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Fair Values of Assets and Liabilities (Tables)
 3 Months Ended
Mar. 31, 2020
Fair Value Disclosures [Abstract]  
Fair Value, Measurements obtained from Third Party Pricing Services
Table 16.1 presents unadjusted fair value measurements obtained from third-party pricing services classified within the fair value hierarchy. Unadjusted fair value measurements obtained from brokers and fair value measurements obtained from brokers or third-party pricing services that we have adjusted to determine the fair value are excluded from Table 16.1.
The unadjusted fair value measurements obtained from brokers for available-for-sale debt securities were $18 million in Level 2 assets and $123 million in Level 3 assets at March 31, 2020, and $45 million and $126 million at December 31, 2019, respectively.

Table 16.1: Fair Value Measurements obtained from Third-Party Pricing Services
 
March 31, 2020
 
 
December 31, 2019
 
(in millions)
Level 1

 
Level 2

 
Level 3

 
Level 1

 
Level 2

 
Level 3

Trading debt securities
2,027

 
357

 
—

 
634

 
329

 
—

Available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
11,036

 
—

 
—

 
13,460

 
1,500

 
—

Securities of U.S. states and political subdivisions
—

 
37,793

 
66

 
—

 
39,868

 
34

Mortgage-backed securities
—

 
163,329

 
185

 
—

 
167,172

 
42

Other debt securities (1)
—

 
34,603

 
743

 
—

 
38,067

 
650

Total available-for-sale debt securities
11,036

 
235,725

 
994

 
13,460

 
246,607

 
726

Marketable equity securities
—

 
98

 
—

 
—

 
110

 
—

Derivative assets
41

 
6

 
—

 
12

 
1

 
—

Derivative liabilities
(25
)
 
(8
)
 
—

 
(11
)
 
(3
)
 
—

(1)
Includes corporate debt securities, collateralized loan and other debt obligations, asset-backed securities, and other debt securities.
Fair Value on a Recurring Basis
Table 16.2 presents the balances of assets and liabilities recorded at fair value on a recurring basis.

Table 16.2: Fair Value on a Recurring Basis
(in millions)
Level 1

 
Level 2

 
Level 3

 
Netting (1)

Total

March 31, 2020
 
 
 
 
 
 
 
 
Trading debt securities:
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
35,069

 
4,638

 
—

 
—

39,707

Securities of U.S. states and political subdivisions
—

 
2,972

 
—

 
—

2,972

Collateralized loan obligations
—

 
472

 
154

 
—

626

Corporate debt securities
—

 
12,392

 
34

 
—

12,426

Mortgage-backed securities
—

 
23,738

 
177

 
—

23,915

Asset-backed securities
—

 
742

 
24

 
—

766

Other trading debt securities
—

 
13

 
—

 
—

13

Total trading debt securities
35,069

 
44,967

 
389

 
—

80,425

Available-for-sale debt securities:
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
11,036

 
—

 
—

 
—

11,036

Securities of U.S. states and political subdivisions
—

 
37,793

 
351

 
—

38,144

Mortgage-backed securities:
 
 
 
 
 
 
 
 
Federal agencies
—

 
160,214

 
—

 
—

160,214

Residential
—

 
745

 
31

 
—

776

Commercial
—

 
3,500

 
154

 
—

3,654

Total mortgage-backed securities
—

 
164,459

 
185

 
—

164,644

Corporate debt securities
33

 
4,692

 
1,130

 
—

5,855

Collateralized loan and other debt obligations
—

 
24,532

 
636

 
—

25,168

Asset-backed securities:
 
 
 
 
 
 
 
 
Automobile loans and leases
—

 
884

 
—

 
—

884

Home equity loans
—

 
12

 
—

 
—

12

Other asset-backed securities
—

 
3,380

 
110

 
—

3,490

Total asset-backed securities
—

 
4,276

 
110

 
—

4,386

Other debt securities
—

 
1,996

 
—

 
—

1,996

Total available-for-sale debt securities
11,069

 
237,748

 
2,412

(2)
—

251,229

Mortgage loans held for sale
—

 
13,508

 
3,157

 
—

16,665

Loans held for sale
—

 
1,654

 
19

 
—

1,673

Loans
—

 
—

 
160

 
—

160

Mortgage servicing rights (residential)
—

 
—

 
8,126

 
—

8,126

Derivative assets:
 
 
 
 
 
 
 
 
Interest rate contracts
152

 
57,695

 
762

 
—

58,609

Commodity contracts
—

 
2,301

 
15

 
—

2,316

Equity contracts
4,418

 
7,371

 
1,361

 
—

13,150

Foreign exchange contracts
41

 
8,626

 
24

 
—

8,691

Credit contracts
—

 
76

 
77

 
—

153

Netting
—

 
—

 
—

 
(57,896
)
(57,896
)
Total derivative assets
4,611

 
76,069

 
2,239

 
(57,896
)
25,023

Equity securities – excluding securities at NAV:
 
 
 
 
 
 
 
 
Marketable
20,983

 
295

 
3

 
—

21,281

Nonmarketable
—

 
15

 
6,751

 
—

6,766

Total equity securities
20,983

 
310

 
6,754

 
—

28,047

Total assets included in the fair value hierarchy
$
71,732


374,256


23,256


(57,896
)
411,348

Equity securities at NAV (3)
 
 
 
 
 
 
 
129

Total assets recorded at fair value
 
 
 
 
 
 
 
411,477

Derivative liabilities:
 
 
 
 
 
 
 
 
Interest rate contracts
$
(158
)
 
(47,317
)
 
(77
)
 
—

(47,552
)
Commodity contracts
—

 
(6,779
)
 
(59
)
 
—

(6,838
)
Equity contracts
(4,600
)
 
(4,610
)
 
(1,144
)
 
—

(10,354
)
Foreign exchange contracts
(25
)
 
(9,969
)
 
(30
)
 
—

(10,024
)
Credit contracts
—

 
(63
)
 
(30
)
 
—

(93
)
Netting
—

 
—

 
—

 
59,243

59,243

Total derivative liabilities
(4,783
)
 
(68,738
)
 
(1,340
)
 
59,243

(15,618
)
Short sale liabilities:
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
(9,881
)
 
(103
)
 
—

 
—

(9,984
)
Mortgage-backed securities
—

 
(92
)
 
—

 
—

(92
)
Corporate debt securities
—

 
(5,520
)
 
—

 
—

(5,520
)
Equity securities
(1,984
)
 
—

 
—

 
—

(1,984
)
Other securities
—

 
(23
)
 
—

 
—

(23
)
Total short sale liabilities
(11,865
)
 
(5,738
)
 
—

 
—

(17,603
)
Other liabilities
—

 
—

 
(2
)
 
—

(2
)
Total liabilities recorded at fair value
$
(16,648
)
 
(74,476
)
 
(1,342
)
 
59,243

(33,223
)
(1)
Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Note 15 (Derivatives) for additional information.
(2)
Largely consists of securities that are 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.
(3)
Consists of certain nonmarketable equity securities that are measured at fair value using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.

