
|
|
|
31,972
|
|
|
286
|
|
|
—
|
|
|
112,538
|
|
| Non-U.S. sovereign debt |
14,206
|
|
|
43,453
|
|
|
246
|
|
|
—
|
|
|
57,905
|
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
| U.S. government-sponsored agency guaranteed |
—
|
|
|
50,109
|
|
|
8
|
|
|
—
|
|
|
50,117
|
|
| Mortgage trading loans, ABS and other MBS |
—
|
|
|
8,386
|
|
|
1,010
|
|
|
—
|
|
|
9,396
|
|
Total trading account assets (2)
|
166,976
|
|
|
193,626
|
|
|
3,619
|
|
|
—
|
|
|
364,221
|
|
| Derivative assets |
20,047
|
|
|
313,574
|
|
|
4,842
|
|
|
(290,148) |
|
|
48,315
|
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
213,702
|
|
|
745
|
|
|
—
|
|
|
—
|
|
|
214,447
|
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
| Agency |
—
|
|
|
43,446
|
|
|
—
|
|
|
—
|
|
|
43,446
|
|
| Agency-collateralized mortgage obligations |
—
|
|
|
18,275
|
|
|
—
|
|
|
—
|
|
|
18,275
|
|
| Non-agency residential |
—
|
|
|
263
|
|
|
—
|
|
|
—
|
|
|
263
|
|
| Commercial |
—
|
|
|
43,900
|
|
|
41
|
|
|
—
|
|
|
43,941
|
|
| Non-U.S. securities |
930
|
|
|
32,436
|
|
|
46
|
|
|
—
|
|
|
33,412
|
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
—
|
|
|
6,131
|
|
|
—
|
|
|
—
|
|
|
6,131
|
|
| Tax-exempt securities |
—
|
|
|
9,048
|
|
|
—
|
|
|
—
|
|
|
9,048
|
|
| Total AFS debt securities |
214,632
|
|
|
154,244
|
|
|
87
|
|
|
—
|
|
|
368,963
|
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
4,680
|
|
|
—
|
|
|
—
|
|
|
—
|
|
|
4,680
|
|
|
|
|
|
|
|
|
|
|
|
| Agency MBS |
—
|
|
|
5
|
|
|
—
|
|
|
—
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
—
|
|
|
239
|
|
|
—
|
|
|
—
|
|
|
239
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Non-U.S. and other securities |
1,169
|
|
|
11,333
|
|
|
—
|
|
|
—
|
|
|
12,502
|
|
| Total other debt securities carried at fair value |
5,849
|
|
|
11,577
|
|
|
—
|
|
|
—
|
|
|
17,426
|
|
| Loans and leases |
—
|
|
|
3,687
|
|
|
70
|
|
|
—
|
|
|
3,757
|
|
| Loans held-for-sale |
—
|
|
|
5,377
|
|
|
54
|
|
|
—
|
|
|
5,431
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other assets (3)
|
6,492
|
|
|
3,551
|
|
|
2,064
|
|
|
—
|
|
|
12,107
|
|
|
|
|
|
|
|
|
|
|
|
Total assets (4)
|
$ |
415,339
|
|
|
$ |
1,326,385
|
|
|
$ |
10,736
|
|
|
$ |
(702,884) |
|
|
$ |
1,049,576
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits in U.S. offices |
$ |
—
|
|
|
$ |
1,783
|
|
|
$ |
—
|
|
|
$ |
—
|
|
|
$ |
1,783
|
|
Federal funds purchased and securities loaned or sold under agreements to repurchase |
—
|
|
|
640,037
|
|
|
—
|
|
|
(412,736) |
|
|
227,301
|
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
18,877
|
|
|
130
|
|
|
—
|
|
|
—
|
|
|
19,007
|
|
| Equity securities |
61,909
|
|
|
5,937
|
|
|
18
|
|
|
—
|
|
|
67,864
|
|
| Non-U.S. sovereign debt |
14,692
|
|
|
12,843
|
|
|
—
|
|
|
—
|
|
|
27,535
|
|
| Corporate securities and other |
—
|
|
|
15,321
|
|
|
92
|
|
|
—
|
|
|
15,413
|
|
| Mortgage trading loans and ABS |
—
|
|
|
14
|
|
|
—
|
|
|
—
|
|
|
14
|
|
| Total trading account liabilities |
95,478
|
|
|
34,245
|
|
|
110
|
|
|
—
|
|
|
129,833
|
|
| Derivative liabilities |
19,686
|
|
|
307,950
|
|
|
5,426
|
|
|
(289,124) |
|
|
43,938
|
|
| Short-term borrowings |
—
|
|
|
11,434
|
|
|
10
|
|
|
—
|
|
|
11,444
|
|
| Accrued expenses and other liabilities |
7,209
|
|
|
3,564
|
|
|
52
|
|
|
—
|
|
|
10,825
|
|
| Long-term debt |
—
|
|
|
78,703
|
|
|
571
|
|
|
—
|
|
|
79,274
|
|
Total liabilities (4)
|
$ |
122,373
|
|
|
$ |
1,077,716
|
|
|
$ |
6,169
|
|
|
$ |
(701,860) |
|
|
$ |
504,398
|
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $16.0 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $703 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(3)Includes MSRs, which are classified as Level 3 assets, of $963 million.
