Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2019

Assets and Liabilities Recorded at Fair Value on a Recurring Basis

The following table presents information about our assets and liabilities measured at fair value on a recurring basis at September 30, 2019 and December 31, 2018, and indicates the fair value hierarchy of the valuation techniques utilized to determine such fair value. Unless otherwise noted below, assets and liabilities in the following table are recorded at fair value through net income (loss).



	Fair Value Measurements on a Recurring Basis
September 30, 2019	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁶⁾			Net Balance
	(in millions)
Assets:
Securities purchased under agreements to resell⁽¹⁾	$	—	$	29	$	—	$	29	$	—		$	29
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	7,471		143		—		7,614		—			7,614
Asset-backed securities:
Collateralized debt obligations	—		—		84		84		—			84
Residential mortgages	—		—		17		17		—			17
Student loans	—		—		86		86		—			86
Corporate and other domestic debt securities	—		—		510		510		—			510
Debt securities issued by foreign entities	12,349		682		—		13,031		—			13,031
Equity securities	2,076		—		—		2,076		—			2,076
Precious metals trading	—		3,211		—		3,211		—			3,211
Derivatives:⁽²⁾
Interest rate contracts	174		12,893		53		13,120		—			13,120
Foreign exchange contracts	—		15,800		123		15,923		—			15,923
Equity contracts	—		3,805		184		3,989		—			3,989
Precious metals contracts	124		1,205		5		1,334		—			1,334
Credit contracts	—		1,186		66		1,252		—			1,252
Other contracts⁽³⁾	—		—		5		5		—			5
Derivatives netting	—		—		—		—		(32,563		)	(32,563		)
Total derivatives	298		34,889		436		35,623		(32,563		)	3,060
Securities available-for-sale:⁽⁴⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	22,049		15,764		—		37,813		—			37,813
Asset-backed securities:
Home equity	—		33		—		33		—			33
Other	—		—		115		115		—			115
Debt securities issued by foreign entities	3,032		423		—		3,455		—			3,455
Loans⁽¹⁾	—		389		—		389		—			389
Other assets:
Equity securities	—		147		—		147		—			147
Equity securities measured at net asset value⁽⁵⁾	—		—		—		134		—			134
Total assets	$	47,275	$	55,710	$	1,248	$	104,367	$	(32,563	)	$	71,804
Liabilities:
Domestic deposits⁽¹⁾	$	—	$	7,096	$	853	$	7,949	$	—		$	7,949
Trading liabilities, excluding derivatives	950		958		—		1,908		—			1,908
Derivatives:⁽²⁾
Interest rate contracts	28		14,450		25		14,503		—			14,503
Foreign exchange contracts	—		15,235		141		15,376		—			15,376
Equity contracts	—		2,971		117		3,088		—			3,088
Precious metals contracts	175		1,231		5		1,411		—			1,411
Credit contracts	—		1,234		26		1,260		—			1,260
Other contracts⁽³⁾	—		—		38		38		—			38
Derivatives netting	—		—		—		—		(33,454		)	(33,454		)
Total derivatives	203		35,121		352		35,676		(33,454		)	2,222
Short-term borrowings⁽¹⁾	—		459		—		459		—			459
Long-term debt⁽¹⁾	—		11,188		336		11,524		—			11,524
Total liabilities	$	1,153	$	54,822	$	1,541	$	57,516	$	(33,454	)	$	24,062



