v3.6.0.2
Fair value measurement (Tables)
|
12 Months Ended |
|
|---|
| Fair Value Disclosures [Abstract] |
|
| Assets and Liabilities Measured at Fair Value on Recurring Basis |
The following tables present the financial instruments carried at fair value at Dec. 31, 2016 and Dec. 31, 2015, 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. There were no material transfers between Level 1 and Level 2 during 2016. | | | | | | | | | | | | | | | | | Assets measured at fair value on a recurring basis at Dec. 31, 2016 | Total carrying
value |
| (dollar amounts in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Netting (a) |
| Available-for-sale securities: | | | | | | U.S. Treasury | $ | 14,307 |
| $ | — |
| $ | — |
| $ | — |
| $ | 14,307 |
| U.S. government agencies | — |
| 359 |
| — |
| — |
| 359 |
| Sovereign debt/sovereign guaranteed | 66 |
| 12,423 |
| — |
| — |
| 12,489 |
| State and political subdivisions | — |
| 3,378 |
| — |
| — |
| 3,378 |
| Agency RMBS | — |
| 22,736 |
| — |
| — |
| 22,736 |
| Non-agency RMBS | — |
| 638 |
| — |
| — |
| 638 |
| Other RMBS | — |
| 513 |
| — |
| — |
| 513 |
| Commercial MBS | — |
| 928 |
| — |
| — |
| 928 |
| Agency commercial MBS | — |
| 6,449 |
| — |
| — |
| 6,449 |
| CLOs | — |
| 2,598 |
| — |
| — |
| 2,598 |
| Other asset-backed securities | — |
| 1,727 |
| — |
| — |
| 1,727 |
| Equity securities | 3 |
| — |
| — |
| — |
| 3 |
| Money market funds (b) | 842 |
| — |
| — |
| — |
| 842 |
| Corporate bonds | — |
| 1,396 |
| — |
| — |
| 1,396 |
| Other debt securities | — |
| 1,961 |
| — |
| — |
| 1,961 |
| Foreign covered bonds | 1,876 |
| 265 |
| — |
| — |
| 2,141 |
| Non-agency RMBS (c) | — |
| 1,357 |
| — |
| — |
| 1,357 |
| Total available-for-sale securities | 17,094 |
| 56,728 |
| — |
| — |
| 73,822 |
| Trading assets: | | | | | | Debt and equity instruments (b) | 240 |
| 2,013 |
| — |
| — |
| 2,253 |
| Derivative assets not designated as hedging: | | | | | | Interest rate | 4 |
| 7,583 |
| — |
| (6,047 | ) | 1,540 |
| Foreign exchange | — |
| 6,104 |
| — |
| (4,172 | ) | 1,932 |
| | — |
| 46 |
| — |
| (38 | ) | 8 |
| Total derivative assets not designated as hedging | 4 |
| 13,733 |
| — |
| (10,257 | ) | 3,480 |
| Total trading assets | 244 |
| 15,746 |
| — |
| (10,257 | ) | 5,733 |
| Other assets: | | | | | | Derivative assets designated as hedging: | | | | | | Interest rate | — |
| 415 |
| — |
| — |
| 415 |
| Foreign exchange | — |
| 369 |
| — |
| — |
| 369 |
| Total derivative assets designated as hedging | — |
| 784 |
| — |
| — |
| 784 |
| Other assets (d) | 268 |
| 73 |
| — |
| — |
| 341 |
| Other assets measured at net asset value (d) | | | | | 214 |
| Total other assets | 268 |
| 857 |
| — |
| — |
| 1,339 |
| Subtotal assets of operations at fair value | 17,606 |
| 73,331 |
| — |
| (10,257 | ) | 80,894 |
| Percentage of assets prior to netting | 19 | % | 81 | % | — | % | | | Assets of consolidated investment management funds: | | | | | | Trading assets | 296 |
| 683 |
| — |
| — |
| 979 |
| Other assets | 168 |
| 84 |
| — |
| — |
| 252 |
| Total assets of consolidated investment management funds | 464 |
| 767 |
| — |
| — |
| 1,231 |
| Total assets | $ | 18,070 |
| $ | 74,098 |
| $ | — |
| $ | (10,257 | ) | $ | 82,125 |
| Percentage of assets prior to netting | 20 | % | 80 | % | — | % | | |
| | | | | | | | | | | | | | | | | Liabilities measured at fair value on a recurring basis at Dec. 31, 2016 | Total carrying
value |