(4)Total recurring Level 3 assets were 0.31 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities.
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|
|
|
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|
|
|
December 31, 2025 |
|
Fair Value Measurements |
|
|
|
|
| (Dollars in millions) |
Level 1 |
|
Level 2 |
|
Level 3 |
|
Netting Adjustments (1)
|
|
Assets/Liabilities at Fair Value |
| Assets |
|
|
|
|
|
|
|
|
|
Time deposits placed and other short-term investments |
$ |
1,242 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,242 |
|
| Federal funds sold and securities borrowed or purchased under agreements to resell |
— |
|
|
672,313 |
|
|
— |
|
|
(486,822) |
|
|
185,491 |
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
83,234 |
|
|
3,036 |
|
|
— |
|
|
— |
|
|
86,270 |
|
| Corporate securities, trading loans and other |
— |
|
|
59,456 |
|
|
1,922 |
|
|
— |
|
|
61,378 |
|
| Equity securities |
77,225 |
|
|
39,110 |
|
|
322 |
|
|
— |
|
|
116,657 |
|
| Non-U.S. sovereign debt |
5,745 |
|
|
41,014 |
|
|
240 |
|
|
— |
|
|
46,999 |
|
| Mortgage trading loans, MBS and ABS: |
|
|
|
|
|
|
|
|
|
| U.S. government-sponsored agency guaranteed |
— |
|
|
44,691 |
|
|
9 |
|
|
— |
|
|
44,700 |
|
| Mortgage trading loans, ABS and other MBS |
— |
|
|
10,024 |
|
|
926 |
|
|
— |
|
|
10,950 |
|
Total trading account assets (2)
|
166,204 |
|
|
197,331 |
|
|
3,419 |
|
|
— |
|
|
366,954 |
|
| Derivative assets |
18,469 |
|
|
269,936 |
|
|
3,802 |
|
|
(251,326) |
|
|
40,881 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
249,025 |
|
|
809 |
|
|
— |
|
|
— |
|
|
249,834 |
|
| Mortgage-backed securities: |
|
|
|
|
|
|
|
|
|
| Agency |
— |
|
|
33,141 |
|
|
— |
|
|
— |
|
|
33,141 |
|
| Agency-collateralized mortgage obligations |
— |
|
|
19,199 |
|
|
— |
|
|
— |
|
|
19,199 |
|
| Non-agency residential |
— |
|
|
263 |
|
|
9 |
|
|
— |
|
|
272 |
|
| Commercial |
— |
|
|
38,472 |
|
|
22 |
|
|
— |
|
|
38,494 |
|
| Non-U.S. securities |
235 |
|
|
31,488 |
|
|
44 |
|
|
— |
|
|
31,767 |
|
|
|
|
|
|
|
|
|
|
|
| Other taxable securities |
— |
|
|
6,026 |
|
|
278 |
|
|
— |
|
|
6,304 |
|
| Tax-exempt securities |
— |
|
|
7,787 |
|
|
— |
|
|
— |
|
|
7,787 |
|
| Total AFS debt securities |
249,260 |
|
|
137,185 |
|
|
353 |
|
|
— |
|
|
386,798 |
|
| Other debt securities carried at fair value: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
3,285 |
|
|
— |
|
|
— |
|
|
— |
|
|
3,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
— |
|
|
123 |
|
|
125 |
|
|
— |
|
|
248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other securities |
664 |
|
|
11,980 |
|
|
— |
|
|
— |
|
|
12,644 |
|
| Total other debt securities carried at fair value |
3,949 |
|
|
12,103 |
|
|
125 |
|
|
— |
|
|
16,177 |
|
| Loans and leases |
— |
|
|
3,422 |
|
|
76 |
|
|
— |
|
|
3,498 |
|
| Loans held-for-sale |
— |
|
|
2,216 |
|
|
55 |
|
|
— |
|
|
2,271 |
|
Other assets (3)
|
3,742 |
|
|
3,198 |
|
|
2,118 |
|
|
— |
|
|
9,058 |
|
|
|
|
|
|
|
|
|
|
|
Total assets (4)
|
$ |
442,866 |
|
|
$ |
1,297,704 |
|
|
$ |
9,948 |
|
|
$ |
(738,148) |
|
|
$ |
1,012,370 |
|
|
|
|
|
|
|
|
|
|
|
| Liabilities |
|
|
|
|
|
|
|
|
|
| Interest-bearing deposits in U.S. offices |
$ |
— |
|
|
$ |
1,223 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,223 |
|
| Federal funds purchased and securities loaned or sold under agreements to repurchase |
— |
|
|
709,889 |
|
|
— |
|
|
(486,822) |
|
|
223,067 |
|
| Trading account liabilities: |
|
|
|
|
|
|
|
|
|
| U.S. Treasury and government agencies |
8,174 |
|
|
5 |
|
|
— |
|
|
— |
|
|
8,179 |
|