(continued on following page)
(continued from previous page)
(in millions)  
Level 1

 
Level 2

 
Level 3

 
Netting (1)

Total

December 31, 2019
 
 
 
 
 
 
 
 
Trading debt securities:
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
$
32,335

 
4,382

 
—

 
—

36,717

Securities of U.S. states and political subdivisions
—

 
2,434

 
—

 
—

2,434

Collateralized loan obligations
—

 
555

 
183

 
—

738

Corporate debt securities
—

 
11,006

 
38

 
—

11,044

Mortgage-backed securities
—

 
27,712

 
—

 
—

27,712

Asset-backed securities
—

 
1,081

 
—

 
—

1,081

Other trading debt securities
—

 
5

 
2

 
—

7

Total trading debt securities
32,335

 
47,175

 
223

 
—

79,733

Available-for-sale debt securities:
 
 
 
 
 
 
 
 
Securities of U.S. Treasury and federal agencies
13,460

 
1,500

 
—

 
—

14,960

Securities of U.S. states and political subdivisions
—

 
39,924

 
413

 
—

40,337

Mortgage-backed securities:
 
 
 
 
 
 
 

Federal agencies
—

 
162,453

 
—

 
—

162,453

Residential
—

 
827

 
—

 
—

827

Commercial
—

 
3,892

 
42

 
—

3,934

Total mortgage-backed securities
—

 
167,172

 
42

 
—

167,214

Corporate debt securities
37

 
6,159

 
367

 
—

6,563

Collateralized loan and other debt obligations
—

 
29,055

 
640

 
—

29,695

Asset-backed securities:
 
 
 
 
 
 
 

Automobile loans and leases
—

 
951

 
—

 
—

951

Home equity loans
—

 
—

 
—

 
—

—

Other asset-backed securities
—

 
3,635

 
103

 
—

3,738

Total asset-backed securities
—

 
4,586

 
103

 
—

4,689

Other debt securities
—

 
1

 
—

 
—

1

Total available-for-sale debt securities
13,497

 
248,397

 
1,565

(2)
—

263,459

Mortgage loans held for sale
—

 
15,408

 
1,198

 
—

16,606

Loans held for sale
—

 
956

 
16

 
—

972

Loans
—

 
—

 
171

 
—

171

Mortgage servicing rights (residential)
—

 
—

 
11,517

 
—

11,517

Derivative assets:
 
 
 
 
 
 
 

Interest rate contracts
26

 
23,792

 
229

 
—

24,047

Commodity contracts
—

 
1,413

 
8

 
—

1,421

Equity contracts
2,946

 
4,135

 
1,455

 
—

8,536

Foreign exchange contracts
12

 
5,197

 
5

 
—

5,214

Credit contracts
—

 
49

 
59

 
—

108

Netting
—

 
—

 
—

 
(25,123
)
(25,123
)
Total derivative assets
2,984

 
34,586

 
1,756

 
(25,123
)
14,203

Equity securities – excluding securities at NAV:
 
 
 
 
 
 
 
 
Marketable
33,702

 
216

 
3

 
—

33,921

Nonmarketable
—

 
22

 
7,847

 
—

7,869

Total equity securities
33,702

 
238

 
7,850

 
—

41,790

Total assets included in the fair value hierarchy
$
82,518

 
346,760

 
24,296

 
(25,123
)
428,451

Equity securities at NAV (3)
 
 
 
 
 
 
 
146

Total assets recorded at fair value


 


 


 


428,597

Derivative liabilities:
 
 
 
 
 
 
 

Interest rate contracts
$
(23
)
 
(19,328
)
 
(15
)
 
—

(19,366
)
Commodity contracts
—

 
(1,746
)
 
(24
)
 
—

(1,770
)
Equity contracts
(2,011
)
 
(6,729
)
 
(1,724
)
 
—

(10,464
)
Foreign exchange contracts
(11
)
 
(6,213
)
 
(23
)
 
—

(6,247
)
Credit contracts
—

 
(53
)
 
(30
)
 
—

(83
)
Netting
—

 
—

 
—

 
28,851

28,851

Total derivative liabilities
(2,045
)
 
(34,069
)
 
(1,816
)
 
28,851

(9,079
)
Short sale liabilities:
 
 
 
 
 
 
 


Securities of U.S. Treasury and federal agencies
(9,035
)
 
(31
)
 
—

 
—

(9,066
)
Mortgage-backed securities
—

 
(2
)
 
—

 
—

(2
)
Corporate debt securities
—

 
(5,915
)
 
—

 
—

(5,915
)
Equity securities
(2,447
)
 
—

 
—

 
—

(2,447
)
Other securities
—

 
—

 
—

 
—

—

Total short sale liabilities
(11,482
)
 
(5,948
)
 
—

 
—

(17,430
)
Other liabilities
—

 
—

 
(2
)
 
—

(2
)
Total liabilities recorded at fair value
$
(13,527
)
 
(40,017
)
 
(1,818
)
 
28,851

(26,511
)
(1)
Represents balance sheet netting of derivative asset and liability balances, related cash collateral and portfolio level counterparty valuation adjustments. See Note 15 (Derivatives) for additional information.
(2)
A significant portion of the balance consists of securities that are 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.
(3)
Consists of certain nonmarketable equity securities that are measured at fair value using NAV per share (or its equivalent) as a practical expedient and are excluded from the fair value hierarchy.
Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for the quarter ended March 31, 2020, are presented in Table 16.3.
Table 16.3: Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Quarter ended March 31, 2020
 
  

 
Total net gains
(losses) included in
 
 
Purchases,
sales,
issuances
and
settlements,
net (1)

 
  

 
  

 
  

 
Net unrealized gains (losses)
related to assets and liabilities held at period end included in
 
(in millions)
Balance,
beginning
of period

 
Net
income

 
Other
compre-
hensive
income

 
 
Transfers
into
Level 3 (2)

 
Transfers
out of
Level 3 (3)

 
Balance,
end of
period

 
Net income

(4)

Other
compre-
hensive
income

Quarter ended March 31, 2020
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
  
 
Trading debt securities:
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
  
 
Securities of U.S. states and political subdivisions
$
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

  
—

Collateralized loan obligations
183

 
(69
)
 
—

 
19

 
21

 
—

 
154

 
(69
)
  
—

Corporate debt securities
38

 
(4
)
 