	Fair Value Measurements on a Recurring Basis
December 31, 2018	Level 1		Level 2		Level 3		Gross Balance		Netting⁽⁶⁾			Net Balance
	(in millions)
Assets:
Trading assets, excluding derivatives:
U.S. Treasury, U.S. Government agencies and sponsored enterprises	$	5,368	$	152	$	—	$	5,520	$	—		$	5,520
Asset-backed securities:
Collateralized debt obligations	—		—		100		100		—			100
Residential mortgages	—		—		16		16		—			16
Student loans	—		—		92		92		—			92
Corporate and other domestic debt securities	—		—		1,803		1,803		—			1,803
Debt securities issued by foreign entities	8,552		207		—		8,759		—			8,759
Equity securities	751		—		—		751		—			751
Precious metals trading	—		1,889		—		1,889		—			1,889
Derivatives:⁽²⁾
Interest rate contracts	2		10,053		2		10,057		—			10,057
Foreign exchange contracts	—		15,919		2		15,921		—			15,921
Equity contracts	—		2,449		97		2,546		—			2,546
Precious metals contracts	16		829		—		845		—			845
Credit contracts	—		883		73		956		—			956
Other contracts⁽³⁾	—		—		5		5		—			5
Derivatives netting	—		—		—		—		(27,192		)	(27,192		)
Total derivatives	18		30,133		179		30,330		(27,192		)	3,138
Securities available-for-sale:⁽⁴⁾
U.S. Treasury, U.S. Government agencies and sponsored enterprises	16,198		11,699		—		27,897		—			27,897
Asset-backed securities:
Home equity	—		42		—		42		—			42
Other	—		—		107		107		—			107
Debt securities issued by foreign entities	2,362		971		—		3,333		—			3,333
Loans⁽¹⁾	—		109		—		109		—			109
Other assets:
Equity securities	—		190		—		190		—			190
Equity securities measured at net asset value⁽⁵⁾	—		—		—		88		—			88
Other assets⁽⁷⁾	—		—		4		4		—			4
Total assets	$	33,249	$	45,392	$	2,301	$	81,030	$	(27,192	)	$	53,838
Liabilities:
Domestic deposits⁽¹⁾	$	—	$	7,229	$	925	$	8,154	$	—		$	8,154
Trading liabilities, excluding derivatives	738		215		—		953		—			953
Derivatives:⁽²⁾
Interest rate contracts	45		11,140		—		11,185		—			11,185
Foreign exchange contracts	15		15,715		3		15,733		—			15,733
Equity contracts	—		2,717		149		2,866		—			2,866
Precious metals contracts	274		626		—		900		—			900
Credit contracts	—		926		21		947		—			947
Other contracts⁽³⁾	—		—		40		40		—			40
Derivatives netting	—		—		—		—		(28,847		)	(28,847		)
Total derivatives	334		31,124		213		31,671		(28,847		)	2,824
Short-term borrowings⁽¹⁾	—		560		—		560		—			560
Long-term debt⁽¹⁾	—		10,837		412		11,249		—			11,249
Total liabilities	$	1,072	$	49,965	$	1,550	$	52,587	$	(28,847	)	$	23,740


⁽¹⁾	See Note 10, "Fair Value Option," for additional information. Excluding the fair value movement on fair value option liabilities attributable to our own credit spread, which is recorded in other comprehensive income (loss), fair value option assets and liabilities are recorded at fair value through net income (loss).

⁽²⁾

Includes trading derivative assets of $2,928 million and $3,048 million and trading derivative liabilities of $2,139 million and $2,690 million at September 30, 2019 and December 31, 2018, respectively, as well as derivatives held for hedging and commitments accounted for as derivatives. See Note 9, "Derivative Financial Instruments," for additional information. Excluding changes in fair value of a derivative instrument associated with a qualifying cash flow hedge, which are recognized initially in other comprehensive income (loss), derivative assets and liabilities are recorded at fair value through net income (loss).


⁽³⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares.


⁽⁴⁾	Securities available-for-sale are recorded at fair value through other comprehensive income (loss).


⁽⁵⁾	Investments that are measured at fair value using the net asset value per share practical expedient have not been classified in the fair value hierarchy.


⁽⁶⁾	Represents counterparty and cash collateral netting which allow the offsetting of amounts relating to certain contracts if certain conditions are met.


⁽⁷⁾	Represented contingent consideration receivable associated with the sale of a portion of our PB business, which concluded during the third quarter of 2019.

Changes in Fair Value of Level 3 Assets and Liabilities

The following table summarizes additional information about changes in the fair value of Level 3 assets and liabilities during the three and nine months ended September 30, 2019 and 2018. As a risk management practice, we may risk manage the Level 3 assets and liabilities, in whole or in part, using securities and derivative positions that are classified as Level 1 or Level 2 measurements within the fair value hierarchy. Since those Level 1 and Level 2 risk management positions are not included in the table below, the information provided does not reflect the effect of such risk management activities related to the Level 3 assets and liabilities.