| (dollar amounts in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Netting (a) |
| Trading liabilities: | | | | | | Debt and equity instruments | $ | 349 |
| $ | 236 |
| $ | — |
| $ | — |
| $ | 585 |
| Derivative liabilities not designated as hedging: | | | | | | Interest rate | 4 |
| 7,629 |
| — |
| (6,634 | ) | 999 |
| Foreign exchange | — |
| 6,103 |
| — |
| (3,363 | ) | 2,740 |
| | — |
| 115 |
| — |
| (50 | ) | 65 |
| Total derivative liabilities not designated as hedging | 4 |
| 13,847 |
| — |
| (10,047 | ) | 3,804 |
| Total trading liabilities | 353 |
| 14,083 |
| — |
| (10,047 | ) | 4,389 |
| Long-term debt (b) | — |
| 363 |
| — |
| — |
| 363 |
| Other liabilities - derivative liabilities designated as hedging: | | | | | | Interest rate | — |
| 545 |
| — |
| — |
| 545 |
| Foreign exchange | — |
| 52 |
| — |
| — |
| 52 |
| Total other liabilities - derivative liabilities designated as hedging | — |
| 597 |
| — |
| — |
| 597 |
| Subtotal liabilities of operations at fair value | 353 |
| 15,043 |
| — |
| (10,047 | ) | 5,349 |
| Percentage of liabilities prior to netting | 2 | % | 98 | % | — | % | | | Liabilities of consolidated investment management funds: | | | | | | Trading liabilities | — |
| 282 |
| — |
| — |
| 282 |
| Other liabilities | 3 |
| 30 |
| — |
| — |
| 33 |
| Total liabilities of consolidated investment management funds | 3 |
| 312 |
| — |
| — |
| 315 |
| Total liabilities | $ | 356 |
| $ | 15,355 |
| $ | — |
| $ | (10,047 | ) | $ | 5,664 |
| Percentage of liabilities prior to netting | 2 | % | 98 | % | — | % | | |
| | (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 certain interests in securitizations. |
| | (c) | Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011. |
| | (d) | Includes private equity investments and seed capital. |
| | | | | | | | | | | | | | | | | Assets measured at fair value on a recurring basis at Dec. 31, 2015 | Total carrying value |
| (dollar amounts in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Netting (a) |
| Available-for-sale securities: | | | | | | U.S. Treasury | $ | 12,832 |
| $ | — |
| $ | — |
| $ | — |
| $ | 12,832 |
| U.S. government agencies | — |
| 387 |
| — |
| — |
| 387 |
| Sovereign debt/sovereign guaranteed | 35 |
| 13,182 |
| — |
| — |
| 13,217 |
| State and political subdivisions | — |
| 4,046 |
| — |
| — |
| 4,046 |
| Agency RMBS | — |
| 23,501 |
| — |
| — |
| 23,501 |
| Non-agency RMBS | — |
| 793 |
| — |
| — |
| 793 |
| Other RMBS | — |
| 1,061 |
| — |
| — |
| 1,061 |
| Commercial MBS | — |
| 1,392 |
| — |
| — |
| 1,392 |
| Agency commercial MBS | — |
| 4,020 |
| — |
| — |
| 4,020 |
| CLOs | — |
| 2,351 |
| — |
| — |
| 2,351 |
| Other asset-backed securities | — |
| 2,893 |
| — |
| — |
| 2,893 |
| Equity securities | 4 |
| — |
| — |
| — |
| 4 |
| Money market funds (b) | 886 |
| — |
| — |
| — |
| 886 |
| Corporate bonds | — |
| 1,752 |
| — |
| — |
| 1,752 |
| Other debt securities | — |
| 2,775 |
| — |
| — |
| 2,775 |
| Foreign covered bonds | 1,966 |
| 202 |
| — |
| — |
| 2,168 |
| Non-agency RMBS (c) | — |
| 1,789 |
| — |
| — |
| 1,789 |
| Total available-for-sale securities | 15,723 |
| 60,144 |
| — |
| — |
| 75,867 |
| Trading assets: | | | | | | Debt and equity instruments (b) | 1,232 |
| 2,167 |
| — |
| — |
| 3,399 |
| Derivative assets not designated as hedging: | | | | | | Interest rate | 10 |
| 10,034 |
| — |
| (8,071 | ) | 1,973 |
| Foreign exchange | — |
| 4,905 |
| — |
| (2,981 | ) | 1,924 |
| | 15 |
| 120 |
| — |
| (63 | ) | 72 |