—

 
3

 
—

 
(3
)
 
34

 
(3
)
  
—

Mortgage-backed securities
—

 
(42
)
 
—

 
171

 
48

 
—

 
177

 
(42
)
  
—

Asset-backed securities
—

 
(2
)
 
—

 
(5
)
 
31

 
—

 
24

 
(2
)
  
—

Other trading debt securities
2

 
(1
)
 
—

 
(1
)
 
—

 
—

 
—

 
(1
)
 
—

Total trading debt securities
223

 
(118
)
 
—

 
187

 
100

 
(3
)
 
389

 
(117
)
(5)

—

Available-for-sale debt securities:
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
  
 
Securities of U.S. states and political subdivisions
413

 
—

 
(2
)
 
(21
)
 
32

 
(71
)
 
351

 
—

  

—

Mortgage-backed securities:
  
 
  
 
  
 
  
 
  
 
  
 
 
 
  
  
 
Residential
—

 
(5
)
 
(3
)
 
26

 
13

 
—

 
31

 
(5
)
  

(3
)
Commercial
42

 
3

 
(13
)
 
(2
)
 
124

 
—

 
154

 
—

  

(12
)
Total mortgage-backed securities
42

 
(2
)
 
(16
)
 
24

 
137

 
—

 
185

 
(5
)
 
(15
)
Corporate debt securities
367

 
(52
)
 
(16
)
 
—

 
831

 
—

 
1,130

 
(54
)
  

(16
)
Collateralized loan and other debt obligations
640

 
3

 
(53
)
 
(12
)
 
58

 
—

 
636

 
—

  

(53
)
Asset-backed securities:
  
 
  
 
  
 
  
 
  
 
  
 
 
 
  
  
 
Other asset-backed securities
103

 
—

 
(4
)
 
(18
)
 
29

 
—

 
110

 
—

  

(4
)
Total asset-backed securities
103

 
—

 
(4
)
 
(18
)
 
29

 
—

 
110

 
—

  

(4
)
Total available-for-sale debt securities
1,565

 
(51
)
 
(91
)
 
(27
)
 
1,087

 
(71
)
 
2,412

 
(59
)
(6
)
(88
)
Mortgage loans held for sale
1,198

 
(61
)
 
—

 
700

 
1,322

 
(2
)
 
3,157

 
(64
)
(7
)
—

Loans held for sale
16

 
(2
)
 
—

 
(2
)
 
7

 
—

 
19

 
1

 
—

Loans
171

 
—

 
—

 
(11
)
 
—

 
—

 
160

 
(2
)
(7
)
—

Mortgage servicing rights (residential) (8)
11,517

 
(3,821
)
 
—

 
430

 
—

 
—

 
8,126

 
(3,257
)
(7
)
—

Net derivative assets and liabilities:
  
 
  
 
  
 
 
 
  
 
  
 
 
 
  
  
 
Interest rate contracts
214

 
744

 
—

 
(273
)
 
—

 
—

 
685

 
531

  

—

Commodity contracts
(16
)
 
(80
)
 
—

 
58

 
(6
)
 
—

 
(44
)
 
(27
)
  

—

Equity contracts
(269
)
 
430

 
—

 
73

 
(10
)
 
(7
)
 
217

 
451

  

—

Foreign exchange contracts
(18
)
 
10

 
—

 
2

 
—

 
—

 
(6
)
 
(2
)
  

—

Credit contracts
29

 
15

 
—

 
3

 
—

 
—

 
47

 
17

  

—

Total derivative contracts
(60
)
 
1,119

 
—

 
(137
)
 
(16
)
 
(7
)
 
899

 
970

(9
)
—

Equity securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Marketable
3

 
—

 
—

 
—

 
—

 
—

 
3

 
—

 
—

Nonmarketable
7,847

 
(1,101
)
 
—

 
—

 
7

 
(2
)
 
6,751

 
(1,103
)
 
—

Total equity securities
7,850

 
(1,101
)
 
—

 
—

 
7

 
(2
)
 
6,754

 
(1,103
)
(10
)
—

Other liabilities
(2
)
 
—

 
—

 
—

 
—

 
—

 
(2
)
 
—

(7
)
—

(1)
See Table 16.4 for detail.
(2)
All assets and liabilities transferred into level 3 were previously classified within level 2.
(3)
All assets and liabilities transferred out of level 3 are classified as level 2.
(4)
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.
(5)
Included in net gains from trading activities in the income statement.
(6)
Included in net gains from debt securities and provision for credit losses - debt securities in the income statement.
(7)
Included in mortgage banking and other noninterest income in the income statement.
(8)
For more information on the changes in mortgage servicing rights, see Note 11 (Mortgage Banking Activities).
(9)
Included in mortgage banking income, net gains from trading activities and from equity securities and other noninterest income in the income statement.
(10)
Included in net gains (losses) from equity securities in the income statement.
The changes in Level 3 assets and liabilities measured at fair value on a recurring basis for quarter ended March 31, 2019, are presented in Table 16.5.

Table 16.5: Changes in Level 3 Fair Value Assets and Liabilities on a Recurring Basis – Quarter ended March 31, 2019
  
Balance,
beginning
of period

 
Total net gains
(losses) included in
 
 
Purchases,
sales,
issuances
and
settlements,
net (1)

 
  

 
  

 
  

 
Net unrealized
gains (losses)
included in
income related
to assets and
liabilities held
at period end

  
(in millions)
 
Net
income 

 
Other
compre-
hensive
income

 
 
Transfers
into
Level 3 (2)

 
Transfers
out of
Level 3 (3)

 
Balance,
end of
period

 
(4)
Quarter ended March 31, 2019
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
  
Trading debt securities:
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
  
Securities of U.S. states and political subdivisions
$
3

 
—

 
—

 
(2
)
 
—

 
(1
)
 
—

 
—

  
Collateralized loan obligations
237

 
(3
)
 
—

 
41

 
—

 
—

 
275

 
1

  
Corporate debt securities
34

 
2

 
—

 
4

 
1

 
—

 
41

 
2

  
Other trading debt securities
16

 
(1
)
 
—

 
—

 
—

 
—

 
15

 
—

 
Total trading debt securities
290

 
(2
)
 
—

 
43

 
1

 
(1
)
 
331

 
3

(5)
Available-for-sale debt securities:
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
  
Securities of U.S. states and political subdivisions
444

 
—

 
3

 
23

 
—

 
—

 
470

 
—

  
Mortgage-backed securities:
  
 
  
 
  
 
  
 
  
 
  
 
 
 
  
