Fair value measurement (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value Disclosures [Abstract]

Financial Instruments Carried at Fair Value on Recurring Basis

The following tables present the financial instruments carried at fair value at March 31, 2020 and Dec. 31, 2019, by caption on the consolidated balance sheet and by the three-level valuation hierarchy. We have included credit ratings information in certain of the tables because the information indicates the degree of credit risk to which we are exposed, and significant changes in ratings classifications could result in increased risk for us.

Assets measured at fair value on a recurring basis at March 31, 2020													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Available-for-sale securities:
Agency RMBS	$	—		$	26,691		$	—		$	—		$	26,691
U.S. Treasury	23,081			—			—			—			23,081
Sovereign debt/sovereign guaranteed	7,070			5,840			—			—			12,910
Agency commercial MBS	—			9,805			—			—			9,805
Foreign covered bonds	—			5,272			—			—			5,272
Supranational	—			4,348			—			—			4,348
CLOs	—			4,098			—			—			4,098
Commercial paper/CDs	—			2,814			—			—			2,814
Foreign government agencies	—			2,764			—			—			2,764
Non-agency commercial MBS	—			2,473			—			—			2,473
Other ABS	—			2,220			—			—			2,220
U.S. government agencies	—			2,213			—			—			2,213
Non-agency RMBS (b)	—			1,475			—			—			1,475
State and political subdivisions	—			985			—			—			985
Corporate bonds	—			818			—			—			818
Other debt securities	—			1			—			—			1
Total available-for-sale securities	30,151			71,817			—			—			101,968
Trading assets:
Debt instruments	1,812			3,179			—			—			4,991
Equity instruments (c)	2,231			—			—			—			2,231
Derivative assets not designated as hedging:
Interest rate	8			6,035			—			(3,047		)	2,996
Foreign exchange	—			9,964			—			(7,272		)	2,692
Equity and other contracts	6			11			—			(9		)	8
Total derivative assets not designated as hedging	14			16,010			—			(10,328		)	5,696
Total trading assets	4,057			19,189			—			(10,328		)	12,918
Other assets:
Derivative assets designated as hedging:
Foreign exchange	—			187			—			—			187
Total derivative assets designated as hedging	—			187			—			—			187
Other assets (d)	46			136			—			—			182
Assets measured at NAV (d)													158
Subtotal assets of operations at fair value	34,254			91,329			—			(10,328		)	115,413
Percentage of assets of operations prior to netting	27		%	73		%	—		%
Assets of consolidated investment management funds	188			41			—			—			229
Total assets	$	34,442		$	91,370		$	—		$	(10,328	)	$	115,642
Percentage of total assets prior to netting	27		%	73		%	—		%

Liabilities measured at fair value on a recurring basis at March 31, 2020													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Trading liabilities:
Debt instruments	$	1,101		$	143		$	—		$	—		$	1,244
Equity instruments	64			—			—			—			64
Derivative liabilities not designated as hedging:
Interest rate	14			5,261			—			(3,479		)	1,796
Foreign exchange	—			11,854			—			(8,382		)	3,472
Equity and other contracts	1			51			—			(3		)	49
Total derivative liabilities not designated as hedging	15			17,166			—			(11,864		)	5,317
Total trading liabilities	1,180			17,309			—			(11,864		)	6,625
Long-term debt (c)	—			397			—			—			397
Other liabilities – derivative liabilities designated as hedging:
Interest rate	—			927			—			—			927
Foreign exchange	—			46			—			—			46
Total other liabilities – derivative liabilities designated as hedging	—			973			—			—			973
Subtotal liabilities of operations at fair value	1,180			18,679			—			(11,864		)	7,995
Percentage of liabilities of operations prior to netting	6		%	94		%	—		%
Liabilities of consolidated investment management funds	—			1			—			—			1
Total liabilities	$	1,180		$	18,680		$	—		$	(11,864	)	$	7,996
Percentage of total liabilities prior to netting	6		%	94		%	—		%

(a) ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.