| Equity securities |
58,980 |
|
|
6,063 |
|
|
14 |
|
|
— |
|
|
65,057 |
|
| Non-U.S. sovereign debt |
4,771 |
|
|
15,644 |
|
|
— |
|
|
— |
|
|
20,415 |
|
| Corporate securities and other |
— |
|
|
12,214 |
|
|
119 |
|
|
— |
|
|
12,333 |
|
| Mortgage trading loans and ABS |
— |
|
|
12 |
|
|
— |
|
|
— |
|
|
12 |
|
| Total trading account liabilities |
71,925 |
|
|
33,938 |
|
|
133 |
|
|
— |
|
|
105,996 |
|
| Derivative liabilities |
18,470 |
|
|
274,002 |
|
|
5,115 |
|
|
(255,511) |
|
|
42,076 |
|
| Short-term borrowings |
— |
|
|
8,011 |
|
|
40 |
|
|
— |
|
|
8,051 |
|
| Accrued expenses and other liabilities |
4,656 |
|
|
4,312 |
|
|
28 |
|
|
— |
|
|
8,996 |
|
| Long-term debt |
— |
|
|
72,110 |
|
|
481 |
|
|
— |
|
|
72,591 |
|
Total liabilities (4)
|
$ |
95,051 |
|
|
$ |
1,103,485 |
|
|
$ |
5,797 |
|
|
$ |
(742,333) |
|
|
$ |
462,000 |
|
|
|
|
|
|
|
|
|
|
|
(1)Amounts represent the impact of legally enforceable master netting agreements and also cash collateral held or placed with the same counterparties.
(2)Includes securities with a fair value of $13.2 billion that were segregated in compliance with securities regulations or deposited with clearing organizations. This amount is included in the parenthetical disclosure on the Consolidated Balance Sheet. Trading account assets also includes certain commodities inventory of $27 million that is accounted for at the lower of cost or net realizable value, which is the current selling price less any costs to sell.
(3)Includes MSRs, which are classified as Level 3 assets, of $946 million.
(4)Total recurring Level 3 assets were 0.29 percent of total consolidated assets, and total recurring Level 3 liabilities were 0.19 percent of total consolidated liabilities.
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2026 and 2025, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance January 1 |
|
Total
Realized/Unrealized Gains
(Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance March 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
| (Dollars in millions) |
|
Purchases |
Sales |
Issuances |
Settlements |
| Three Months Ended March 31, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,922 |
|
|
$ |
115 |
|
$ |
4 |
|
$ |
609 |
|
$ |
(413) |
|
$ |
29 |
|
$ |
(242) |
|
$ |
267 |
|
$ |
(222) |
|
$ |
2,069 |
|
$ |
72 |
|
| Equity securities |
322 |
|
|
(12) |
|
— |
|
32 |
|
(40) |
|
— |
|
— |
|
12 |
|
(28) |
|
286 |
|
(12) |
|
| Non-U.S. sovereign debt |
240 |
|
|
(3) |
|
7 |
|
7 |
|
(3) |
|
— |
|
(15) |
|
13 |
|
— |
|
246 |
|
(3) |
|
| Mortgage trading loans, MBS and ABS |
935 |
|
|
(23) |
|
— |
|
190 |
|
(107) |
|
— |
|
(57) |
|
116 |
|
(36) |
|
1,018 |
|
(28) |
|
| Total trading account assets |
3,419 |
|
|
77 |
|
11 |
|
838 |
|
(563) |
|
29 |
|
(314) |
|
408 |
|
(286) |
|
3,619 |
|
29 |
|
Net derivative assets (liabilities) (4)
|
(1,313) |
|
|
1,077 |
|
— |
|
348 |
|
(473) |
|
— |
|
136 |
|
(520) |
|
161 |
|
(584) |
|
1,196 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
9 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9) |
|
— |
|
— |
|
| Commercial MBS |
22 |
|
|
— |
|
— |
|
18 |
|
— |
|
— |
|
(1) |
|
2 |
|
— |
|
41 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
322 |
|
|
— |
|
— |
|
5 |
|
— |
|
— |
|
(3) |
|
— |
|
(278) |
|
46 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS debt securities |
353 |
|
|
— |
|
— |
|
23 |
|
— |
|
— |
|
(4) |
|
2 |
|
(287) |
|
87 |
|
— |
|
| Other debt securities carried at fair value – Non-agency residential MBS |
125 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(125) |
|
— |
|