  
Residential
—

 
—

 
—

 
—

 
—

 
—

 
—

 
—

  
Commercial
41

 
—

 
—

 
—

 
—

 
—

 
41

 
—

  
Total mortgage-backed securities
41

 
—

 
—

 
—

 
—

 
—

 
41

 
—

 
Corporate debt securities
370

 
1

 
4

 
2

 
—

 
—

 
377

 
—

  
Collateralized loan and other debt obligations
800

 
6

 
(4
)
 
(47
)
 
—

 
—

 
755

 
—

  
Asset-backed securities:
  
 
  
 
  
 
  
 
  
 
  
 
 
 
  
  
Other asset-backed securities
389

 
—

 
(1
)
 
(26
)
 
—

 
—

 
362

 
—

  
Total asset-backed securities
389

 
—

 
(1
)
 
(26
)
 
—

 
—

 
362

 
—

  
Total available-for-sale debt securities
2,044

 
7

 
2

 
(48
)
 
—

 
—

 
2,005

 
—

(6)
Mortgage loans held for sale
997

 
15

 
—

 
(66
)
 
56

 
(4
)
 
998

 
15

(7)
Loans held for sale
60

 
—

 
—

 
11

 
37

 
(37
)
 
71

 
—

 
Loans
244

 
—

 
—

 
(19
)
 
—

 
—

 
225

 
(2
)
(7)
Mortgage servicing rights (residential) (8)
14,649

 
(1,373
)
 
—

 
60

 
—

 
—

 
13,336

 
(891
)
(7)
Net derivative assets and liabilities:
  
 
  
 
  
 
  
 
  
 
  
 
 
 
  
  
Interest rate contracts
25

 
187

 
—

 
(111
)
 
—

 
—

 
101

 
132

  
Commodity contracts
4

 
(51
)
 
—

 
27

 
2

 
—

 
(18
)
 
(15
)
  
Equity contracts
(17
)
 
(119
)
 
—

 
(3
)
 
9

 
(32
)
 
(162
)
 
(114
)
  
Foreign exchange contracts
(26
)
 
7

 
—

 
3

 
—

 
—

 
(16
)
 
11

  
Credit contracts
35

 
8

 
—

 
6

 
—

 
—

 
49

 
13

  
Total derivative contracts
21

 
32

 
—

 
(78
)
 
11

 
(32
)
 
(46
)
 
27

(9)
Equity securities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Nonmarketable
5,468

 
926

 
—

 
(1
)
 
—

 
(12
)
 
6,381

 
926

 
Total equity securities
5,468

 
926

 
—

 
(1
)
 
—

 
(12
)
 
6,381

 
926

(10)
Other liabilities
(2
)
 
—

 
—

 
—

 
—

 
—

 
(2
)
 
—

(7)
(1)
See Table 16.6 for detail.
(2)
All assets and liabilities transferred into level 3 were previously classified within level 2.
(3)
All assets and liabilities transferred out of level 3 are classified as level 2.
(4)
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.
(5)
Included in net gains from trading activities in the income statement.
(6)
Included in net gains from debt securities in the income statement.
(7)
Included in mortgage banking and other noninterest income in the income statement.
(8)
For more information on the changes in mortgage servicing rights, see Note 11 (Mortgage Banking Activities).
(9)
Included in mortgage banking income, net gains from trading activities and from equity securities and other noninterest income in the income statement.
(10)
Included in net gains (losses) from equity securities in the income statement.
Gross Purchases, Sales, Issuances and Settlements - Level 3
Table 16.4 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 quarter ended March 31, 2020.


Table 16.4: Gross Purchases, Sales, Issuances and Settlements – Level 3 – Quarter ended March 31, 2020
(in millions)
Purchases

 
Sales

 
Issuances

 
Settlements

 
Net

Quarter ended March 31, 2020
  
 
  
 
  
 
  
 
  
Trading debt securities:
  
 
  
 
  
 
  
 
  
Securities of U.S. states and political subdivisions
$
—

 
—

 
—

 
—

 
—

Collateralized loan obligations
85

 
(56
)
 
—

 
(10
)
 
19

Corporate debt securities
10

 
(7
)
 
—

 
—

 
3

Mortgage-backed securities
195

 
(24
)
 
—

 
—

 
171

Asset-backed securities
—

 
(5
)
 
—

 
—

 
(5
)
Other trading debt securities
—

 
(1
)
 
—

 
—

 
(1
)
Total trading debt securities
290

 
(93
)
 
—

 
(10
)
 
187

Available-for-sale debt securities:
  
 
  
 
  
 
  
 
  
Securities of U.S. states and political subdivisions
—

 
—

 
—

 
(21
)
 
(21
)
Mortgage-backed securities:
  
 
  
 
  
 
  
 
  
Residential
26

 
—

 
—

 
—

 
26

Commercial
—

 
—

 
—

 
(2
)
 
(2
)
Total mortgage-backed securities
26

 
—

 
—

 
(2
)
 
24

Corporate debt securities
—

 
—

 
—

 
—

 
—

Collateralized loan and other debt obligations
—

 
—

 
—

 
(12
)
 
(12
)
Asset-backed securities:
  
 
  
 
  
 
  
 
  
Other asset-backed securities
—

 
(5
)
 
—

 
(13
)
 
(18
)
Total asset-backed securities
—

 
(5
)
 
—

 
(13
)
 
(18
)
Total available-for-sale debt securities
26

 
(5
)
 
—

 
(48
)
 
(27
)
Mortgage loans held for sale
23

 
(69
)
 
843

 
(97
)
 
700

Loans held for sale
—

 
(1
)
 
—

 
(1
)
 
(2
)
Loans
1

 
—

 
2

 
(14
)
 
(11
)
Mortgage servicing rights (residential) (1)
—

 
(32
)
 
461

 
1

 
430

Net derivative assets and liabilities:
  
 
  
 
  
 
  
 
  
Interest rate contracts
—

 
—

 
—

 
(273
)
 
(273
)
Commodity contracts
—

 
—

 
—

 
58

 
58

Equity contracts
—

 
—

 
—

 
73

 
73

Foreign exchange contracts
—

 
—

 
—

 
2

 
2

Credit contracts
6

 
(3
)
 
—

 
—

 
3

Total derivative contracts
6

 
(3
)
 
—

 
(140
)
 
(137
)
Equity securities:
 
 
 
 
 
 
 
 
 
Marketable
—

 
—

 
—

 
—

 
—

Nonmarketable
—

 
—

 
—

 
—

 
—

Total equity securities
—

 
—

 
—

 
—

 
—

Other liabilities
—

 
—

 
—

 
—

 
—

(1)
For more information on the changes in mortgage servicing rights, see Note 11 (Mortgage Banking Activities).
Table 16.6 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 quarter ended March 31, 2019.
 
