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Fair Value Measurements | 3 Months Ended
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Mar. 31, 2021
Fair Value Disclosures [Abstract] |
Fair Value Measurements | 5. Fair Value Measurements In accordance with GAAP, Key measures certain assets and liabilities at fair value. Fair value is defined as the price to sell an asset or transfer a liability in an orderly transaction between market participants in our principal market. Additional information regarding our accounting policies for determining fair value is provided in Note 6 (“Fair Value Measurements”) and Note 1 (“Summary of Significant Accounting Policies”) under the heading “Fair Value Measurements” of our 2020 Form 10-K. Assets and Liabilities Measured at Fair Value on a Recurring Basis Certain assets and liabilities are measured at fair value on a recurring basis in accordance with GAAP. For more information on the valuation techniques used to measure classes of assets and liabilities reported at fair value on a recurring basis as well as the classification of each in the valuation hierarchy, refer to Note 6 (“Fair Value Measurements” in our 2020 Form 10-K. The following tables present these assets and liabilities at March 31, 2021, and December 31, 2020.
| March 31, 2021 | December 31, 2020
| Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total
in millions
ASSETS MEASURED ON A RECURRING BASIS |  |  |  |  |  |  |  |
Short-term investments |  |  |  |  |  |  |  |
U.S. Treasury Bills | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total short-term investments | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Trading account assets: |  |  |  |  |  |  |  |
U.S. Treasury, agencies and corporations | — |  | $ | 550 |  | — |  | $ | 550 |  | — |  | $ | 633 |  | — |  | $ | 633 |
States and political subdivisions | — |  | 72 |  | — |  | 72 |  | — |  | 24 |  | — |  | 24 |
Other mortgage-backed securities | — |  | 162 |  | — |  | 162 |  | — |  | 47 |  | — |  | 47 |
Other securities | — |  | 14 |  | — |  | 14 |  | — |  | 13 |  | — |  | 13 |
Total trading account securities | — |  | 798 |  | — |  | 798 |  | — |  | 717 |  | — |  | 717 |
Commercial loans | — |  | 13 |  | — |  | 13 |  | — |  | 18 |  | — |  | 18 |
Total trading account assets | — |  | 811 |  | — |  | 811 |  | — |  | 735 |  | — |  | 735 |
Securities available for sale: |  |  |  |  |  |  |  |
U.S. Treasury, agencies and corporations | — |  | 4,901 |  | — |  | 4,901 |  | — |  | 1,000 |  | — |  | 1,000 |
States and political subdivisions | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Agency residential collateralized mortgage obligations | — |  | 14,449 |  | — |  | 14,449 |  | — |  | 14,273 |  | — |  | 14,273 |
Agency residential mortgage-backed securities | — |  | 4,026 |  | — |  | 4,026 |  | — |  | 2,164 |  | — |  | 2,164 |
Agency commercial mortgage-backed securities | — |  | 10,525 |  | — |  | 10,525 |  | — |  | 10,106 |  | — |  | 10,106 |
Other securities | — |  | — |  | $ | 22 |  | 22 |  | — |  | — |  | $ | 13 |  | 13 |
Total securities available for sale | — |  | 33,901 |  | 22 |  | 33,923 |  | — |  | 27,543 |  | 13 |  | 27,556 |
Other investments: |  |  |  |  |  |  |  |
Principal investments: |  |  |  |  |  |  |  |
Direct | — |  | — |  | 1 |  | 1 |  | — |  | — |  | 1 |  | 1 |
Indirect (measured at NAV) (a) | — |  | — |  | — |  | 51 |  | — |  | — |  | — |  | 53 |