— |
|
Loans and leases (5)
|
76 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
(6) |
|
— |
|
— |
|
70 |
|
(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
55 |
|
|
1 |
|
1 |
|
— |
|
— |
|
— |
|
(5) |
|
2 |
|
— |
|
54 |
|
— |
|
Other assets (6,7)
|
2,118 |
|
|
(30) |
|
— |
|
15 |
|
— |
|
62 |
|
(101) |
|
— |
|
— |
|
2,064 |
|
(34) |
|
| Trading account liabilities – Equity securities |
(14) |
|
|
— |
|
— |
|
4 |
|
(3) |
|
— |
|
— |
|
(5) |
|
— |
|
(18) |
|
— |
|
|
Trading account liabilities – Corporate securities and other
|
(119) |
|
|
(4) |
|
— |
|
(1) |
|
— |
|
(1) |
|
30 |
|
(1) |
|
4 |
|
(92) |
|
(6) |
|
Short-term borrowings (5)
|
(40) |
|
|
33 |
|
— |
|
— |
|
— |
|
(5) |
|
2 |
|
— |
|
— |
|
(10) |
|
(1) |
|
Accrued expenses and other liabilities (5)
|
(28) |
|
|
(53) |
|
— |
|
— |
|
— |
|
— |
|
25 |
|
— |
|
4 |
|
(52) |
|
(53) |
|
Long-term debt (5)
|
(481) |
|
|
(66) |
|
16 |
|
— |
|
— |
|
(45) |
|
5 |
|
— |
|
— |
|
(571) |
|
(66) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Three Months Ended March 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,814 |
|
|
$ |
122 |
|
$ |
1 |
|
$ |
514 |
|
$ |
(346) |
|
$ |
8 |
|
$ |
(304) |
|
$ |
203 |
|
$ |
(99) |
|
$ |
1,913 |
|
$ |
35 |
|
| Equity securities |
374 |
|
|
9 |
|
— |
|
56 |
|
(13) |
|
— |
|
(105) |
|
45 |
|
(31) |
|
335 |
|
1 |
|
| Non-U.S. sovereign debt |
344 |
|
|
49 |
|
15 |
|
16 |
|
— |
|
— |
|
(171) |
|
— |
|
(11) |
|
242 |
|
49 |
|
| Mortgage trading loans, MBS and ABS |
978 |
|
|
3 |
|
— |
|
87 |
|
(96) |
|
— |
|
(17) |
|
93 |
|
(61) |
|
987 |
|
17 |
|
| Total trading account assets |
3,510 |
|
|
183 |
|
16 |
|
673 |
|
(455) |
|
8 |
|
(597) |
|
341 |
|
(202) |
|
3,477 |
|
102 |
|
Net derivative assets (liabilities) (4)
|
(1,961) |
|
|
850 |
|
— |
|
246 |
|
(377) |
|
— |
|
(43) |
|
(254) |
|
9 |
|
(1,530) |
|
776 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
247 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(240) |
|
7 |
|
— |
|
| Commercial MBS |
328 |
|
|
(2) |
|
3 |
|
225 |
|
— |
|
— |
|
(90) |
|
— |
|
— |
|
464 |
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
36 |
|
|
— |
|
(1) |
|
506 |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
539 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS debt securities |
611 |
|
|
(2) |
|
2 |
|
731 |
|
— |
|
— |
|
(92) |
|
— |
|
(240) |
|
1,010 |
|
(2) |
|
| Other debt securities carried at fair value – Non-agency residential MBS |
149 |
|
|
2 |
|
— |
|
— |
|
— |
|
— |
|
(1) |
|
— |
|
(99) |
|
51 |
|
(1) |
|
Loans and leases (5)
|
82 |
|
|
1 |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
44 |
|
— |
|
125 |
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
132 |
|
|
13 |
|
2 |
|
— |
|
(14) |
|
— |
|
(10) |
|
— |
|
— |
|
123 |
|
5 |
|
Other assets (6,7)
|
1,969 |
|
|
(18) |
|
8 |
|
32 |
|
— |
|
37 |
|
(69) |
|
— |
|
— |
|
1,959 |
|
(35) |
|
| Trading account liabilities – Equity securities |
(10) |
|
|
3 |
|
— |
|
3 |
|
— |
|
— |
|
— |
|
(3) |
|
2 |
|
(5) |
|
3 |
|
|
Trading account liabilities – Corporate securities and other
|
(110) |
|
|
(33) |
|
— |
|
(1) |
|
(4) |
|
— |
|
10 |
|
(11) |
|
1 |
|
(148) |
|
(40) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (5)
|
(89) |
|
|
(7) |
|
— |
|
2 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(94) |
|
(7) |
|
Long-term debt (5)
|
(553) |
|
|
(23) |
|
10 |
|
— |
|
— |
|
— |
|
123 |
|
— |
|
— |
|
(443) |
|
(23) |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains of $26 million and $25 million related to financial instruments still held at March 31, 2026 and 2025.