	Jul. 1, 2019			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2019			Current Period Unrealized Gains (Losses) Included in
	Jul. 1, 2019			Earnings			Other Compre- hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2019			Earnings			Other Compre- hensive Income (Loss)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	86		$	(1	)	$	—		$	—	$	—		$	(1	)	$	—		$	—	$	84		$	(1	)	$	—
Residential mortgage asset-backed securities	16			1			—			—		—			—			—			—		17			—			—
Student loan asset-backed securities	90			—			—			—		—			(4		)	—			—		86			—			—
Corporate and other domestic debt securities	510			—			—			—		—			—			—			—		510			—			—
Derivatives, net:⁽²⁾
Interest rate contracts	10			18			—			—		—			—			—			—		28			17			—
Foreign exchange contracts	(1		)	4			—			—		—			—			(21		)	—		(18		)	3			—
Equity contracts	62			3			—			—		—			(2		)	—			4		67			—			—
Credit contracts	46			(2		)	—			—		—			(4		)	—			—		40			(2		)	—
Other contracts⁽³⁾	(35		)	(4		)	—			—		—			6			—			—		(33		)	—			—
Other asset-backed securities available-for-sale⁽⁴⁾	113			—			2			—		—			—			—			—		115			—			2
Other assets⁽⁵⁾	1			—			—			—		—			(1		)	—			—		—			—			—
Total assets	$	898		$	19		$	2		$	—	$	—		$	(6	)	$	(21	)	$	4	$	896		$	17		$	2
Liabilities:
Domestic deposits⁽⁶⁾	$	(930	)	$	(27	)	$	(5	)	$	—	$	(30	)	$	57		$	(1	)	$	83	$	(853	)	$	(24	)	$	(5	)
Long-term debt⁽⁶⁾	(441		)	16			(2		)	—		(27		)	73			—			45		(336		)	24			(2		)
Total liabilities	$	(1,371	)	$	(11	)	$	(7	)	$	—	$	(57	)	$	130		$	(1	)	$	128	$	(1,189	)	$	—		$	(7	)



	Jan. 1, 2019			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2019			Current Period / Unrealized Gains (Losses) Included in
	Jan. 1, 2019			Earnings			Other Compre- hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2019			Earnings			Other Compre- hensive Income (Loss)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	100		$	2		$	—		$	—	$	—		$	(18	)	$	—		$	—		$	84		$	(11	)	$	—
Residential mortgage asset-backed securities	16			1			—			—		—			—			—			—			17			—			—
Student loan asset-backed securities	92			5			—			—		—			(11		)	—			—			86			(2		)	—
Corporate and other domestic debt securities	1,803			—			—			—		—			(1,293		)	—			—			510			—			—
Derivatives, net:⁽²⁾
Interest rate contracts	2			31			—			—		—			—			—			(5		)	28			25			—
Foreign exchange contracts	(1		)	4			—			—		—			—			(21		)	—			(18		)	3			—
Equity contracts	(52		)	113			—			—		—			3			—			3			67			115			—
Credit contracts	52			(42		)	—			—		—			30			—			—			40			(4		)	—
Other contracts⁽³⁾	(35		)	(13		)	—			—		—			15			—			—			(33		)	—			—
Other asset-backed securities available-for-sale⁽⁴⁾	107			—			8			—		—			—			—			—			115			—			8
Other assets⁽⁵⁾	4			—			—			—		—			(4		)	—			—			—			—			—
Total assets	$	2,088		$	101		$	8		$	—	$	—		$	(1,278	)	$	(21	)	$	(2	)	$	896		$	126		$	8
Liabilities:
Domestic deposits⁽⁶⁾	$	(925	)	$	(91	)	$	(8	)	$	—	$	(175	)	$	166		$	(6	)	$	186		$	(853	)	$	(156	)	$	(8	)
Long-term debt⁽⁶⁾	(412		)	(27		)	(4		)	—		(91		)	106			—			92			(336		)	(35		)	(4		)
Total liabilities	$	(1,337	)	$	(118	)	$	(12	)	$	—	$	(266	)	$	272		$	(6	)	$	278		$	(1,189	)	$	(191	)	$	(12	)