Total principal investments | — |  | — |  | 1 |  | 52 |  | — |  | — |  | 1 |  | 54 |
Equity investments: |  |  |  |  |  |  |  |
Direct | — |  | 13 |  | 9 |  | 22 |  | — |  | — |  | 13 |  | 13 |
Direct (measured at NAV) (a) | — |  | — |  | — |  | 7 |  | — |  | — |  | — |  | 7 |
Indirect (measured at NAV) (a) | — |  | — |  | — |  | 7 |  | — |  | — |  | — |  | 7 |
Total equity investments | — |  | 13 |  | 9 |  | 36 |  | — |  | — |  | 13 |  | 27 |
Total other investments | — |  | 13 |  | 10 |  | 88 |  | — |  | — |  | 14 |  | 81 |
Loans, net of unearned income (residential) | — |  | — |  | 11 |  | 11 |  | — |  | — |  | 11 |  | 11 |
Loans held for sale (residential) | — |  | 236 |  | — |  | 236 |  | — |  | 264 |  | — |  | 264 |
Derivative assets: |  |  |  |  |  |  |  |
Interest rate | — |  | 985 |  | 30 |  | 1,015 |  | — |  | 1,528 |  | 56 |  | 1,584 |
Foreign exchange | $ | 74 |  | 21 |  | — |  | 95 |  | $ | 78 |  | 31 |  | — |  | 109 |
Commodity | — |  | 638 |  | — |  | 638 |  | — |  | 424 |  | 2 |  | 426 |
Credit | — |  | — |  | 1 |  | 1 |  | — |  | — |  | 1 |  | 1 |
Other | — |  | 25 |  | 8 |  | 33 |  | — |  | 26 |  | 32 |  | 58 |
Derivative assets | 74 |  | 1,669 |  | 39 |  | 1,782 |  | 78 |  | 2,009 |  | 91 |  | 2,178 |
Netting adjustments (b) | — |  | — |  | — |  | (258) |  | — |  | — |  | — |  | (380) |
Total derivative assets | 74 |  | 1,669 |  | 39 |  | 1,524 |  | 78 |  | 2,009 |  | 91 |  | 1,798 |
Accrued income and other assets | — |  | — |  | — |  | — |  | — |  | — |  | — |  | — |
Total assets on a recurring basis at fair value | $ | 74 |  | $ | 36,630 |  | $ | 82 |  | $ | 36,593 |  | $ | 78 |  | $ | 30,551 |  | $ | 129 |  | $ | 30,445 |
LIABILITIES MEASURED ON A RECURRING BASIS |  |  |  |  |  |  |  |
Bank notes and other short-term borrowings: |  |  |  |  |  |  |  |
Short positions | $ | 143 |  | $ | 600 |  | — |  | $ | 743 |  | $ | 256 |  | $ | 503 |  | — |  | $ | 759 |
Derivative liabilities: |  |  |  |  |  |  |  |
Interest rate | — |  | 318 |  | — |  | 318 |  | — |  | 288 |  | — |  | 288 |
Foreign exchange | 64 |  | 20 |  | — |  | 84 |  | 72 |  | 31 |  | — |  | 103 |
Commodity | — |  | 620 |  | — |  | 620 |  | — |  | 408 |  | — |  | 408 |
Credit | — |  | 3 |  | $ | 5 |  | 8 |  | — |  | — |  | $ | 11 |  | 11 |
Other | — |  | 11 |  | 3 |  | 14 |  | — |  | 16 |  | — |  | 16 |
Derivative liabilities | 64 |  | 972 |  | 8 |  | 1,044 |  | 72 |  | 743 |  | 11 |  | 826 |
Netting adjustments (b) | — |  | — |  | — |  | (861) |  | — |  | — |  | — |  | (675) |
Total derivative liabilities | 64 |  | 972 |  | 8 |  | 183 |  | 72 |  | 743 |  | 11 |  | 151 |
Total liabilities on a recurring basis at fair value | $ | 207 |  | $ | 1,572 |  | $ | 8 |  | $ | 926 |  | $ | 328 |  | $ | 1,246 |  | $ | 11 |  | $ | 910 |
(a)Certain investments that are measured at fair value using the net asset value per share (or its equivalent) practical expedient have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the consolidated balance sheet. (b)Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related cash collateral. Total derivative assets and liabilities include these netting adjustments. The following table presents the fair value of our direct and indirect principal investments and related unfunded commitments at March 31, 2021, as well as financial support provided for the three months ended March 31, 2021, and March 31, 2020.