(4)Net derivative assets (liabilities) include derivative assets of $4.8 billion and $3.5 billion and derivative liabilities of $5.4 billion and $5.0 billion at March 31, 2026 and 2025.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following tables present a reconciliation of all assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2026 and 2025, including net realized and unrealized gains (losses) included in earnings and accumulated OCI. Transfers into Level 3 occur primarily due to decreased price observability, and transfers out of Level 3 occur primarily due to increased price observability. Transfers occur on a regular basis for long-term debt instruments due to changes in the impact of unobservable inputs on the value of the embedded derivative in relation to the instrument as a whole.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 3 – Fair Value Measurements (1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance January 1 |
|
Total
Realized/Unrealized Gains
(Losses) in Net
Income (2)
|
Gains
(Losses)
in OCI (3)
|
Gross |
Gross
Transfers
into
Level 3 |
Gross
Transfers
out of
Level 3 |
Balance March 31 |
Change in Unrealized Gains (Losses) in Net Income Related to Financial Instruments Still Held (2)
|
| (Dollars in millions) |
|
Purchases |
Sales |
Issuances |
Settlements |
| Three Months Ended March 31, 2026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,922 |
|
|
$ |
115 |
|
$ |
4 |
|
$ |
609 |
|
$ |
(413) |
|
$ |
29 |
|
$ |
(242) |
|
$ |
267 |
|
$ |
(222) |
|
$ |
2,069 |
|
$ |
72 |
|
| Equity securities |
322 |
|
|
(12) |
|
— |
|
32 |
|
(40) |
|
— |
|
— |
|
12 |
|
(28) |
|
286 |
|
(12) |
|
| Non-U.S. sovereign debt |
240 |
|
|
(3) |
|
7 |
|
7 |
|
(3) |
|
— |
|
(15) |
|
13 |
|
— |
|
246 |
|
(3) |
|
| Mortgage trading loans, MBS and ABS |
935 |
|
|
(23) |
|
— |
|
190 |
|
(107) |
|
— |
|
(57) |
|
116 |
|
(36) |
|
1,018 |
|
(28) |
|
| Total trading account assets |
3,419 |
|
|
77 |
|
11 |
|
838 |
|
(563) |
|
29 |
|
(314) |
|
408 |
|
(286) |
|
3,619 |
|
29 |
|
Net derivative assets (liabilities) (4)
|
(1,313) |
|
|
1,077 |
|
— |
|
348 |
|
(473) |
|
— |
|
136 |
|
(520) |
|
161 |
|
(584) |
|
1,196 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
9 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(9) |
|
— |
|
— |
|
| Commercial MBS |
22 |
|
|
— |
|
— |
|
18 |
|
— |
|
— |
|
(1) |
|
2 |
|
— |
|
41 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
322 |
|
|
— |
|
— |
|
5 |
|
— |
|
— |
|
(3) |
|
— |
|
(278) |
|
46 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS debt securities |
353 |
|
|
— |
|
— |
|
23 |
|
— |
|
— |
|
(4) |
|
2 |
|
(287) |
|
87 |
|
— |
|
| Other debt securities carried at fair value – Non-agency residential MBS |
125 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(125) |
|
— |
|
— |
|
Loans and leases (5)
|
76 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
(6) |
|
— |
|
— |
|
70 |
|
(1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
55 |
|
|
1 |
|
1 |
|
— |
|
— |
|
— |
|
(5) |
|
2 |
|
— |
|
54 |
|
— |
|
Other assets (6,7)
|
2,118 |
|
|
(30) |
|
— |
|
15 |
|
— |
|
62 |
|
(101) |
|
— |
|
— |
|
2,064 |
|
(34) |
|
| Trading account liabilities – Equity securities |
(14) |
|
|
— |
|
— |
|
4 |
|
(3) |
|
— |
|
— |
|
(5) |
|
— |
|
(18) |
|
— |
|
|
Trading account liabilities – Corporate securities and other
|
(119) |
|
|
(4) |
|
— |
|
(1) |
|
— |
|
(1) |
|
30 |
|
(1) |
|
4 |
|
(92) |
|
(6) |
|
Short-term borrowings (5)
|
(40) |
|
|
33 |
|
— |
|
— |
|
— |
|
(5) |
|
2 |
|
— |
|
— |
|
(10) |
|
(1) |
|
Accrued expenses and other liabilities (5)
|
(28) |
|
|
(53) |
|
— |
|
— |
|
— |
|
— |
|
25 |
|
— |
|
4 |
|
(52) |
|
(53) |
|
Long-term debt (5)
|
(481) |
|
|
(66) |
|
16 |
|
— |
|
— |
|
(45) |
|
5 |
|
— |
|
— |
|
(571) |
|
(66) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Three Months Ended March 31, 2025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Trading account assets: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate securities, trading loans and other |
