Percentage of securities valued with reasonable level of price transparency

$ 88,550,000,000

$ 85,809,000,000

99.00%

$ 9,061,000,000

8,754,000,000

(5,819,000,000)

(5,939,000,000)

3,242,000,000

2,815,000,000

9,206,000,000

8,538,000,000

(5,415,000,000)

(6,170,000,000)

3,791,000,000

2,368,000,000

Investment management funds

387,000,000

371,000,000

229,000,000

243,000,000

16,000,000

220,000,000

245,000,000

463,000,000

1,000,000

2,000,000

Interest rate contracts

(1,792,000,000)

(2,202,000,000)

Foreign exchange contracts

(1,986,000,000)

(2,508,000,000)

(4,021,000,000)

(3,724,000,000)

(3,428,000,000)

(3,626,000,000)

Equity contracts

(6,000,000)

(13,000,000)

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

(1,000,000)

(36,000,000)

Agency RMBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

27,043,000,000

25,308,000,000

U.S. Treasury

Sovereign debt/sovereign guaranteed

15,431,000,000

20,076,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Agency commercial mortgage-backed securities (“MBS”)

12,646,000,000

10,750,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

9,417,000,000

9,691,000,000

Foreign covered bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

4,197,000,000

2,878,000,000

CLOs

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

4,063,000,000

3,364,000,000

Supranational

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

3,709,000,000

2,984,000,000

Other ABS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

2,143,000,000

1,773,000,000

U.S. government agencies

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

1,949,000,000

1,657,000,000

Non-agency RMBS

State and political subdivisions

1,233,000,000

1,325,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

1,044,000,000

2,247,000,000

Corporate bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

853,000,000

1,054,000,000

Other debt securities

Not designated as hedging

1,000,000

77,000,000

9,040,000,000

8,465,000,000

Not designated as hedging | Interest rate contracts

8,599,000,000

8,450,000,000

3,690,000,000

3,590,000,000

Not designated as hedging | Foreign exchange contracts

3,250,000,000

3,116,000,000

5,331,000,000

4,807,000,000

Not designated as hedging | Equity contracts

5,340,000,000

5,215,000,000

19,000,000

68,000,000

5,000,000

118,000,000

Designated as hedging

21,000,000

289,000,000

Designated as hedging | Interest rate contracts

607,000,000

88,000,000

23,000,000

Designated as hedging | Foreign exchange contracts

350,000,000

74,000,000

21,000,000

266,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

257,000,000

14,000,000

Operating segments

88,550,000,000

85,809,000,000

13,571,000,000

7,035,000,000

419,000,000

742,000,000

Operating segments | Investment management funds

387,000,000

371,000,000

245,000,000

463,000,000

Assets measured at fair value on a recurring basis

1,000,000

2,000,000

(5,819,000,000)

(5,939,000,000)

102,785,000,000

94,049,000,000

(5,415,000,000)

(6,170,000,000)

Assets measured at fair value on a recurring basis | Level 1

5,836,000,000

3,940,000,000

$ 29,576,000,000

$ 28,898,000,000

27.00%

29.00%

$ 1,560,000,000

$ 1,096,000,000

Assets measured at fair value on a recurring basis | Level 2

14.00%

11.00%

$ 78,847,000,000

$ 70,875,000,000

73.00%

71.00%

$ 9,691,000,000

$ 9,014,000,000

Assets measured at fair value on a recurring basis | Level 2 | Grantor Trust

86.00%

89.00%

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Level 3

$ 640,000,000

$ 832,000,000

$ 0

0.00%

$ 0

Assets measured at fair value on a recurring basis | Operating segments

0.00%

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

$ 88,550,000,000

$ 85,809,000,000

Debt instruments

5,811,000,000

3,395,000,000

Equity instruments

4,539,000,000

1,114,000,000

(5,819,000,000)

(5,939,000,000)

13,571,000,000

7,035,000,000

217,000,000

238,000,000

102,540,000,000

93,586,000,000

4,841,000,000

3,479,000,000

(5,415,000,000)

(6,170,000,000)