| Total derivative assets not designated as hedging | 25 |
| 15,059 |
| — |
| (11,115 | ) | 3,969 |
| Total trading assets | 1,257 |
| 17,226 |
| — |
| (11,115 | ) | 7,368 |
| Loans | — |
| 422 |
| — |
| — |
| 422 |
| Other assets: | | | | | | Derivative assets designated as hedging: | | | | | | Interest rate | — |
| 497 |
| — |
| — |
| 497 |
| Foreign exchange | — |
| 219 |
| — |
| — |
| 219 |
| Total derivative assets designated as hedging | — |
| 716 |
| — |
| — |
| 716 |
| Other assets (d) | 192 |
| 62 |
| — |
| — |
| 254 |
| Other assets measured at net asset value (d) | | | | | 117 |
| Total other assets | 192 |
| 778 |
| — |
| — |
| 1,087 |
| Subtotal assets of operations at fair value | 17,172 |
| 78,570 |
| — |
| (11,115 | ) | 84,744 |
| Percentage of assets prior to netting | 18 | % | 82 | % | — | % | | | Assets of consolidated investment management funds: | | | | | | Trading assets | 455 |
| 773 |
| — |
| — |
| 1,228 |
| Other assets | 157 |
| 16 |
| — |
| — |
| 173 |
| Total assets of consolidated investment management funds | 612 |
| 789 |
| — |
| — |
| 1,401 |
| Total assets | $ | 17,784 |
| $ | 79,359 |
| $ | — |
| $ | (11,115 | ) | $ | 86,145 |
| Percentage of assets prior to netting | 18 | % | 82 | % | — | % | | |
| | | | | | | | | | | | | | | | | Liabilities measured at fair value on a recurring basis at Dec. 31, 2015 | Total carrying value |
| (dollar amounts in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Netting (a) |
| Trading liabilities: | | | | | | Debt and equity instruments | $ | 422 |
| $ | 152 |
| $ | — |
| $ | — |
| $ | 574 |
| Derivative liabilities not designated as hedging: | | | | | | Interest rate | 5 |
| 9,957 |
| — |
| (8,235 | ) | 1,727 |
| Foreign exchange | — |
| 4,682 |
| — |
| (2,567 | ) | 2,115 |
| | 5 |
| 147 |
| — |
| (67 | ) | 85 |
| Total derivative liabilities not designated as hedging | 10 |
| 14,786 |
| — |
| (10,869 | ) | 3,927 |
| Total trading liabilities | 432 |
| 14,938 |
| — |
| (10,869 | ) | 4,501 |
| Long-term debt (b) | — |
| 359 |
| — |
| — |
| 359 |
| Other liabilities - derivative liabilities designated as hedging: | | | | | | Interest rate | — |
| 372 |
| — |
| — |
| 372 |
| Foreign exchange | — |
| 20 |
| — |
| — |
| 20 |
| Total other liabilities - derivative liabilities designated as hedging | — |
| 392 |
| — |
| — |
| 392 |
| Subtotal liabilities of operations at fair value | 432 |
| 15,689 |
| — |
| (10,869 | ) | 5,252 |
| Percentage of liabilities prior to netting | 3 | % | 97 | % | — | % | | | Liabilities of consolidated investment management funds: | | | | | | Trading liabilities | — |
| 229 |
| — |
| — |
| 229 |
| Other liabilities | 1 |
| 16 |
| — |
| — |
| 17 |
| Total liabilities of consolidated investment management funds | 1 |
| 245 |
| — |
| — |
| 246 |
| Total liabilities | $ | 433 |
| $ | 15,934 |
| $ | — |
| $ | (10,869 | ) | $ | 5,498 |
| Percentage of liabilities prior to netting | 3 | % | 97 | % | — | % | | |
| | (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 certain interests in securitizations. |
| | (c) | Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011. |
| | (d) | Includes private equity investments and seed capital. |
|
| Details Of Certain Items Measured At Fair Value on Recurring Basis |
| | | | | | | | | | | | | | | | | | | | | | | | | | | Details of certain items measured at fair value on a recurring basis | | | | Total carrying value (a) |
| | Ratings | | Total carrying value (a) |
| | Ratings | AAA/ AA- |