$ |
1,814 |
|
|
$ |
122 |
|
$ |
1 |
|
$ |
514 |
|
$ |
(346) |
|
$ |
8 |
|
$ |
(304) |
|
$ |
203 |
|
$ |
(99) |
|
$ |
1,913 |
|
$ |
35 |
|
| Equity securities |
374 |
|
|
9 |
|
— |
|
56 |
|
(13) |
|
— |
|
(105) |
|
45 |
|
(31) |
|
335 |
|
1 |
|
| Non-U.S. sovereign debt |
344 |
|
|
49 |
|
15 |
|
16 |
|
— |
|
— |
|
(171) |
|
— |
|
(11) |
|
242 |
|
49 |
|
| Mortgage trading loans, MBS and ABS |
978 |
|
|
3 |
|
— |
|
87 |
|
(96) |
|
— |
|
(17) |
|
93 |
|
(61) |
|
987 |
|
17 |
|
| Total trading account assets |
3,510 |
|
|
183 |
|
16 |
|
673 |
|
(455) |
|
8 |
|
(597) |
|
341 |
|
(202) |
|
3,477 |
|
102 |
|
Net derivative assets (liabilities) (4)
|
(1,961) |
|
|
850 |
|
— |
|
246 |
|
(377) |
|
— |
|
(43) |
|
(254) |
|
9 |
|
(1,530) |
|
776 |
|
| AFS debt securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-agency residential MBS |
247 |
|
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(240) |
|
7 |
|
— |
|
| Commercial MBS |
328 |
|
|
(2) |
|
3 |
|
225 |
|
— |
|
— |
|
(90) |
|
— |
|
— |
|
464 |
|
(2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-U.S. and other taxable securities |
36 |
|
|
— |
|
(1) |
|
506 |
|
— |
|
— |
|
(2) |
|
— |
|
— |
|
539 |
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total AFS debt securities |
611 |
|
|
(2) |
|
2 |
|
731 |
|
— |
|
— |
|
(92) |
|
— |
|
(240) |
|
1,010 |
|
(2) |
|
| Other debt securities carried at fair value – Non-agency residential MBS |
149 |
|
|
2 |
|
— |
|
— |
|
— |
|
— |
|
(1) |
|
— |
|
(99) |
|
51 |
|
(1) |
|
Loans and leases (5)
|
82 |
|
|
1 |
|
— |
|
— |
|
— |
|
— |
|
(2) |
|
44 |
|
— |
|
125 |
|
1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Loans held-for-sale (5)
|
132 |
|
|
13 |
|
2 |
|
— |
|
(14) |
|
— |
|
(10) |
|
— |
|
— |
|
123 |
|
5 |
|
Other assets (6,7)
|
1,969 |
|
|
(18) |
|
8 |
|
32 |
|
— |
|
37 |
|
(69) |
|
— |
|
— |
|
1,959 |
|
(35) |
|
| Trading account liabilities – Equity securities |
(10) |
|
|
3 |
|
— |
|
3 |
|
— |
|
— |
|
— |
|
(3) |
|
2 |
|
(5) |
|
3 |
|
|
Trading account liabilities – Corporate securities and other
|
(110) |
|
|
(33) |
|
— |
|
(1) |
|
(4) |
|
— |
|
10 |
|
(11) |
|
1 |
|
(148) |
|
(40) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Accrued expenses and other liabilities (5)
|
(89) |
|
|
(7) |
|
— |
|
2 |
|
— |
|
— |
|
— |
|
— |
|
— |
|
(94) |
|
(7) |
|
Long-term debt (5)
|
(553) |
|
|
(23) |
|
10 |
|
— |
|
— |
|
— |
|
123 |
|
— |
|
— |
|
(443) |
|
(23) |
|
(1)Assets (liabilities). For assets, increase (decrease) to Level 3 and for liabilities, (increase) decrease to Level 3.
(2)Includes gains (losses) reported in earnings in the following income statement line items: Trading account assets/liabilities - market making and similar activities and other income; Net derivative assets (liabilities) - market making and similar activities and other income; AFS debt securities - other income; Other debt securities carried at fair value - other income; Loans and leases - other income; Loans held-for-sale - other income; Other assets - market making and similar activities and other income; Short-term borrowings - market making and similar activities; Accrued expenses and other liabilities - other income; Long-term debt - market making and similar activities.
(3)Includes unrealized gains (losses) in OCI on AFS debt securities, foreign currency translation adjustments, derivatives designated in cash flow hedges and the impact of changes in the Corporation’s credit spreads on long-term debt accounted for under the fair value option. Amounts include net unrealized gains of $26 million and $25 million related to financial instruments still held at March 31, 2026 and 2025.
(4)Net derivative assets (liabilities) include derivative assets of $4.8 billion and $3.5 billion and derivative liabilities of $5.4 billion and $5.0 billion at March 31, 2026 and 2025.
(5)Amounts represent instruments that are accounted for under the fair value option.
(6)Issuances represent MSRs recognized following securitizations or whole-loan sales.