|  |  |  | Financial support provided
|  |  |  | Three months ended March 31, |  |
| March 31, 2021 |  | 2021 |  | 2020 |  |  |  |
in millions | Fair Value | Unfunded Commitments |  | Funded Commitments | Funded Other |  | Funded Commitments | Funded Other |  |  |  |  |  |
INVESTMENT TYPE |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct investments | $ | 1 |  | — |  |  | — |  | — |  |  | — |  | — |  |  |  |  |  |  |
Indirect investments (measured at NAV) (a) | 51 |  | $ | 16 |  |  | $ | 2 |  | — |  |  | — |  | — |  |  |  |  |  |  |
Total | $ | 52 |  | $ | 16 |  |  | $ | 2 |  | — |  |  | — |  | — |  |  |  |  |  |  |
(a) Our indirect investments consist of buyout funds, venture capital funds, and fund of funds. These investments are generally not redeemable. Instead, distributions are received through the liquidation of the underlying investments of the fund. An investment in any one of these funds typically can be sold only with the approval of the fund’s general partners. At March 31, 2021, no significant liquidation of the underlying investments has been communicated to Key. The purpose of funding our capital commitments to these investments is to allow the funds to make additional follow-on investments and pay fund expenses until the fund dissolves. We, and all other investors in the fund, are obligated to fund the full amount of our respective capital commitments to the fund based on our and their respective ownership percentages, as noted in the applicable Limited Partnership Agreement. Changes in Level 3 Fair Value Measurements The following table shows the components of the change in the fair values of our Level 3 financial instruments measured at fair value on a recurring basis for the three months ended March 31, 2021, and March 31, 2020.
in millions | Beginning of Period Balance | Gains (Losses) Included in Other Comprehensive Income | Gains (Losses) Included in Earnings | Purchases | Sales | Settlements | Transfers Other | Transfers into Level 3 | Transfers out of Level 3 | End of Period Balance | Unrealized Gains (Losses) Included in Earnings
Three months ended March 31, 2021 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other securities | $ | 13 |  | $ | 9 |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | $ | 22 |  | — |
Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 1 |  | — |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 1 |  | — |
Equity investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 13 |  | — |  | $ | (1) |  |  | — |  | — |  | — |  | — |  | — |  |  | (3) |  |  | 9 |  | $ | (1) |
Loans held for sale (residential) | — |  | — |  | — |  |  | — |  | $ | (1) |  | — |  | $ | 1 |  | — |  |  | — |  |  | — |  | — |
Loans, net of unearned income (residential) | 11 |  | — |  | — |  |  | — |  | (1) |  | — |  | 1 |  | — |  |  | — |  |  | 11 |  | — |
Derivative instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate | 56 |  | — |  | $ | (22) |  | (c) | $ | — |  | (4) |  | — |  | — |  | $ | 7 |  | (d) | $ | (7) |  | (d) | 30 |  | — |
Credit | (10) |  | — |  | 5 |  | (c) | — |  | — |  | — |  | — |  | — |  |  | — |  |  | (5) |  | — |
Other (e) | 32 |  | — |  | (4) |  |  | — |  | — |  | — |  | (22) |  | — |  |  | — |  |  | 6 |  | — |
in millions | Beginning of Period Balance | Gains (Losses) Included in Other Comprehensive Income | Gains (Losses) Included in Earnings | Purchases | Sales | Settlements | Transfers Other | Transfers into Level 3 | Transfers out of Level 3 | End of Period Balance | Unrealized Gains (Losses) Included in Earnings
Three months ended March 31, 2020 |  |  |  |  |  |  |  |  |  |  |  |  |  |
Securities available for sale |  |  |  |  |  |  |  |  |  |  |  |  |  |
Other securities | $ | 11 |  | $ | (2) |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | $ | 9 |  | — |