| A+/ A- |
| BBB+/ BBB- |
| BB+ and lower |
| | | AAA/ AA- |
| A+/ A- |
| BBB+/ BBB- |
| BB+ and lower |
| (dollar amounts in millions) | | Non-agency RMBS, originated in: | | | | | | | | | | | | | | 2007 | $ | 58 |
| | — | % | — | % | — | % | 100 | % | | $ | 66 |
| | — | % | — | % | — | % | 100 | % | 2006 | 98 |
| | — |
| — |
| — |
| 100 |
| | 115 |
| | — |
| — |
| — |
| 100 |
| 2005 | 180 |
| | 23 |
| 5 |
| 9 |
| 63 |
| | 234 |
| | 19 |
| 9 |
| 13 |
| 59 |
| 2004 and earlier | 302 |
| | 5 |
| 3 |
| 24 |
| 68 |
| | 378 |
| | 4 |
| 4 |
| 26 |
| 66 |
| Total non-agency RMBS | $ | 638 |
| | 9 | % | 3 | % | 14 | % | 74 | % | | $ | 793 |
| | 8 | % | 4 | % | 16 | % | 72 | % | Commercial MBS - Domestic, originated in: | | | | | | | | | | | | | | 2009-2016 | $ | 674 |
| | 84 | % | 16 | % | — | % | — | % | | $ | 626 |
| | 83 | % | 17 | % | — | % | — | % | 2008 | 14 |
| | 100 |
| — |
| — |
| — |
| | 16 |
| | 100 |
| — |
| — |
| — |
| 2007 | 190 |
| | 71 |
| 29 |
| — |
| — |
| | 304 |
| | 62 |
| 22 |
| 16 |
| — |
| 2006 | 3 |
| | 7 |
| 93 |
| — |
| — |
| | 384 |
| | 76 |
| 24 |
| — |
| — |
| Total commercial MBS - Domestic | $ | 881 |
| | 81 | % | 19 | % | — | % | — | % | | $ | 1,330 |
| | 76 | % | 20 | % | 4 | % | — | % | Foreign covered bonds: | | | | | | | | | | | | | | Canada | $ | 1,320 |
| | 100 | % | — | % | — | % | — | % | | $ | 1,014 |
| | 100 | % | — | % | — | % | — | % | United Kingdom | 280 |
| | 100 |
| — |
| — |
| — |
| | 363 |
| | 100 |
| — |
| — |
| — |
| Netherlands | 160 |
| | 100 |
| — |
| — |
| — |
| | 214 |
| | 100 |
| — |
| — |
| — |
| Other | 381 |
| | 100 |
| — |
| — |
| — |
| | 577 |
| | 100 |
| — |
| — |
| — |
| Total foreign covered bonds | $ | 2,141 |
| | 100 | % | — | % | — | % | — | % | | $ | 2,168 |
| | 100 | % | — | % | — | % | — | % | European floating rate notes - available-for-sale: | | | | | | | | | | | | | | United Kingdom | $ | 379 |
| | 90 | % | 10 | % | — | % | — | % | | $ | 780 |
| | 85 | % | 15 | % | — | % | — | % | Netherlands | 125 |
| | 100 |
| — |
| — |
| — |
| | 222 |
| | 100 |
| — |
| — |
| — |
| Ireland | 58 |
| | — |
| — |
| 100 |
| — |
| | 121 |
| | — |
| 45 |
| 55 |
| — |
| Total European floating rate notes - available-for-sale | $ | 562 |
| | 83 | % | 7 | % | 10 | % | — | % | | $ | 1,123 |
| | 79 | % | 15 | % | 6 | % | — | % | Sovereign debt/sovereign guaranteed: | | | | | | | | | | | | | | United Kingdom | $ | 3,209 |
| | 100 | % | — | % | — | % | — | % | | $ | 2,941 |
| | 100 | % | — | % | — | % | — | % | France | 1,998 |
| | 100 |
| — |
| — |
| — |
| | 2,008 |
| | 100 |
| — |
| — |
| — |
| Spain | 1,749 |
| | — |
| — |
| 100 |
| — |
| | 1,955 |
| | — |
| — |
| 100 |
| — |
| Germany | 1,347 |
| | 100 |
| — |
| — |
| — |
| | 1,683 |
| | 100 |
| — |
| — |
| — |
| Italy | 1,130 |
| | — |
| — |
| 100 |
| — |
| | 1,398 |
| | — |
| — |
| 100 |
| — |
| Netherlands | 1,061 |
| | 100 |
| — |
| — |
| — |
| | 1,055 |
| | 100 |
| — |
| — |
| — |
| Belgium | 1,005 |
| | 100 |
| — |
| — |
| — |
| | 1,108 |
| | 100 |
| — |
| — |
| — |
| Ireland | 736 |
| | — |
| 100 |
| — |
| — |
| | 772 |
| | — |
| — |
| 100 |
| — |
| Other (b) | 254 |
| | 71 |
| — |
| — |
| 29 |
| | 297 |
| | 68 |
| — |
| 32 |
| — |
| Total sovereign debt/sovereign guaranteed | $ | 12,489 |
| | 70 | % | 6 | % | 23 | % | 1 | % | | $ | 13,217 |
| | 68 | % | — | % | 32 | % | — | % | Non-agency RMBS (c), originated in: | | | | | | | | | | | | | | 2007 | $ | 387 |
| | — | % | — | % | — | % | 100 | % | | $ | 502 |