(7)Settlements primarily represent the net change in fair value of the MSR asset due to the recognition of modeled cash flows and the passage of time.
|
| Fair Value Measurement Inputs and Valuation Techniques |
The following tables present information about significant unobservable inputs related to the Corporation’s material categories of Level 3 financial assets and liabilities at March 31, 2026 and December 31, 2025.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantitative Information about Level 3 Fair Value Measurements at March 31, 2026 |
|
|
|
|
|
|
| (Dollars in millions) |
|
|
Inputs |
| Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average (1)
|
Loans and Securities (2)
|
|
|
|
|
|
| Instruments backed by residential real estate assets |
$ |
179
|
|
Discounted cash flow, Market comparables |
Yield |
0% to 15% |
8 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
114 |
|
Prepayment speed |
0% to 41% CPR |
6% CPR |
| Loans and leases |
65 |
|
Default rate |
0% to 7% CDR |
6% CDR |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Price |
$0 to $115 |
$53 |
|
|
Loss severity |
0% to 82% |
26 |
% |
| Instruments backed by commercial real estate assets |
$ |
342
|
|
Discounted cash
flow, Asset-based approach
|
Yield |
0% to 5% |
2 |
% |
| Trading account assets – Corporate securities, trading loans and other |
239 |
|
Price |
$0 to $101 |
$64 |
| Trading account assets – Mortgage trading loans, MBS and ABS |
45 |
|
|
|
|
| AFS debt securities – Commercial |
41 |
|
|
|
|
| Loans held-for-sale |
17 |
|
|
|
|
| Commercial loans, debt securities and other |
$ |
3,023
|
|
Discounted cash flow, Market comparables |
Yield |
0% to 24% |
12 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,830 |
|
Prepayment speed |
20% |
n/a |
| Trading account assets – Non-U.S. sovereign debt |
246 |
|
Default rate |
2% |
n/a |
| Trading account assets – Mortgage trading loans, MBS and ABS |
859 |
|
Loss severity |
30% |
n/a |
|
|
|
|
|
| AFS debt securities – Non-U.S. and other taxable securities |
46 |
|
Price |
$0 to $134 |
$61 |
| Loans and leases |
5 |
|
|
|
|
| Loans held-for-sale |
37 |
|
|
|
|
|
|
|
|
|
|
Other assets, primarily MSRs and tax-related equity investments |
$ |
2,064
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $95 |
$83 |
|
|
Yield |
9% to 11% |
10 |
% |
|
|
|
|
|
|
|
Weighted-average life, fixed rate (5)
|
0 to 13 years |
6 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 10 years |
4 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
11 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(571) |
|
Discounted cash flow, Market comparables |
Yield |
16% to 22% |
20 |
% |
|
|
Price |
$28 to $103 |
$93 |
|
|
|
|
|
|
|
Natural gas forward price |
$1/MMBtu to $7/MMBtu |
$3 /MMBtu |
|
|
|
|
|
| Net derivative assets (liabilities) |
|
|
|
|
|
|
|
|
|
|
|
| Credit derivatives |
$ |
50
|
|
Market comparables, Discounted cash flow, Stochastic recovery correlation model |
Credit spreads |
5 to 325 bps |
41 bps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Default rate |
2% CDR |
n/a |
|
|
Credit correlation |
41% to 73% |
62 |
% |
|
|
Price |
$0 to $108 |
$63 |
| Equity derivatives |
$ |
(376) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
0% to 100% |
64% |
|
|
Long-dated equity volatilities |
0% to 100% |
39% |
| Commodity derivatives |
$ |
(646) |
|
Discounted cash
flow
|
Natural gas forward price |
$1/MMBtu to $7/MMBtu |
$3/MMBtu |
|
|
Commodities volatilities |
65% to 96% |
78% |
|
|
Power forward price |
$28 to $125 |
$54 |
|
|
|
|
|
|
|
|
|
|
|
|
| Interest rate derivatives |
$ |
388
|
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
(35)% to 70% |
45 |
% |
|
|
Correlation (FX/IR) |
(10)% to 58% |
25 |
% |
|
|
Long-dated inflation rates |
0% to 17%
|
2 |
% |
|
|
|
|
|
|
|
Interest rate volatilities |
0% to 1% |
1 |
% |
|
|
|
|
|
|
| Total net derivative assets (liabilities) |
$ |
(584) |
|
|
|
|
|
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type, which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 83: Trading account assets – Corporate securities, trading loans and other of $2.1 billion, Trading account assets – Non-U.S. sovereign debt of $246 million, Trading account assets – Mortgage trading loans, MBS and ABS of $1.0 billion, AFS debt securities of $87 million, Other assets of $2.1 billion, Loans and leases of $70 million and LHFS of $54 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Quantitative Information about Level 3 Fair Value Measurements at December 31, 2025 |
|
|
|
|
|
| (Dollars in millions) |
|
|
Inputs |
| Financial Instrument |
Fair
Value |
Valuation
Technique |
Significant Unobservable
Inputs |
Ranges of
Inputs |
Weighted Average (1)
|
Loans and Securities (2)
|
|
|
|
|
|