Other investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Principal investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 1 |  | — |  | — |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 1 |  | — |
Equity investments |  |  |  |  |  |  |  |  |  |  |  |  |  |
Direct (a) | 12 |  | — |  | $ | (2) |  |  | — |  | — |  | — |  | — |  | — |  |  | — |  |  | 10 |  | $ | (2) |
Loans held for sale (residential) | — |  | — |  | — |  |  | — |  | — |  | — |  | $ | 10 |  | — |  |  | — |  |  | 10 |  | — |
Loans, net of unearned income (residential) | 4 |  | — |  | — |  |  | — |  | $ | (1) |  | — |  | — |  | — |  |  | — |  |  | 3 |  | — |
Derivative instruments (b) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate | 22 |  | — |  | 19 |  | (c) | 11 |  | (1) |  | — |  | — |  | $ | 55 |  | (d) | $ | (10) |  | (d) | 96 |  | — |
Credit | (8) |  | — |  | (16) |  | (c) | $ | 1 |  |  | — |  | — |  | — |  |  |  |  | (23) |  | — |
Other (e) | 5 |  | — |  | — |  |  | — |  | — |  | — |  | 18 |  | — |  |  | — |  |  | 23 |  | — |
(a)Realized and unrealized gains and losses on principal investments and other equity investments are reported in “other income” on the income statement. (b)Amounts represent Level 3 derivative assets less Level 3 derivative liabilities. (c)Realized and unrealized gains and losses on derivative instruments are reported in “corporate services income” and “other income” on the income statement. (d)Certain instruments previously classified as Level 2 were transferred to Level 3 because Level 3 unobservable inputs became significant. Certain derivatives previously classified as Level 3 were transferred to Level 2 because Level 3 unobservable inputs became less significant. (e)Amounts represent Level 3 interest rate lock commitments. Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis Certain assets and liabilities are measured at fair value on a nonrecurring basis in accordance with GAAP. The adjustments to fair value generally result from the application of accounting guidance that requires assets and liabilities to be recorded at the lower of cost or fair value, or assessed for impairment. For more information on the valuation techniques used to measure classes of assets and liabilities measured at fair value on a nonrecurring basis, refer to Note 6 (“Fair Value Measurements” in our 2020 Form 10-K. There were no liabilities measured at fair value on a nonrecurring basis at March 31, 2021, and December 31, 2020. The following table presents our assets measured at fair value on a nonrecurring basis at March 31, 2021, and December 31, 2020:
| March 31, 2021 |  | December 31, 2020
in millions | Level 1 | Level 2 | Level 3 | Total |  | Level 1 | Level 2 | Level 3 | Total
ASSETS MEASURED ON A NONRECURRING BASIS |  |  |  |  |  |  |  |  |
Collateral-dependent loans | — |  | — |  | $ | 64 |  | $ | 64 |  |  | — |  |  | $ | 108 |  | $ | 108 |
Loans held for sale | — |  | — |  | 8 |  | 8 |  |  | — |  |  | — |  | — |
Accrued income and other assets | — |  | — |  | 72 |  | 72 |  |  | — |  |  | 56 |  | 56 |
Total assets on a nonrecurring basis at fair value | — |  | — |  | $ | 144 |  | $ | 144 |  |  | — |  | — |  | $ | 164 |  | $ | 164 |
We have other investments in equity securities that do not have readily determinable fair values and do not qualify for the practical expedient to measure the investment using a net asset value per share. We have elected to measure these securities at cost less impairment plus or minus adjustments due to observable orderly transactions. Impairment is recorded when there is evidence that the expected fair value of the investment has declined to below the recorded cost. At each reporting period, we assess if these investments continue to qualify for this measurement alternative. At March 31, 2021, and December 31, 2020, the carrying amount of equity investments under this method was $171 million and $171 million, respectively. No impairment was recorded for the three months ended March 31, 2021. Quantitative Information about Level 3 Fair Value Measurements The range and weighted-average of the significant unobservable inputs used to fair value our material Level 3 recurring and nonrecurring assets at March 31, 2021, and December 31, 2020, along with the valuation techniques used, are shown in the following table:
| Level 3 Asset (Liability) | Valuation Technique | Significant Unobservable Input | Range (Weighted-Average) (b), (c)
dollars in millions | March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020
Recurring |  |  |  |  |  |
Securities available-for-sale: |  |  |  |  |  |
Other securities | $ | 22 |  | 13 |  | Discounted cash flows | Discount rate | N/A (16.61%) | N/A (15.09%)
|  |  |  | Marketability discount | N/A (30.00%) | N/A (30.00%)
|  |  |  | Volatility factor | N/A (55.00%) | N/A (44.00%)
Other investments:(a) |  |  |  |  |  |
Equity investments |  |  |  |  |  |
Direct | 9 |  | 13 |  | Discounted cash flows | Discount rate | 14.60 - 18.14% (16.13%) | 13.90 - 17.04% (15.47%)
|  |  |  | Marketability discount | N/A (30.00%) | N/A (30.00%)
|  |  |  | Volatility factor | N/A (52.00%) | N/A (52.00%)
Loans, net of unearned income (residential) | 11 |  | 11 |  | Market comparable pricing | Comparability factor | .00 - 98.11% (95.06%) | 64.50-99.04% (94.17%)
Derivative instruments: |  |  |  |  |  |
Interest rate | 30 |  | 56 |  | Discounted cash flows | Probability of default | .02 - 100% (6.70%) | .02 - 100% (7.90%)
|  |  |  | Internal risk rating | 1 - 19 (9.731) | 1 - 19 (9.675)
|  |  |  | Loss given default | 0 - 1 (.485) | 0 - 1 (.483)
Credit (assets) | 1 |  | 1 |  | Discounted cash flows | Probability of default | .02 - 100% (3.60%) | .02 - 100% (4.70%)
|  |  |  | Internal risk rating | 1 - 19 (10.281) | 1 - 19 (10.478)
|  |  |  | Loss given default | 0 - 1 (.491) | 0 - 1 (.490)
Credit (liabilities) | (5) |  | (11) |  | Discounted cash flows | Probability of default | .02 - 100% (13.10%) | .02 - 100% (15.45%)
|  |  |  | Internal risk rating | 1 - 19 (8.738) | 1 - 19 (8.555)
|  |  |  | Loss given default | 0 - 1 (.443) | 0 - 1 (.431)
Other(d) | 6 |  | 32 |  | Discounted cash flows | Loan closing rates | 36.95 - 99.68% (77.51%) | 36.95 - 99.68% (77.51%)
Nonrecurring |  |  |  |  |  |
Collateral-dependent loans | 64 |  | 108 |  | Fair value of collateral | Discount rate | 0 - 100.00% (32.00%) | 0 - 100.00% (36.00%)
Loans held for sale | 8 |  | — |  | Market comparable pricing | Comparability factor | N/M | N/A
Accrued income and other assets: |  |  |  |  |  |
OREO and other Level 3 assets (e) | 11 |  | 16 |  | Appraised value | Appraised value | N/M | N/M
(a)Principal investments, direct is excluded from this table as the balance at March 31, 2021, and December 31, 2020, is insignificant (less than $1 million). (b)The weighted average of significant unobservable inputs is calculated using a weighting relative to fair value. (c)For significant unobservable inputs with no range, a single figure is reported to denote the single quantitative factor used. (d)Amounts represent interest rate lock commitments. (e)Excludes $61 million and $40 million pertaining to servicing assets at March 31, 2021, and December 31, 2020, respectively. Refer to Note 8 (“Mortgage Servicing Assets”) for significant unobservable inputs pertaining to these assets. Fair Value Disclosures of Financial Instruments The Levels in the fair value hierarchy ascribed to our financial instruments and the related carrying amounts at March 31, 2021, and December 31, 2020, are shown in the following tables. Assets and liabilities are further arranged by measurement category.