	Jul. 1, 2018			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	Jul. 1, 2018			Earnings			Other Compre- hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3			Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	131		$	4		$	—		$	—	$	—		$	(23	)	$	—		$	—		$	112		$	2
Residential mortgage asset-backed securities	—			—			—			—		—			—			16			—			16			—
Student loan asset-backed securities	—			—			—			—		—			—			92			—			92			—
Corporate and other domestic debt securities	1,803			—			—			—		—			—			—			—			1,803			—
Derivatives, net:⁽²⁾
Foreign exchange contracts	(1		)	—			—			—		—			—			—			—			(1		)	—
Equity contracts	2			8			—			—		—			1			—			(1		)	10			9
Credit contracts	110			1			—			—		—			(47		)	—			—			64			(5		)
Other contracts⁽³⁾	(51		)	(5		)	—			—		—			11			—			—			(45		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	107			—			(2		)	—		—			—			—			—			105			(2		)
Other assets⁽⁵⁾	12			—			—			—		—			(8		)	—			—			4			—
Total assets	$	2,113		$	8		$	(2	)	$	—	$	—		$	(66	)	$	108		$	(1	)	$	2,160		$	4
Liabilities:
Domestic deposits⁽⁶⁾	$	(876	)	$	(8	)	$	(1	)	$	—	$	(106	)	$	25		$	(7	)	$	30		$	(943	)	$	(7	)
Long-term debt⁽⁶⁾	(557		)	(10		)	—			—		(37		)	29			—			43			(532		)	(7		)
Total liabilities	$	(1,433	)	$	(18	)	$	(1	)	$	—	$	(143	)	$	54		$	(7	)	$	73		$	(1,475	)	$	(14	)



	Jan. 1, 2018			Total Realized / Unrealized Gains (Losses) Included in						Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	Jan. 1, 2018			Earnings			Other Compre- hensive Income (Loss)			Purch- ases		Issu- ances			Settle- ments			Transfers Into Level 3			Transfers Out of Level 3		Sep. 30, 2018			Current Period Unrealized Gains (Losses)
	(in millions)
Assets:
Trading assets, excluding derivatives:⁽¹⁾
Collateralized debt obligations	$	129		$	12		$	—		$	—	$	—		$	(29	)	$	—		$	—	$	112		$	10
Residential mortgage asset-backed securities	—			—			—			—		—			—			16			—		16			—
Student loan asset-backed securities	—			—			—			—		—			—			92			—		92			—
Corporate and other domestic debt securities	1,803			—			—			—		—			—			—			—		1,803			—
Derivatives, net:⁽²⁾
Foreign exchange contracts	—			(1		)	—			—		—			—			—			—		(1		)	(1		)
Equity contracts	81			(42		)	—			—		—			(29		)	(1		)	1		10			(34		)
Credit contracts	114			3			—			—		—			(53		)	—			—		64			(35		)
Other contracts⁽³⁾	(46		)	(19		)	—			—		—			20			—			—		(45		)	—
Other asset-backed securities available-for-sale⁽⁴⁾	111			—			(6		)	—		—			—			—			—		105			(5		)
Other assets⁽⁵⁾	15			(3		)	—			—		—			(8		)	—			—		4			—
Total assets	$	2,207		$	(50	)	$	(6	)	$	—	$	—		$	(99	)	$	107		$	1	$	2,160		$	(65	)
Liabilities:
Domestic deposits⁽⁶⁾	$	(897	)	$	15		$	2		$	—	$	(285	)	$	85		$	(20	)	$	157	$	(943	)	$	16
Long-term debt⁽⁶⁾	(641		)	(4		)	5			—		(180		)	170			—			118		(532		)	10
Total liabilities	$	(1,538	)	$	11		$	7		$	—	$	(465	)	$	255		$	(20	)	$	275	$	(1,475	)	$	26


⁽¹⁾	Gains (losses) on trading assets, excluding derivatives are included in trading revenue in the consolidated statement of income (loss).

⁽²⁾

Level 3 net derivatives included derivative assets of $436 million and derivative liabilities of $352 million at September 30, 2019 and derivative assets of $156 million and derivative liabilities of $128 million at September 30, 2018. Gains (losses) on derivatives, net are predominantly included in trading revenue and gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).


⁽³⁾	Consists of swap agreements entered into in conjunction with the sales of Visa Class B Shares. Gains (losses) on these swap agreements are included in other income (loss) in the consolidated statement of income (loss).


⁽⁴⁾	Realized gains (losses) on securities available-for-sale are included in other securities gains (losses), net in the consolidated statement of income (loss). Unrealized gains (losses) on securities available-for-sale are included in other comprehensive income (loss).


⁽⁵⁾	Represented contingent consideration receivable associated with the sale of a portion of our PB business, which concluded during the third quarter of 2019. Gains (losses) associated with this transaction were included in other income (loss) in the consolidated statement of income (loss).