| Instruments backed by residential real estate assets |
$ |
327
|
|
Discounted cash
flow, Market comparables |
Yield |
0% to 15% |
8 |
% |
| Trading account assets – Mortgage trading loans, MBS and ABS |
120 |
|
Prepayment speed |
0% to 40% CPR |
7% CPR |
| Loans and leases |
73 |
|
Default rate |
0% to 7% CDR |
7% CDR |
| AFS debt securities - Non-agency residential |
9 |
|
Price |
$0 to $115 |
$53 |
| Other debt securities carried at fair value - Non-agency residential |
125 |
|
Loss severity |
0% to 81% |
27 |
% |
| Instruments backed by commercial real estate assets |
$ |
373
|
|
Discounted cash
flow, Asset based approach |
Yield |
0% to 5% |
2 |
% |
|
|
|
|
|
| Trading account assets – Corporate securities, trading loans and other |
304 |
|
Price |
$0 to $100 |
$42 |
| Trading account assets – Mortgage trading loans, MBS and ABS |
47 |
|
|
|
|
AFS debt securities – Commercial |
22 |
|
|
|
|
| Commercial loans, debt securities and other |
$ |
3,006
|
|
Discounted cash flow, Market comparables |
Yield |
4% to 24% |
13 |
% |
Trading account assets – Corporate securities, trading loans and other |
1,618 |
|
Prepayment speed |
20% |
n/a |
| Trading account assets – Non-U.S. sovereign debt |
240 |
|
Default rate |
2% |
n/a |
| Trading account assets – Mortgage trading loans, MBS and ABS |
768 |
|
Loss severity |
30% |
n/a |
|
|
|
|
|
| AFS debt securities – Non-U.S. and other taxable securities |
322 |
|
Price |
$0 to $137 |
$67 |
| Loans and leases |
3 |
|
|
|
|
| Loans held-for-sale |
55 |
|
|
|
|
Other assets, primarily MSRs and tax-related equity investments |
$ |
2,118
|
|
Discounted cash flow, Market comparables |
Price |
$10 to $95 |
$84 |
|
|
Yield |
8% to 11% |
9 |
% |
|
|
Weighted-average life, fixed rate (5)
|
0 to 14 years |
6 years |
|
|
Weighted-average life, variable rate (5)
|
0 to 11 years |
4 years |
|
|
Option-adjusted spread, fixed rate |
7% to 14% |
9 |
% |
|
|
Option-adjusted spread, variable rate |
9% to 15% |
12 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Structured liabilities |
|
|
|
|
|
| Long-term debt |
$ |
(481) |
|
Discounted cash flow, Market comparables |
Yield |
15% to 22% |
20 |
% |
|
|
|
|
|
|
|
Price |
$29 to $101 |
$93 |
|
|
Natural gas forward price |
$2/MMBtu to $6/MMBtu |
$3/MMBtu |
|
|
|
|
|
| Net derivative assets (liabilities) |
|
|
|
|
|
Credit derivatives |
$ |
(3) |
|
Market comparables, Discounted cash flow, Stochastic recovery correlation model |
Credit spreads |
5 to 245 bps |
36 bps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Default rate |
2% CDR |
n/a |
|
|
Credit correlation |
40% to 74% |
67 |
% |
|
|
Price |
$0 to $111 |
$106 |
Equity derivatives |
$ |
(1,018) |
|
Industry standard derivative pricing (3)
|
Equity correlation |
0% to 100% |
68% |
|
|
Long-dated equity volatilities |
0% to 104% |
37% |
Commodity derivatives |
$ |
(664) |
|
Discounted cash
flow
|
Natural gas forward price |
$2/MMBtu to $6/MMBtu |
$3/MMBtu |
|
|
Commodities volatilities |
49% to 53% |
51 |
% |
|
|
Power forward price |
$29 to $134 |
$56 |
|
Interest rate derivatives |
$ |
372
|
|
Industry standard derivative pricing (4)
|
Correlation (IR/IR) |
(35)% to 70% |
45 |
% |
|
|
Correlation (FX/IR) |
(5)% to 58% |
26 |
% |
|
|
Long-dated inflation rates |
G(1)% to 20%
|
2 |
% |
|
|
Long-dated inflation volatilities |
5% |
n/a |
|
|
Interest rates volatilities |
(1)% to 1% |
0 |
% |
| Total net derivative assets (liabilities) |
$ |
(1,313) |
|
|
|
|
|
(1)For loans and securities, structured liabilities and net derivative assets (liabilities), the weighted average is calculated based upon the absolute fair value of the instruments.
(2)The categories are aggregated based upon product type, which differs from financial statement classification. The following is a reconciliation to the line items in the table on page 84: Trading account assets – Corporate securities, trading loans and other of $1.9 billion, Trading account assets – Non-U.S. sovereign debt of $240 million, Trading account assets – Mortgage trading loans, MBS and ABS of $935 million, AFS debt securities of $353 million, Other debt securities carried at fair value - Non-agency residential of $125 million, Other assets of $2.1 billion, Loans and leases of $76 million and LHFS of $55 million.
(3)Includes models such as Monte Carlo simulation and Black-Scholes.
(4)Includes models such as Monte Carlo simulation, Black-Scholes and other methods that model the joint dynamics of interest, inflation and foreign exchange rates.
(5)The weighted-average life is a product of changes in market rates of interest, prepayment rates and other model and cash flow assumptions.
CPR = Constant Prepayment Rate
CDR = Constant Default Rate
MMBtu = Million British thermal units
IR = Interest Rate
FX = Foreign Exchange
n/a = not applicable
|