| March 31, 2021
|  | Fair Value
in millions | Carrying Amount | Level 1 | Level 2 | Level 3 | Measured at NAV | Netting Adjustment |  | Total
ASSETS (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Trading account assets (b) | $ | 811 |  | $ | — |  | $ | 811 |  | — |  | — |  | — |  |  | $ | 811 |
Other investments (b) | 621 |  | — |  | 13 |  | $ | 542 |  | $ | 66 |  | — |  |  | 621 |
Loans, net of unearned income (residential) (d) | 11 |  | — |  | — |  | 11 |  | — |  | — |  |  | 11 |
Loans held for sale (residential) (b) | 236 |  | — |  | 236 |  | — |  | — |  | — |  |  | 236 |
Derivative assets - trading (b) | 1,421 |  | 74 |  | 1,625 |  | 38 |  | — |  | $ | (316) |  | (f) | 1,421 |
Fair value - OCI |  |  |  |  |  |  |  |
Securities available for sale (b) | 33,923 |  | — |  | 33,901 |  | 22 |  | — |  | — |  |  | 33,923 |
Derivative assets - hedging (b)(g) | 103 |  | — |  | 45 |  | — |  | — |  | 58 |  | (f) | 103 |
Amortized cost |  |  |  |  |  |  |  |
Held-to-maturity securities (c) | 6,857 |  | — |  | 7,159 |  | — |  | — |  | — |  |  | 7,159 |
Loans, net of unearned income (d) | 99,477 |  | — |  | — |  | 99,253 |  | — |  | — |  |  | 99,253 |
Loans held for sale (b) | 2,060 |  | — |  | — |  | 2,060 |  | — |  | — |  |  | 2,060 |
Other |  |  |  |  |  |  |  |
Cash and other short-term investments (a) | 16,314 |  | 16,314 |  | — |  | — |  | — |  | — |  |  | 16,314 |
LIABILITIES (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Derivative liabilities - trading (b) | $ | 177 |  | $ | 64 |  | $ | 966 |  | 8 |  | — |  | $ | (861) |  | (f) | $ | 177 |
Fair value - OCI |  |  |  |  |  |  |  |
Derivative liabilities - hedging (b)(g) | 6 |  | — |  | 6 |  | — |  | — |  | — |  | (f) | 6 |
Amortized cost |  |  |  |  |  |  |  |
Time deposits (e) | 5,219 |  | — |  | 5,234 |  | — |  | — |  | — |  |  | 5,234 |
Short-term borrowings (a) | 1,025 |  | 143 |  | 882 |  | — |  | — |  | — |  |  | 1,025 |
Long-term debt (e) | 12,499 |  | 12,396 |  | 727 |  | — |  | — |  | — |  |  | 13,123 |
Other |  |  |  |  |  |  |  |
Deposits with no stated maturity (a) | 136,964 |  | — |  | 136,964 |  | — |  | — |  | — |  |  | 136,964 |
| December 31, 2020
|  | Fair Value
in millions | Carrying Amount | Level 1 | Level 2 | Level 3 | Measured at NAV | Netting Adjustment |  | Total
ASSETS (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Trading account assets (b) | $ | 735 |  | — |  | $ | 735 |  | — |  | — |  | — |  |  | $ | 735 |
Other investments (b) | 621 |  | — |  | — |  | $ | 555 |  | $ | 66 |  | — |  |  | 621 |
Loans, net of unearned income (residential) (d) | 11 |  | — |  | — |  | 11 |  | — |  | — |  |  | 11 |
Loans held for sale (residential) (b) | 264 |  | — |  | 264 |  | — |  | — |  | — |  |  | 264 |
Derivative assets - trading (b) | 1,676 |  | $ | 78 |  | 1,939 |  | 91 |  | — |  | $ | (433) |  | (f) | 1,675 |
Fair value - OCI |  |  |  |  |  |  |  |
Securities available for sale (b) | 27,556 |  | — |  | 27,543 |  | 13 |  | — |  | — |  |  | 27,556 |
Derivative assets - hedging (b)(g) | 123 |  | — |  | 70 |  | — |  | — |  | 53 |  | (f) | 123 |
Amortized cost |  |  |  |  |  |  |  |
Held-to-maturity securities (c) | 7,595 |  | — |  | 8,023 |  | — |  | — |  | — |  |  | 8,023 |
Loans, net of unearned income (d) | 99,548 |  | — |  | — |  | 98,946 |  | — |  | — |  |  | 98,946 |
Loans held for sale (b) | 1,319 |  | — |  | — |  | 1,319 |  | — |  | — |  |  | 1,319 |
Other |  |  |  |  |  |  |  |
Short-term investments - U.S. Treasury Bills (b) | — |  | — |  | — |  | — |  | — |  | — |  |  | — |
Cash and other short-term investments (a) | 17,285 |  | 17,285 |  | — |  | — |  | — |  | — |  |  | 17,285 |
LIABILITIES (by measurement category) |  |  |  |  |  |  |  |
Fair value - net income |  |  |  |  |  |  |  |
Derivative liabilities - trading (b) | $ | 154 |  | $ | 72 |  | $ | 746 |  | $ | 11 |  | — |  | $ | (675) |  | (f) | $ | 154 |
Fair value - OCI |  |  |  |  |  |  |  |
Derivative liabilities - hedging (b)(g) | (3) |  | — |  | (3) |  | — |  | — |  | — |  | (f) | (3) |
Amortized cost |  |  |  |  |  |  |  |
Time deposits (e) | 5,743 |  | — |  | 5,765 |  | — |  | — |  | — |  |  | 5,765 |
Short-term borrowings (a) | 979 |  | 256 |  | 723 |  | — |  | — |  | — |  |  | 979 |
Long-term debt (e) | 13,709 |  | 13,925 |  | 734 |  | — |  | — |  | — |  |  | 14,659 |
Other |  |  |  |  |  |  |  |
Deposits with no stated maturity (a) | 129,539 |  | — |  | 129,539 |  | — |  | — |  | — |  |  | 129,539 |