(b) Includes $535 million in Level 2 that was included in the former Grantor Trust.

(c) Includes certain interests in securitizations.

(d) Includes seed capital, private equity investments and other assets.

Assets measured at fair value on a recurring basis at Dec. 31, 2019													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Available-for-sale securities:
Agency RMBS	$	—		$	27,043		$	—		$	—		$	27,043
U.S. Treasury	15,431			—			—			—			15,431
Sovereign debt/sovereign guaranteed	7,784			4,862			—			—			12,646
Agency commercial MBS	—			9,417			—			—			9,417
Foreign covered bonds	—			4,197			—			—			4,197
CLOs	—			4,063			—			—			4,063
Supranational	—			3,709			—			—			3,709
Foreign government agencies	—			2,643			—			—			2,643
Non-agency commercial MBS	—			2,178			—			—			2,178
Other ABS	—			2,143			—			—			2,143
U.S. government agencies	—			1,949			—			—			1,949
Non-agency RMBS (b)	—			1,233			—			—			1,233
State and political subdivisions	—			1,044			—			—			1,044
Corporate bonds	—			853			—			—			853
Other debt securities	—			1			—			—			1
Total available-for-sale securities	23,215			65,335			—			—			88,550
Trading assets:
Debt instruments	1,568			4,243			—			—			5,811
Equity instruments (c)	4,539			—			—			—			4,539
Derivative assets not designated as hedging:
Interest rate	4			3,686			—			(1,792		)	1,898
Foreign exchange	—			5,331			—			(4,021		)	1,310
Equity and other contracts	—			19			—			(6		)	13
Total derivative assets not designated as hedging	4			9,036			—			(5,819		)	3,221
Total trading assets	6,111			13,279			—			(5,819		)	13,571
Other assets:
Derivative assets designated as hedging:
Foreign exchange	—			21			—			—			21
Total derivative assets designated as hedging	—			21			—			—			21
Other assets (d)	38			179			—			—			217
Assets measured at NAV (d)													181
Subtotal assets of operations at fair value	29,364			78,814			—			(5,819		)	102,540
Percentage of assets of operations prior to netting	27		%	73		%	—		%
Assets of consolidated investment management funds	212			33			—			—			245
Total assets	$	29,576		$	78,847		$	—		$	(5,819	)	$	102,785
Percentage of total assets prior to netting	27		%	73		%	—		%

Liabilities measured at fair value on a recurring basis at Dec. 31, 2019													Total carrying value
(dollars in millions)	Level 1			Level 2			Level 3			Netting (a)
Trading liabilities:
Debt instruments	$	1,477		$	107		$	—		$	—		$	1,584
Equity instruments	73			—			—			—			73
Derivative liabilities not designated as hedging:
Interest rate	6			3,244			—			(1,986		)	1,264
Foreign exchange	—			5,340			—			(3,428		)	1,912
Equity and other contracts	3			6			—			(1		)	8
Total derivative liabilities not designated as hedging	9			8,590			—			(5,415		)	3,184
Total trading liabilities	1,559			8,697			—			(5,415		)	4,841
Long-term debt (c)	—			387			—			—			387
Other liabilities – derivative liabilities designated as hedging:
Interest rate	—			350			—			—			350
Foreign exchange	—			257			—			—			257
Total other liabilities – derivative liabilities designated as hedging	—			607			—			—			607
Subtotal liabilities of operations at fair value	1,559			9,691			—			(5,415		)	5,835
Percentage of liabilities of operations prior to netting	14		%	86		%	—		%
Liabilities of consolidated investment management funds	1			—			—			—			1
Total liabilities	$	1,560		$	9,691		$	—		$	(5,415	)	$	5,836
Percentage of total liabilities prior to netting	14		%	86		%	—		%

(a) ASC 815, Derivatives and Hedging, permits the netting of derivative receivables and derivative payables under legally enforceable master netting agreements and permits the netting of cash collateral. Netting is applicable to derivatives not designated as hedging instruments included in trading assets or trading liabilities and derivatives designated as hedging instruments included in other assets or other liabilities. Netting is allocated to the derivative products based on the net fair value of each product.