Table 16.6: Gross Purchases, Sales, Issuances and Settlements – Level 3 – Quarter ended March 31, 2019
(in millions)
Purchases

 
Sales

 
Issuances

 
Settlements

 
Net

Quarter ended March 31, 2019
  
 
  
 
  
 
  
 
  
Trading debt securities:
  
 
  
 
  
 
  
 
  
Securities of U.S. states and political subdivisions
$
—

 
—

 
—

 
(2
)
 
(2
)
Collateralized loan obligations
130

 
(87
)
 
—

 
(2
)
 
41

Corporate debt securities
5

 
(1
)
 
—

 
—

 
4

Other trading debt securities
—

 
—

 
—

 
—

 
—

Total trading debt securities
135

 
(88
)
 
—

 
(4
)
 
43

Available-for-sale debt securities:
  
 
  
 
  
 
  
 
  
Securities of U.S. states and political subdivisions
—

 
—

 
49

 
(26
)
 
23

Mortgage-backed securities:
  
 
  
 
  
 
  
 
 
Residential
—

 
—

 
—

 
—

 
—

Commercial
—

 
—

 
—

 
—

 
—

Total mortgage-backed securities
—

 
—

 
—

 
—

 
—

Corporate debt securities
3

 
—

 
—

 
(1
)
 
2

Collateralized loan and other debt obligations
—

 
—

 
—

 
(47
)
 
(47
)
Asset-backed securities:
 
 
 
 
 
 
 
 
 
Other asset-backed securities
—

 
(3
)
 
66

 
(89
)
 
(26
)
Total asset-backed securities
—

 
(3
)
 
66

 
(89
)
 
(26
)
Total available-for-sale debt securities
3

 
(3
)
 
115

 
(163
)
 
(48
)
Mortgage loans held for sale
16

 
(93
)
 
46

 
(35
)
 
(66
)
Loans held for sale
12

 
(1
)
 
—

 
—

 
11

Loans
2

 
—

 
3

 
(24
)
 
(19
)
Mortgage servicing rights (residential) (1)
—

 
(281
)
 
341

 
—

 
60

Net derivative assets and liabilities:
  
 
  
 
  
 
  
 
 
Interest rate contracts
—

 
—

 
—

 
(111
)
 
(111
)
Commodity contracts
—

 
—

 
—

 
27

 
27

Equity contracts
—

 
—

 
—

 
(3
)
 
(3
)
Foreign exchange contracts
—

 
—

 
—

 
3

 
3

Credit contracts
6

 
—

 
—

 
—

 
6

Total derivative contracts
6

 
—

 
—

 
(84
)
 
(78
)
Equity securities:
 
 
 
 
 
 
 
 
 
Nonmarketable
—

 
(1
)
 
—

 
—

 
(1
)
Total equity securities
—

 
(1
)
 
—

 
—

 
(1
)
Other liabilities
—

 
—

 
—

 
—

 
—

(1)
For more information on the changes in mortgage servicing rights, see Note 11 (Mortgage Banking Activities).
Valuation Techniques - Recurring Basis
Table 16.7 and Table 16.8 provide 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 inherent in the 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 internal models 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.
Weighted averages of inputs are calculated using outstanding unpaid principal balance for cash instruments, such
as loans and securities, and notional amounts for derivative instruments.
For information on how changes in significant unobservable inputs affect the fair values of Level 3 assets and liabilities, see Note 19 (Fair Values of Assets and Liabilities) in our 2019 Form 10-K. 
Table 16.7: Valuation Techniques – Recurring Basis – March 31, 2020
($ in millions, except cost to service amounts)
Fair Value Level 3

 
Valuation Technique(s)
 
Significant Unobservable Inputs
 
Range of Inputs 
Positive (Negative)
 
 
 
Weighted
Average

March 31, 2020
 
 
 
 
 
 
 
 
 
 
 
 
Trading and available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. states and
political subdivisions:
 
 
 
 
 
 
 
 
 
 
 
 
Government, healthcare and
other revenue bonds
$
285

 
Discounted cash flow
 
Discount rate
 
1.6

-
5.4

%
 
2.3

 
66

 
Vendor priced
 
 
 
 
 
 
 
 
 
Collateralized loan and other debt
obligations
154

 
Market comparable pricing
 
Comparability adjustment
 
(27.8
)
-
137.9

 
 
6.8

 
636

 
Vendor priced
 
 
 
 
 
 
 
 
 
Corporate debt securities
865

 
Discounted cash flow
 
Discount rate
 
4.0

-
14.9

 
 
5.5

 
103

 
Market comparable pricing
 
Comparability adjustment
 
(32.7
)
-
14.2

 
 
(8.3
)
 
196

 
Vendor priced
 
 
 
 
 
 
 
 
 
Mortgage-backed securities
177

 
Market comparable pricing
 
Comparability adjustment
 
(60.6
)
-
26.2

 
 
(4.6
)
 
185

 
Vendor priced
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Diversified payment rights (1)
76

 
Discounted cash flow
 
Discount rate
 
2.5

-
4.7

 
 
3.7

Other commercial and consumer
24

 
Market comparable pricing
 
Comparability adjustment
 
(7.0
)
-
(5.6
)
 
 
(5.8
)
 
34

 
Vendor priced
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale (residential)
952

 
Discounted cash flow
 
Default rate
 
0.0

-
18.2

 
 
1.2

 
 
 
 
 
Discount rate
 
2.7

-
5.5

 
 
4.7

 
 
 
 
 
Loss severity
 
0.0

-
32.0

 
 
22.8

 
 
 
 
 
Prepayment rate
 
7.3

-
18.2

 
 
12.8

 
2,205

 
Market comparable pricing
 
Comparability adjustment
 
(53.3
)
-
0.0

 
 
(6.3
)
Loans (2)
160

 
Discounted cash flow
 
Discount rate
 
3.9

-
4.4

 
 
4.2

 
 
 
 
 
Default rate
 
0.0

 
23.1

 
 
0.8

 
 
 
 
 
Prepayment rate
 
7.8

-
100.0

 
 
85.0

 
 
 
 
 
Loss severity
 
0.0

-
39.7

 
 
14.2

Mortgage servicing rights (residential)
8,126

 
Discounted cash flow
 
Cost to service per loan (3)
 
$
59

-
622

 
 
112

 
 
 
 
 
Discount rate
 
6.3

-
9.4

%
 
7.1

 
 
 
 
 
Prepayment rate (4)
 
11.3

-
26.6

 
 
15.7

Net derivative assets and (liabilities):
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
255

 
Discounted cash flow
 
Default rate
 
0.0

-
5.0

 
 
1.6

 
 
 
 