Valuation Methods and Assumptions (a)Fair value equals or approximates carrying amount. The fair value of deposits with no stated maturity does not take into consideration the value ascribed to core deposit intangibles. (b)Information pertaining to our methodology for measuring the fair values of these assets and liabilities is included in the sections entitled “Qualitative Disclosures of Valuation Techniques” and “Assets and Liabilities Measured at Fair Value on a Nonrecurring Basis” within our 2020 Form 10-K Note 6 (“Fair Value Measurements”). Investments accounted for under the cost method (or cost less impairment adjusted for observable price changes for certain equity investments) are classified as Level 3 assets. These investments are not actively traded in an open market as sales for these types of investments are rare. The carrying amount of the investments carried at cost are adjusted for declines in value if they are considered to be other-than-temporary (or due to observable orderly transactions of the same issuer for equity investments eligible for the cost less impairment measurement alternative). These adjustments are included in “other income” on the income statement. (c)Fair values of held-to-maturity securities are determined by using models that are based on security-specific details, as well as relevant industry and economic factors. The most significant of these inputs are quoted market prices, interest rate spreads on relevant benchmark securities, and certain prepayment assumptions. We review the valuations derived from the models to ensure that they are reasonable and consistent with the values placed on similar securities traded in the secondary markets. (d)The fair value of loans is based on the present value of the expected cash flows. The projected cash flows are based on the contractual terms of the loans, adjusted for prepayments and use of a discount rate based on the relative risk of the cash flows, taking into account the loan type, maturity of the loan, liquidity risk, servicing costs, and a required return on debt and capital. In addition, an incremental liquidity discount is applied to certain loans, using historical sales of loans during periods of similar economic conditions as a benchmark. The fair value of loans includes lease financing receivables at their aggregate carrying amount, which is equivalent to their fair value. (e)Fair values of time deposits and long-term debt are based on discounted cash flows utilizing relevant market inputs. (f)Netting adjustments represent the amounts recorded to convert our derivative assets and liabilities from a gross basis to a net basis in accordance with the applicable accounting guidance. The net basis takes into account the impact of bilateral collateral and master netting agreements that allow us to settle all derivative contracts with a single counterparty on a net basis and to offset the net derivative position with the related cash collateral. Total derivative assets and liabilities include these netting adjustments. (g)Derivative assets-hedging and derivative liabilities-hedging includes both cash flow and fair value hedges. Additional information regarding our accounting policies for cash flow and fair value hedges is provided in Note 1 (“1. Summary of Significant Accounting Policies”) under the heading “Derivatives and Hedging” beginning on page 114 of our 2020 Form 10-K. Discontinued assets — education lending business. Our discontinued assets include government-guaranteed and private education loans originated through our education lending business that was discontinued in September 2009. This portfolio consists of loans recorded at carrying value with appropriate valuation reserves, and loans in portfolio recorded at fair value. All of these loans were excluded from the table above as follows: •Loans at carrying value, net of allowance, of $643 million ($563 million at fair value) at March 31, 2021, and $674 million ($567 million at fair value) at December 31, 2020; •Portfolio loans at fair value of $2 million at March 31, 2021, and $2 million at December 31, 2020. These loans and securities are classified as Level 3 because we rely on unobservable inputs when determining fair value since observable market data is not available.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258 + Details
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