| | — | % | — | % | — | % | 100 | % | 2006 | 391 |
| | — |
| — |
| — |
| 100 |
| | 530 |
| | — |
| 1 |
| — |
| 99 |
| 2005 | 437 |
| | — |
| 2 |
| 1 |
| 97 |
| | 580 |
| | — |
| 2 |
| 1 |
| 97 |
| 2004 and earlier | 142 |
| | 2 |
| 2 |
| 17 |
| 79 |
| | 177 |
| | — |
| 3 |
| 9 |
| 88 |
| Total non-agency RMBS (c) | $ | 1,357 |
| | — | % | 1 | % | 2 | % | 97 | % | | $ | 1,789 |
| | — | % | 1 | % | 1 | % | 98 | % |
| | (a) | At Dec. 31, 2016 and Dec. 31, 2015, foreign covered bonds and sovereign debt 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. |
| | (b) | Includes $73 million of noninvestment grade sovereign debt at Dec. 31, 2016 and $95 million of investment grade sovereign debt at Dec. 31, 2015 related to Brazil. |
| | (c) | Previously included in the Grantor Trust. The Grantor Trust was dissolved in 2011. |
|
| Unobservable Input Reconciliation of Assets and Liabilities Measured on a Recurring Basis |
The tables below include a roll forward of the balance sheet amounts for the years ended Dec. 31, 2016 and Dec. 31, 2015 (including the change in fair value), for financial instruments classified in Level 3 of the valuation hierarchy.
| | | | | | Fair value measurements for assets using significant unobservable inputs for the year ended Dec. 31, 2016 | (in millions) | Loans |
| | | $ | — |
| | Transfers into Level 3 | 19 |
| | Total gains or (losses) for the period included in earnings | 2 |
| (a) | Purchases, issuances and sales: | | | Purchases | 113 |
| | Issuances | 1 |
| | Sales | (135 | ) | | | $ | — |
| | Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period | $ | — |
| |
| | (a) | Reported in investment and other income. |
| | | | | | | | | | | | | | | | | | Fair value measurements for assets using significant unobservable inputs for the year ended Dec. 31, 2015 | | Available-for-sale securities | | Trading assets | | | | | (in millions) | State and political
subdivisions | | | Derivative
assets |
| (a) | Other assets |
| | Total assets |
| | | $ | 11 |
| | $ | 9 |
| | $ | 35 |
| | $ | 55 |
| Transfers out of Level 3 | | — |
| | (3 | ) | | — |
| | (3 | ) | Total gains or (losses) for the period | | | | | | | | | Included in earnings (or changes in net assets) | | — |
| (b) | (1 | ) | (c) | 10 |
| (d) | 9 |
| Purchases, sales and settlements: | | | | | | | | | Purchases | | — |
| | — |
| | 3 |
| | 3 |
| Sales | | — |
| | — |
| | (48 | ) | | (48 | ) | Settlements | | (11 | ) | | (5 | ) | | — |
| | (16 | ) | | | $ | — |
| | $ | — |
| | $ | — |
| | $ | — |
| Change in unrealized gains or (losses) for the period included in earnings for assets held at the end of the reporting period | | | | $ | — |
| | $ | — |
| | $ | — |
|
| | (a) | Derivative assets are reported on a gross basis. |
| | (b) | Realized gains (losses) are reported in securities gains (losses). Unrealized gains (losses) are reported in accumulated other comprehensive income (loss) except for the credit portion of OTTI losses which are recorded in securities gains (losses). |
| | (c) | Reported in foreign exchange and other trading revenue. |
| | (d) | Reported in investment and other income. |
| | | | | | | Fair value measurements for liabilities using significant unobservable inputs for the year ended Dec. 31, 2015 | | Trading liabilities | | | (in millions) | Derivative liabilities | | (a) | | | $ | 9 |
| | Transfers out of Level 3 | | (3 | ) | | Total (gains) or losses for the period included in earnings | | (1 | ) | (b) | Settlements | | (5 | ) | | | | $ | — |