 
Loss severity
 
50.0

-
50.0

 
 
50.0

 
 
 
 
 
Prepayment rate
 
2.8

-
22.0

 
 
14.8

 
65

 
Market comparable pricing
 
Comparability adjustment
 
(14.1
)
 
(8.9
)
 
 
(11.8
)
Interest rate contracts: derivative loan
commitments
365

 
Discounted cash flow
 
Fall-out factor
 
1.0

-
99.0

 
 
28.0

 
 
 
 
 
Initial-value servicing
 
(37.1
)
-
134.0

bps
 
35.0

Equity contracts
123

 
Discounted cash flow
 
Conversion factor
 
(9.0
)
-
0.0

%
 
(7.7
)
 
 
 
 
 
Weighted average life
 
0.3

-
2.8

yrs
 
1.4

 
94

 
Option model
 
Correlation factor
 
(77.0
)
-
99.0

%
 
37.4

 
 
 
 
 
Volatility factor
 
6.5

-
92.9

 
 
26.3

Credit contracts
3

 
Market comparable pricing
 
Comparability adjustment
 
(78.9
)
-
135.2

 
 
(13.6
)
 
44

 
Option model
 
Credit spread
 
0.1

-
49.2

 
 
2.7

 
 
 
 
 
Loss severity
 
12.0

-
60.0

 
 
45.6

Nonmarketable equity securities
6,751

 
Market comparable pricing
 
Comparability adjustment
 
3.5

-
22.9

 
 
14.4

 
 
 
 
 
 
 
 
 
 
 
 
 
Insignificant Level 3 assets, net of liabilities
(30
)
 
 
 
 
 
 
 
 
 
 
 
Total level 3 assets, net of liabilities
$
21,914

(5)
 
 
 
 
 
 
 
 
 
 

(1)
Securities backed by specified sources of current and future receivables generated from non-US originators.
(2)
Consists of reverse mortgage loans.
(3)
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $59 - $229.
(4)
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.
(5)
Consists of total Level 3 assets of $23.3 billion and total Level 3 liabilities of $1.3 billion, before netting of derivative balances.

Table 16.8: Valuation Techniques – Recurring Basis – December 31, 2019
($ in millions, except cost to service amounts)
Fair Value Level 3

 
Valuation Technique(s)
 
Significant Unobservable Inputs
 
Range of Inputs
Positive (Negative) 
 
 
 
Weighted
Average

December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
 
Trading and available-for-sale debt securities:
 
 
 
 
 
 
 
 
 
 
 
 
Securities of U.S. states and
political subdivisions:
 
 
 
 
 
 
 
 
 
 
 
 
Government, healthcare and
other revenue bonds
$
379

 
Discounted cash flow
 
Discount rate
 
1.3

-
5.4

%
 
2.4

 
34

 
Vendor priced
 
 
 
 
 
 
 
 
 
Collateralized loan and other debt
obligations
183

 
Market comparable pricing
 
Comparability adjustment
 
(15.0
)
-
19.2

 
 
1.3

 
640

 
Vendor priced
 
 
 
 
 
 
 
 
 
Corporate debt securities
220

 
Discounted cash flow
 
Discount rate
 
3.2

 
14.9

 
 
9.2

 
60

 
Market comparable pricing
 
Comparability adjustment
 
(19.7
)
 
14.0

 
 
(4.4
)
 
125

 
Vendor priced
 
 
 
 
 
 
 
 
 
Asset-backed securities:
 
 
 
 
 
 
 
 
 
 
 
 
Diversified payment rights (1)
92

 
Discounted cash flow
 
Discount rate
 
2.3

-
3.1

 
 
2.8

Other commercial and consumer
11

 
Vendor priced
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale (residential)
1,183

 
Discounted cash flow
 
Default rate
 
0.0

-
15.5

 
 
0.7

 
 
 
 
 
Discount rate
 
3.0

-
5.6

 
 
4.5

 
 
 
 
 
Loss severity
 
0.0

-
43.5

 
 
21.7

 
 
 
 
 
Prepayment rate
 
5.7

-
15.4

 
 
7.8

 
15

 
Market comparable pricing
 
Comparability adjustment
 
(56.3
)
-
(6.3
)
 
 
(40.3
)
Loans (2)
171

 
Discounted cash flow
 
Discount rate
 
3.9

-
4.3

 
 
4.1

 
 
 
 
 
Prepayment rate
 
6.0

-
100.0

 
 
85.6

 
 
 
 
 
Loss severity
 
0.0

-
36.5

 
 
14.1

Mortgage servicing rights (residential)
11,517

 
Discounted cash flow
 
Cost to service per loan (3)
 
$
61

-
495

 
 
102

 
 
 
 
 
Discount rate
 
6.0

-
13.6

%
 
7.2

 
 
 
 
 
Prepayment rate (4)
 
9.6

-
24.4

 
 
11.9

Net derivative assets and (liabilities):
 
 
 
 
 
 
 
 
 
 
 
 
Interest rate contracts
146

 
Discounted cash flow
 
Default rate
 
0.0

-
5.0

 
 
1.7

 
 
 
 
 
Loss severity
 
50.0

-
50.0

 
 
50.0

 
 
 
 
 
Prepayment rate
 
2.8

-
25.0

 
 
15.0

Interest rate contracts: derivative loan
commitments
68

 
Discounted cash flow
 
Fall-out factor
 
1.0

-
99.0

 
 
16.7

 
 
 
 
 
Initial-value servicing
 
(32.2
)
-
149.0

bps
 
36.4

Equity contracts
147

 
Discounted cash flow
 
Conversion factor
 
(8.8
)
-
0.0

%
 
(7.7
)
 
 
 
 
 
Weighted average life
 
0.5

-
3.0

yrs
 
1.5

 
(416
)
 
Option model
 
Correlation factor
 
(77.0
)
-
99.0

%
 
23.8

 
 
 
 
 
Volatility factor
 
6.8

-
100.0

 
 
18.7

Credit contracts
2

 
Market comparable pricing
 
Comparability adjustment
 
(56.1
)
-
10.8

 
 
(16.0
)
 
27

 
Option model
 
Credit spread
 
0.0

-
17.8

 
 
0.8

 
 
 
 
 
Loss severity
 
12.0

-
60.0

 
 
45.6

Nonmarketable equity securities
7,847

 
Market comparable pricing
 
Comparability adjustment
 
(20.2
)
-
(4.2
)
 
 
(14.6
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Insignificant Level 3 assets, net of liabilities
27

 
 
 
 
 
 
 
 
 
 
 
Total level 3 assets, net of liabilities
$
22,478

(5)
 
 
 
 
 
 
 
 
 
 