⁽⁶⁾	Excluding unrealized gains (losses) on fair value option liabilities attributable to our own credit spread, which are recorded in other comprehensive income (loss), gains (losses) on fair value option liabilities are included in gain (loss) on instruments designated at fair value and related derivatives in the consolidated statement of income (loss).

Quantitative Information about Recurring Fair Value Measurement of Assets and Liabilities Classified as Level 3

The following table presents quantitative information about the unobservable inputs used to determine the recurring fair value measurement of assets and liabilities classified as Level 3 fair value measurements at September 30, 2019 and December 31, 2018:



September 30, 2019
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs	Weighted Average⁽¹⁾
Collateralized debt obligations	$	84		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 0%	0%
					Conditional default rates	0% - 1%	0.9%
					Loss severity rates	90% - 95%	92%
Residential mortgage asset-backed securities	$	17		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	5% - 10%	5%
					Conditional default rates	1% - 5%	5%
					Loss severity rates	65% - 70%	65%
					Discount margin	100bps - 250bps	200bps
Student loan asset-backed securities	$	86		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	8% - 9%	8.4%
					Conditional default rates	0% - 2%	1%
					Loss severity rates	15% - 40%	33%
					Discount margin	93bps - 194bps	120bps
Corporate and other domestic debt securities	$	510		Discounted cash flows	Spread volatility on collateral assets	3% - 4%	3.3%
					Correlation between insurance claim shortfall and collateral value	80%	N/A
Interest rate derivative contracts	$	28		Market comparable adjusted for probability to fund and, where applicable, discounted cash flows	Probability to fund for rate lock commitments	42% - 100%	74%
					Likelihood of transaction being executed	75% - 100%	90%
Foreign exchange derivative contracts⁽²⁾	$	(18	)	Option pricing model	Implied volatility of currency pairs	8% - 12%	10%
Equity derivative contracts⁽²⁾	$	67		Option pricing model	Equity / Equity Index volatility	7% - 38%	23%
					Equity / Equity and Equity / Index correlation	43% - 79%	49%
					Equity dividend yields	0% - 3%	0%
Credit derivative contracts	$	40		Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	50bps - 63bps	57bps
Other derivative contracts	$	(33	)	Discounted cash flows	Conversion rate	1.6 times	N/A
					Expected duration	1 - 2 years	1.5 years
Other asset-backed securities available-for-sale	$	115		Discounted cash flows	Market assumptions related to yields for comparable instruments	1% - 3%	2%
Domestic deposits (structured deposits)⁽²⁾⁽³⁾	$	(853	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 12%	10%
					Equity / Equity Index volatility	7% - 29%	14%
					Equity / Equity and Equity / Index correlation	43% - 47%	44%
Long-term debt (structured notes)⁽²⁾⁽³⁾	$	(336	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 12%	10%
					Equity / Equity Index volatility	7% - 31%	15%
					Equity / Equity and Equity / Index correlation	45% - 79%	68%



December 31, 2018
Financial Instrument Type	Fair Value (in millions)			Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Collateralized debt obligations	$	100		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 1%
					Conditional default rates	0% - 1%
					Loss severity rates	90% - 95%
Residential mortgage asset-backed securities	$	16		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	0% - 5%
					Conditional default rates	1% - 4%
					Loss severity rates	80% - 85%
					Discount margin	100bps - 250bps
Student loan asset-backed securities	$	92		Broker quotes or consensus pricing and, where applicable, discounted cash flows	Prepayment rates	6% - 7%
					Conditional default rates	1% - 2%
					Loss severity rates	25% - 40%
					Discount margin	91bps -115bps
Corporate and other domestic debt securities	$	1,803		Discounted cash flows	Spread volatility on collateral assets	2% - 4%
					Correlation between insurance claim shortfall and collateral value	80%
Interest rate derivative contracts	$	2		Market comparable adjusted for probability to fund and, where applicable, discounted cash flows	Probability to fund for rate lock commitments	3% - 99%
					Likelihood of transaction being executed	75% - 100%
Foreign exchange derivative contracts⁽²⁾	$	(1	)	Option pricing model	Implied volatility of currency pairs	8% - 12%
Equity derivative contracts⁽²⁾	$	(52	)	Option pricing model	Equity / Equity Index volatility	7% - 44%
					Equity / Equity and Equity / Index correlation	42% - 79%
					Equity dividend yields	0% - 7%
Credit derivative contracts	$	52		Option pricing model and, where applicable, discounted cash flows	Credit default swap spreads	102bps - 118bps
Other derivative contracts	$	(35	)	Discounted cash flows	Conversion rate	1.6 times
					Expected duration	2 - 3 years
Other asset-backed securities available-for-sale	$	107		Discounted cash flows	Market assumptions related to yields for comparable instruments	1% - 3%
Other assets	$	4		Discounted cash flows	Client transfer rates based on rating	50% - 95%
Domestic deposits (structured deposits)⁽²⁾⁽³⁾	$	(925	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 12%
					Equity / Equity Index volatility	7% - 37%
					Equity / Equity and Equity / Index correlation	42% - 49%
Long-term debt (structured notes)⁽²⁾⁽³⁾	$	(412	)	Option adjusted discounted cash flows	Implied volatility of currency pairs	8% - 12%
					Equity / Equity Index volatility	7% - 42%
					Equity / Equity and Equity / Index correlation	45% - 79%