(b) Includes $640 million in Level 2 that was included in the former Grantor Trust.

(c) Includes certain interests in securitizations.

(d)

Includes seed capital, private equity investments and other assets.

Details Of Certain Items Measured At Fair Value on Recurring Basis

Details of certain available-for-sale securities measured at fair value on a recurring basis	March 31, 2020											Dec. 31, 2019
	Total carrying value			Ratings (a)								Total carrying value			Ratings (a)
				AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower					AAA/ AA-		A+/ A-		BBB+/ BBB-		BB+ and lower
(dollars in millions)			(b)											(b)
Non-agency RMBS (c), originated in:
2007-2020	$	826		79	%	1	%	—	%	20	%	$	464		55	%	1	%	—	%	44	%
2006	244			—		22		—		78		291			—		21		—		79
2005	258			5		2		8		85		305			5		2		8		85
2004 and earlier	147			22		23		6		49		173			22		24		4		50
Total non-agency RMBS	$	1,475		48	%	6	%	2	%	44	%	$	1,233		25	%	9	%	3	%	63	%
Non-agency commercial MBS originated in:
2009-2020	$	2,473		100	%	—	%	—	%	—	%	$	2,178		98	%	2	%	—	%	—	%
Foreign covered bonds:
Canada	$	2,207		100	%	—	%	—	%	—	%	$	1,798		100	%	—	%	—	%	—	%
UK	1,109			100		—		—		—		984			100		—		—		—
Australia	605			100		—		—		—		431			100		—		—		—
Norway	495			100		—		—		—		287			100		—		—		—
Germany	465			100		—		—		—		357			100		—		—		—
Other	391			100		—		—		—		340			100		—		—		—
Total foreign covered bonds	$	5,272		100	%	—	%	—	%	—	%	$	4,197		100	%	—	%	—	%	—	%
Sovereign debt/sovereign guaranteed:
UK	$	2,971		100	%	—	%	—	%	—	%	$	3,318		100	%	—	%	—	%	—	%
Germany	2,168			100		—		—		—		1,997			100		—		—		—
France	1,577			100		—		—		—		1,272			100		—		—		—
Spain	1,546			—		4		96		—		1,453			—		6		94		—
Italy	1,390			—		—		100		—		1,260			—		—		100		—
Singapore	768			100		—		—		—		742			100		—		—		—
Ireland	462			—		100		—		—		301			—		100		—		—
Netherlands	387			100		—		—		—		791			100		—		—		—
Austria	347			100		—		—		—		240			100		—		—		—
Canada	345			100		—		—		—		271			100		—		—		—
Hong Kong	294			100		—		—		—		411			100		—		—		—
Other (d)	655			39		39		—		22		590			29		48		—		23
Total sovereign debt/sovereign guaranteed	$	12,910		71	%	6	%	22	%	1	%	$	12,646		73	%	5	%	21	%	1	%
Foreign government agencies:
Germany	$	1,161		100	%	—	%	—	%	—	%	$	1,131		100	%	—	%	—	%	—	%
Netherlands	632			100		—		—		—		678			100		—		—		—
Sweden	250			100		—		—		—		202			100		—		—		—
Finland	240			100		—		—		—		245			100		—		—		—
Other	481			72		28		—		—		387			67		33		—		—
Total foreign government agencies	$	2,764		95	%	5	%	—	%	—	%	$	2,643		95	%	5	%	—	%	—	%

(a) Represents ratings by S&P or the equivalent.

(b) At March 31, 2020 and Dec. 31, 2019, sovereign debt/sovereign guaranteed securities were included in Level 1 and Level 2 in the valuation hierarchy. All other assets in the table are Level 2 assets in the valuation hierarchy.

(c) Includes $535 million at March 31, 2020 and $640 million at Dec. 31, 2019 that were included in the former Grantor Trust.

(d) Includes non-investment grade sovereign debt/sovereign guaranteed securities related to Brazil of $113 million at March 31, 2020 and $134 million at Dec. 31, 2019.