(1)
Securities backed by specified sources of current and future receivables generated from non-U.S. originators.
(2)
Consists of reverse mortgage loans.
(3)
The high end of the range of inputs is for servicing modified loans. For non-modified loans the range is $61 - $231.
(4)
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.
(5)
Consists of total Level 3 assets of $24.3 billion and total Level 3 liabilities of $1.8 billion, before netting of derivative balances.
Fair Value on a Nonrecurring Basis Table 16.9 provides the fair value hierarchy and fair value at the date of the nonrecurring fair value adjustment for all assets
that were still held as of March 31, 2020, and December 31, 2019, and for which a nonrecurring fair value adjustment was recorded during the three months ended March 31, 2020, and year ended December 31, 2019.
Table 16.10 presents the increase (decrease) in value of certain assets held at the end of the respective reporting periods presented for which a nonrecurring fair value adjustment was recognized during the periods presented.
Table 16.9: Fair Value on a Nonrecurring Basis
 
March 31, 2020
 
 
December 31, 2019
 
(in millions)
Level 1

 
Level 2

 
Level 3

 
Total

 
Level 1

 
Level 2

 
Level 3

 
Total

Mortgage loans held for sale (1)
$
—

 
1,450

 
2,868

 
4,318

 
—

 
2,034

 
3,803

 
5,837

Loans held for sale
—

 
161

 
—

 
161

 
—

 
5

 
—

 
5

Loans:
 
 
 
 
 
 
  
 
 
 
 
 
 
 
  
Commercial
—

 
207

 
—

 
207

 
—

 
280

 
—

 
280

Consumer
—

 
103

 
—

 
103

 
—

 
213

 
1

 
214

Total loans
—

 
310

 
—

 
310

 
—

 
493

 
1

 
494

Nonmarketable equity securities
—

 
639

 
844

 
1,483

 
—

 
1,308

 
173

 
1,481

Other assets
—

 
209

 
390

 
599

 
—

 
359

 
27

 
386

Total assets at fair value on a nonrecurring basis
$
—

 
2,769

 
4,102

 
6,871

 
—

 
4,199

 
4,004

 
8,203

(1)
Consists of commercial mortgages and residential real estate 1-4 family first mortgage loans.
Changes in Value of Assets with Nonrecurring Fair Value Adjustment
Table 16.10: Change in Value of Assets with Nonrecurring Fair Value Adjustment
 
Quarter ended March 31,
 
(in millions)
2020

 
2019

Mortgage loans held for sale
$
(38
)
 
20

Loans held for sale
(1
)
 
—

Loans:
 
 
  
Commercial
(95
)
 
(74
)
Consumer
(71
)
 
(79
)
Total loans
(166
)
 
(153
)
Nonmarketable equity securities
(424
)
 
149

Other assets
(334
)
 
(18
)
Total
$
(963
)
 
(2
)
Valuation Techniques - Nonrecurring Basis
Table 16.11 provides quantitative information about the valuation techniques and significant unobservable inputs used in the valuation of largely all of our Level 3 assets that are measured at fair value on a nonrecurring basis using an internal model. The table is limited to financial instruments that had nonrecurring fair value adjustments during the periods presented.
We have excluded from the table valuation techniques and significant unobservable inputs for certain classes of Level 3
assets 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 that 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.
 
Table 16.11: Valuation Techniques – Nonrecurring Basis
($ in millions)
Fair Value
Level 3

 
Valuation
Technique(s) (1)
 
Significant
Unobservable Inputs (1)
 
Range of Inputs
Positive (Negative)
 
Weighted
Average (2)

March 31, 2020
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
$
2,868

(3)
Discounted cash flow
 
Default rate
(4)
0.4

—
51.3
 %
 
7.2
 %
 
 
 
 
 
Discount rate
 
1.5

—
8.7

 
4.1

 
 
 
 
 
Loss severity
 
0.5

—
72.1

 
16.2

 
 
 
 
 
Prepayment rate
(5)
5.0

—
100.0

 
23.8

Nonmarketable equity securities (6)
658

 
Market comparable pricing
 
Multiples
 
0.1x

—
11.6x

 
4.9x

 
348

 
Market comparable pricing
 
Comparability adjustment
 
(100.0
)
—
(6.0
)%
 
(45.5
)%
 
226

 
Other
 
Company risk factor
 
(100.0
)
—
(20.0
)
 
(40.9
)
Insignificant level 3 assets
2

 
 
 
 
 
 
 
 
 
 
Total
$
4,102

 
 
 
 
 
 
 
 
 
 
December 31, 2019
 
 
 
 
 
 
 
 
 
 
 
Residential mortgage loans held for sale
$
3,803

(3)
Discounted cash flow
 
Default rate
(4)
0.3

—
48.3
 %
 
4.6
 %
 
 
 
 
 
Discount rate
 
1.5

—
9.4

 
4.3

 
 
 
 
 
Loss severity
 
0.4

—
100.0

 
23.4

 
 
 
 
 
Prepayment rate
(5)
4.8

—
100.0

 
23.2

Insignificant level 3 assets
201

 
 
 
 
 
 
 
 
 
 
Total
$
4,004

 
 
 
 
 
 
 
 
 
 
(1)
Refer to Note 19 (Fair Value of Assets and Liabilities) in our 2019 Form 10-K for a definition of the valuation technique(s) and significant unobservable inputs used in the valuation of residential mortgage loans held for sale.
(2)
For residential MLHFS, weighted averages are calculated using the outstanding unpaid principal balance of the loans.
(3)
Consists of approximately $1.3 billion of government insured/guaranteed loans purchased from GNMA-guaranteed mortgage securitizations at both March 31, 2020 and December 31, 2019, respectively, and $1.6 billion and $2.5 billion, respectively, of other mortgage loans that are not government insured/guaranteed.
(4)
Applies only to non-government insured/guaranteed loans.
(5)
Includes the impact on prepayment rate of expected defaults for government insured/guaranteed loans, which impact the frequency and timing of early resolution of loans.
(6)
Includes $390 million of private equity and venture capital investments in consolidated portfolio companies classified in other assets on the balance sheet.
Fair Value Option
Table 16.12 reflects differences between the fair value carrying amount of the assets for which we have elected the fair value option and the contractual aggregate unpaid principal amount at maturity. 
Table 16.12: Fair Value Option
 
March 31, 2020
 
 
December 31, 2019
 
(in millions)
Fair value
carrying
amount

 
Aggregate
unpaid
principal

 
Fair value
carrying
amount
less
aggregate
unpaid
principal

 
Fair value
carrying
amount

 
Aggregate
unpaid
principal

 
Fair value
carrying
amount
less
aggregate
unpaid
principal

Mortgage loans held for sale:
 
 
 