Total other liabilities – derivative liabilities designated as hedging

387,000,000

371,000,000

607,000,000

Assets measured at fair value on a recurring basis | Operating segments | Investment management funds

5,835,000,000

3,938,000,000

245,000,000

463,000,000

Assets measured at fair value on a recurring basis | Operating segments | Interest rate contracts

1,000,000

2,000,000

(1,792,000,000)

(2,202,000,000)

Assets measured at fair value on a recurring basis | Operating segments | Foreign exchange contracts

(1,986,000,000)

(2,508,000,000)

(4,021,000,000)

(3,724,000,000)

Assets measured at fair value on a recurring basis | Operating segments | Equity contracts

(3,428,000,000)

(3,626,000,000)

(6,000,000)

(13,000,000)

Assets measured at fair value on a recurring basis | Operating segments | Agency RMBS

(1,000,000)

(36,000,000)

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | U.S. Treasury

27,043,000,000

25,308,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Sovereign debt/sovereign guaranteed

15,431,000,000

20,076,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Agency commercial mortgage-backed securities (“MBS”)

12,646,000,000

10,750,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Foreign covered bonds

9,417,000,000

9,691,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | CLOs

4,197,000,000

2,878,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Supranational

4,063,000,000

3,364,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Foreign government agencies

3,709,000,000

2,984,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Non-agency commercial MBS

2,643,000,000

1,161,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Other ABS

2,178,000,000

1,464,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | U.S. government agencies

2,143,000,000

1,773,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Non-agency RMBS

1,949,000,000

1,657,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | State and political subdivisions

1,233,000,000

1,325,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Corporate bonds

1,044,000,000

2,247,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Other debt securities

853,000,000

1,054,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Not designated as hedging

1,000,000

77,000,000

3,221,000,000

2,526,000,000

(5,415,000,000)

Assets measured at fair value on a recurring basis | Operating segments | Not designated as hedging | Interest rate contracts

3,184,000,000

2,280,000,000

1,898,000,000

1,388,000,000

Assets measured at fair value on a recurring basis | Operating segments | Not designated as hedging | Foreign exchange contracts

1,264,000,000

608,000,000

1,310,000,000

1,083,000,000

Assets measured at fair value on a recurring basis | Operating segments | Not designated as hedging | Equity contracts

1,912,000,000

1,589,000,000

13,000,000

55,000,000

Assets measured at fair value on a recurring basis | Operating segments | Designated as hedging

8,000,000

83,000,000

21,000,000

289,000,000

Total other liabilities – derivative liabilities designated as hedging

88,000,000

Assets measured at fair value on a recurring basis | Operating segments | Designated as hedging | Interest rate contracts

23,000,000

Assets measured at fair value on a recurring basis | Operating segments | Designated as hedging | Foreign exchange contracts

350,000,000

74,000,000

21,000,000

266,000,000

Assets measured at fair value on a recurring basis | Operating segments | Debt instruments

257,000,000

14,000,000

Assets measured at fair value on a recurring basis | Operating segments | Equity instruments

1,584,000,000

1,124,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1

73,000,000

75,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

23,215,000,000

26,689,000,000

Debt instruments

1,568,000,000

801,000,000

Equity instruments

4,539,000,000

1,114,000,000

6,111,000,000

1,931,000,000

38,000,000

68,000,000

$ 29,364,000,000

$ 28,688,000,000

27.00%

29.00%

$ 1,559,000,000

$ 1,094,000,000

Total other liabilities – derivative liabilities designated as hedging

$ 1,559,000,000

$ 1,094,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Investment management funds

14.00%

11.00%

$ 212,000,000

$ 210,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Agency RMBS

1,000,000

2,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | U.S. Treasury

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Sovereign debt/sovereign guaranteed

15,431,000,000

20,076,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Agency commercial mortgage-backed securities (“MBS”)

7,784,000,000

6,613,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Foreign covered bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | CLOs

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Supranational

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Foreign government agencies

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Non-agency commercial MBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Other ABS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | U.S. government agencies

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Non-agency RMBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | State and political subdivisions