| | Change in unrealized (gains) or losses for the period included in earnings for liabilities held at the end of the reporting period | | $ | — |
| |
| | (a) | Derivative liabilities are reported on a gross basis. |
| | (b) | Reported in foreign exchange and other trading revenue. |
|
| Assets Measured at Fair Value on Nonrecurring Basis |
The following tables present the financial instruments carried on the consolidated balance sheet by caption and by level in the fair value hierarchy as of Dec. 31, 2016 and Dec. 31, 2015, for which a nonrecurring change in fair value has been recorded during the years ended Dec. 31, 2016 and Dec. 31, 2015.
| | | | | | | | | | | | | | Assets measured at fair value on a nonrecurring basis at Dec. 31, 2016 | Total carrying value |
| (in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Loans (a) | $ | — |
| $ | 84 |
| $ | 7 |
| $ | 91 |
| Other assets (b) | — |
| 4 |
| — |
| 4 |
| Total assets at fair value on a nonrecurring basis | $ | — |
| $ | 88 |
| $ | 7 |
| $ | 95 |
|
| | | | | | | | | | | | | | Assets measured at fair value on a nonrecurring basis at Dec. 31, 2015 | Total carrying value |
| (in millions) | Level 1 |
| Level 2 |
| Level 3 |
| Loans (a) | $ | — |
| $ | 97 |
| $ | 174 |
| $ | 271 |
| Other assets (b) | — |
| 6 |
| — |
| 6 |
| Total assets at fair value on a nonrecurring basis | $ | — |
| $ | 103 |
| $ | 174 |
| $ | 277 |
|
| | (a) | During the years ended Dec. 31, 2016 and Dec. 31, 2015, the fair value of these loans decreased $2 million and $2 million, respectively, based on the fair value of the underlying collateral based on guidance in ASC 310, Receivables, with an offset to the allowance for credit losses. |
| | (b) | Includes 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 Dec. 31, 2016 and Dec. 31, 2015, by caption on the consolidated balance sheet and by the valuation hierarchy.
| | | | | | | | | | | | | | | | | Summary of financial instruments | | (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 | $ | — |
| $ | 58,041 |
| $ | — |
| $ | 58,041 |
| $ | 58,041 |
| Interest-bearing deposits with banks | — |
| 15,091 |
| — |
| 15,091 |
| 15,086 |
| Federal funds sold and securities purchased under resale agreements | — |
| 25,801 |
| — |
| 25,801 |
| 25,801 |
| Securities held-to-maturity | 11,173 |
| 29,496 |
| — |
| 40,669 |
| 40,905 |
| Loans (a) | — |
| 62,829 |
| — |
| 62,829 |
| 62,564 |
| Other financial assets | 4,822 |
| 1,112 |
| — |
| 5,934 |
| 5,934 |
| Total | $ | 15,995 |
| $ | 192,370 |
| $ | — |
| $ | 208,365 |
| $ | 208,331 |
| Liabilities: | | | | | | Noninterest-bearing deposits | $ | — |
| $ | 78,342 |
| $ | — |
| $ | 78,342 |
| $ | 78,342 |
| Interest-bearing deposits | — |
| 141,418 |
| — |
| 141,418 |
| 143,148 |
| Federal funds purchased and securities sold under repurchase agreements | — |
| 9,989 |
| — |
| 9,989 |
| 9,989 |
| Payables to customers and broker-dealers | — |
| 20,987 |
| — |
| 20,987 |
| 20,987 |
| Borrowings | — |
| 960 |
| — |
| 960 |
| 960 |
| Long-term debt | — |
| 24,184 |
| — |
| 24,184 |
| 24,100 |
| Total | $ | — |
| $ | 275,880 |
| $ | — |
| $ | 275,880 |
| $ | 277,526 |
|
| | (a) | Does not include the leasing portfolio. |
| | | | | | | | | | | | | | | | | Summary of financial instruments | | (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 | $ | — |
| $ | 113,203 |
| $ | — |
| $ | 113,203 |
| $ | 113,203 |
| Interest-bearing deposits with banks | — |
| 15,150 |