 
 
 
 
 
 
 
 
Total loans
$
16,665

 
16,096

 
569

 
16,606

 
16,279

 
327

Nonaccrual loans
131

 
155

 
(24
)
 
133

 
157

 
(24
)
Loans 90 days or more past due and still accruing
10

 
13

 
(3
)
 
8

 
10

 
(2
)
Loans held for sale:
 
 
 
 
 
 
 
 
 
 
 
Total loans
1,673

 
1,804

 
(131
)
 
972

 
1,020

 
(48
)
Nonaccrual loans
17

 
30

 
(13
)
 
21

 
29

 
(8
)
Loans:
 
 
 
 
 
 
 
 
 
 
 
Total loans
160

 
189

 
(29
)
 
171

 
201

 
(30
)
Nonaccrual loans
123

 
151

 
(28
)
 
129

 
159

 
(30
)
Fair Value Option, Changes in Fair Value Included in Earnings
The changes in fair value related to initial measurement and subsequent changes in fair value included in earnings for these assets measured at fair value are shown in Table 16.13 by income
statement line item. Amounts recorded as interest income are excluded from Table 16.13.
Table 16.13: Fair Value Option – Changes in Fair Value Included in Earnings
 
2020
 
 
2019
 
(in millions)
Mortgage banking noninterest income

 
Net gains
(losses)
from
trading
activities

 
Other
noninterest
income

 
Mortgage
banking
noninterest
income

 
Net gains (losses)
from
trading
activities

 
Other
noninterest
income

Quarter ended March 31,
 
 
 
 
 
 
 
 
 
 
 
Mortgage loans held for sale
$
348

 
—

 
—

 
214

 
—

 
—

Loans held for sale
—

 
(13
)
 
—

 
—

 
14

 
1

Loans
—

 
—

 
—

 
—

 
—

 
—
Fair Value Option, Gains/Losses Attributable to Instrument Specific Credit Risk Table 16.14 shows the estimated gains and losses from earnings attributable to instrument-specific credit risk related to assets accounted for under the fair value option.

Table 16.14: Fair Value Option – Gains/Losses Attributable to Instrument-Specific Credit Risk
 
Quarter ended March 31,
 
(in millions)
2020

 
2019

Gains (losses) attributable to instrument-specific credit risk:
 
 
 
Mortgage loans held for sale
(182
)
 
(4
)
Loans held for sale
(12
)
 
14

Total
(194
)
 
10
Fair Value, Estimates for Financial Instruments
Table 16.15 presents a summary of fair value estimates for financial instruments that are not carried at fair value on a recurring basis. Some financial instruments are excluded from scope of this table, such as certain insurance contracts and leases. This table also excludes assets and liabilities that are not financial instruments such as the value of the long-term relationships with our deposit, credit card and trust customers, MSRs, premises and equipment, goodwill and deferred taxes.
Loan commitments, standby letters of credit and commercial and similar letters of credit are not included in Table 16.15. A reasonable estimate of the fair value of these instruments is the carrying value of deferred fees plus the allowance for unfunded credit commitments, which totaled $853 million and $1.0 billion at March 31, 2020 and December 31, 2019, respectively.
The total of the fair value calculations presented does not represent, and should not be construed to represent, the underlying value of the Company.

Table 16.15: Fair Value Estimates for Financial Instruments
 
 
 
Estimated fair value
 
(in millions)
Carrying amount

 
Level 1

 
Level 2

 
Level 3

 
Total

March 31, 2020
 
 
 
 
 
 
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
Cash and due from banks (1)
$
22,738

 
22,738

 
—

 
—

 
22,738

Interest-earning deposits with banks (1)
128,071

 
127,831

 
240

 
—

 
128,071

Federal funds sold and securities purchased under resale agreements (1)
86,465

 
—

 
86,465

 
—

 
86,465

Held-to-maturity debt securities, net
169,909

 
50,691

 
126,030

 
841

 
177,562

Mortgage loans held for sale
5,130

 
—

 
2,285

 
3,392

 
5,677

Loans held for sale
210

 
—

 
210

 
—

 
210

Loans, net (2)
979,449

 
—

 
53,806

 
922,616

 
976,422

Nonmarketable equity securities (cost method)
4,512

 
—

 
—

 
4,548

 
4,548

Total financial assets
$
1,396,484

 
201,260

 
269,036

 
931,397

 
1,401,693

Financial liabilities
 
 
 
 
 
 
 
 
 
Deposits (3)
$
110,841

 
—

 
82,565

 
28,732

 
111,297

Short-term borrowings
92,289

 
—

 
92,289

 
—

 
92,289

Long-term debt (4)
237,311

 
—

 
226,294

 
1,921

 
228,215

Total financial liabilities
$
440,441

 
—

 
401,148

 
30,653

 
431,801

December 31, 2019
 
 
 
 
 
 
 
 
 
Financial assets
 
 
 
 
 
 
 
 
 
Cash and due from banks (1)
$
21,757

 
21,757

 
—

 
—

 
21,757

Interest-earning deposits with banks (1)
119,493

 
119,257

 
236

 
—

 
119,493

Federal funds sold and securities purchased under resale agreements (1)
102,140

 
—

 
102,140

 
—

 
102,140

Held-to-maturity debt securities
153,933

 
46,138

 
109,933

 
789

 
156,860

Mortgage loans held for sale
6,736

 
—

 
2,939

 
4,721

 
7,660

Loans held for sale
5

 
—

 
5

 
—

 
5

Loans, net (2)
933,042

 
—

 
54,125

 
891,714

 
945,839

Nonmarketable equity securities (cost method)
4,790

 
—

 
—

 
4,823

 
4,823

Total financial assets
$
1,341,896

 
187,152

 
269,378

 
902,047

 
1,358,577

Financial liabilities
 
 
 
 
 
 
 
 
 
Deposits (3)
$
118,849

 
—

 
87,279

 
31,858

 
119,137

Short-term borrowings
104,512

 
—

 
104,513

 
—

 
104,513

Long-term debt (4)
228,159

 
—

 
231,332

 
1,720

 
233,052

Total financial liabilities
$
451,520

 
—

 
423,124

 
33,578

 
456,702

(1)
Amounts consist of financial instruments for which carrying value approximates fair value.
(2)
Excludes lease financing with a carrying amount of $19.0 billion and $19.5 billion at March 31, 2020 and December 31, 2019, respectively.
(3)
Excludes deposit liabilities with no defined or contractual maturity of $1.3 trillion and $1.2 trillion at March 31, 2020 and December 31, 2019, respectively.
(4)
Excludes capital lease obligations under capital leases of $31 million and $32 million at March 31, 2020 and December 31, 2019, respectively.