⁽¹⁾	For other asset-backed securities available-for-sale, the value shown is the arithmetic average. For foreign exchange derivatives, equity derivatives, structured deposits and structured notes, weighted averages are calculated based on the fair value of the instruments. For all remaining instrument types, weighted averages are calculated based on the notional value of the instruments.


⁽²⁾	We are the client-facing entity and we enter into identical but opposite derivatives to transfer the resultant risks to our affiliates. With the exception of counterparty credit risks, we are market neutral. The corresponding intra-group derivatives are presented as equity derivatives and foreign exchange derivatives in the table.


⁽³⁾	Structured deposits and structured notes contain embedded derivative features whose fair value measurements contain significant Level 3 inputs.

Assets and Liabilities Recorded at Fair Value on a Non Recurring Basis

The following table presents the fair value hierarchy level within which the fair value of the financial and non-financial assets has been recorded at September 30, 2019 and December 31, 2018. The gains (losses) during the three and nine months ended September 30, 2019 and 2018 are also included.



	Non-Recurring Fair Value Measurements at September 30, 2019								Total Gains (Losses) For the Three Months Ended September 30, 2019			Total Gains (Losses) For the Nine Months Ended September 30, 2019
	Level 1		Level 2		Level 3		Total
	(in millions)
Residential mortgage loans held for sale⁽¹⁾	$	—	$	9	$	—	$	9	$	—		$	—
Consumer loans⁽²⁾	—		15		—		15		(2		)	(6		)
Impaired commercial loans⁽³⁾	—		—		79		79		1			—
Real estate owned⁽⁴⁾	—		7		—		7		(1		)	(1		)
Goodwill⁽⁵⁾	—		—		372		372		(365		)	(365		)
Total assets at fair value on a non-recurring basis	$	—	$	31	$	451	$	482	$	(367	)	$	(372	)



	Non-Recurring Fair Value Measurements at December 31, 2018								Total Gains (Losses) For the Three Months Ended September 30, 2018			Total Gains (Losses) For the Nine Months Ended September 30, 2018
	Level 1		Level 2		Level 3		Total
	(in millions)
Consumer loans⁽²⁾	$	—	$	15	$	—	$	15	$	(2	)	$	(4	)
Commercial loans held for sale⁽⁶⁾	—		36		—		36		2			5
Impaired commercial loans⁽³⁾	—		—		37		37		8			109
Real estate owned⁽⁴⁾	—		7		—		7		1			3
Total assets at fair value on a non-recurring basis	$	—	$	58	$	37	$	95	$	9		$	113


⁽¹⁾	At September 30, 2019, the fair value of the loans held for sale was below cost.


⁽²⁾	Represents residential mortgage loans held for investment whose carrying amount was reduced during the periods presented based on the fair value of the underlying collateral.

⁽³⁾

Certain commercial loans have undergone troubled debt restructurings and are considered impaired. As a matter of practical expedient, we measure the credit impairment of a collateral-dependent loan based on the fair value of the collateral asset. The collateral often involves real estate properties that are illiquid due to market conditions. As a result, these loans are classified as a Level 3 fair value measurement within the fair value hierarchy.


⁽⁴⁾	Real estate owned is required to be reported on the balance sheet net of transactions costs. The real estate owned amounts in the table above reflect the fair value unadjusted for transaction costs.


⁽⁵⁾	During the third quarter of 2019, the goodwill allocated to our RBWM business was written down to its fair value of $372 million. See Note 7, "Goodwill," for further discussion of the results of our annual goodwill impairment testing, including the method for determining fair value and the events and circumstances leading to the impairment.