Assets Measured at Fair Value on Nonrecurring Basis

The following table presents the financial instruments carried on the consolidated balance sheet by caption and level in the fair value hierarchy as of March 31, 2020 and Dec. 31, 2019.

Assets measured at fair value on a nonrecurring basis	March 31, 2020								Dec. 31, 2019
							Total carrying value								Total carrying value
(in millions)	Level 1		Level 2		Level 3				Level 1		Level 2		Level 3
Loans (a)	$	—	$	56	$	—	$	56	$	—	$	58	$	—	$	58
Other assets (b)	—		102		—		102		—		64		—		64
Total assets at fair value on a nonrecurring basis	$	—	$	158	$	—	$	158	$	—	$	122	$	—	$	122

 

(a) The fair value of these loans decreased less than $1 million in the first quarter of 2020 and the fourth quarter of 2019, based on the fair value of the underlying collateral, as required by guidance in ASC 326, Financial Instruments – Credit Losses, with an offset to the allowance for credit losses.

(b)

Includes non-readily marketable equity securities carried at cost with upward or downward adjustments and other assets received in satisfaction of debt.

Summary of Financial Instruments Not Carried at Fair Value

The following tables present the estimated fair value and the carrying amount of financial instruments not carried at fair value on the consolidated balance sheet at March 31, 2020 and Dec. 31, 2019, by caption on the consolidated balance sheet and by the valuation hierarchy.

Summary of financial instruments	March 31, 2020
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	146,535	$	—	$	146,535	$	146,535
Interest-bearing deposits with banks	—		22,689		—		22,689		22,672
Federal funds sold and securities purchased under resale agreements	—		27,363		—		27,363		27,363
Securities held-to-maturity	4,014		34,404		—		38,418		37,305
Loans (a)	—		61,482		—		61,482		61,174
Other financial assets	5,091		1,198		—		6,289		6,289
Total	$	9,105	$	293,671	$	—	$	302,776	$	301,338
Liabilities:
Noninterest-bearing deposits	$	—	$	96,600	$	—	$	96,600	$	96,600
Interest-bearing deposits	—		239,459		—		239,459		240,117
Federal funds purchased and securities sold under repurchase agreements	—		13,128		—		13,128		13,128
Payables to customers and broker-dealers	—		24,016		—		24,016		24,016
Commercial paper	—		1,121		—		1,121		1,121
Borrowings	—		1,767		—		1,767		1,767
Long-term debt	—		27,521		—		27,521		27,097
Total	$	—	$	403,612	$	—	$	403,612	$	403,846

(a) Does not include the leasing portfolio.

Summary of financial instruments	Dec. 31, 2019
(in millions)	Level 1		Level 2		Level 3		Total estimated fair value		Carrying amount
Assets:
Interest-bearing deposits with the Federal Reserve and other central banks	$	—	$	95,042	$	—	$	95,042	$	95,042
Interest-bearing deposits with banks	—		14,832		—		14,832		14,811
Federal funds sold and securities purchased under resale agreements	—		30,182		—		30,182		30,182
Securities held-to-maturity	4,630		30,175		—		34,805		34,483
Loans (a)	—		54,194		—		54,194		53,718
Other financial assets	4,830		1,233		—		6,063		6,063
Total	$	9,460	$	225,658	$	—	$	235,118	$	234,299
Liabilities:
Noninterest-bearing deposits	$	—	$	57,630	$	—	$	57,630	$	57,630
Interest-bearing deposits	—		200,846		—		200,846		201,836
Federal funds purchased and securities sold under repurchase agreements	—		11,401		—		11,401		11,401
Payables to customers and broker-dealers	—		18,758		—		18,758		18,758
Commercial paper	—		3,959		—		3,959		3,959
Borrowings	—		917		—		917		917
Long-term debt	—		27,858		—		27,858		27,114
Total	$	—	$	321,369	$	—	$	321,369	$	321,615

(a) Does not include the leasing portfolio.