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Corporate bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Other debt securities

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Not designated as hedging

4,000,000

16,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Not designated as hedging | Interest rate contracts

9,000,000

13,000,000

4,000,000

7,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Not designated as hedging | Foreign exchange contracts

6,000,000

12,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Not designated as hedging | Equity contracts

9,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Designated as hedging

3,000,000

1,000,000

Total other liabilities – derivative liabilities designated as hedging

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Designated as hedging | Interest rate contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Designated as hedging | Foreign exchange contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Debt instruments

Assets measured at fair value on a recurring basis | Operating segments | Level 1 | Equity instruments

1,477,000,000

1,006,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2

73,000,000

75,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

65,335,000,000

59,120,000,000

Debt instruments

4,243,000,000

2,594,000,000

Equity instruments

13,279,000,000

11,043,000,000

179,000,000

170,000,000

$ 78,814,000,000

$ 70,622,000,000

73.00%

71.00%

$ 8,697,000,000

$ 8,555,000,000

Total other liabilities – derivative liabilities designated as hedging

387,000,000

371,000,000

607,000,000

$ 9,691,000,000

$ 9,014,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Investment management funds

86.00%

89.00%

$ 33,000,000

$ 253,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Agency RMBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | U.S. Treasury

27,043,000,000

25,308,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Sovereign debt/sovereign guaranteed

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Agency commercial mortgage-backed securities (“MBS”)

4,862,000,000

4,137,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Foreign covered bonds

9,417,000,000

9,691,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | CLOs

4,197,000,000

2,878,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Supranational

4,063,000,000

3,364,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Foreign government agencies

3,709,000,000

2,984,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Non-agency commercial MBS

2,643,000,000

1,161,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Other ABS

2,178,000,000

1,464,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | U.S. government agencies

2,143,000,000

1,773,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Non-agency RMBS

1,949,000,000

1,657,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | State and political subdivisions

1,233,000,000

1,325,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Corporate bonds

1,044,000,000

2,247,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Other debt securities

853,000,000

1,054,000,000

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Not designated as hedging

1,000,000

77,000,000

9,036,000,000

8,449,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Not designated as hedging | Interest rate contracts

8,590,000,000

8,437,000,000

3,686,000,000

3,583,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Not designated as hedging | Foreign exchange contracts

3,244,000,000

3,104,000,000

5,331,000,000

4,807,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Not designated as hedging | Equity contracts

5,340,000,000

5,215,000,000

19,000,000

59,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Designated as hedging

6,000,000

118,000,000

21,000,000

289,000,000

Total other liabilities – derivative liabilities designated as hedging

88,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Designated as hedging | Interest rate contracts

23,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Designated as hedging | Foreign exchange contracts

350,000,000

74,000,000

21,000,000

266,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Debt instruments

257,000,000

14,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 2 | Equity instruments

107,000,000

118,000,000

Assets measured at fair value on a recurring basis | Operating segments | Level 3

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

$ 0

0.00%

$ 0

Total other liabilities – derivative liabilities designated as hedging

$ 0

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Investment management funds

0.00%

$ 0

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Agency RMBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | U.S. Treasury

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Sovereign debt/sovereign guaranteed

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Agency commercial mortgage-backed securities (“MBS”)

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Foreign covered bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | CLOs

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Supranational

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Foreign government agencies

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Non-agency commercial MBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Other ABS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | U.S. government agencies

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Non-agency RMBS

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | State and political subdivisions

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Corporate bonds

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Other debt securities

Fair Value, Assets and Liabilities Measured on Recurring Basis [Line Items]

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Not designated as hedging

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Not designated as hedging | Interest rate contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Not designated as hedging | Foreign exchange contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Not designated as hedging | Equity contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Designated as hedging

Total other liabilities – derivative liabilities designated as hedging

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Designated as hedging | Interest rate contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Designated as hedging | Foreign exchange contracts

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Debt instruments

Assets measured at fair value on a recurring basis | Operating segments | Level 3 | Equity instruments

Assets measured at fair value on a recurring basis | Operating segments | NAV