⁽⁶⁾	At December 31, 2018, the fair value of the loans held for sale was below cost.

Quantitative Information about Non Recurring Fair Value Measurement of Assets and Liabilities

The following tables present quantitative information about non-recurring fair value measurements of assets and liabilities classified with Level 3 of the fair value hierarchy at September 30, 2019 and December 31, 2018:

At September 30, 2019

Financial Instrument Type

Fair Value (in millions)

Valuation Technique(s)

Significant Unobservable Inputs

Range of Inputs

Weighted Average⁽¹⁾

Impaired commercial loans

Valuation of third party appraisal
on underlying collateral

Loss severity rates

10% - 100%

26%



At December 31, 2018
Financial Instrument Type	Fair Value (in millions)		Valuation Technique(s)	Significant Unobservable Inputs	Range of Inputs
Impaired commercial loans	$	37	Valuation of third party appraisal on underlying collateral	Loss severity rates	13% - 100%


⁽¹⁾	Weighted average is calculated based on the carrying value of the loans.

Additional Information Relating to Asset-Backed Securities and Collateralized Debt Obligations

The following tables provide additional information relating to our asset-backed securities, including certain CDOs, at September 30, 2019:

Trading asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 3		Total
		(in millions)
AAA - A	Collateralized debt obligations	$	53	$	53
	Student loans	86		86
	Total AAA -A	139		139
BBB - B	Collateralized debt obligations	31		31
CCC - Unrated	Residential mortgages - Subprime	17		17
		$	187	$	187

Available-for-sale asset-backed securities:



Rating of Securities:⁽¹⁾	Collateral Type:	Level 2		Level 3		Total
		(in millions)
AAA - A	Home equity - Alt A	$	33	$	—	$	33
	Other	—		54		54
	Total AAA -A	33		54		87
BBB -B	Other	—		61		61
		$	33	$	115	$	148


⁽¹⁾	We utilize Standard and Poor's ("S&P") as the primary source of credit ratings in the tables above. If S&P ratings are not available, ratings by Moody's and Fitch are used in that order. Ratings for CDOs represent the ratings associated with the underlying collateral.

Carrying Value and Estimated Fair Value of Financial Instruments

The following table summarizes the carrying value and estimated fair value of our financial instruments, excluding financial instruments that are carried at fair value on a recurring basis, at September 30, 2019 and December 31, 2018 and their classification within the fair value hierarchy:



September 30, 2019	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	12,695	$	12,695	$	1,496	$	11,183	$	16
Federal funds sold and securities purchased under agreements to resell	8,234		8,234		—		8,234		—
Securities held-to-maturity	13,350		13,502		—		13,502		—
Commercial loans, net of allowance for credit losses	50,754		52,356		—		—		52,356
Commercial loans held for sale	93		93		—		93		—
Consumer loans, net of allowance for credit losses	19,906		19,536		—		—		19,536
Consumer loans held for sale:
Residential mortgages	58		59		—		58		1
Financial liabilities:
Short-term financial liabilities	$	8,519	$	8,519	$	—	$	8,503	$	16
Deposits:
Without fixed maturities	95,905		95,905		—		95,905		—
Fixed maturities	15,947		15,871		—		15,871		—
Long-term debt	17,823		18,139		—		18,139		—



December 31, 2018	Carrying Value		Fair Value		Level 1		Level 2		Level 3
	(in millions)
Financial assets:
Short-term financial assets	$	17,237	$	17,237	$	1,514	$	15,700	$	23
Federal funds sold and securities purchased under agreements to resell	10,168		10,168		—		10,168		—
Securities held-to-maturity	14,670		14,443		—		14,443		—
Commercial loans, net of allowance for credit losses	48,884		50,671		—		—		50,671
Commercial loans held for sale	285		285		—		285		—
Consumer loans, net of allowance for credit losses	19,553		18,878		—		—		18,878
Consumer loans held for sale:
Residential mortgages	65		65		—		65		—
Other consumer	53		53		—		—		53
Financial liabilities:
Short-term financial liabilities	$	3,643	$	3,649	$	—	$	3,626	$	23
Deposits:
Without fixed maturities	91,794		91,794		—		91,794		—
Fixed maturities	10,996		10,933		—		10,933		—
Deposits held for sale	10		10		—		10		—
Long-term debt	19,379		19,688		—		19,688		—