| — |
| 15,150 |
| 15,146 |
| Federal funds sold and securities purchased under resale agreements | — |
| 24,373 |
| — |
| 24,373 |
| 24,373 |
| Securities held-to-maturity | 11,376 |
| 31,828 |
| — |
| 43,204 |
| 43,312 |
| Loans (a) | — |
| 61,421 |
| — |
| 61,421 |
| 61,267 |
| Other financial assets | 6,537 |
| 1,096 |
| — |
| 7,633 |
| 7,633 |
| Total | $ | 17,913 |
| $ | 247,071 |
| $ | — |
| $ | 264,984 |
| $ | 264,934 |
| Liabilities: | | | | | | Noninterest-bearing deposits | $ | — |
| $ | 96,277 |
| $ | — |
| $ | 96,277 |
| $ | 96,277 |
| Interest-bearing deposits | — |
| 182,410 |
| — |
| 182,410 |
| 183,333 |
| Federal funds purchased and securities sold under repurchase agreements | — |
| 15,002 |
| — |
| 15,002 |
| 15,002 |
| Payables to customers and broker-dealers | — |
| 21,900 |
| — |
| 21,900 |
| 21,900 |
| Borrowings | — |
| 698 |
| — |
| 698 |
| 698 |
| Long-term debt | — |
| 21,494 |
| — |
| 21,494 |
| 21,188 |
| Total | $ | — |
| $ | 337,781 |
| $ | — |
| $ | 337,781 |
| $ | 338,398 |
|
|
| Summary of the Carrying Amount, Notional Amount and Unrealized Gain (Loss) of Hedged Financial Instruments |
The table below summarizes the carrying amount of the hedged financial instruments, the notional amount of the hedge and the unrealized gain (loss) (estimated fair value) of the derivatives.
| | | | | | | | | | | | | | Hedged financial instruments | Carrying amount |
| Notional amount of hedge |
| | | | Unrealized | (in millions) | Gain |
| (Loss) |
| | | | | | Securities available-for-sale | $ | 9,184 |
| $ | 9,233 |
| $ | 83 |
| $ | (342 | ) | Long-term debt | 20,511 |
| 20,450 |
| 330 |
| (203 | ) | | | Securities available-for-sale | $ | 7,978 |
| $ | 7,918 |
| $ | 16 |
| $ | (359 | ) | Long-term debt | 18,231 |
| 17,850 |
| 479 |
| (14 | ) |
|
| X |
- DefinitionDetails of Certain Items Measured at Fair Value on Recurring Basis
| Name: |
bk_DetailsOfCertainItemsMeasuredAtFairValueOnRecurringBasisTableTableTextBlock |
| Namespace Prefix: |
bk_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionFair Value, Assets and Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
| Name: |
bk_FairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisUnobservableInputReconciliationTableTextBlock |
| Namespace Prefix: |
bk_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionSummary of Hedged Financial Instruments Disclosure
| Name: |
bk_SummaryOfHedgedFinancialInstrumentsDisclosureTableTextBlock |
| Namespace Prefix: |
bk_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionTabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).
| Name: |
us-gaap_FairValueAssetsMeasuredOnNonrecurringBasisTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionTabular disclosure of the fair value of financial instruments, including financial assets and financial liabilities, and the measurements of those instruments, assets, and liabilities.
| Name: |
us-gaap_FairValueByBalanceSheetGroupingTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- References
+ Details
| Name: |
us-gaap_FairValueDisclosuresAbstract |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
xbrli:stringItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
| X |
- DefinitionTabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).
| Name: |
us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock |
| Namespace Prefix: |
us-gaap_ |
| Data Type: |
nonnum:textBlockItemType |
| Balance Type: |
na |
| Period Type: |
duration |
|
|
